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 811-08349
| Name of Fund: | BlackRock MuniHoldings Investment Quality Fund (MFL) |
| Fund Address: | 100 Bellevue Parkway, Wilmington, DE 19809 |
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock MuniHoldings Investment Quality Fund, 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: 08/31/2022
Date of reporting period: 02/28/2022
Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.
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FEBRUARY 28, 2022 |
| 2022 Semi-Annual Report (Unaudited) | ||
BlackRock Municipal Income Quality Trust (BYM)
BlackRock Municipal Income Trust II (BLE)
BlackRock MuniHoldings Investment Quality Fund (MFL)
BlackRock MuniVest Fund, Inc. (MVF)
| Not FDIC Insured • May Lose Value • No Bank Guarantee |
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Section 19(a) Notices
BlackRock Municipal Income Trust II’s (BLE) (the “Trust”) amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon the Trust’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The Trust will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.
February 28, 2022
| Total Cumulative Distributions for the Fiscal Period |
% Breakdown of the Total Cumulative Distributions for the Fiscal Period |
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Net Income |
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Net Realized Capital Gains Short-Term |
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Net Realized Capital Gains Long-Term |
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Return of Capital |
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Total Per Common Share |
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Net Income |
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Net Realized Capital Gains Short-Term |
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Net Realized Capital Gains Long-Term |
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Return of Capital |
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Total Per Common Share |
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| BLE |
$ | 0.329838 | $ | — | $ | — | $ | 0.042882 | $ | 0.372720 | 88 | % | — | % | — | % | 12 | % | 100 | % | ||||||||||||||||||||||||
| (a) | The Trust estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Trust is returned to the shareholder. A return of capital does not necessarily reflect the Trust’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce the Trust’s net asset value per share. |
Section 19(a) notices for the Trusts, as applicable, are available on the BlackRock website at blackrock.com.
| 2 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Dear Shareholder,
The 12-month reporting period as of February 28, 2022 saw a continuation of the resurgent growth that followed the initial coronavirus (or “COVID-19”) pandemic reopening, albeit at a slower pace. The global economy weathered the emergence of several variant strains and the resulting peaks and troughs in infections amid optimism that increasing vaccinations and economic adaptation could help contain the pandemic’s disruptions. However, rapid changes in consumer spending led to supply constraints and elevated inflation. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the invasion has presented challenges for both investors and policymakers.
Equity prices were mixed, as persistently high inflation drove investors’ expectations for higher interest rates, which particularly weighed on relatively high valuation growth stocks and economically sensitive small-capitalization stocks. Overall, small-capitalization U.S. stocks declined, while large-capitalization U.S. stocks posted a solid advance. International equities from developed markets gained slightly, although emerging market stocks declined, pressured by rising interest rates and a strengthening U.S. dollar.
The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose during the reporting period as the economy expanded rapidly and inflation reached its highest annualized reading in decades. In the corporate bond market, the improving economy assuaged credit concerns and led to modest returns for high-yield corporate bonds, outpacing the negative return of investment-grade corporate bonds.
The U.S. Federal Reserve (the “Fed”) maintained accommodative monetary policy during the reporting period by keeping near-zero interest rates. However, the Fed’s tone shifted during the period, as it reduced its bond-buying program and raised the prospect of higher rates in 2022. Continued high inflation and the Fed’s new stance led many analysts to anticipate that the Fed will raise interest rates multiple times throughout the year.
Looking ahead, however, the horrific war in Ukraine has significantly clouded the outlook for the global economy. Sanctions on Russia and general wartime disruption are likely to drive already-high commodity prices even further upwards, and we have already seen spikes in energy and metal markets. While this will exacerbate inflationary pressure, it could also constrain economic growth, making the Fed’s way forward less clear. Its challenge will be combating inflation without stifling a recovery that is now facing additional supply shocks.
In this environment, we favor an overweight to equities, as we believe low interest rates and continued economic growth will support further gains, albeit likely more modest than what we saw in 2021. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and health care, are particularly attractive in the long term. U.S. and other developed market equities have room for further growth, while we believe Chinese equities stand to gain from a more accommodative monetary and fiscal environment. We are underweight long-term credit, but inflation-protected U.S. Treasuries, Asian fixed income, and emerging market local-currency bonds offer potential opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.
Overall, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
®®
Rob Kapito
President, BlackRock Advisors, LLC
| Total Returns as of February 28, 2022 | ||||
| 6-Month | 12-Month | |||
| U.S. large cap equities (S&P 500® Index) |
(2.62)% |
16.39% | ||
| U.S. small cap equities (Russell 2000® Index) |
(9.46) |
(6.01) | ||
| International equities (MSCI Europe, Australasia, Far East Index) |
(6.78) |
2.83 | ||
| Emerging market equities (MSCI Emerging Markets Index) |
(9.81) |
(10.69) | ||
| 3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) |
0.02 |
0.04 | ||
| U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) |
(3.94) |
(1.67) | ||
| U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) |
(4.07) |
(2.64) | ||
| Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) |
(3.09) |
(0.66) | ||
| U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) |
(3.07) |
0.64 | ||
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | ||||
| T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
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| Financial Statements: |
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| 4 |
| Municipal Market Overview For the Reporting Period Ended February 28, 2022 |
Municipal Market Conditions
Municipal bonds posted modestly negative total returns during the period amid rising interest rates spurred by strong economic growth and above trend inflation, waning COVID-19 variant fears, and hawkish Fed monetary policy expectations. The asset class benefited from favorable supply and demand dynamics and improved credit fundamentals on the back of considerable fiscal stimulus and a quicker than expected rebound in state and local government revenues. As a result, municipal bonds generated positive excess returns versus comparable U.S. Treasuries. However, the market faced heightened volatility and a considerable valuation-based correction late in the period. Longer duration and lower credit quality strategies outperformed.
| Technical support was helpful as robust demand outpaced supply. During the 12 months ended February 28, 2022, municipal bond funds experienced net inflows totaling $51 billion (based on data from the Investment Company Institute). However, the post-pandemic inflow cycle, which spanned 92-weeks and garnered $149 billion, came to an end late in the period as performance turned negative. At the same time, the market absorbed $448 billion in issuance, slightly above the $442 billion issued during the prior 12-month period. Taxable municipal issuance was proportionally elevated and helped to make tax-exempt supply even more easily digestible. |
Bloomberg Municipal Bond Index Total Returns as of February 28, 2022 6 months: (3.09)% 12 months: (0.66)% | |||
A Closer Look at Yields
| AAA Municipal Yield Curves
Source: Thomson Municipal Market Data. |
From February 28, 2021 to February 28, 2022, yields on AAA-rated 30-year municipal bonds increased by 18 basis points (“bps”) from 1.80% to 1.98%, while ten-year rates increased by 44 bps from 1.14% to 1.58% and five-year rates increased by 78 bps from 0.56% to 1.34% (as measured by Thomson Municipal Market Data). As a result, the municipal yield curve flattened over the 12-month period with the spread between two- and 30-year maturities flattening by 69 bps, led by 43 bps of flattening between two- and ten-year maturities.
After maintaining historically tight valuations for most of the reporting period, the recent market correction has restored value to the asset class and reset municipal-to-Treasury ratios to levels near their 5-year averages. |
Financial Conditions of Municipal Issuers
Buoyed by successive federal aid injections, vaccine distribution, and the re-opening of the economy, states and many local governments experienced revenue growth above forecasts in 2021. Prolonged inflation in a post-Covid recovery would adversely affect state and local entities. However, wage pressures, less consumer spending, and higher interest rates could be offset by increased revenue collections, particularly sales and personal income tax receipts. While the war in Ukraine is not expected to have negative effects on credit fundamentals, higher energy prices could hurt consumer spending and eventually become a headwind to economic growth and employment expansion. At this point, tax receipts could come under pressure, although states with significant oil and gas production would benefit. While municipal utilities typically benefit from autonomous rate-setting that allows them to adjust for rising fuel costs, rising commodity prices over a prolonged period could test affordability and the political will to raise rates to balance operations. State housing authority bonds, flagship universities, and strong national and regional health systems may also be pressured but are better poised to absorb the impact of the economic shock. Critical providers (safety net hospitals, mass transit systems, airports) with limited resources may still experience fiscal strain from the economic fallout from rising inflation, but aid and the re-opening of the economy will continue to support operating results through 2022. Work-from-home policies remain headwinds for mass transit farebox revenue and commercial real estate values. BlackRock anticipates that a small subset of the market, mainly non-rated stand-alone projects, will remain susceptible to credit deterioration.
The opinions expressed are those of BlackRock as of February 28, 2022 and are subject to change at any time due to changes in market or economic conditions. The comments should not be construed as a recommendation of any individual holdings or market sectors. Investing involves risk including loss of principal. Bond values fluctuate in price so the value of your investment can go down depending on market conditions. Fixed income risks include interest-rate and credit risk. Typically, when interest rates rise, there is a corresponding decline in bond values. Credit risk refers to the possibility that the bond issuer will not be able to make principal and interest payments. There may be less information on the financial condition of municipal issuers than for public corporations. The market for municipal bonds may be less liquid than for taxable bonds. Some investors may be subject to Alternative Minimum Tax (“AMT”). Capital gains distributions, if any, are taxable.
The Bloomberg Municipal Bond Index, a broad, market value-weighted index, seeks to measure the performance of the U.S. municipal bond market. All bonds in the index are exempt from U.S. federal income taxes or subject to the AMT. Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. It is not possible to invest directly in an index.
| M U N I C I P AL M A R K E T O V E R V I E W |
5 |
The Benefits and Risks of Leveraging
The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.
To illustrate these concepts, assume a Trust’s Common Shares capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.
However, in order to benefit Common Shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed a Trust’s return on assets purchased with leverage proceeds, income to shareholders is lower than if a Trust had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of each Trust’s obligations under its respective leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s Common Shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trust to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares. Moreover, to the extent the calculation of each Trust’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment adviser will be higher than if the Trusts did not use leverage.
To obtain leverage, each Trust has issued Variable Rate Demand Preferred Shares (“VRDP Shares”) or Variable Rate Muni Term Preferred Shares (“VMTP Shares”) (collectively, “Preferred Shares”) and/or leveraged its assets through the use of tender option bond trusts (“TOB Trusts”) as described in the Notes to Financial Statements.
Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to issue debt up to 33 1/3% of its total managed assets or equity securities (e.g., Preferred Shares) up to 50% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by the Preferred Shares’ governing instruments or by agencies rating the Preferred Shares, which may be more stringent than those imposed by the 1940 Act.
If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under the TOB Trust (including accrued interest), then the TOB Trust is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.
Derivative Financial Instruments
The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
| 6 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| BlackRock Municipal Income Quality Trust (BYM) |
Investment Objective
BlackRock Municipal Income Quality Trust’s (BYM) (the “Trust”) investment objective is to provide current income exempt from U.S. federal income taxes, including the alternative minimum tax. The Trust seeks to achieve its investment objective by investing, under normal circumstances, at least 80% of its managed assets in municipal bonds exempt from U.S. federal income taxes, including the U.S. federal alternative minimum tax. The Trust also invests at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality by the investment adviser at the time of investment. The Trust may invest up to 20% of its managed assets in securities that are rated below investment grade, or are considered by BlackRock to be of comparable quality, at the time of purchase. The Trust may invest directly in securities or synthetically through the use of derivatives.
No assurance can be given that the Trust’s investment objective will be achieved.
Trust Information
| Symbol on New York Stock Exchange |
BYM | |
| Initial Offering Date |
October 31, 2002 | |
| Yield on Closing Market Price as of February 28, 2022 ($13.71)(a) |
5.08% | |
| Tax Equivalent Yield(b) |
8.58% | |
| Current Monthly Distribution per Common Share(c) |
$0.0580 | |
| Current Annualized Distribution per Common Share(c) |
$0.6960 | |
| Leverage as of February 28, 2022(d) |
39% |
| (a) | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results. |
| (b) | Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields. |
| (c) | The distribution rate is not constant and is subject to change. |
| (d) | Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of its accrued liabilities. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Market Price and Net Asset Value Per Share Summary
| 02/28/22 | 08/31/21 | Change | High | Low | ||||||||||||||||
| Closing Market Price |
$ | 13.71 | $ | 16.06 | (14.63 | )% | $ | 16.06 | $ | 13.47 | ||||||||||
| Net Asset Value |
14.87 | 15.95 | (6.77 | ) | 15.95 | 14.76 | ||||||||||||||
Performance
Returns for the period ended February 28, 2022 were as follows:
| Average Annual Total Returns | ||||||||||||||||
| 6-month | 1 Year | 5 Years | 10 Years | |||||||||||||
| Trust at NAV(a)(b) |
(4.57 | )% | (0.71 | )% | 4.69 | % | 5.08 | % | ||||||||
| Trust at Market Price(a)(b) |
(12.62 | ) | (2.88 | ) | 4.26 | 4.04 | ||||||||||
| Customized Reference Benchmark(c) |
(3.04 | ) | (0.29 | ) | 3.52 | N/A | ||||||||||
| Bloomberg Municipal Bond Index(d) |
(3.09 | ) | (0.66 | ) | 3.24 | 3.15 | ||||||||||
| S&P® Municipal Bond Index(e) |
(2.79 | ) | (0.37 | ) | 3.18 | 3.22 | ||||||||||
| Lipper General & Insured Municipal Debt Funds (Leveraged) at NAV(f) |
(4.76 | ) | 0.03 | 4.49 | 5.00 | |||||||||||
| Lipper General & Insured Municipal Debt Funds (Leveraged) at Market Price(f) |
(11.54 | ) | (2.22 | ) | 4.21 | 4.41 | ||||||||||
| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage. |
| (b) | The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
| (c) | The Customized Reference Benchmark is comprised of the Bloomberg Municipal Bond Index Total Return Index Value Unhedged (90%) and the Bloomberg Municipal Bond: High Yield ex AMT (non-Investment Grade) Total Return Index (10%). Effective October 1, 2021, the Trust changed its reporting benchmarks from S&P Municipal Bond Index and Lipper General & Insured Municipal Debt Funds (Leveraged) to Bloomberg Municipal Bond Index and the Customized Reference Benchmark. The investment adviser believes the new benchmarks are more appropriate reporting benchmarks for the Trust. The Customized Reference Benchmark commenced on September 30, 2016. |
| (d) | An unmanaged index that tracks the U.S. long term tax-exempt bond market, including state and local general obligation bonds, revenue bonds, pre-refunded bonds, and insured bonds. |
| (e) | A broad, market value-weighted index that seeks to measure the performance of the U.S. municipal bond market. |
| (f) | Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
| T R U S T S U M M A R Y |
7 |
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Trust Summary as of February 28, 2022 (continued) |
BlackRock Municipal Income Quality Trust (BYM) |
The following discussion relates to the Trust’s absolute performance based on NAV:
Municipal bonds lost ground in the six-month period, ending a stretch of positive performance that began in mid-2020. Rising inflation prompted the Fed to shift toward tighter monetary policy, weighing heavily on the performance of fixed-income assets.
Most sectors and rating categories detracted from performance due to the broad nature of the market downturn. AA and BBB rated securities detracted the most, primarily due to their longer duration (higher interest-rate sensitivity). Positions in long-dated securities with maturities of greater than 20 years hurt performance, as did holdings in non-rated high yield debt. The underperformance in the latter category was especially pronounced in the workforce housing sector, where long-dated, low-coupon debt moved to a discount to par.
Holdings in pre-refunded debt further detracted. The market segment, which entered the period trading at rich levels, was adversely affected by its shorter-dated average maturities given expectations for Fed rate hikes.
On the positive side, the Trust’s use of U.S. Treasury futures to manage interest rate risk contributed to results. Holdings in short-dated securities with maturities of less than a year, which were less affected by the sell-off, also contributed modestly to 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.
Overview of the Trust’s Total Investments
SECTOR ALLOCATION
|
Sector(a)(b) |
02/28/22 |
08/31/21 |
||||||
| County/City/Special District/School District |
24 | % | 28 | % | ||||
| State |
19 | 11 | ||||||
| Health |
17 | 18 | ||||||
| Transportation |
13 | 16 | ||||||
| Utilities |
10 | 8 | ||||||
| Education |
8 | 8 | ||||||
| Tobacco |
5 | 6 | ||||||
| Housing |
2 | 2 | ||||||
| Corporate |
2 | 2 | ||||||
| Other |
— | 1 | ||||||
CREDIT QUALITY ALLOCATION
| Credit Rating(a)(d) |
02/28/22 |
08/31/21 |
||||||
| AAA/Aaa |
14 | % | 14 | % | ||||
| AA/Aa |
35 | 35 | ||||||
| A |
25 | 24 | ||||||
| BBB/Baa |
13 | 14 | ||||||
| BB/Ba |
3 | 3 | ||||||
| B |
— | (e) | — | (e) | ||||
| N/R(f) |
10 | 10 | ||||||
CALL/MATURITY SCHEDULE
| Calendar Year Ended December 31,(a)(c) |
Percentage |
|||
| 2022 |
9 | % | ||
| 2023 |
16 | |||
| 2024 |
6 | |||
| 2025 |
13 | |||
| 2026 |
8 | |||
| (a) | Excludes short-term securities. |
| (b) | For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease. |
| (c) | Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years. |
| (d) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (e) | Rounds to less than 1% of total investments. |
| (f) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2022 and August 31, 2021, the market value of unrated securities deemed by the investment adviser to be investment grade represents 2% and 1%, respectively, of the Trust’s total investments. |
| 8 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| BlackRock Municipal Income Trust II (BLE) |
Investment Objective
BlackRock Municipal Income Trust II’s (BLE) (the “Trust”) investment objective is to provide current income exempt from regular U.S. federal income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). The Trust invests, under normal market conditions, at least 80% of its managed assets in municipal bonds that are investment grade quality at the time of investment or, if unrated, determined to be of comparable quality by the investment adviser at the time of investment. The Trust may invest directly in securities or synthetically through the use of derivatives.
No assurance can be given that the Trust’s investment objective will be achieved.
Trust Information
| Symbol on New York Stock Exchange |
BLE | |
| Initial Offering Date |
July 30, 2002 | |
| Yield on Closing Market Price as of February 28, 2022 ($13.77)(a) |
5.40% | |
| Tax Equivalent Yield(b) |
9.12% | |
| Current Monthly Distribution per Common Share(c) |
$0.0620 | |
| Current Annualized Distribution per Common Share(c) |
$0.7440 | |
| Leverage as of February 28, 2022(d) |
39% |
| (a) | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results. |
| (b) | Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields. |
| (c) | The monthly distribution per Common Share, declared on March 1, 2022, was decreased to $0.0520 per share. The yield on closing market price, tax equivalent yield, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future. |
| (d) | Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of its accrued liabilities. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Market Price and Net Asset Value Per Share Summary
| 02/28/22 | 08/31/21 | Change | High | Low | ||||||||||||||||
| Closing Market Price |
$ | 13.77 | $ | 16.10 | (14.47 | )% | $ | 16.14 | $ | 13.65 | ||||||||||
| Net Asset Value |
14.11 | 15.18 | (7.05 | ) | 15.18 | 14.03 | ||||||||||||||
Performance
Returns for the period ended February 28, 2022 were as follows:
| Average Annual Total Returns | ||||||||||||||||
| 6-month | 1 Year | 5 Years | 10 Years | |||||||||||||
| Trust at NAV(a)(b) |
(4.64 | )% | (0.03 | )% | 4.12 | % | 5.06 | % | ||||||||
| Trust at Market Price(a)(b) |
(12.26 | ) | (3.48 | ) | 3.69 | 4.54 | ||||||||||
| National Customized Reference Benchmark(c) |
(3.04 | ) | (0.25 | ) | 3.53 | N/A | ||||||||||
| Bloomberg Municipal Bond Index(d) |
(3.09 | ) | (0.66 | ) | 3.24 | 3.15 | ||||||||||
| S&P® Municipal Bond Index(e) |
(2.79 | ) | (0.37 | ) | 3.18 | 3.22 | ||||||||||
| Lipper General & Insured Municipal Debt Funds (Leveraged) at NAV(f) |
(4.76 | ) | 0.03 | 4.49 | 5.00 | |||||||||||
| Lipper General & Insured Municipal Debt Funds (Leveraged) at Market Price(f) |
(11.54 | ) | (2.22 | ) | 4.21 | 4.41 | ||||||||||
| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage. |
| (b) | The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
| (c) | The National Customized Reference Benchmark is comprised of the Bloomberg Municipal Bond Index Total Return Index Value Unhedged (90%) and the Bloomberg Municipal Bond: High Yield (non-Investment Grade) Total Return Index (10%). Effective October 1, 2021, the Trust changed its reporting benchmarks from S&P Municipal Bond Index and Lipper General & Insured Municipal Debt Funds (Leveraged) to Bloomberg Municipal Bond Index and the National Customized Reference Benchmark. The investment adviser believes the new benchmarks are more appropriate reporting benchmarks for the Trust. The National Customized Reference Benchmark commenced on September 30, 2016. |
| (d) | An unmanaged index that tracks the U.S. long term tax-exempt bond market, including state and local general obligation bonds, revenue bonds, pre-refunded bonds, and insured bonds. |
| (e) | A broad, market value-weighted index that seeks to measure the performance of the U.S. municipal bond market. |
| (f) | Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
| T R U S T S U M M A R Y |
9 |
|
Trust Summary as of February 28, 2022 (continued) |
BlackRock Municipal Income Trust II (BLE) |
The following discussion relates to the Trust’s absolute performance based on NAV:
Municipal bonds lost ground in the six-month period, ending a stretch of positive performance that began in mid-2020. Rising inflation prompted the Fed to shift toward tighter monetary policy, weighing heavily on the performance of fixed-income assets.
In this environment, the downturn in prices offset the contribution from income. The Trust’s allocation to bonds with maturities of 20 years and longer was a key detractor from performance, as was the use of leverage. State tax-backed, transportation and health care were the largest sector weightings and thus were the most notable detractors from absolute returns.
On the positive side, the Trust’s use of U.S. Treasury futures to manage interest rate risk contributed to results.
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.
Overview of the Trust’s Total Investments
SECTOR ALLOCATION
|
Sector(a)(b) |
02/28/22 |
08/31/21 |
||||||
| Transportation |
20 | % | 25 | % | ||||
| State |
17 | 13 | ||||||
| Health |
16 | 14 | ||||||
| County/City/Special District/School District |
10 | 12 | ||||||
| Utilities |
8 | 9 | ||||||
| Corporate |
8 | 6 | ||||||
| Tobacco |
7 | 7 | ||||||
| Education |
7 | 7 | ||||||
| Housing |
6 | 6 | ||||||
| Other |
1 | 1 | ||||||
CREDIT QUALITY ALLOCATION
| Credit Rating(a)(d) |
02/28/22 |
08/31/21 |
||||||
| AAA/Aaa |
4 | % | 5 | % | ||||
| AA/Aa |
32 | 32 | ||||||
| A |
31 | 29 | ||||||
| BBB/Baa |
16 | 17 | ||||||
| BB/Ba |
5 | 5 | ||||||
| B |
1 | 1 | ||||||
| N/R(e) |
11 | 11 | ||||||
CALL/MATURITY SCHEDULE
| Calendar Year Ended December 31,(a)(c) |
Percentage |
|||
| 2022 |
8 | % | ||
| 2023 |
12 | |||
| 2024 |
6 | |||
| 2025 |
6 | |||
| 2026 |
5 | |||
| (a) | Excludes short-term securities. |
| (b) | For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease. |
| (c) | Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years. |
| (d) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (e) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2022 and August 31, 2021, the market value of unrated securities deemed by the investment adviser to be investment grade represents 3% and 2%, respectively, of the Trust’s total investments. |
| 10 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Trust Summary as of February 28, 2022 |
BlackRock MuniHoldings Investment Quality Fund (MFL) |
Investment Objective
BlackRock MuniHoldings Investment Quality Fund’s (MFL) (the “Trust”) investment objective is to provide shareholders with current income exempt from U.S. federal income tax and to provide shareholders with the opportunity to own shares the value of which is exempt from Florida intangible personal property tax. The Trust seeks to achieve its investment objective by investing primarily in long-term, investment grade (as rated or, if unrated, determined to be of comparable quality by the investment adviser at the time of investment) municipal obligations exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). Under normal market conditions, the Trust invests at least 80% of its assets in municipal obligations with remaining maturities of one year or more at the time of investment. The Trust may invest up to 20% of its managed assets in securities that are rated below investment grade, or are considered by BlackRock to be of comparable quality, at the time of purchase. The Trust may invest directly in securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, in September 2008, the Board gave approval to permit the Trust the flexibility to invest in municipal obligations regardless of geographic location since municipal obligations issued by any state or municipality that provides income exempt from regular U.S. federal income tax would now satisfy the foregoing objective and policy.
On September 24, 2021, the Board of Trustees of MFL and the Board of Directors of BlackRock Municipal Income Fund, Inc. (“MUI”) each approved the reorganization of MFL into MUI (the “Reorganization”). At a special shareholder meeting on March 4, 2022, the requisite shareholders of MFL approved the Reorganization, and it was completed on April 11, 2022.
No assurance can be given that the Trust’s investment objective will be achieved.
Trust Information
| Symbol on New York Stock Exchange |
MFL | |
| Initial Offering Date |
September 26, 1997 | |
| Yield on Closing Market Price as of February 28, 2022 ($13.00)(a) |
4.48% | |
| Tax Equivalent Yield(b) |
7.57% | |
| Current Monthly Distribution per Common Share(c) |
$0.0485 | |
| Current Annualized Distribution per Common Share(c) |
$0.5820 | |
| Leverage as of February 28, 2022(d) |
40% |
| (a) | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results. |
| (b) | Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields. |
| (c) | The distribution rate is not constant and is subject to change. In connection with the Reorganization, the Trust declared a special distribution, which is payable on May 2, 2022. Other than this special distribution, the Trust will declare no further distributions prior to or following the Reorganization. See Note 11 in the Notes to Financial Statements for additional information on the special distribution. |
| (d) | Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of its accrued liabilities. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Market Price and Net Asset Value Per Share Summary
| 02/28/22 | 08/31/21 | Change | High | Low | ||||||||||||||||
| Closing Market Price |
$ | 13.00 | $ | 14.88 | (12.63 | )% | $ | 15.17 | $ | 12.82 | ||||||||||
| Net Asset Value |
14.28 | 15.38 | (7.15 | ) | 15.38 | 14.21 | ||||||||||||||
Performance
Returns for the period ended February 28, 2022 were as follows:
| Average Annual Total Returns | ||||||||||||||||
| 6-month | 1 Year | 5 Years | 10 Years | |||||||||||||
| Trust at NAV(a)(b) |
(5.22 | )% | (0.22 | )% | 4.32 | % | 4.77 | % | ||||||||
| Trust at Market Price(a)(b) |
(10.82 | ) | (3.19 | ) | 2.61 | 3.80 | ||||||||||
| National Customized Reference Benchmark(c) |
(3.04 | ) | (0.25 | ) | 3.53 | N/A | ||||||||||
| Bloomberg Municipal Bond Index(d) |
(3.09 | ) | (0.66 | ) | 3.24 | 3.15 | ||||||||||
| S&P® Municipal Bond Index(e) |
(2.79 | ) | (0.37 | ) | 3.18 | 3.22 | ||||||||||
| Lipper General & Insured Municipal Debt Funds (Leveraged) at NAV(f) |
(4.76 | ) | 0.03 | 4.49 | 5.00 | |||||||||||
| Lipper General & Insured Municipal Debt Funds (Leveraged) at Market Price(f) |
(11.54 | ) | (2.22 | ) | 4.21 | 4.41 | ||||||||||
| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage. |
| (b) | The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
| (c) | The National Customized Reference Benchmark is comprised of the Bloomberg Municipal Bond Index Total Return Index Value Unhedged (90%) and the Bloomberg Municipal Bond: High Yield (non-Investment Grade) Total Return Index (10%). Effective October 1, 2021, the Trust changed its reporting benchmarks from S&P Municipal Bond Index and Lipper General & Insured Municipal Debt Funds (Leveraged) to Bloomberg Municipal Bond Index and the National Customized Reference Benchmark. The investment adviser believes the new benchmarks are more appropriate reporting benchmarks for the Trust. The National Customized Reference Benchmark commenced on September 30, 2016. |
| (d) | An unmanaged index that tracks the U.S. long term tax-exempt bond market, including state and local general obligation bonds, revenue bonds, pre-refunded bonds, and insured bonds. |
| (e) | A broad, market value-weighted index that seeks to measure the performance of the U.S. municipal bond market. |
| (f) | Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper. |
| T R U S T S U M M A R Y |
11 |
|
Trust Summary as of February 28, 2022 (continued) |
BlackRock MuniHoldings Investment Quality Fund (MFL) |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
The following discussion relates to the Trust’s absolute performance based on NAV:
Municipal bonds lost ground in the six-month period, ending a stretch of positive performance that began in mid-2020. Rising inflation prompted the Fed to shift toward tighter monetary policy, weighing heavily on the performance of fixed-income assets.
The Trust’s positions in long-duration securities were key detractors in a period of rising rates. (Duration is a measure of interest rate sensitivity.) Holdings in both high yield and investment-grade securities detracted, but high yield outperformed on a relative basis. The Trust’s use of leverage also hurt performance at a time of falling prices. The state tax-backed and transportation sectors, which are the Trust’s largest weightings, were the most significant detractors in absolute terms.
On the positive side, the Trust’s use of U.S. Treasury futures to manage interest rate risk contributed to results.
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.
Overview of the Trust’s Total Investments
SECTOR ALLOCATION
| Sector(a)(b) |
02/28/22 |
08/31/21 |
||||||
| Transportation |
31 | % | 35 | % | ||||
| State |
26 | 20 | ||||||
| Health |
15 | 14 | ||||||
| County/City/Special District/School District |
9 | 11 | ||||||
| Utilities |
8 | 8 | ||||||
| Education |
5 | 5 | ||||||
| Tobacco |
3 | 3 | ||||||
| Corporate |
2 | 1 | ||||||
| Housing |
1 | 1 | ||||||
| Other |
— | 2 | ||||||
CREDIT QUALITY ALLOCATION
| Credit Rating(a)(d) |
02/28/22 |
08/31/21 |
||||||
| AAA/Aaa |
9 | % | 9 | % | ||||
| AA/Aa |
50 | 50 | ||||||
| A |
23 | 23 | ||||||
| BBB/Baa |
7 | 8 | ||||||
| BB/Ba |
4 | 4 | ||||||
| N/R(e) |
7 | 6 | ||||||
CALL/MATURITY SCHEDULE
| Calendar Year Ended December 31,(a)(c) |
Percentage |
|||
| 2022 |
1 | % | ||
| 2023 |
15 | |||
| 2024 |
4 | |||
| 2025 |
2 | |||
| 2026 |
18 | |||
| (a) | Excludes short-term securities. |
| (b) | For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease. |
| (c) | Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years. |
| (d) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (e) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2022 and August 31, 2021, the market value of unrated securities deemed by the investment adviser to be investment grade each represents less than 1% of the Trust’s total investments. |
| 12 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Trust Summary as of February 28, 2022 | BlackRock MuniVest Fund, Inc. (MVF) |
Investment Objective
BlackRock MuniVest Fund, Inc.’s (MVF) (the “Trust”) investment objective is to provide shareholders with as high a level of current income exempt from U.S. federal income taxes as is consistent with its investment policies and prudent investment management. The Trust seeks to achieve its investment objective by investing at least 80% of an aggregate of the Trust’s net assets (including proceeds from the issuance of any preferred shares) and the proceeds of any borrowing for investment purposes, in municipal obligations exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). Under normal market conditions, the Trust primarily invests in long term municipal obligations rated investment grade at the time of investment (or, if unrated, are considered by the Trust’s investment adviser to be of comparable quality at the time of investment) and in long term municipal obligations with maturities of more than ten years at the time of investment. The Trust may invest up to 20% of its total assets in securities rated below investment grade or deemed equivalent at the time of purchase. The Trust may invest directly in securities or synthetically through the use of derivatives.
No assurance can be given that the Trust’s investment objective will be achieved.
Trust Information
| Symbol on New York Stock Exchange |
MVF | |
| Initial Offering Date |
September 29, 1988 | |
| Yield on Closing Market Price as of February 28, 2022 ($8.78)(a) |
4.58% | |
| Tax Equivalent Yield(b) |
7.74% | |
| Current Monthly Distribution per Common Share(c) |
$0.0335 | |
| Current Annualized Distribution per Common Share(c) |
$0.4020 | |
| Leverage as of February 28, 2022(d) |
37% |
| (a) | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance is not an indication of future results. |
| (b) | Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.8%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields. |
| (c) | The distribution rate is not constant and is subject to change. |
| (d) | Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of its accrued liabilities. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Market Price and Net Asset Value Per Share Summary
| 02/28/22 | 08/31/21 | Change | High | Low | ||||||||||||||||
| Closing Market Price |
$ | 8.78 | $ | 9.80 | (10.41 | )% | $ | 9.89 | $ | 8.41 | ||||||||||
| Net Asset Value |
9.38 | 10.08 | (6.94 | ) | 10.08 | 9.32 | ||||||||||||||
Performance
Returns for the period ended February 28, 2022 were as follows:
| Average Annual Total Returns | ||||||||||||||||
| 6-month | 1 Year | 5 Years | 10 Years | |||||||||||||
| Trust at NAV(a)(b) |
(4.91 | )% | 0.59 | % | 4.57 | % | 4.98 | % | ||||||||
| Trust at Market Price(a)(b) |
(8.45 | ) | 2.24 | 2.40 | 3.85 | |||||||||||
| National Customized Reference Benchmark(c) |
(3.04 | ) | (0.25 | ) | 3.53 | N/A | ||||||||||
| Bloomberg Municipal Bond Index(d) |
(3.09 | ) | (0.66 | ) | 3.24 | 3.15 | ||||||||||
| S&P® Municipal Bond Index(e) |
(2.79 | ) | (0.37 | ) | 3.18 | 3.22 | ||||||||||
| Lipper General & Insured Municipal Debt Funds (Leveraged) at NAV(f) |
(4.76 | ) | 0.03 | 4.49 | 5.00 | |||||||||||
| Lipper General & Insured Municipal Debt Funds (Leveraged) at Market Price(f) |
(11.54 | ) | (2.22 | ) | 4.21 | 4.41 | ||||||||||
| (a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Trust’s use of leverage. |
| (b) | The Trust’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
| (c) | The National Customized Reference Benchmark is comprised of the Bloomberg Municipal Bond Index Total Return Index Value Unhedged (90%) and the Bloomberg Municipal Bond: High Yield (non-Investment Grade) Total Return Index (10%). Effective October 1, 2021, the Trust changed its reporting benchmarks from S&P Municipal Bond Index and Lipper General & Insured Municipal Debt Funds (Leveraged) to Bloomberg Municipal Bond Index and the National Customized Reference Benchmark. The investment adviser believes the new benchmarks are more appropriate reporting benchmarks for the Trust. The National Customized Reference Benchmark commenced on September 30, 2016. |
| (d) | An unmanaged index that tracks the U.S. long term tax-exempt bond market, including state and local general obligation bonds, revenue bonds, pre-refunded bonds, and insured bonds. |
| (e) | A broad, market value-weighted index that seeks to measure the performance of the U.S. municipal bond market. |
| (f) | Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Trust is presenting the performance of one or more indices for informational purposes only. The Trust is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Trust’s investment strategies, portfolio components or past or future performance.
| T R U S T S U M M A R Y |
13 |
|
Trust Summary as of February 28, 2022 (continued) |
BlackRock MuniVest Fund, Inc. (MVF) |
More information about the Trust’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
The following discussion relates to the Trust’s absolute performance based on NAV:
Municipal bonds lost ground in the six-month period, ending a stretch of positive performance that began in mid-2020. Rising inflation prompted the Fed to shift toward tighter monetary policy, weighing heavily on the performance of fixed-income assets.
AA and A rated securities, which constitute the largest rating categories in the Trust, were the largest detractors on an absolute basis. Similarly, state tax-backed, transportation and health care were the largest sector weightings and thus were the most notable detractors from absolute returns.
On the positive side, the Trust’s use of U.S. Treasury futures to manage interest rate risk contributed to results. In addition, positions in short-dated securities held up better than the broader market.
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.
Overview of the Trust’s Total Investments
SECTOR ALLOCATION
| Sector(a)(b) |
02/28/22 |
08/31/21 |
||||||
| Transportation |
24 | % | 28 | % | ||||
| Health |
21 | 21 | ||||||
| State |
16 | 12 | ||||||
| County/City/Special District/School District |
9 | 10 | ||||||
| Corporate |
9 | 7 | ||||||
| Utilities |
8 | 8 | ||||||
| Tobacco |
6 | 6 | ||||||
| Education |
4 | 5 | ||||||
| Housing |
3 | 3 | ||||||
| Other |
— | (c) | — | |||||
CREDIT QUALITY ALLOCATION
| Credit Rating(a)(e) |
02/28/22 |
08/31/21 |
||||||
| AAA/Aaa |
— | %(c) | — | %(c) | ||||
| AA/Aa |
36 | 34 | ||||||
| A |
29 | 28 | ||||||
| BBB/Baa |
17 | 19 | ||||||
| BB/Ba |
4 | 5 | ||||||
| B |
2 | 2 | ||||||
| N/R(f) |
12 | 12 | ||||||
| CALL/MATURITY SCHEDULE | ||||
| Calendar Year Ended December 31,(a)(d) |
Percentage |
|||
| 2022 |
9 | % | ||
| 2023 |
6 | |||
| 2024 |
4 | |||
| 2025 |
7 | |||
| 2026 |
5 | |||
| (a) | Excludes short-term securities. |
| (b) | For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease. |
| (c) | Rounds to less than 1% of total investments. |
| (d) | Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years. |
| (e) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (f) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of February 28, 2022 and August 31, 2021, the market value of unrated securities deemed by the investment adviser to be investment grade represents 3% and 2%, respectively, of the Trust’s total investments. |
| 14 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) February 28, 2022 |
BlackRock Municipal Income Quality Trust (BYM) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Municipal Bonds |
||||||||
| Alabama — 0.3% |
||||||||
| City of Birmingham Alabama, GO, CAB, Series A-1, Convertible, 5.00%, 09/01/25(a) |
$ | 1,165 | $ | 1,310,095 | ||||
|
|
|
|||||||
| Arizona(b) — 1.4% | ||||||||
| Arizona Industrial Development Authority, RB 4.38%, 07/01/39. |
725 | 772,400 | ||||||
| Series A, 5.00%, 07/01/39 |
610 | 634,547 | ||||||
| Series A, 5.00%, 07/01/49 |
690 | 712,534 | ||||||
| Series A, 5.00%, 07/01/54 |
530 | 546,494 | ||||||
| Industrial Development Authority of the County of Pima, |
||||||||
| Refunding RB |
||||||||
| 5.00%, 06/15/47 |
1,065 | 1,075,342 | ||||||
| 5.00%, 06/15/52 |
595 | 618,177 | ||||||
| Maricopa County Industrial Development Authority, Refunding RB |
||||||||
| 5.00%, 07/01/39 |
255 | 289,964 | ||||||
| 5.00%, 07/01/54 |
590 | 651,375 | ||||||
|
|
|
|||||||
| 5,300,833 | ||||||||
| California — 14.4% | ||||||||
| California Community Housing Agency, RB, M/F Housing(b) |
||||||||
| Series A, 5.00%, 04/01/49 |
265 | 284,007 | ||||||
| Series A-2, 4.00%, 08/01/47 |
1,715 | 1,600,457 | ||||||
| California Health Facilities Financing Authority, RB, 3.00%, 08/15/51 |
3,900 | 3,877,329 | ||||||
| California Health Facilities Financing Authority, Refunding RB, Sub-Series A-2, 5.00%, 11/01/47 |
1,465 | 2,023,118 | ||||||
| California Infrastructure & Economic Development Bank, RB, Series A, 1st Lien, (AMBAC), 5.00%, 01/01/28(a) |
10,100 | 12,093,558 | ||||||
| California State Public Works Board, RB, Series I, 5.50%, 11/01/33 |
1,415 | 1,512,509 | ||||||
| California Statewide Communities Development Authority, RB, Series A, 5.00%, 04/01/42 |
1,620 | 1,624,552 | ||||||
| California Statewide Communities Development Authority, Refunding RB, 4.00%, 03/01/48 |
3,175 | 3,434,442 | ||||||
| CMFA Special Finance Agency XII, RB, M/F Housing, Series A, 3.25%, 02/01/57(b) |
150 | 128,000 | ||||||
| CSCDA Community Improvement Authority, RB, M/F Housing(b) |
||||||||
| Class 2, 4.00%, 06/01/58 |
1,365 | 1,277,138 | ||||||
| Senior Lien, 3.13%, 06/01/57 |
930 | 774,367 | ||||||
| Class 2, Senior Lien, 4.00%, 12/01/58 |
1,055 | 1,001,024 | ||||||
| CSCDA Community Improvement Authority, RB, S/F Housing, 3.00%, 03/01/57(b) |
535 | 443,287 | ||||||
| Golden State Tobacco Securitization Corp., Refunding RB(a) |
||||||||
| Series A-1, 5.00%, 06/01/22 |
2,060 | 2,082,913 | ||||||
| Series A-2, 5.00%, 06/01/22 |
565 | 571,322 | ||||||
| Golden State Tobacco Securitization Corp., Refunding RB, CAB, Series B, 0.00%, 06/01/66(c) |
3,735 | 554,547 | ||||||
| Mount San Antonio Community College District, Refunding GO, CAB, Series A, Election 2008, 6.25%, 08/01/28(d) |
1,580 | 1,777,075 | ||||||
| Riverside County Redevelopment Successor Agency, Refunding TA, Series A, (BAM), 4.00%, 10/01/39 |
3,700 | 4,058,034 | ||||||
| San Diego Unified School District, GO, CAB(c) |
||||||||
| Series K-2, 0.00%, 07/01/38 |
1,745 | 990,621 | ||||||
| Series K-2, 0.00%, 07/01/39 |
2,115 | 1,149,374 | ||||||
| Security | Par (000) |
Value | ||||||
| California (continued) | ||||||||
| San Diego Unified School District, GO, CAB(c) (continued) |
||||||||
| Series K-2, 0.00%, 07/01/40 |
$ | 2,715 | $ | 1,414,732 | ||||
| Series C, Election 2008, 0.00%, 07/01/38 |
2,000 | 1,334,122 | ||||||
| Series G, Election 2008, 0.00%, 01/01/24(a) |
3,425 | 1,745,734 | ||||||
| San Diego Unified School District, Refunding GO, CAB, Series R-1, 0.00%, 07/01/31(c) |
1,400 | 1,145,691 | ||||||
| State of California, GO, 5.00%, 04/01/42 |
3,000 | 3,008,889 | ||||||
| Yosemite Community College District, GO, Series D, Election 2004, 0.00%, 08/01/37(c) |
10,000 | 6,774,370 | ||||||
|
|
|
|||||||
| 56,681,212 | ||||||||
| Colorado — 0.6% | ||||||||
| Regional Transportation District, COP, Series A, 5.00%, 06/01/39 |
1,305 | 1,363,306 | ||||||
| Sabell Metropolitan District, GO, Series A, 5.00%, 12/01/50(b) |
1,055 | 1,120,138 | ||||||
|
|
|
|||||||
| 2,483,444 | ||||||||
| Connecticut — 0.7% | ||||||||
| State of Connecticut, Refunding GO, Series E, 5.00%, 09/15/37 |
2,280 | 2,703,546 | ||||||
|
|
|
|||||||
| Delaware — 0.8% | ||||||||
| County of Kent Delaware, RB |
||||||||
| Series A, 5.00%, 07/01/40 |
770 | 857,374 | ||||||
| Series A, 5.00%, 07/01/48 |
2,110 | 2,316,780 | ||||||
|
|
|
|||||||
| 3,174,154 | ||||||||
| District of Columbia — 2.5% | ||||||||
| District of Columbia Tobacco Settlement Financing Corp., Refunding RB, 6.75%, 05/15/40 |
9,500 | 9,780,649 | ||||||
|
|
|
|||||||
| Florida — 4.6% | ||||||||
| Brevard County Health Facilities Authority, Refunding RB, 5.00%, 04/01/39 |
1,795 | 1,908,772 | ||||||
| Broward County FL Water & Sewer Utility Revenue, RB, Series A, 4.00%, 10/01/45 |
1,000 | 1,148,244 | ||||||
| Capital Trust Agency, Inc., RB, Series A, 5.00%, 06/01/45(b) |
615 | 633,446 | ||||||
| County of Miami-Dade Seaport Department, ARB, Series A, 6.00%, 10/01/23(a) |
2,770 | 2,980,442 | ||||||
| Florida Development Finance Corp., Refunding RB, 5.00%, 09/15/40(b) |
340 | 367,989 | ||||||
| Miami Beach Health Facilities Authority, RB, 3.00%, 11/15/51 |
425 | 395,073 | ||||||
| Miami-Dade County Educational Facilities Authority, Refunding RB, Series A, 5.00%, 04/01/40 |
3,910 | 4,254,600 | ||||||
| Miami-Dade County Health Facilities Authority, Refunding RB, 5.00%, 08/01/42 |
685 | 787,558 | ||||||
| Orange County Health Facilities Authority, Refunding RB |
||||||||
| 5.00%, 08/01/41 |
630 | 678,126 | ||||||
| 5.00%, 08/01/47 |
1,845 | 1,983,757 | ||||||
| Preserve at South Branch Community Development District, SAB |
||||||||
| 4.00%, 11/01/39 |
300 | 309,809 | ||||||
| 4.00%, 11/01/50 |
500 | 509,519 | ||||||
| Reedy Creek Improvement District, GO, Series A, 5.25%, 06/01/23(a) |
1,340 | 1,409,515 | ||||||
| S C H E D U L E O F I N V E S T M E N T S |
15 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Quality Trust (BYM) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Florida (continued) | ||||||||
| Westside Community Development District, Refunding SAB(b) |
||||||||
| 4.10%, 05/01/37 |
$ | 260 | $ | 270,265 | ||||
| 4.13%, 05/01/38 |
260 | 270,209 | ||||||
|
|
|
|||||||
| 17,907,324 | ||||||||
| Georgia — 1.7% | ||||||||
| Gainesville & Hall County Hospital Authority, Refunding RB, Series A, (GTD), 5.50%, 02/15/25(a) |
545 | 610,597 | ||||||
| Georgia Housing & Finance Authority, RB, S/F Housing |
||||||||
| Series A, 3.95%, 12/01/43 |
275 | 283,521 | ||||||
| Series A, 4.00%, 12/01/48 |
410 | 421,686 | ||||||
| Main Street Natural Gas, Inc., RB |
||||||||
| Series A, 5.00%, 05/15/38 |
595 | 796,412 | ||||||
| Series A, 5.00%, 05/15/43 |
775 | 899,134 | ||||||
| Series C, 4.00%, 05/01/52(e) |
2,385 | 2,660,439 | ||||||
| Private Colleges & Universities Authority, RB, 5.00%, 04/01/24(a) |
750 | 809,038 | ||||||
|
|
|
|||||||
| 6,480,827 | ||||||||
| Illinois — 16.3% | ||||||||
| Chicago Board of Education, GO |
||||||||
| Series A, 5.00%, 12/01/36 |
1,265 | 1,459,210 | ||||||
| Series A, 5.00%, 12/01/38 |
515 | 592,367 | ||||||
| Series A, 5.00%, 12/01/39 |
450 | 516,143 | ||||||
| Series A, 5.00%, 12/01/40 |
940 | 1,075,986 | ||||||
| Series A, 5.00%, 12/01/47 |
605 | 689,144 | ||||||
| Chicago O’Hare International Airport, ARB, Series D, Senior Lien, 5.25%, 01/01/42 |
3,300 | 3,776,193 | ||||||
| Chicago O’Hare International Airport, Refunding ARB, Series D, Senior Lien, 5.25%, 01/01/34 |
9,800 | 10,106,936 | ||||||
| Chicago Transit Authority Sales Tax Receipts Fund, RB, 5.25%, 12/01/49 |
3,500 | 3,822,042 | ||||||
| Cook County Community College District No. 508, GO |
||||||||
| 5.13%, 12/01/38 |
7,700 | 8,065,889 | ||||||
| 5.50%, 12/01/38 |
1,000 | 1,056,483 | ||||||
| Cook County Forest Preserve District, Refunding GO, Series B, 5.00%, 12/15/37 |
210 | 212,036 | ||||||
| County of Will Illinois, GO, 5.00%, 11/15/25(a) |
1,400 | 1,582,721 | ||||||
| Illinois Finance Authority, RB |
||||||||
| Series A, 5.00%, 02/15/47 |
565 | 624,665 | ||||||
| Series A, 5.00%, 02/15/50 |
310 | 341,042 | ||||||
| Illinois Finance Authority, Refunding RB |
||||||||
| Series A, 5.00%, 11/15/45 |
2,815 | 3,069,254 | ||||||
| Series B, 4.00%, 08/15/41 |
900 | 952,304 | ||||||
| Series C, 4.13%, 08/15/37 |
3,130 | 3,332,207 | ||||||
| Series C, 5.00%, 08/15/44 |
390 | 426,953 | ||||||
| Illinois State Toll Highway Authority, RB, Series A, 5.00%, 01/01/40 |
7,020 | 7,746,668 | ||||||
| Metropolitan Pier & Exposition Authority, RB, Series A, 5.00%, 06/15/57 |
670 | 725,585 | ||||||
| Metropolitan Pier & Exposition Authority, Refunding RB, 4.00%, 06/15/50 |
515 | 535,371 | ||||||
| State of Illinois, GO |
||||||||
| 5.25%, 07/01/29 |
8,345 | 8,732,175 | ||||||
| 5.50%, 07/01/33 |
880 | 923,710 | ||||||
| 5.50%, 07/01/38 |
1,475 | 1,548,263 | ||||||
| 5.50%, 05/01/39 |
1,840 | 2,195,241 | ||||||
|
|
|
|||||||
| 64,108,588 | ||||||||
| Security | Par (000) |
Value | ||||||
| Iowa — 0.8% | ||||||||
| Iowa Finance Authority, RB, 5.50%, 07/01/23(a) |
$ | 3,000 | $ | 3,176,376 | ||||
|
|
|
|||||||
| Maryland — 3.2% | ||||||||
| County of Montgomery Maryland, RB, 4.00%, 12/01/44 |
1,810 | 1,923,286 | ||||||
| Maryland Health & Higher Educational Facilities Authority, RB, 4.00%, 07/01/48 |
4,000 | 4,286,760 | ||||||
| State of Maryland GO, 5.00%, 08/01/31 |
5,000 | 6,431,800 | ||||||
|
|
|
|||||||
| 12,641,846 | ||||||||
| Massachusetts — 3.1% | ||||||||
| Massachusetts Development Finance Agency, RB |
||||||||
| 5.00%, 01/01/48 |
2,595 | 2,936,232 | ||||||
| 5.00%, 10/01/48 |
1,970 | 2,196,493 | ||||||
| Series A, 5.00%, 01/01/47 |
2,370 | 2,642,308 | ||||||
| Massachusetts Development Finance Agency, Refunding RB |
||||||||
| 5.00%, 07/01/37 |
190 | 210,464 | ||||||
| 5.00%, 09/01/43 |
1,750 | 2,002,502 | ||||||
| Series A, 4.00%, 06/01/49 |
185 | 197,732 | ||||||
| Massachusetts Housing Finance Agency, RB, M/F Housing, Series A, 3.85%, 06/01/46 |
490 | 507,525 | ||||||
| Massachusetts School Building Authority, RB, Series A, 5.00%, 05/15/23(a) |
1,395 | 1,461,934 | ||||||
|
|
|
|||||||
| 12,155,190 | ||||||||
| Michigan — 3.4% | ||||||||
| Michigan Finance Authority, RB, Series S, 5.00%, 11/01/44 |
3,640 | 4,043,556 | ||||||
| Michigan Finance Authority, Refunding RB, 5.00%, 11/15/41 |
2,235 | 2,540,493 | ||||||
| Michigan State Hospital Finance Authority, Refunding RB, 5.00%, 11/15/47 |
500 | 598,989 | ||||||
| Michigan State Housing Development Authority, RB, M/F Housing, Series A, 3.80%, 10/01/38 |
3,965 | 4,224,942 | ||||||
| Royal Oak Hospital Finance Authority, Refunding RB, Series D, 5.00%, 09/01/39 |
1,560 | 1,667,911 | ||||||
| Western Michigan University, Refunding RB, (AGM), 5.00%, 11/15/23(a) |
430 | 458,499 | ||||||
|
|
|
|||||||
| 13,534,390 | ||||||||
| Minnesota — 0.4% | ||||||||
| City of Minneapolis Minnesota, Refunding RB, Series A, 5.00%, 11/15/49 |
1,315 | 1,538,980 | ||||||
|
|
|
|||||||
| Nebraska — 1.7% | ||||||||
| Central Plains Energy Project, RB, 5.25%, 09/01/37 |
6,345 | 6,479,140 | ||||||
|
|
|
|||||||
| Nevada — 0.8% | ||||||||
| City of Las Vegas Nevada Special Improvement District No. 611, SAB |
||||||||
| 4.00%, 06/01/40 |
450 | 472,356 | ||||||
| 4.13%, 06/01/50 |
1,150 | 1,190,126 | ||||||
| Tahoe-Douglas Visitors Authority, RB |
||||||||
| 5.00%, 07/01/40 |
360 | 409,315 | ||||||
| 5.00%, 07/01/45 |
450 | 504,899 | ||||||
| 5.00%, 07/01/51 |
480 | 532,640 | ||||||
|
|
|
|||||||
| 3,109,336 | ||||||||
| New Hampshire — 0.1% | ||||||||
| New Hampshire Business Finance Authority, Refunding RB, Series A, 3.63%, 07/01/43(b)(e) |
550 | 556,298 | ||||||
|
|
|
|||||||
| 16 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Quality Trust (BYM) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| New Jersey — 8.8% | ||||||||
| New Jersey Economic Development Authority, RB |
||||||||
| Series DDD, 5.00%, 06/15/42 |
$ | 375 | $ | 423,237 | ||||
| Series WW, 5.25%, 06/15/25(a) |
20 | 22,519 | ||||||
| Series WW, 5.25%, 06/15/33 |
170 | 188,067 | ||||||
| Series WW, 5.00%, 06/15/34 |
225 | 246,916 | ||||||
| Series WW, 5.00%, 06/15/36 |
1,395 | 1,528,521 | ||||||
| Series WW, 5.25%, 06/15/40 |
380 | 417,001 | ||||||
| New Jersey Economic Development Authority, Refunding RB, Sub-Series A, 4.00%, 07/01/32 |
930 | 1,009,987 | ||||||
| New Jersey Health Care Facilities Financing Authority, RB, 3.00%, 07/01/51 |
3,525 | 3,459,160 | ||||||
| New Jersey Health Care Facilities Financing Authority, Refunding RB, 5.00%, 10/01/37 |
1,605 | 1,845,029 | ||||||
| New Jersey Transportation Trust Fund Authority, RB |
||||||||
| Series AA, 5.25%, 06/15/33 |
1,660 | 1,736,655 | ||||||
| Series AA, 5.00%, 06/15/36 |
5,070 | 5,282,382 | ||||||
| Series AA, 5.00%, 06/15/38 |
945 | 1,010,360 | ||||||
| Series AA, 5.50%, 06/15/39 |
3,785 | 3,963,542 | ||||||
| Series D, 5.00%, 06/15/32 |
900 | 977,889 | ||||||
| Series S, 5.25%, 06/15/43 |
2,150 | 2,521,883 | ||||||
| New Jersey Transportation Trust Fund Authority, RB, CAB, Series A, 0.00%, 12/15/38(c) |
5,845 | 3,321,947 | ||||||
| New Jersey Transportation Trust Fund Authority, Refunding RB, Series A, 5.00%, 12/15/36 |
340 | 395,940 | ||||||
| South Jersey Port Corp., ARB, Series A, 5.00%, 01/01/49 |
720 | 811,738 | ||||||
| Tobacco Settlement Financing Corp., Refunding RB |
||||||||
| Series A, 5.00%, 06/01/35 |
1,750 | 2,010,531 | ||||||
| Series A, 5.25%, 06/01/46 |
1,725 | 1,965,519 | ||||||
| Sub-Series B, 5.00%, 06/01/46 |
1,130 | 1,255,940 | ||||||
|
|
|
|||||||
| 34,394,763 | ||||||||
| New Mexico — 0.2% | ||||||||
| City of Santa Fe New Mexico, RB, Series A, 5.00%, 05/15/49 |
220 | 238,945 | ||||||
| New Mexico Hospital Equipment Loan Council, Refunding RB, Series VIC, 5.00%, 08/01/44 |
405 | 446,186 | ||||||
|
|
|
|||||||
| 685,131 | ||||||||
| New York — 7.1% | ||||||||
| Metropolitan Transportation Authority, Refunding RB |
||||||||
| Series C-1, 5.25%, 11/15/55 |
1,135 | 1,326,435 | ||||||
| Series C-1, 5.00%, 11/15/56 |
1,690 | 1,842,396 | ||||||
| New York City Municipal Water Finance Authority, RB, Series CC-1, 4.00%, 06/15/52 |
5,000 | 5,609,685 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue Refunding RB, 4.00%, 11/01/37 |
8,000 | 9,168,280 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, Refunding RB, Series B, 5.00%, 11/01/32 |
1,650 | 1,692,134 | ||||||
| New York City Water & Sewer System, Refunding RB, Series BB, 4.00%, 06/15/47 |
2,855 | 2,909,867 | ||||||
| New York Liberty Development Corp., Refunding RB, Series 1, Class 1, 5.00%, 11/15/44(b) |
1,240 | 1,329,145 | ||||||
| State of New York Mortgage Agency, Refunding RB, S/F Housing, Series 211, 3.75%, 10/01/43 |
2,810 | 2,873,658 | ||||||
| Triborough Bridge & Tunnel Authority, RB, Series C-3, Senior Lien, 4.00%, 05/15/51 |
1,000 | 1,123,065 | ||||||
|
|
|
|||||||
| 27,874,665 | ||||||||
| Security | Par (000) |
Value | ||||||
| North Carolina — 0.5% | ||||||||
| State of North Carolina GO, 5.00%, 06/01/28 |
$ | 1,500 | $ | 1,813,152 | ||||
|
|
|
|||||||
| Ohio — 3.7% | ||||||||
| Buckeye Tobacco Settlement Financing Authority, Refunding RB |
||||||||
| Series A-2, Class 1, 3.00%, 06/01/48 |
4,495 | 3,985,092 | ||||||
| Series B-2, Class 2, 5.00%, 06/01/55 |
5,430 | 5,897,126 | ||||||
| Northwest Local School District/Hamilton & Butler Counties, GO, 4.00%, 12/01/50 |
2,645 | 2,735,295 | ||||||
| Ohio Turnpike & Infrastructure Commission, Refunding RB |
||||||||
| Series A-1, Junior Lien, 5.25%, 02/15/32 |
780 | 811,624 | ||||||
| Series A-1, Junior Lien, 5.25%, 02/15/33 |
1,095 | 1,139,317 | ||||||
|
|
|
|||||||
| 14,568,454 | ||||||||
| Oregon — 0.4% | ||||||||
| Clackamas County School District No.12 North Clackamas, GO, CAB, Series A, (GTD), 0.00%, 06/15/38(c) |
1,115 | 609,705 | ||||||
| Washington & Multnomah Counties School District No. 48J Beaverton, GO, CAB, Series D, Convertible, (GTD), 5.00%, 06/15/36 |
945 | 1,104,593 | ||||||
|
|
|
|||||||
| 1,714,298 | ||||||||
| Pennsylvania — 5.7% | ||||||||
| Bucks County Industrial Development Authority, RB |
||||||||
| 4.00%, 07/01/46. |
105 | 113,681 | ||||||
| 4.00%, 07/01/51 |
100 | 107,543 | ||||||
| Commonwealth Financing Authority, RB |
||||||||
| 5.00%, 06/01/33 |
790 | 923,474 | ||||||
| 5.00%, 06/01/34 |
1,750 | 2,044,061 | ||||||
| (AGM), 4.00%, 06/01/39 |
3,230 | 3,583,976 | ||||||
| Montgomery County Higher Education and Health Authority, Refunding RB, Series A, 4.00%, 09/01/49 |
1,145 | 1,217,713 | ||||||
| Pennsylvania Higher Educational Facilities Authority, Refunding RB, Series A, 5.25%, 09/01/50 |
4,245 | 4,616,127 | ||||||
| Pennsylvania Turnpike Commission, RB |
||||||||
| Series A, 5.00%, 12/01/38 |
695 | 759,705 | ||||||
| Series A, 4.00%, 12/01/45 |
1,945 | 2,135,904 | ||||||
| Series A-1, 5.00%, 12/01/41 |
2,730 | 3,077,895 | ||||||
| Series B, 5.00%, 12/01/40 |
1,060 | 1,179,550 | ||||||
| Series C, 5.50%, 12/01/23(a) |
630 | 678,140 | ||||||
| Pennsylvania Turnpike Commission, Refunding RB |
||||||||
| 2nd Series, 5.00%, 12/01/35 |
860 | 997,711 | ||||||
| Series A-1, 5.00%, 12/01/40 |
850 | 941,142 | ||||||
|
|
|
|||||||
| 22,376,622 | ||||||||
| Puerto Rico — 4.8% | ||||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB |
||||||||
| Series A-1, Restructured, 4.75%, 07/01/53 |
5,112 | 5,635,673 | ||||||
| Series A-1, Restructured, 5.00%, 07/01/58 |
6,950 | 7,753,955 | ||||||
| Series A-2, Restructured, 4.33%, 07/01/40 |
1,688 | 1,852,239 | ||||||
| Series A-2, Restructured, 4.78%, 07/01/58 |
349 | 385,043 | ||||||
| Series B-1, Restructured, 4.75%, 07/01/53 |
536 | 590,973 | ||||||
| Series B-2, Restructured, 4.78%, 07/01/58 |
520 | 573,408 | ||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, CAB, Series A-1, Restructured, 0.00%, 07/01/46(c) |
6,308 | 2,051,330 | ||||||
|
|
|
|||||||
| 18,842,621 | ||||||||
| S C H E D U L E O F I N V E S T M E N T S |
17 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Quality Trust (BYM) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Rhode Island — 1.6% | ||||||||
| Tobacco Settlement Financing Corp., Refunding RB, Series B, 4.50%, 06/01/45 |
$ | 5,855 | $ | 6,188,068 | ||||
| South Carolina — 5.0% | ||||||||
| South Carolina Jobs-Economic Development Authority, RB, 5.00%, 01/01/55(b) |
1,095 | 1,117,389 | ||||||
| South Carolina Public Service Authority, RB |
||||||||
| Series A, 5.50%, 12/01/54 |
6,960 | 7,511,858 | ||||||
| Series E, 5.50%, 12/01/53 |
1,610 | 1,710,788 | ||||||
| South Carolina Public Service Authority, Refunding RB |
||||||||
| Series B, 5.00%, 12/01/38 |
2,360 | 2,496,632 | ||||||
| Series B, (AGM-CR), 5.00%, 12/01/56 |
2,845 | 3,157,959 | ||||||
| Spartanburg Regional Health Services District, Refunding RB, Series A, 4.00%, 04/15/43 |
3,500 | 3,781,103 | ||||||
|
|
|
|||||||
| 19,775,729 | ||||||||
| South Dakota — 0.5% | ||||||||
| City of Rapid City South Dakota Sales Tax Revenue, RB, 4.00%, 12/01/26(a) |
1,760 | 1,968,521 | ||||||
|
|
|
|||||||
| Tennessee — 0.0% | ||||||||
| Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, RB, Series A, 5.00%, 07/01/40. |
35 | 39,284 | ||||||
|
|
|
|||||||
| Texas — 13.9% | ||||||||
| City of San Antonio Texas Electric & Gas Systems Revenue, RB, Junior Lien, 5.00%, 02/01/23(a) |
615 | 637,896 | ||||||
| Coppell Independent School District, Refunding GO, (PSF), 0.00%, 08/15/30(c) |
10,030 | 8,390,637 | ||||||
| County of Harris Texas, Refunding GO(c) |
||||||||
| (NPFGC), 0.00%, 08/15/25 |
7,485 | 7,090,301 | ||||||
| (NPFGC), 0.00%, 08/15/28 |
10,915 | 9,651,316 | ||||||
| Dallas Fort Worth International Airport, Refunding RB, Series F, 5.25%, 11/01/33 |
1,090 | 1,157,723 | ||||||
| Grand Parkway Transportation Corp., RB, CAB, Series B, Convertible, 5.80%, 10/01/23(d) |
2,365 | 2,656,876 | ||||||
| Harris County-Houston Sports Authority, Refunding RB(c) |
||||||||
| Series A, 3rd Lien, (NPFGC), 0.00%, 11/15/24(a) |
5,965 | 2,514,110 | ||||||
| Series A, 3rd Lien, (NPFGC), 0.00%, 11/15/38 |
10,925 | 4,386,628 | ||||||
| Harris County-Houston Sports Authority, Refunding RB, CAB(c) |
||||||||
| Series H, Junior Lien, (NPFGC), 0.00%, 11/15/38 |
5,785 | 2,632,204 | ||||||
| Series H, Junior Lien, (NPFGC), 0.00%, 11/15/39 |
6,160 | 2,625,965 | ||||||
| Leander Independent School District, Refunding GO, CAB, Series D, (PSF), 0.00%, 08/15/24(a)(c) |
3,775 | 1,871,886 | ||||||
| Midland County Fresh Water Supply District No.1, RB, CAB, Series A, 0.00%, 09/15/36(c) |
2,340 | 1,315,066 | ||||||
| New Hope Cultural Education Facilities Finance Corp., RB, Series A, 5.00%, 08/15/50(b) |
580 | 607,926 | ||||||
| North Texas Tollway Authority, RB, CAB(a) |
||||||||
| Series B, 0.00%, 09/01/31(c) |
1,975 | 1,020,631 | ||||||
| Series C, Convertible, 6.75%, 09/01/31 |
2,500 | 3,561,517 | ||||||
| North Texas Tollway Authority, Refunding RB, Series B, 5.00%, 01/01/40 |
385 | 396,074 | ||||||
| San Antonio Public Facilities Corp., Refunding RB, Convertible, 4.00%, 09/15/42 |
3,155 | 3,190,352 | ||||||
| Security | Par (000) |
Value | ||||||
| Texas (continued) | ||||||||
| Tarrant County Cultural Education Facilities Finance Corp., RB |
||||||||
| 4.00%, 10/01/42 |
$ | 310 | $ | 351,492 | ||||
| 4.00%, 10/01/52 |
165 | 184,817 | ||||||
| Texas City Industrial Development Corp., RB, Series 2012, 4.13%, 12/01/45 |
330 | 344,412 | ||||||
|
|
|
|||||||
| 54,587,829 | ||||||||
| Utah — 0.8% | ||||||||
| City of Salt Lake City Utah Airport Revenue, ARB, Series B, 5.00%, 07/01/43 |
2,100 | 2,429,920 | ||||||
| Utah Charter School Finance Authority, RB, Series A, 5.00%, 06/15/49(b) |
235 | 243,436 | ||||||
| Utah Charter School Finance Authority, Refunding RB, 5.00%, 06/15/55(b) |
450 | 490,539 | ||||||
|
|
|
|||||||
| 3,163,895 | ||||||||
| Virginia — 0.9% | ||||||||
| Lynchburg Economic Development Authority, Refunding RB, 4.00%, 01/01/55 |
150 | 165,697 | ||||||
| Virginia Beach Development Authority, Refunding RB |
||||||||
| 5.00%, 09/01/44 |
1,375 | 1,490,556 | ||||||
| 4.00%, 09/01/48 |
885 | 916,034 | ||||||
| Virginia Housing Development Authority, RB, M/F Housing, Series B, 4.00%, 06/01/53 |
895 | 928,210 | ||||||
|
|
|
|||||||
| 3,500,497 | ||||||||
| Washington — 0.9% | ||||||||
| Washington Health Care Facilities Authority, RB, Series B, 5.00%, 08/15/44 |
2,000 | 2,031,024 | ||||||
| Washington State Housing Finance Commission, Refunding RB, 5.00%, 01/01/38(b) |
1,400 | 1,569,606 | ||||||
|
|
|
|||||||
| 3,600,630 | ||||||||
| West Virginia — 1.0% | ||||||||
| West Virginia Hospital Finance Authority, RB, Series A, 4.00%, 06/01/51 |
3,050 | 3,301,668 | ||||||
| West Virginia Parkways Authority, RB, Senior Lien, 5.00%, 06/01/47 |
425 | 519,521 | ||||||
|
|
|
|||||||
| 3,821,189 | ||||||||
| Wisconsin — 3.1% | ||||||||
| Public Finance Authority RB, 5.00%, 06/15/56(b) |
400 | 396,701 | ||||||
| Public Finance Authority, RB(b) |
||||||||
| 5.00%, 06/15/51 |
305 | 306,101 | ||||||
| 5.00%, 10/15/51 |
270 | 287,877 | ||||||
| Series A, 5.00%, 07/15/39 |
120 | 131,281 | ||||||
| Series A, 5.00%, 10/15/40 |
1,260 | 1,362,949 | ||||||
| Series A, 5.00%, 07/15/49 |
455 | 489,491 | ||||||
| Series A, 5.00%, 07/15/54 |
215 | 230,448 | ||||||
| Series A, 5.00%, 07/01/55 |
395 | 417,928 | ||||||
| Series A-1, 4.50%, 01/01/35 |
685 | 714,871 | ||||||
| Public Finance Authority, Refunding RB, 5.00%, 09/01/39(b) |
375 | 400,177 | ||||||
| 18 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Quality Trust (BYM) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Wisconsin (continued) | ||||||||
| Wisconsin Health & Educational Facilities Authority, Refunding RB |
||||||||
| 5.00%, 04/01/44 |
$ | 1,895 | $ | 2,261,463 | ||||
| Sereis C, 4.00%, 02/15/42 |
5,000 | 5,340,795 | ||||||
|
|
|
|||||||
| 12,340,082 | ||||||||
|
|
|
|||||||
| Total Municipal Bonds — 115.7% (Cost: $418,914,389) |
454,377,658 | |||||||
|
|
|
|||||||
| Municipal Bonds Transferred to Tender Option Bond Trusts(f) |
| |||||||
| California — 1.0% | ||||||||
| Los Angeles Unified School District, GO, Series B-1, 5.25%, 07/01/42(g) |
3,432 | 4,083,272 | ||||||
|
|
|
|||||||
| Colorado — 1.4% | ||||||||
| Colorado Health Facilities Authority, Refunding RB, Series A, 5.00%, 08/01/44(g) |
4,605 | 5,372,216 | ||||||
|
|
|
|||||||
| Connecticut — 0.4% | ||||||||
| Connecticut State Health & Educational Facilities Authority, Refunding RB, 5.00%, 12/01/45 |
1,561 | 1,753,099 | ||||||
|
|
|
|||||||
| Florida — 1.5% | ||||||||
| City of Miami Beach Florida, RB, 5.00%, 09/01/45 |
3,500 | 3,857,995 | ||||||
| County of Miami-Dade Florida Transit System, Refunding RB, 5.00%, 07/01/22(a) |
1,950 | 1,991,103 | ||||||
|
|
|
|||||||
| 5,849,098 | ||||||||
| Illinois — 4.0% | ||||||||
| Illinois State Toll Highway Authority, RB |
||||||||
| Series A, 5.00%, 01/01/38 |
7,714 | 7,945,275 | ||||||
| Series A, 5.00%, 01/01/40 |
3,045 | 3,360,749 | ||||||
| Series B, 5.00%, 01/01/40 |
1,170 | 1,304,412 | ||||||
| Series C, 5.00%, 01/01/38 |
2,658 | 2,909,984 | ||||||
|
|
|
|||||||
| 15,520,420 | ||||||||
| Kansas — 1.6% | ||||||||
| Wyandotte County Unified School District No. 500 Kansas City, GO, Series A, 5.50%, 09/01/26(a) |
5,363 | 6,277,718 | ||||||
|
|
|
|||||||
| Maryland — 0.9% | ||||||||
| City of Baltimore Maryland, RB, Series A, 5.00%, 07/01/41 |
3,139 | 3,603,360 | ||||||
|
|
|
|||||||
| Massachusetts — 4.8% | ||||||||
| Commonwealth of Massachusetts, GO, Series A, 5.00%, 03/01/46 |
1,662 | 1,775,933 | ||||||
| Massachusetts Development Finance Agency, RB, 4.00%, 09/01/49 |
5,500 | 5,538,866 | ||||||
| Massachusetts Development Finance Agency, Refunding RB, 4.00%, 07/01/35 |
7,070 | 7,893,255 | ||||||
| Massachusetts School Building Authority, RB, Series B, 5.00%, 11/15/46(g) |
3,300 | 3,825,899 | ||||||
|
|
|
|||||||
| 19,033,953 | ||||||||
| Michigan — 1.0% | ||||||||
| Michigan Finance Authority, RB, Series A, 5.00%, 11/01/44 |
2,221 | 2,466,632 | ||||||
| Security | Par (000) |
Value | ||||||
| Michigan (continued) | ||||||||
| Michigan State Building Authority, Refunding RB, Series I, 5.00%, 10/15/45 |
$ | 960 | $ | 1,070,040 | ||||
| Michigan State Housing Development Authority, RB, S/F Housing, Series C, 3.90%, 12/01/33 |
495 | 495,064 | ||||||
|
|
|
|||||||
| 4,031,736 | ||||||||
| Nevada — 1.1% | ||||||||
| Las Vegas Valley Water District, Refunding GO, Series A, 5.00%, 06/01/46 |
3,900 | 4,400,783 | ||||||
|
|
|
|||||||
| New Jersey — 0.3% | ||||||||
| Hudson County Improvement Authority, RB, 5.25%, 05/01/51 |
920 | 1,045,742 | ||||||
|
|
|
|||||||
| New York — 11.1% | ||||||||
| Metropolitan Transportation Authority, RB, Sub- Series D-1, 5.25%, 11/15/44 |
3,850 | 4,127,570 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, Refunding RB, Series B, 5.00%, 11/01/30 |
12,500 | 12,823,678 | ||||||
| New York City Water & Sewer System, Refunding RB |
||||||||
| Series CC, 5.00%, 06/15/23(a) |
2,933 | 3,070,451 | ||||||
| Series CC, 5.00%, 06/15/47 |
3,307 | 3,462,846 | ||||||
| Series DD, 5.00%, 06/15/35 |
1,845 | 1,992,970 | ||||||
| Series FF, 5.00%, 06/15/39 |
8,355 | 9,238,062 | ||||||
| New York State Urban Development Corp., RB, Series A-1, 5.00%, 03/15/43 |
5,720 | 5,931,035 | ||||||
| Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 198th Series, 5.25%, 11/15/56 |
2,561 | 2,932,807 | ||||||
|
|
|
|||||||
| 43,579,419 | ||||||||
| North Carolina — 1.4% | ||||||||
| Durham Capital Financing Corp, Refunding RB, 4.00%, 06/01/23(a) |
5,125 | 5,303,411 | ||||||
|
|
|
|||||||
| Pennsylvania — 1.8% | ||||||||
| Pennsylvania Turnpike Commission, RB, Sub-Series A, 5.50%, 12/01/42 |
4,997 | 5,786,355 | ||||||
| Westmoreland County Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/42 |
1,020 | 1,125,060 | ||||||
|
|
|
|||||||
| 6,911,415 | ||||||||
| Texas — 7.8% | ||||||||
| El Paso Independent School District, GO, (PSF-GTD), 4.00%, 08/15/48 |
7,001 | 7,907,501 | ||||||
| Houston Community College System, GO, 4.00%, 02/15/23(a) |
7,002 | 7,205,404 | ||||||
| Lubbock Tx Elec Light Pwr Sy, 4.00%, 04/15/46 |
5,550 | 6,138,571 | ||||||
| San Antonio Water System, Refunding RB, Series C, Junior Lien, 5.00%, 05/15/46 |
3,750 | 4,302,493 | ||||||
| Tarrant County Cultural Education Facilities Finance Corp., RB, Series A, 5.00%, 05/15/23(a) |
719 | 753,850 | ||||||
| Tarrant County Cultural Education Facilities Finance Corp., Refunding RB, Series A, 5.00%, 02/15/41 |
3,920 | 4,465,441 | ||||||
|
|
|
|||||||
| 30,773,260 | ||||||||
| S C H E D U L E O F I N V E S T M E N T S |
19 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Quality Trust (BYM) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Virginia — 1.8% | ||||||||
| Hampton Roads Transportation Accountability Commission, RB, Series A, Senior Lien, 5.00%, 07/01/48 |
$ | 1,996 | $ | 2,317,655 | ||||
| Virginia Small Business Financing Authority, Refunding RB, Series A, 4.00%, 12/01/49 |
4,305 | 4,776,832 | ||||||
|
|
|
|||||||
| 7,094,487 | ||||||||
| Washington — 3.0% | ||||||||
| Washington Health Care Facilities Authority, Refunding RB, Series A, 5.00%, 10/01/38 |
3,210 | 3,914,375 | ||||||
| Washington State Convention Center Public Facilities District RB, 3.00%, 07/01/58 |
8,688 | 7,910,508 | ||||||
|
|
|
|||||||
| 11,824,883 | ||||||||
| West Virginia — 1.5% | ||||||||
| West Virginia St Parkways Auth, 4.00%, 06/01/51 |
5,215 | 5,857,425 | ||||||
|
|
|
|||||||
| Wisconsin — 0.9% | ||||||||
| Wisconsin Health & Educational Facilities Authority, Refunding RB, Series A, 5.00%, 04/01/42 |
3,520 | 3,591,345 | ||||||
|
|
|
|||||||
| Total Municipal Bonds Transferred to Tender Option Bond Trusts — 47.3% (Cost: $179,822,061) |
185,907,042 | |||||||
|
|
|
|||||||
| Total Long-Term Investments — 163.0% (Cost: $598,736,450) |
640,284,700 | |||||||
|
|
|
|||||||
| Shares | ||||||||
| Short-Term Securities |
||||||||
| Money Market Funds — 0.2% | ||||||||
| BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.01%(h)(i) |
856,795 | 856,795 | ||||||
|
|
|
|||||||
| Total Short-Term Securities — 0.2% |
856,795 | |||||||
|
|
|
|||||||
| Total Investments — 163.2% |
641,141,495 | |||||||
| Other Assets Less Liabilities — 1.1% |
4,283,017 | |||||||
| Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (29.4)% |
(115,466,213 | ) | ||||||
| VMTP Shares at Liquidation Value, Net of Deferred Offering Costs — (34.9)% |
(137,200,000 | ) | ||||||
|
|
|
|||||||
| Net Assets Applicable to Common |
$ | 392,758,299 | ||||||
|
|
|
|||||||
| (a) | U.S. Government securities held in escrow, are used to pay interest on this security as well as to retire the bond in full at the date indicated, typically at a premium to par. |
| (b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (c) | Zero-coupon bond. |
| (d) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| (e) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| (f) | Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details. |
| (g) | All or a portion of the security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between November 15, 2024 to August 1, 2027, is $8,128,005. See Note 4 of the Notes to Financial Statements for details. |
| (h) | Affiliate of the Trust. |
| (i) | Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the six months ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 08/31/21 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 02/28/22 |
Shares Held at 02/28/22 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
| BlackRock Liquidity Funds, MuniCash, Institutional Class |
$ | 6,327,383 | $ | — | $ | (5,467,296 | )(a) | $ | (3,122 | ) | $ | (170 | ) | $ | 856,795 | 856,795 | $ | 1,542 | $ | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Represents net amount purchased (sold). |
| 20 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Quality Trust (BYM) |
Derivative Financial Instruments Categorized by Risk Exposure
For the period ended February 28, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency |
Interest Rate |
Other Contracts |
Total | ||||||||||||||||||||||
| Net Realized Gain (Loss) from: |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 775,271 | $ | — | $ | 775,271 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 1,812 | $ | — | $ | 1,812 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| Futures contracts: |
$ | 15,021,563 |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Investments |
||||||||||||||||
| Long-Term Investments |
$ | — | $ | 454,377,658 | $ | — | $ | 454,377,658 | ||||||||
| Municipal Bonds Transferred to Tender Option Bond Trusts |
— | 185,907,042 | — | 185,907,042 | ||||||||||||
| Short-Term Securities |
856,795 | — | — | 856,795 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 856,795 | $ | 640,284,700 | $ | — | $ | 641,141,495 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the fair value hierarchy as follows:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Liabilities |
||||||||||||||||
| TOB Trust Certificates |
$ | — | $ | (115,429,037 | ) | $ | — | $ | (115,429,037 | ) | ||||||
| VMTP Shares at Liquidation Value |
— | (137,200,000 | ) | — | (137,200,000 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | — | $ | (252,629,037 | ) | $ | — | $ | (252,629,037 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
See notes to financial statements.
| S C H E D U LE O F I N V E S T M E N T S |
21 |
| Schedule of Investments (unaudited) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Municipal Bonds |
| |||||||
| Alabama — 2.3% |
| |||||||
| Black Belt Energy Gas District, RB, Series A, 4.00%, 12/01/52(a) |
$ | 3,660 | $ | 4,064,635 | ||||
| County of Jefferson Alabama Sewer Revenue, Refunding RB |
||||||||
| Series A, Senior Lien, (AGM), 5.00%, 10/01/44 |
540 | 576,919 | ||||||
| Series A, Senior Lien, (AGM), 5.25%, 10/01/48 |
1,320 | 1,414,839 | ||||||
| Series D, Sub Lien, 7.00%, 10/01/51 |
4,335 | 4,877,239 | ||||||
| Health Care Authority of the City of Huntsville, RB |
||||||||
| Series B1, 4.00%, 06/01/45 |
855 | 942,456 | ||||||
| Series B1, (AGM), 3.00%, 06/01/50 |
2,375 | 2,339,192 | ||||||
| Lower Alabama Gas District, RB, Series A, 5.00%, 09/01/46 |
1,170 | 1,503,001 | ||||||
| 15,718,281 | ||||||||
|
|
|
|||||||
| Arizona — 2.6% | ||||||||
| Arizona Industrial Development Authority, RB(b) 4.38%, 07/01/39 |
225 | 239,710 | ||||||
| Series A, 5.00%, 07/01/39 |
190 | 197,646 | ||||||
| Series A, 5.00%, 07/01/49 |
210 | 216,858 | ||||||
| Series A, 5.00%, 07/01/54 |
165 | 170,135 | ||||||
| Arizona Industrial Development Authority, Refunding RB, Series A, 5.38%, 07/01/50(b) |
1,185 | 1,310,033 | ||||||
| Glendale Industrial Development Authority, RB 5.00%, 05/15/41 |
100 | 110,914 | ||||||
| 5.00%, 05/15/56 |
400 | 437,384 | ||||||
| Industrial Development Authority of the City of Phoenix, RB |
||||||||
| 5.00%, 07/01/59 |
465 | 520,467 | ||||||
| Series A, 5.00%, 07/01/46(b) |
1,825 | 1,955,677 | ||||||
| Industrial Development Authority of the City of Phoenix, Refunding RB, Series A, 5.00%, 07/01/35(b) |
275 | 299,494 | ||||||
| Industrial Development Authority of the County of Pima, RB, 5.00%, 07/01/49(b) |
350 | 361,006 | ||||||
| Industrial Development Authority of the County of Pima, Refunding RB, 5.00%, 06/15/47(b) |
325 | 328,156 | ||||||
| Maricopa County Industrial Development Authority, Refunding RB |
||||||||
| 5.00%, 07/01/39(b) |
100 | 113,711 | ||||||
| 5.00%, 07/01/54(b) |
210 | 231,845 | ||||||
| Series A, 4.13%, 09/01/38 |
820 | 904,110 | ||||||
| Maricopa County Pollution Control Corp., Refunding RB, Series B, 3.60%, 04/01/40 |
1,250 | 1,329,386 | ||||||
| Salt Verde Financial Corp., RB |
||||||||
| 5.00%, 12/01/32 |
5,635 | 6,917,041 | ||||||
| 5.00%, 12/01/37 |
2,000 | 2,591,858 | ||||||
| 18,235,431 | ||||||||
|
|
|
|||||||
| Arkansas — 0.5% | ||||||||
| Arkansas Development Finance Authority, RB, Series A, AMT, 4.50%, 09/01/49(b) |
3,305 | 3,540,485 | ||||||
|
|
|
|||||||
| California — 10.9% | ||||||||
| California Community Choice Financing Authority, RB, Series B-1, 4.00%, 02/01/52(a) |
4,465 | 5,091,573 | ||||||
| California County Tobacco Securitization Agency, Refunding RB, Series A, 5.00%, 06/01/36 |
350 | 350,558 | ||||||
| California Educational Facilities Authority, RB, Series V-1, 5.00%, 05/01/49 |
2,315 | 3,367,730 | ||||||
| Security | Par (000) |
Value | ||||||
| California (continued) | ||||||||
| California Health Facilities Financing Authority, Refunding RB |
||||||||
| 5.00%, 08/01/50 |
$ | 1,000 | $ | 1,187,740 | ||||
| Series A, 5.00%, 07/01/23(c) |
1,765 | 1,858,887 | ||||||
| Series A, 4.00%, 03/01/39 |
890 | 960,506 | ||||||
| Series A, 4.00%, 04/01/45 |
1,220 | 1,331,079 | ||||||
| Series A, 4.00%, 08/15/48 |
1,680 | 1,888,396 | ||||||
| California Housing Finance Agency, RB, M/F Housing |
||||||||
| Class A, 3.25%, 08/20/36 |
2,626 | 2,765,455 | ||||||
| Class A, (FHLMC COLL), 3.75%, 03/25/35 |
4,975 | 5,549,162 | ||||||
| California Municipal Finance Authority, ARB, AMT, Senior Lien, 4.00%, 12/31/47 |
780 | 836,884 | ||||||
| California Municipal Finance Authority, RB, S/F Housing |
||||||||
| Series A, 5.25%, 08/15/39 |
205 | 214,290 | ||||||
| Series A, 5.25%, 08/15/49 |
510 | 532,264 | ||||||
| California Pollution Control Financing Authority, RB, Series A, AMT, 5.00%, 11/21/45(b) |
2,130 | 2,181,097 | ||||||
| California School Finance Authority, Refunding RB, Series A, 5.00%, 07/01/51(b) |
1,700 | 1,845,314 | ||||||
| California State Public Works Board, RB |
||||||||
| Series F, 5.25%, 09/01/33 |
2,015 | 2,137,897 | ||||||
| Series I, 5.50%, 11/01/31 |
3,100 | 3,315,568 | ||||||
| Series I, 5.50%, 11/01/33 |
1,500 | 1,603,366 | ||||||
| Series I, 5.00%, 11/01/38 |
1,065 | 1,128,169 | ||||||
| California Statewide Communities Development Authority, Refunding RB(b) |
||||||||
| Series A, 5.00%, 06/01/36 |
990 | 1,100,114 | ||||||
| Series A, 5.00%, 06/01/46 |
1,220 | 1,332,851 | ||||||
| City of Los Angeles Department of Airports, ARB |
||||||||
| AMT, 4.00%, 05/15/39. |
435 | 488,344 | ||||||
| AMT, 4.00%, 05/15/40 |
470 | 526,842 | ||||||
| AMT, 4.00%, 05/15/41 |
550 | 616,078 | ||||||
| City of Los Angeles Department of Airports, Refunding ARB |
||||||||
| Series A, AMT, 5.00%, 05/15/38 |
315 | 380,849 | ||||||
| Series A, AMT, 5.00%, 05/15/39 |
340 | 410,434 | ||||||
| Series A, AMT, 5.00%, 05/15/46 |
1,270 | 1,515,092 | ||||||
| CMFA Special Finance Agency XII, RB, M/F Housing, Series A, 3.25%, 02/01/57(b) |
525 | 447,998 | ||||||
| CSCDA Community Improvement Authority, RB, M/F Housing(b) |
||||||||
| Class 2, 4.00%, 06/01/58 |
1,745 | 1,632,678 | ||||||
| Senior Lien, 3.13%, 06/01/57 |
1,670 | 1,390,530 | ||||||
| Class 2, Senior Lien, 4.00%, 12/01/58 |
755 | 716,373 | ||||||
| Golden State Tobacco Securitization Corp., Refunding RB(c) |
||||||||
| Series A-1, 5.00%, 06/01/22 |
620 | 626,896 | ||||||
| Series A-1, 5.25%, 06/01/22 |
590 | 596,968 | ||||||
| Series A-2, 5.00%, 06/01/22 |
4,725 | 4,777,873 | ||||||
| Kern Community College District, GO, Series C, 5.50%, 11/01/23(c) |
2,155 | 2,312,888 | ||||||
| Regents of the University of California Medical Center Pooled Revenue, Refunding RB |
||||||||
| Series J, 5.25%, 05/15/23(c) |
3,905 | 4,105,510 | ||||||
| Series J, 5.25%, 05/15/38 |
1,110 | 1,159,789 | ||||||
| Riverside County Public Financing Authority, RB, 5.25%, 11/01/25(c) |
2,000 | 2,278,738 | ||||||
| 22 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| California (continued) | ||||||||
| Riverside County Transportation Commission, Refunding RB |
||||||||
| 2nd Lien, 4.00%, 06/01/47 |
$ | 715 | $ | 793,950 | ||||
| Senior Lien, 4.00%, 06/01/40 |
1,685 | 1,913,557 | ||||||
| Senior Lien, 3.00%, 06/01/49 |
490 | 477,995 | ||||||
| San Francisco City & County Airport Comm-San Francisco International Airport, Refunding ARB |
||||||||
| Series A, AMT, 5.50%, 05/01/28 |
720 | 753,176 | ||||||
| Series A, AMT, 5.25%, 05/01/33 |
560 | 583,388 | ||||||
| San Marcos Unified School District, GO, CAB(d) |
||||||||
| Series B, Election 2010, 0.00%, 08/01/33 |
3,000 | 2,301,741 | ||||||
| Series B, Election 2010, 0.00%, 08/01/43 |
2,500 | 1,392,390 | ||||||
| State of California, Refunding GO, 3.00%, 12/01/46 |
550 | 555,315 | ||||||
| Stockton Public Financing Authority, RB, Series A, 6.25%, 10/01/23(c) |
490 | 530,074 | ||||||
| Washington Township Health Care District, GO, Series B, Election 2004, 5.50%, 08/01/40 |
830 | 907,043 | ||||||
|
|
|
|||||||
| 74,771,409 | ||||||||
| Colorado — 2.0% | ||||||||
| Arapahoe County School District No.6 Littleton, GO, Series A, (SAW), 5.50%, 12/01/43 |
1,915 | 2,366,894 | ||||||
| Centerra Metropolitan District No.1, TA, 5.00%, 12/01/47(b) |
250 | 259,661 | ||||||
| City & County of Denver Colorado Airport System Revenue, ARB |
||||||||
| Series B, 5.25%, 11/15/32 |
1,750 | 1,862,226 | ||||||
| Series A, AMT, 5.50%, 11/15/28 |
500 | 534,382 | ||||||
| Series A, AMT, 5.50%, 11/15/30 |
225 | 240,253 | ||||||
| Series A, AMT, 5.50%, 11/15/31 |
270 | 288,177 | ||||||
| City & County of Denver Colorado, RB, CAB, Series A-2, 0.00%, 08/01/38(d) |
1,835 | 1,027,530 | ||||||
| Colorado Educational & Cultural Facilities Authority, RB, 5.00%, 03/01/50(b) |
320 | 343,859 | ||||||
| Colorado Educational & Cultural Facilities Authority, Refunding RB, Class A, 5.00%, 10/01/59(b) |
425 | 455,070 | ||||||
| Colorado Health Facilities Authority, Refunding RB, Series A, 4.00%, 08/01/44 |
1,945 | 2,114,787 | ||||||
| Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40 |
1,325 | 1,465,434 | ||||||
| Denver International Business Center Metropolitan District No.1, GO, Series A, 4.00%, 12/01/48 |
495 | 505,084 | ||||||
| Haskins Station Metropolitan District, GO, Series A, 5.00%, 12/01/39 |
650 | 667,352 | ||||||
| State of Colorado, COP, Series O, 4.00%, 03/15/44 |
1,405 | 1,544,144 | ||||||
|
|
|
|||||||
| 13,674,853 | ||||||||
| Connecticut — 0.7% | ||||||||
| State of Connecticut Special Tax Revenue, RB |
||||||||
| Series A, 4.00%, 05/01/36 |
365 | 419,183 | ||||||
| Series A, 4.00%, 05/01/39 |
230 | 260,746 | ||||||
| State of Connecticut, GO, Series A, 4.00%, 01/15/38 |
3,435 | 3,868,882 | ||||||
|
|
|
|||||||
| 4,548,811 | ||||||||
| Delaware — 0.2% | ||||||||
| Delaware Transportation Authority, RB, 5.00%, 06/01/55 |
1,260 | 1,378,305 | ||||||
|
|
|
|||||||
| District of Columbia — 3.2% | ||||||||
| District of Columbia Housing Finance Agency, RB, M/F Housing, Series B-1, (FHA), 2.55%, 03/01/42 |
1,120 | 1,042,767 | ||||||
| Security | Par (000) |
Value | ||||||
| District of Columbia (continued) | ||||||||
| District of Columbia Tobacco Settlement Financing Corp., Refunding RB, 6.75%, 05/15/40 |
$ | 11,500 | $ | 11,839,733 | ||||
| District of Columbia, Refunding RB 5.00%, 04/01/35 |
465 | 531,296 | ||||||
| Series A, 6.00%, 07/01/23(c) |
820 | 873,933 | ||||||
| Catholic Health Services, 5.00%, 10/01/48 |
2,525 | 2,945,935 | ||||||
| District of Columbia, TA, 5.13%, 06/01/41 |
690 | 691,978 | ||||||
| Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Refunding RB |
||||||||
| Series A, 5.00%, 10/01/53 |
2,195 | 2,202,805 | ||||||
| Series B, Subordinate, 4.00%, 10/01/49 |
1,995 | 2,188,340 | ||||||
|
|
|
|||||||
| 22,316,787 | ||||||||
| Florida — 5.6% | ||||||||
| Capital Projects Finance Authority, Refunding RB |
||||||||
| Series A-1, 5.00%, 10/01/32 |
215 | 252,894 | ||||||
| Series A-1, 5.00%, 10/01/33 |
240 | 281,776 | ||||||
| Series A-1, 5.00%, 10/01/34 |
240 | 281,225 | ||||||
| Series A-1, 5.00%, 10/01/35 |
80 | 93,546 | ||||||
| Capital Trust Agency, Inc., RB |
||||||||
| Series A, 5.00%, 06/01/45(b) |
190 | 195,699 | ||||||
| Series A, 5.00%, 12/15/49 |
140 | 148,573 | ||||||
| Series A, 5.00%, 12/15/54 |
125 | 132,232 | ||||||
| Celebration Pointe Community Development District, SAB(b) |
||||||||
| 5.00%, 05/01/32 |
215 | 232,334 | ||||||
| 5.00%, 05/01/48 |
530 | 562,584 | ||||||
| Collier County Health Facilities Authority, Refunding RB, Series A, 5.00%, 05/01/45 |
1,450 | 1,551,033 | ||||||
| County of Broward Florida Airport System Revenue, ARB |
||||||||
| Series A, AMT, 5.00%, 10/01/45 |
575 | 626,234 | ||||||
| Series A, AMT, 4.00%, 10/01/49 |
330 | 357,489 | ||||||
| County of Miami-Dade Florida Aviation Revenue, Refunding RB |
||||||||
| Series A, 4.00%, 10/01/37 |
355 | 399,284 | ||||||
| Series A, 4.00%, 10/01/38 |
355 | 397,782 | ||||||
| Series A, 4.00%, 10/01/39 |
265 | 296,006 | ||||||
| Series A, AMT, 5.00%, 10/01/22(c) |
2,165 | 2,217,579 | ||||||
| County of Miami-Dade Florida Water & Sewer System Revenue, Refunding RB, Series B, 5.25%, 10/01/23(c) |
500 | 532,092 | ||||||
| County of Miami-Dade Seaport Department, ARB(c) |
||||||||
| Series A, 5.50%, 10/01/23 |
2,125 | 2,269,846 | ||||||
| Series A, 6.00%, 10/01/23 |
7,515 | 8,085,930 | ||||||
| Series B, AMT, 6.00%, 10/01/23 |
1,775 | 1,908,060 | ||||||
| Series B, AMT, 6.25%, 10/01/23 |
310 | 334,354 | ||||||
| County of Miami-Dade Seaport Department, Refunding RB, Series D, AMT, 6.00%, 10/01/23(c) |
735 | 789,875 | ||||||
| County of Osceola Florida Transportation Revenue, Refunding RB, CAB(d) |
||||||||
| Series A-2, 0.00%, 10/01/46 |
1,665 | 716,874 | ||||||
| Series A-2, 0.00%, 10/01/47 |
1,610 | 667,409 | ||||||
| Series A-2, 0.00%, 10/01/48 |
1,135 | 452,887 | ||||||
| Series A-2, 0.00%, 10/01/49 |
935 | 359,316 | ||||||
| Florida Development Finance Corp., RB |
||||||||
| Series A, 5.00%, 06/15/40 |
240 | 268,953 | ||||||
| Series A, 5.00%, 06/15/50 |
795 | 877,223 | ||||||
| Series A, 5.00%, 06/15/55 |
475 | 521,612 | ||||||
| AMT, 5.00%, 05/01/29(b) |
180 | 189,603 | ||||||
| Series A, AMT, 5.00%, 08/01/29(a)(b) |
100 | 101,405 | ||||||
| S C H E D U L E O F I N V E S T M E N T S |
23 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Florida (continued) | ||||||||
| Florida Development Finance Corp., Refunding RB, Series C, 5.00%, 09/15/50(b) |
$ | 105 | $ | 111,981 | ||||
| Hillsborough County Aviation Authority, Refunding RB, Sub-Series A, AMT, 5.50%, 10/01/23(c) |
1,170 | 1,242,007 | ||||||
| Jacksonville Port Authority, Refunding ARB, AMT, 5.00%, 11/01/22(c) |
1,665 | 1,711,144 | ||||||
| Lakewood Ranch Stewardship District, SAB |
||||||||
| 5.25%, 05/01/37 |
180 | 194,861 | ||||||
| 5.38%, 05/01/47 |
185 | 199,253 | ||||||
| Lee County Housing Finance Authority, RB, S/F Housing, Series A-2, AMT, (FHLMC, FNMA, GNMA), 6.00%, 09/01/40 |
25 | 25,085 | ||||||
| Miami Beach Health Facilities Authority, RB, 3.00%, 11/15/51 |
525 | 488,031 | ||||||
| Orange County Health Facilities Authority, Refunding RB, 5.00%, 08/01/41 |
1,000 | 1,076,390 | ||||||
| Osceola Chain Lakes Community Development District, SAB |
||||||||
| 4.00%, 05/01/40 |
270 | 278,861 | ||||||
| 4.00%, 05/01/50 |
260 | 265,191 | ||||||
| Reedy Creek Improvement District, GO, Series A, 5.25%, 06/01/23(c) |
1,585 | 1,667,225 | ||||||
| Sarasota County Florida Utility System Revenue, RB, Series A, 5.00%, 10/01/50 |
715 | 876,170 | ||||||
| Stevens Plantation Community Development District, SAB, Series A, 7.10%, 05/01/35(e)(f) |
1,670 | 1,057,991 | ||||||
| Village Community Development District No.10, SAB, 5.13%, 05/01/43 |
665 | 674,684 | ||||||
| Volusia County Educational Facility Authority, Refunding RB, 5.00%, 10/15/49 |
1,930 | 2,295,063 | ||||||
|
|
|
|||||||
| 38,265,646 | ||||||||
| Georgia — 4.0% | ||||||||
| Gainesville & Hall County Hospital Authority, Refunding RB, Series A, (GTD), 5.50%, 02/15/25(c) |
715 | 801,058 | ||||||
| Georgia Housing & Finance Authority, RB, S/F Housing, Series B, 2.50%, 06/01/50 |
795 | 740,450 | ||||||
| Main Street Natural Gas, Inc., RB |
||||||||
| Series A, 5.00%, 05/15/35 |
540 | 699,301 | ||||||
| Series A, 5.00%, 05/15/36 |
540 | 707,977 | ||||||
| Series A, 5.00%, 05/15/37 |
595 | 788,683 | ||||||
| Series A, 5.00%, 05/15/38 |
325 | 435,015 | ||||||
| Series A, 5.00%, 05/15/49 |
7,195 | 9,678,326 | ||||||
| Series C, 4.00%, 05/01/52(a) |
3,910 | 4,361,558 | ||||||
| Municipal Electric Authority of Georgia, RB |
||||||||
| 4.00%, 01/01/49 |
3,585 | 3,863,400 | ||||||
| 4.00%, 01/01/59 |
3,525 | 3,741,424 | ||||||
| Municipal Electric Authority of Georgia, Refunding RB, Sub-Series A, 4.00%, 01/01/49 |
1,360 | 1,456,162 | ||||||
|
|
|
|||||||
| 27,273,354 | ||||||||
| Hawaii — 0.3% | ||||||||
| State of Hawaii Airports System Revenue, ARB |
||||||||
| AMT, 5.25%, 08/01/25 |
250 | 263,632 | ||||||
| AMT, 5.25%, 08/01/26 |
810 | 853,349 | ||||||
| Series A, AMT, 5.00%, 07/01/45 |
1,000 | 1,087,386 | ||||||
|
|
|
|||||||
| 2,204,367 | ||||||||
| Security | Par (000) |
Value | ||||||
| Idaho — 0.6% | ||||||||
| Idaho Health Facilities Authority, RB 4.00%, 12/01/43 |
$ | 605 | $ | 678,240 | ||||
| Series 2017, 5.00%, 12/01/46 |
805 | 940,923 | ||||||
| Idaho Health Facilities Authority, Refunding RB, 3.00%, 03/01/51 |
2,845 | 2,769,152 | ||||||
|
|
|
|||||||
| 4,388,315 | ||||||||
| Illinois — 9.9% | ||||||||
| Chicago Board of Education, GO |
||||||||
| Series A, 5.00%, 12/01/36 |
405 | 467,178 | ||||||
| Series A, 5.00%, 12/01/38 |
200 | 230,045 | ||||||
| Series A, 5.00%, 12/01/39 |
100 | 114,698 | ||||||
| Series A, 5.00%, 12/01/40 |
310 | 354,846 | ||||||
| Series A, 5.00%, 12/01/47 |
210 | 239,207 | ||||||
| Series C, 5.25%, 12/01/35 |
2,790 | 2,986,787 | ||||||
| Series D, 5.00%, 12/01/46 |
3,605 | 3,812,425 | ||||||
| Series H, 5.00%, 12/01/36 |
495 | 554,694 | ||||||
| Series H, 5.00%, 12/01/46 |
215 | 234,959 | ||||||
| Chicago Board of Education, Refunding GO |
||||||||
| Series C, 5.00%, 12/01/25 |
1,215 | 1,331,779 | ||||||
| Series D, 5.00%, 12/01/27 |
1,600 | 1,815,134 | ||||||
| Series D, 5.00%, 12/01/31 |
150 | 168,909 | ||||||
| Series F, 5.00%, 12/01/22 |
880 | 901,349 | ||||||
| Series F, 5.00%, 12/01/23 |
290 | 304,686 | ||||||
| Series G, 5.00%, 12/01/34 |
710 | 798,226 | ||||||
| Series G, 5.00%, 12/01/44 |
150 | 165,282 | ||||||
| Chicago Midway International Airport, Refunding ARB, Series A, 2nd Lien, AMT, 5.00%, 01/01/41 |
1,010 | 1,064,811 | ||||||
| Chicago O’Hare International Airport, Refunding RB, Series A, Senior Lien, 4.00%, 01/01/37 |
1,035 | 1,156,358 | ||||||
| City of Chicago Illinois Wastewater Transmission Revenue, RB, 2nd Lien, 5.00%, 01/01/42 |
1,375 | 1,378,337 | ||||||
| City of Chicago Illinois Waterworks Revenue, Refunding RB, 2nd Lien, 5.00%, 11/01/42 |
500 | 511,916 | ||||||
| Cook County Community College District No. 508, GO 5.50%, 12/01/38 |
2,670 | 2,820,810 | ||||||
| 5.25%, 12/01/43 |
3,850 | 4,033,322 | ||||||
| Illinois Finance Authority, RB, Series A, 5.00%, 02/15/37 |
480 | 537,432 | ||||||
| Illinois Finance Authority, Refunding RB |
||||||||
| Series A, 4.00%, 05/15/50 |
600 | 646,710 | ||||||
| Series C, 5.00%, 02/15/41 |
1,600 | 1,834,696 | ||||||
| Illinois State Toll Highway Authority, RB |
||||||||
| Series A, 5.00%, 01/01/45 |
1,420 | 1,712,724 | ||||||
| Series A, 4.00%, 01/01/46 |
2,110 | 2,379,865 | ||||||
| Series C, 5.00%, 01/01/37 |
3,005 | 3,291,716 | ||||||
| Metropolitan Pier & Exposition Authority, RB |
||||||||
| Series A, 5.50%, 06/15/53 |
280 | 303,568 | ||||||
| Series A, 5.00%, 06/15/57 |
2,745 | 2,972,733 | ||||||
| Metropolitan Pier & Exposition Authority, RB, CAB, (BAM-TCRS), 0.00%, 12/15/56(d) |
2,165 | 612,268 | ||||||
| Metropolitan Pier & Exposition Authority, Refunding RB 4.00%, 06/15/50 |
2,705 | 2,811,996 | ||||||
| Series B, (AGM), 0.00%, 06/15/44(d) |
2,980 | 1,328,219 | ||||||
| Metropolitan Pier & Exposition Authority, Refunding RB, CAB(d) |
||||||||
| Series B, (AGM), 0.00%, 06/15/43 |
5,700 | 2,648,026 | ||||||
| Series B, 0.00%, 12/15/54 |
3,020 | 817,943 | ||||||
| 24 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Illinois (continued) | ||||||||
| State of Illinois, GO |
||||||||
| 5.25%, 02/01/31 |
$ | 730 | $ | 776,163 | ||||
| 5.25%, 02/01/32 |
2,500 | 2,658,092 | ||||||
| 5.50%, 07/01/33 |
3,000 | 3,149,010 | ||||||
| 5.00%, 03/01/37 |
455 | 456,279 | ||||||
| 5.50%, 07/01/38 |
620 | 650,795 | ||||||
| 5.00%, 02/01/39 |
1,640 | 1,736,037 | ||||||
| Series A, 5.00%, 04/01/35 |
3,500 | 3,626,311 | ||||||
| Series A, 5.00%, 04/01/38 |
5,020 | 5,201,167 | ||||||
| Series C, 4.00%, 11/01/43 |
440 | 464,879 | ||||||
| Series D, 5.00%, 11/01/28 |
505 | 578,309 | ||||||
| State of Illinois, Refunding GO, Series B, 5.00%, 10/01/27 |
180 | 205,856 | ||||||
| University of Illinois, RB, Series A, 5.00%, 04/01/44 |
1,360 | 1,448,773 | ||||||
|
|
|
|||||||
| 68,295,325 | ||||||||
| Indiana — 2.0% | ||||||||
| City of Valparaiso Indiana, RB |
||||||||
| AMT, 6.75%, 01/01/34. |
1,090 | 1,190,061 | ||||||
| AMT, 7.00%, 01/01/44 |
4,625 | 5,038,105 | ||||||
| Indiana Finance Authority, RB(c) |
||||||||
| Series A, AMT, 5.00%, 07/01/23 |
3,075 | 3,226,289 | ||||||
| Series A, AMT, 5.25%, 07/01/23 |
560 | 589,503 | ||||||
| Indiana Finance Authority, Refunding RB, 4.75%, 03/01/22(c) |
2,030 | 2,030,000 | ||||||
| Indianapolis Local Public Improvement Bond Bank, RB, |
||||||||
| Series A, 5.00%, 01/15/40 |
1,780 | 1,835,434 | ||||||
|
|
|
|||||||
| 13,909,392 | ||||||||
| Iowa — 1.3% | ||||||||
| Iowa Finance Authority, Refunding RB 5.25%, 12/01/25 |
1,270 | 1,349,523 | ||||||
| Series B, 5.25%, 12/01/50(a) |
4,855 | 5,192,549 | ||||||
| Iowa Student Loan Liquidity Corp., Refunding RB, |
||||||||
| Series B, AMT, 3.00%, 12/01/39 |
2,425 | 2,428,880 | ||||||
|
|
|
|||||||
| 8,970,952 | ||||||||
| Kansas — 0.1% | ||||||||
| City of Lenexa Kansas, Refunding RB, Series A, 5.00%, 05/15/43 |
475 | 502,257 | ||||||
|
|
|
|||||||
| Kentucky — 3.5% | ||||||||
| Kentucky Economic Development Finance Authority, RB, Series A, Catholic Health Services, 5.25%, 01/01/23(c) |
1,385 | 1,433,824 | ||||||
| Kentucky Economic Development Finance Authority, Refunding RB, Series B, (NPFGC), 0.00%, 10/01/24(d) |
5,000 | 4,810,235 | ||||||
| Kentucky Public Energy Authority, RB(a) |
||||||||
| Series A-1, 4.00%, 08/01/52(g) |
2,790 | 3,114,343 | ||||||
| Series C, RB, 4.00%, 02/01/50 |
11,500 | 12,654,554 | ||||||
| Kentucky Public Transportation Infrastructure Authority, RB, CAB, Series C, Convertible, 0.00%, 07/01/43(h) . |
1,655 | 1,962,297 | ||||||
|
|
|
|||||||
| 23,975,253 | ||||||||
| Louisiana — 0.8% | ||||||||
| Lake Charles Harbor & Terminal District, ARB, Series B, AMT, (AGM), 5.50%, 01/01/29 |
1,000 | 1,074,149 | ||||||
| Tobacco Settlement Financing Corp., Refunding RB |
||||||||
| Series A, 5.25%, 05/15/31 |
435 | 435,879 | ||||||
| Series A, 5.25%, 05/15/32 |
1,540 | 1,551,592 | ||||||
| Security | Par (000) |
Value | ||||||
| Louisiana (continued) | ||||||||
| Tobacco Settlement Financing Corp., Refunding RB (continued) |
||||||||
| Series A, 5.25%, 05/15/33 |
$ | 1,675 | $ | 1,687,492 | ||||
| Series A, 5.25%, 05/15/35 |
955 | 996,074 | ||||||
|
|
|
|||||||
| 5,745,186 | ||||||||
| Maryland — 0.1% | ||||||||
| City of Baltimore Maryland, Refunding RB, Series A, 4.50%, 09/01/33 |
135 | 146,657 | ||||||
| Maryland Health & Higher Educational Facilities Authority, RB, Series 2017, 5.00%, 12/01/46 |
455 | 526,810 | ||||||
|
|
|
|||||||
| 673,467 | ||||||||
| Massachusetts — 0.8% | ||||||||
| Massachusetts Development Finance Agency, RB, Series A, 5.00%, 01/01/47 |
1,975 | 2,201,924 | ||||||
| Massachusetts Development Finance Agency, Refunding RB |
||||||||
| 5.00%, 01/01/41 |
525 | 566,217 | ||||||
| 5.00%, 01/01/45 |
375 | 402,505 | ||||||
| Series A, 4.00%, 07/01/44 |
685 | 740,166 | ||||||
| Massachusetts Port Authority, ARB, Series E, AMT, 5.00%, 07/01/51 |
1,220 | 1,458,708 | ||||||
|
|
|
|||||||
| 5,369,520 | ||||||||
| Michigan — 2.1% | ||||||||
| City of Detroit Michigan Sewage Disposal System Revenue, Refunding RB, Series A, Senior Lien, 5.25%, 07/01/22(c) |
6,750 | 6,853,673 | ||||||
| City of Detroit Michigan Water Supply System Revenue, RB, Series B, 2nd Lien, (AGM), 6.25%, 07/01/36. |
5 | 5,019 | ||||||
| Grand Traverse County Hospital Finance Authority, RB, Series A, 5.00%, 07/01/44 |
1,110 | 1,287,869 | ||||||
| Michigan Finance Authority, RB, Series C-1, Senior Lien, 5.00%, 07/01/22(c) |
275 | 279,109 | ||||||
| Michigan Finance Authority, Refunding RB, Series A, 4.00%, 12/01/49 |
895 | 978,640 | ||||||
| Michigan State Housing Development Authority, RB, M/F Housing, Series A, 2.70%, 10/01/56 |
1,890 | 1,738,377 | ||||||
| Michigan State University, Refunding RB, Series B, 5.00%, 02/15/48 |
1,100 | 1,309,543 | ||||||
| Michigan Strategic Fund, RB, AMT, 5.00%, 06/30/48 |
1,680 | 1,879,115 | ||||||
|
|
|
|||||||
| 14,331,345 | ||||||||
| Minnesota — 2.1% | ||||||||
| City of Minneapolis Minnesota, Refunding RB, Series A, 5.00%, 11/15/49 |
1,790 | 2,094,885 | ||||||
| Duluth Economic Development Authority, Refunding RB |
||||||||
| Series A, 4.25%, 02/15/48 |
7,760 | 8,434,802 | ||||||
| Series A, 5.25%, 02/15/53 |
2,230 | 2,587,096 | ||||||
| Series A, 5.25%, 02/15/58 |
1,435 | 1,664,685 | ||||||
|
|
|
|||||||
| 14,781,468 | ||||||||
| Mississippi — 0.2% | ||||||||
| Mississippi Development Bank, RB, (AGM), 6.88%, 12/01/40 |
1,190 | 1,294,388 | ||||||
| Mississippi State University Educational Building Corp., Refunding RB, 5.25%, 08/01/23(c) |
260 | 275,591 | ||||||
|
|
|
|||||||
| 1,569,979 | ||||||||
| S C H E D U L E O F I N V E S T M E N T S |
25 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Missouri — 1.6% | ||||||||
| 370/Missouri Bottom Road/Taussig Road Transportation Development District, RB, 7.20%, 05/01/33(e)(f) |
$ | 6,000 | $ | 2,130,000 | ||||
| Health & Educational Facilities Authority of the State of Missouri, RB, 4.00%, 06/01/53 |
3,180 | 3,544,877 | ||||||
| Health & Educational Facilities Authority of the State of Missouri, Refunding RB 5.50%, 05/01/43 |
345 | 362,561 | ||||||
| Series A, 4.00%, 07/01/40 |
1,830 | 2,085,636 | ||||||
| Series A, 4.00%, 07/01/46 |
655 | 730,880 | ||||||
| Kansas City Industrial Development Authority, ARB, AMT, (AGM), 4.00%, 03/01/57 |
975 | 1,055,259 | ||||||
| Missouri Housing Development Commission, RB, S/F Housing |
||||||||
| (FHLMC, FNMA, GNMA), 2.35%, 11/01/46 |
435 | 406,488 | ||||||
| (FHLMC, FNMA, GNMA), 2.40%, 11/01/51 |
450 | 404,817 | ||||||
| St Louis County Industrial Development Authority, Refunding RB, 5.00%, 09/01/37 |
500 | 550,833 | ||||||
|
|
|
|||||||
| 11,271,351 | ||||||||
| Montana — 0.6% | ||||||||
| City of Kalispell Montana, Refunding RB, Series A, 5.25%, 05/15/37 |
125 | 134,836 | ||||||
| Montana State Board of Regents Refunding RB |
||||||||
| Series G, 3.00%, 11/15/43 |
1,020 | 1,049,713 | ||||||
| Series G, 4.00%, 11/15/46 |
2,750 | 3,126,849 | ||||||
|
|
|
|||||||
| 4,311,398 | ||||||||
| Nebraska — 0.5% | ||||||||
| Central Plains Energy Project, RB |
||||||||
| 5.25%, 09/01/37 |
1,155 | 1,179,418 | ||||||
| 5.00%, 09/01/42 |
2,025 | 2,064,498 | ||||||
|
|
|
|||||||
| 3,243,916 | ||||||||
| New Hampshire(b) — 0.6% | ||||||||
| New Hampshire Business Finance Authority, Refunding RB |
||||||||
| Series A, 3.63%, 07/01/43(a) |
170 | 171,946 | ||||||
| Series B, 4.63%, 11/01/42 |
2,350 | 2,421,548 | ||||||
| Series B, AMT, 3.75%, 07/01/45(a) |
270 | 273,749 | ||||||
| Series C, AMT, 4.88%, 11/01/42 |
1,260 | 1,302,448 | ||||||
|
|
|
|||||||
| 4,169,691 | ||||||||
| New Jersey — 13.5% | ||||||||
| Casino Reinvestment Development Authority, Inc., Refunding RB |
||||||||
| 5.25%, 11/01/39 |
2,390 | 2,556,648 | ||||||
| 5.25%, 11/01/44 |
2,250 | 2,397,879 | ||||||
| Hudson County Improvement Authority, RB, 4.00%, 10/01/46 |
1,830 | 2,043,182 | ||||||
| Middlesex County Improvement Authority, RB, Series B, 6.25%, 01/01/37(e)(f) |
645 | 12,900 | ||||||
| New Jersey Economic Development Authority, RB |
||||||||
| 4.00%, 11/01/38 |
560 | 604,915 | ||||||
| 4.00%, 11/01/39 |
450 | 485,379 | ||||||
| 5.00%, 06/15/49 |
2,535 | 2,941,125 | ||||||
| Series EEE, 5.00%, 06/15/43 |
3,710 | 4,256,405 | ||||||
| Series EEE, 5.00%, 06/15/48 |
4,020 | 4,586,458 | ||||||
| AMT, 5.13%, 09/15/23 |
1,705 | 1,750,438 | ||||||
| AMT, (AGM), 5.00%, 01/01/31 |
530 | 565,316 | ||||||
| AMT, 5.38%, 01/01/43 |
1,500 | 1,589,284 | ||||||
| Security | Par (000) |
Value | ||||||
| New Jersey (continued) | ||||||||
| New Jersey Economic Development Authority, Refunding ARB, AMT, 5.00%, 10/01/47 |
$ | 1,570 | $ | 1,770,305 | ||||
| New Jersey Economic Development Authority, Refunding RB, Series BBB, 5.50%, 12/15/26(c) |
775 | 918,973 | ||||||
| New Jersey Economic Development Authority, Refunding SAB |
||||||||
| 6.50%, 04/01/28 |
7,475 | 8,089,931 | ||||||
| 5.75%, 04/01/31 |
705 | 735,180 | ||||||
| New Jersey Health Care Facilities Financing Authority, RB, 3.00%, 07/01/51 |
4,980 | 4,886,984 | ||||||
| New Jersey Higher Education Student Assistance Authority, Refunding RB, Sub-Series C, AMT, 3.63%, 12/01/49 |
665 | 645,449 | ||||||
| New Jersey Housing & Mortgage Finance Agency, Refunding RB, M/F Housing, Series A, (HUD SECT 8), 2.30%, 11/01/40 |
1,150 | 1,059,615 | ||||||
| New Jersey Transportation Trust Fund Authority, RB |
||||||||
| Series A, 5.00%, 06/15/28 |
500 | 568,799 | ||||||
| Series AA, 5.50%, 06/15/39 |
3,845 | 4,026,372 | ||||||
| Series AA, 5.00%, 06/15/44 |
2,085 | 2,176,751 | ||||||
| Series AA, 4.00%, 06/15/45 |
855 | 911,743 | ||||||
| Series AA, 5.00%, 06/15/45 |
415 | 449,623 | ||||||
| Series BB, 4.00%, 06/15/50 |
1,645 | 1,774,355 | ||||||
| Series BB, 5.00%, 06/15/50 |
5,395 | 6,162,827 | ||||||
| Series S, 5.25%, 06/15/43 |
1,145 | 1,343,050 | ||||||
| Series S, 5.00%, 06/15/46 |
2,930 | 3,338,723 | ||||||
| New Jersey Turnpike Authority, RB |
||||||||
| Series A, 5.00%, 07/01/22(c) |
770 | 781,204 | ||||||
| Series A, 4.00%, 01/01/42 |
800 | 900,233 | ||||||
| Series A, 4.00%, 01/01/48 |
1,190 | 1,296,801 | ||||||
| Series E, 5.00%, 01/01/45 |
2,810 | 3,048,339 | ||||||
| Rutgers The State University of New Jersey, Refunding RB, Series L, 5.00%, 05/01/23(c) |
735 | 769,327 | ||||||
| State of New Jersey, GO |
||||||||
| Series A, 4.00%, 06/01/31 |
620 | 721,524 | ||||||
| Series A, 3.00%, 06/01/32 |
1,430 | 1,518,042 | ||||||
| Tobacco Settlement Financing Corp., Refunding RB |
||||||||
| Series A, 5.00%, 06/01/35 |
1,605 | 1,843,944 | ||||||
| Series A, 5.25%, 06/01/46 |
4,415 | 5,030,588 | ||||||
| Sub-Series B, 5.00%, 06/01/46 |
12,780 | 14,204,344 | ||||||
|
|
|
|||||||
| 92,762,955 | ||||||||
| New Mexico — 0.0% | ||||||||
| City of Santa Fe New Mexico, RB, Series A, 5.00%, 05/15/44. |
100 | 109,277 | ||||||
|
|
|
|||||||
| New York — 15.7% | ||||||||
| Buffalo & Erie County Industrial Land Development Corp., Refunding RB, Series A, 5.00%, 06/01/35 |
500 | 546,063 | ||||||
| City of New York, GO |
||||||||
| Series A-1, 5.00%, 08/01/47 |
4,530 | 5,566,088 | ||||||
| Series C, 5.00%, 08/01/42 |
1,870 | 2,264,319 | ||||||
| Series D-1, 4.00%, 03/01/44 |
515 | 573,245 | ||||||
| Metropolitan Transportation Authority, RB |
||||||||
| Series B, 5.25%, 11/15/38 |
3,305 | 3,547,445 | ||||||
| Series B, 5.25%, 11/15/39 |
910 | 975,897 | ||||||
| Series C, 4.00%, 11/15/33 |
100 | 103,114 | ||||||
| Metropolitan Transportation Authority, Refunding RB |
||||||||
| Series B, 5.00%, 11/15/22 |
400 | 411,021 | ||||||
| Series C-1, 5.00%, 11/15/25 |
100 | 112,128 | ||||||
| Series C-1, 5.00%, 11/15/26 |
65 | 74,087 | ||||||
| 26 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| New York (continued) | ||||||||
| Metropolitan Transportation Authority, Refunding RB (continued) |
||||||||
| Series C-1, 4.75%, 11/15/45 |
$ | 6,795 | $ | 7,721,199 | ||||
| Series C-1, 5.00%, 11/15/50 |
575 | 661,189 | ||||||
| Series C-1, 5.25%, 11/15/55 |
845 | 987,522 | ||||||
| Monroe County Industrial Development Corp., Refunding RB |
||||||||
| 4.00%, 12/01/46 |
1,090 | 1,181,056 | ||||||
| Series A, 4.00%, 07/01/50 |
1,175 | 1,304,040 | ||||||
| New York City Housing Development Corp., RB, M/F Housing |
||||||||
| Series A, 3.00%, 11/01/55 |
3,375 | 3,167,532 | ||||||
| Series C-1A, 4.20%, 11/01/44 |
3,000 | 3,037,248 | ||||||
| Series H, 2.55%, 11/01/45 |
925 | 840,492 | ||||||
| New York City Housing Development Corp., Refunding RB, M/F Housing, Series D-1-B, (FHA), 2.50%, 11/01/55. |
1,500 | 1,255,815 | ||||||
| New York City Industrial Development Agency, Refunding RB |
||||||||
| (AGM), 3.00%, 03/01/49 |
2,060 | 2,006,333 | ||||||
| 3.00%, 03/01/49 |
1,645 | 1,548,927 | ||||||
| Series A, Class A, (AGM), 3.00%, 01/01/37 |
235 | 238,961 | ||||||
| Series A, Class A, (AGM), 3.00%, 01/01/39 |
235 | 237,231 | ||||||
| Series A, Class A, (AGM), 3.00%, 01/01/40 |
165 | 166,522 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, RB |
||||||||
| Sub-Series B-1, 4.00%, 11/01/45 |
5,000 | 5,526,060 | ||||||
| Sub-Series E-1, 5.00%, 02/01/42 |
3,450 | 3,459,919 | ||||||
| Series C, Subordinate, 4.00%, 05/01/45 |
1,200 | 1,333,133 | ||||||
| Sub-Series C-1, Subordinate, 4.00%, 05/01/40 |
480 | 538,789 | ||||||
| New York Counties Tobacco Trust IV, Refunding RB, Series A, 6.25%, 06/01/41(b) |
3,400 | 3,523,678 | ||||||
| New York Liberty Development Corp., Refunding RB |
||||||||
| Series 1, Class 1, 5.00%, 11/15/44(b) |
6,110 | 6,549,254 | ||||||
| Series 2, Class 2, 5.15%, 11/15/34(b) |
470 | 513,598 | ||||||
| Series 2, Class 2, 5.38%, 11/15/40(b) |
1,175 | 1,287,666 | ||||||
| Series A, 2.88%, 11/15/46 |
5,210 | 4,953,329 | ||||||
| Series-A, 3.00%, 11/15/51 |
1,190 | 1,145,464 | ||||||
| New York Power Authority, Refunding RB, Series A, 4.00%, 11/15/60 |
1,225 | 1,350,678 | ||||||
| New York State Dormitory Authority, Refunding RB, Series A, 5.00%, 03/15/45 |
1,530 | 1,790,821 | ||||||
| New York State Environmental Facilities Corp., RB, Series B, Subordinate, 5.00%, 06/15/48 |
1,945 | 2,313,404 | ||||||
| New York State Housing Finance Agency RB, M/F Housing, Series G, (SONYMA), 2.60%, 11/01/46 |
2,205 | 1,951,890 | ||||||
| New York State Thruway Authority, Refunding RB, Series B, Subordinate, 4.00%, 01/01/45 |
3,110 | 3,389,381 | ||||||
| New York State Urban Development Corp., RB Series A, 4.00%, 03/15/49 |
8,750 | 9,644,828 | ||||||
| Series A, 3.00%, 03/15/50 |
1,420 | 1,422,188 | ||||||
| New York Transportation Development Corp., ARB, Series A, AMT, 5.25%, 01/01/50 |
1,600 | 1,711,336 | ||||||
| New York Transportation Development Corp., RB |
||||||||
| AMT, 5.00%, 10/01/35 |
640 | 764,044 | ||||||
| AMT, 5.00%, 10/01/40 |
1,825 | 2,136,825 | ||||||
| AMT, 4.00%, 04/30/53 |
425 | 461,424 | ||||||
| Port Authority of New York & New Jersey, ARB 4.00%, 09/01/45 |
2,500 | 2,757,328 | ||||||
| Security | Par (000) |
Value | ||||||
| New York (continued) | ||||||||
| Port Authority of New York & New Jersey, |
||||||||
| ARB (continued) |
||||||||
| 4.00%, 09/01/49 |
$ | 1,500 | $ | 1,638,500 | ||||
| Port Authority of New York & New Jersey, Refunding ARB, Series 223, AMT, 4.00%, 07/15/40 |
1,350 | 1,503,575 | ||||||
| State of New York Mortgage Agency, RB, S/F Housing, Series 239, (SONYMA), 2.60%, 10/01/44 |
2,145 | 2,010,393 | ||||||
| Triborough Bridge & Tunnel Authority, RB |
||||||||
| Series A, 4.00%, 11/15/54 |
1,085 | 1,210,250 | ||||||
| Series A, 5.00%, 11/15/54 |
935 | 1,126,655 | ||||||
| Series A, 5.00%, 11/15/56 |
1,640 | 1,990,120 | ||||||
| Westchester County Healthcare Corp., RB, Series A, Senior Lien, 5.00%, 11/01/44 |
1,000 | 1,064,389 | ||||||
| Westchester Tobacco Asset Securitization Corp., Refunding RB, Sub-Series C, 4.00%, 06/01/42 |
240 | 254,815 | ||||||
|
|
|
|||||||
| 107,851,208 | ||||||||
| North Carolina — 0.7% | ||||||||
| County of Union North Carolina Enterprise System Revenue, RB, 3.00%, 06/01/51 |
2,255 | 2,311,411 | ||||||
| North Carolina Medical Care Commission, RB |
||||||||
| Series A, 4.00%, 10/01/40 |
125 | 135,871 | ||||||
| Series A, 5.00%, 10/01/40 |
190 | 221,038 | ||||||
| Series A, 4.00%, 10/01/45 |
565 | 609,000 | ||||||
| Series A, 5.00%, 10/01/45 |
340 | 392,440 | ||||||
| Series A, 4.00%, 10/01/50 |
145 | 156,696 | ||||||
| Series A, 5.00%, 10/01/50 |
380 | 434,006 | ||||||
| University of North Carolina at Chapel Hill, RB, 5.00%, 02/01/49 |
590 | 809,239 | ||||||
|
|
|
|||||||
| 5,069,701 | ||||||||
| North Dakota — 0.2% | ||||||||
| County of Cass North Dakota, Refunding RB, Series B, 5.25%, 02/15/58 |
1,035 | 1,196,985 | ||||||
|
|
|
|||||||
| Ohio — 3.2% | ||||||||
| Buckeye Tobacco Settlement Financing Authority, Refunding RB |
||||||||
| Series A-2, Class 1, 4.00%, 06/01/37 |
315 | 346,845 | ||||||
| Series A-2, Class 1, 4.00%, 06/01/38 |
315 | 346,493 | ||||||
| Series A-2, Class 1, 4.00%, 06/01/39 |
315 | 346,371 | ||||||
| Series A-2, Class 1, 4.00%, 06/01/48 |
825 | 866,108 | ||||||
| Series B-2, Class 2, 5.00%, 06/01/55 |
8,295 | 9,008,594 | ||||||
| County of Allen Ohio Hospital Facilities Revenue, Refunding RB, Series A, 4.00%, 11/01/44 |
450 | 466,473 | ||||||
| County of Franklin Ohio, RB |
||||||||
| Series 2017, 5.00%, 12/01/46 |
435 | 497,758 | ||||||
| Series A, 6.13%, 07/01/22(c) |
920 | 936,192 | ||||||
| Series A, 4.00%, 12/01/49 |
555 | 613,335 | ||||||
| County of Hamilton Ohio, Refunding RB |
||||||||
| 4.00%, 08/15/50 |
2,415 | 2,670,671 | ||||||
| Series A, 3.75%, 08/15/50 |
1,155 | 1,241,876 | ||||||
| Ohio Air Quality Development Authority, RB, AMT, 5.00%, 07/01/49(b) |
960 | 1,050,423 | ||||||
| Ohio Turnpike & Infrastructure Commission, Refunding RB, Series A-1, Junior Lien, 5.25%, 02/15/31 |
2,885 | 3,002,076 | ||||||
| State of Ohio, RB, AMT, 5.00%, 06/30/53 |
870 | 935,847 | ||||||
|
|
|
|||||||
| 22,329,062 | ||||||||
| S C H E D U L E O F I N V E S T M E N T S |
27 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Oklahoma — 1.4% | ||||||||
| Norman Regional Hospital Authority, Refunding RB, 5.00%, 09/01/37 |
$ | 400 | $ | 442,750 | ||||
| Oklahoma Development Finance Authority, RB, Series B, 5.25%, 08/15/48. |
2,225 | 2,612,168 | ||||||
| Oklahoma Turnpike Authority, RB |
||||||||
| Series A, 4.00%, 01/01/48 |
2,230 | 2,449,686 | ||||||
| Series C, 4.00%, 01/01/42 |
2,120 | 2,311,538 | ||||||
| Tulsa County Industrial Authority, Refunding RB, 5.25%, 11/15/45 |
1,435 | 1,575,769 | ||||||
|
|
|
|||||||
| 9,391,911 | ||||||||
| Oregon — 0.6% | ||||||||
| Clackamas County School District No.12 North Clackamas, GO, CAB, Series A, (GTD), 0.00%, 06/15/38(d) |
1,445 | 790,156 | ||||||
| Multnomah & Clackamas Counties School District No.10JT Gresham-Barlow, GO, CAB, Series A, (GTD), 0.00%, 06/15/38(d) |
470 | 281,927 | ||||||
| Oregon State Facilities Authority, RB, (AGM), 5.00%, 07/01/22(c) |
715 | 725,510 | ||||||
| Port of Portland Oregon Airport Revenue, Refunding ARB, Series 27-A, AMT, 5.00%, 07/01/45 |
1,980 | 2,314,638 | ||||||
|
|
|
|||||||
| 4,112,231 | ||||||||
| Pennsylvania — 4.1% | ||||||||
| Allentown Neighborhood Improvement Zone Development Authority, RB(b) 5.00%, 05/01/42 |
420 | 467,509 | ||||||
| Subordinate, 5.00%, 05/01/28 |
80 | 91,833 | ||||||
| Subordinate, 5.13%, 05/01/32 |
100 | 115,569 | ||||||
| Subordinate, 5.38%, 05/01/42 |
145 | 165,995 | ||||||
| Allentown Neighborhood Improvement Zone Development Authority, Refunding RB, Series A, 5.00%, 05/01/42 |
2,500 | 2,515,165 | ||||||
| Bristol Township School District, GO, (SAW), 5.25%, 06/01/23(c) |
1,530 | 1,611,220 | ||||||
| Hospitals & Higher Education Facilities Authority of Philadelphia, RB, Series A, 5.63%, 07/01/42 |
885 | 897,840 | ||||||
| Montgomery County Higher Education and Health Authority, Refunding RB |
||||||||
| Class B, 4.00%, 05/01/56 |
6,530 | 7,090,862 | ||||||
| Series A, 5.00%, 09/01/43 |
1,350 | 1,552,662 | ||||||
| Series A, 4.00%, 09/01/49 |
615 | 654,056 | ||||||
| Pennsylvania Economic Development Financing Authority, RB, AMT, 5.00%, 06/30/42 |
3,680 | 4,025,044 | ||||||
| Pennsylvania Economic Development Financing Authority, Refunding RB, AMT, 5.50%, 11/01/44 |
480 | 501,492 | ||||||
| Pennsylvania Higher Educational Facilities Authority, RB |
||||||||
| 4.00%, 08/15/44 |
1,150 | 1,277,464 | ||||||
| 4.00%, 08/15/49 |
2,545 | 2,801,666 | ||||||
| Pennsylvania Turnpike Commission, RB |
||||||||
| Series A, 5.00%, 12/01/44 |
1,535 | 1,665,375 | ||||||
| Series A, 4.00%, 12/01/45 |
2,500 | 2,745,377 | ||||||
|
|
|
|||||||
| 28,179,129 | ||||||||
| Puerto Rico — 6.1% | ||||||||
| Children’s Trust Fund, Refunding RB |
||||||||
| 5.50%, 05/15/39 |
715 | 732,911 | ||||||
| 5.63%, 05/15/43 |
1,755 | 1,787,382 | ||||||
| Security | Par (000) |
Value | ||||||
| Puerto Rico (continued) | ||||||||
| Puerto Rico Commonwealth Aqueduct & Sewer Authority, Refunding RB |
||||||||
| Series A, Senior Lien, 5.00%, 07/01/33 |
$ | 4,655 | $ | 4,720,649 | ||||
| Series A, Senior Lien, 5.13%, 07/01/37 |
1,335 | 1,354,137 | ||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB |
||||||||
| Series A-1, Restructured, 4.75%, 07/01/53 |
5,224 | 5,759,147 | ||||||
| Series A-1, Restructured, 5.00%, 07/01/58 |
15,367 | 17,144,608 | ||||||
| Series A-2, Restructured, 4.33%, 07/01/40 |
2,333 | 2,559,996 | ||||||
| Series A-2, Restructured, 4.78%, 07/01/58 |
3,256 | 3,592,260 | ||||||
| Series B-1, Restructured, 4.75%, 07/01/53 |
164 | 180,820 | ||||||
| Series B-2, Restructured, 4.78%, 07/01/58 |
159 | 175,330 | ||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, CAB, Series A-1, Restructured, 0.00%, 07/01/46(d) |
12,023 | 3,909,820 | ||||||
|
|
|
|||||||
| 41,917,060 | ||||||||
| Rhode Island — 2.2% | ||||||||
| Rhode Island Student Loan Authority, RB, Series A, AMT, 3.63%, 12/01/37. |
285 | 287,864 | ||||||
| Tobacco Settlement Financing Corp., Refunding RB |
||||||||
| Series A, 5.00%, 06/01/35 |
1,690 | 1,840,440 | ||||||
| Series A, 5.00%, 06/01/40 |
950 | 1,026,142 | ||||||
| Series B, 4.50%, 06/01/45 |
6,550 | 6,922,603 | ||||||
| Series B, 5.00%, 06/01/50 |
4,880 | 5,284,152 | ||||||
|
|
|
|||||||
| 15,361,201 | ||||||||
| South Carolina — 5.3% | ||||||||
| Charleston County Airport District, ARB |
||||||||
| Series A, AMT, 5.50%, 07/01/26 |
1,810 | 1,908,621 | ||||||
| Series A, AMT, 6.00%, 07/01/38 |
1,155 | 1,219,937 | ||||||
| Series A, AMT, 5.50%, 07/01/41 |
1,000 | 1,048,598 | ||||||
| County of Charleston South Carolina, ARB, 5.25%, 12/01/23(c) |
3,295 | 3,534,085 | ||||||
| South Carolina Jobs-Economic Development Authority, RB(b) |
||||||||
| 5.00%, 01/01/40 |
385 | 400,821 | ||||||
| 5.00%, 01/01/55 |
335 | 341,850 | ||||||
| South Carolina Jobs-Economic Development Authority, Refunding RB |
||||||||
| 5.00%, 02/01/38 |
2,710 | 3,024,897 | ||||||
| Series A, 5.00%, 05/01/43 |
2,430 | 2,822,187 | ||||||
| Series A, 5.00%, 05/01/48 |
4,620 | 5,338,715 | ||||||
| South Carolina Ports Authority, ARB, AMT, 5.25%, 07/01/25(c) |
1,085 | 1,221,670 | ||||||
| South Carolina Public Service Authority, RB |
||||||||
| Series A, 5.50%, 12/01/54 |
4,810 | 5,191,385 | ||||||
| Series E, 5.50%, 12/01/53 |
2,040 | 2,167,706 | ||||||
| South Carolina Public Service Authority, Refunding RB |
||||||||
| Series A, 5.00%, 12/01/50 |
1,755 | 1,900,697 | ||||||
| Series A, 5.00%, 12/01/55 |
465 | 503,587 | ||||||
| Series C, 5.00%, 12/01/46 |
1,795 | 1,927,652 | ||||||
| Series E, 5.25%, 12/01/55 |
3,750 | 4,172,325 | ||||||
|
|
|
|||||||
| 36,724,733 | ||||||||
| South Dakota — 0.2% | ||||||||
| South Dakota Health & Educational Facilities Authority, Refunding RB, Series A, 4.00%, 09/01/50 |
1,295 | 1,428,293 | ||||||
|
|
|
|||||||
| 28 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Tennessee — 2.6% | ||||||||
| Chattanooga Health Educational & Housing Facility Board, RB, Series A, Catholic Health Services, 5.25%, 01/01/23(c) |
$ | 1,910 | $ | 1,980,806 | ||||
| Chattanooga Health Educational & Housing Facility Board, Refunding RB, Series A, 4.00%, 08/01/44 |
170 | 183,643 | ||||||
| Memphis-Shelby County Airport Authority, ARB, Series A, AMT, 5.00%, 07/01/45 |
1,760 | 2,080,853 | ||||||
| Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, RB, Series A, 5.00%, 07/01/40 |
740 | 830,577 | ||||||
| Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, Refunding RB |
||||||||
| Series A, 4.00%, 10/01/49 |
445 | 465,859 | ||||||
| Series A, 5.25%, 10/01/58 |
3,840 | 4,371,118 | ||||||
| Tennessee Energy Acquisition Corp., RB, Series A, 5.00%, 05/01/52(a) |
6,475 | 7,788,007 | ||||||
|
|
|
|||||||
| 17,700,863 | ||||||||
| Texas — 6.7% | ||||||||
| Brazos Higher Education Authority, Inc., RB, Series 1B, AMT, Subordinate, 3.00%, 04/01/40 |
380 | 336,813 | ||||||
| Central Texas Regional Mobility Authority, RB, Series E, Senior Lien, 4.00%, 01/01/50 |
2,390 | 2,653,552 | ||||||
| Central Texas Regional Mobility Authority, Refunding RB, Sub Lien, 5.00%, 01/01/23(c) |
505 | 522,307 | ||||||
| City of Austin Texas Airport System Revenue, ARB, AMT, 5.00%, 11/15/39. |
665 | 708,808 | ||||||
| City of Beaumont Texas, GO, 5.25%, 03/01/23(c) |
2,070 | 2,158,995 | ||||||
| City of Houston Texas Airport System Revenue, RB, Series A, AMT, 6.63%, 07/15/38 |
150 | 150,464 | ||||||
| City of Houston Texas Airport System Revenue, Refunding ARB, AMT, 5.00%, 07/15/27 |
100 | 113,388 | ||||||
| City of Houston Texas Airport System Revenue, Refunding RB AMT, 5.00%, 07/01/29. |
595 | 626,720 | ||||||
| Series A, AMT, 5.00%, 07/01/27 |
100 | 113,285 | ||||||
| City of San Antonio Texas Electric & Gas Systems Revenue, Refunding RB, Series A, 5.00%, 02/01/48 . |
1,260 | 1,485,419 | ||||||
| Clifton Higher Education Finance Corp., RB, 6.00%, 08/15/43 |
230 | 243,214 | ||||||
| Dallas Fort Worth International Airport, Refunding RB, Series E, AMT, 5.50%, 11/01/27 |
2,500 | 2,669,700 | ||||||
| Harris County Cultural Education Facilities Finance Corp., RB, Series B, 7.00%, 01/01/23(c) |
630 | 662,201 | ||||||
| Harris County-Houston Sports Authority, Refunding RB(d) |
||||||||
| Series A, 3rd Lien, (NPFGC), 0.00%, 11/15/24(c) |
2,300 | 1,093,199 | ||||||
| Series A, 3rd Lien, (NPFGC), 0.00%, 11/15/36 |
13,075 | 5,936,246 | ||||||
| Harris County-Houston Sports Authority, Refunding RB, CAB, Series A, Senior Lien, (AGM NPFGC), 0.00%, 11/15/38(d) |
4,750 | 2,218,706 | ||||||
| Lower Colorado River Authority, Refunding RB, 5.50%, 05/15/33 |
730 | 764,277 | ||||||
| Midland County Fresh Water Supply District No.1, RB, CAB, Series A, 0.00%, 09/15/37(d) |
10,540 | 5,579,043 | ||||||
| New Hope Cultural Education Facilities Finance Corp., RB, Series A, 5.00%, 08/15/50(b) |
180 | 188,667 | ||||||
| Security | Par (000) |
Value | ||||||
| Texas (continued) | ||||||||
| North Texas Tollway Authority, RB, CAB, Series B, 0.00%, 09/01/31(c)(d) |
$ | 640 | $ | 330,736 | ||||
| North Texas Tollway Authority, Refunding RB, 4.25%, 01/01/49. |
3,185 | 3,475,482 | ||||||
| Red River Education Finance Corp., RB, 5.25%, 03/15/23(c) |
940 | 981,554 | ||||||
| San Antonio Water System, Refunding RB, Series A, Junior Lien, 5.00%, 05/15/48 |
1,370 | 1,615,315 | ||||||
| Tarrant County Cultural Education Facilities Finance Corp., RB |
||||||||
| 4.00%, 10/01/42 |
510 | 578,262 | ||||||
| Series B, 5.00%, 07/01/48 |
4,955 | 5,808,489 | ||||||
| Texas City Industrial Development Corp., RB, Series 2012, 4.13%, 12/01/45 |
95 | 99,149 | ||||||
| Texas Private Activity Bond Surface Transportation Corp., RB, AMT, Senior Lien, 5.00%, 12/31/55 |
975 | 1,058,545 | ||||||
| Texas Transportation Commission, RB, Series A, 5.00%, 08/01/57 |
1,715 | 1,938,756 | ||||||
| Texas Transportation Commission, RB, CAB(d) |
||||||||
| 0.00%, 08/01/40 |
500 | 235,619 | ||||||
| 0.00%, 08/01/41 |
2,000 | 891,790 | ||||||
| 0.00%, 08/01/42 |
2,345 | 990,791 | ||||||
|
|
|
|||||||
| 46,229,492 | ||||||||
| Utah — 0.6% | ||||||||
| County of Utah, RB |
||||||||
| Series A, 4.00%, 05/15/43 |
240 | 270,439 | ||||||
| Series A, 3.00%, 05/15/50 |
1,085 | 1,110,360 | ||||||
| Salt Lake City Corp. Airport Revenue, ARB |
||||||||
| Series A, AMT, 5.00%, 07/01/47 |
995 | 1,117,740 | ||||||
| Series A, AMT, 5.00%, 07/01/48 |
955 | 1,090,033 | ||||||
| Utah Charter School Finance Authority, RB, Series A, 5.00%, 06/15/39(b) |
100 | 105,324 | ||||||
| Utah Charter School Finance Authority, Refunding RB, 5.00%, 06/15/40(b) |
135 | 150,340 | ||||||
|
|
|
|||||||
| 3,844,236 | ||||||||
| Vermont — 0.7% | ||||||||
| Vermont Educational & Health Buildings Financing Agency, Refunding RB |
||||||||
| 5.00%, 11/01/49 |
1,915 | 2,307,079 | ||||||
| 4.00%, 11/01/50 |
1,725 | 1,939,421 | ||||||
| Vermont Student Assistance Corp., RB, Series A, AMT, 3.38%, 06/15/36 |
345 | 343,872 | ||||||
|
|
|
|||||||
| 4,590,372 | ||||||||
| Virginia — 1.5% | ||||||||
| Ballston Quarter Community Development Authority, TA |
||||||||
| Series A, 5.00%, 03/01/26 |
370 | 361,011 | ||||||
| Series A, 5.13%, 03/01/31 |
790 | 720,328 | ||||||
| Front Royal & Warren County Industrial Development Authority, RB, 4.00%, 01/01/50 |
865 | 926,559 | ||||||
| Henrico County Economic Development Authority, Refunding RB, 4.00%, 10/01/45 |
305 | 327,928 | ||||||
| Lynchburg Economic Development Authority, Refunding RB, 4.00%, 01/01/55 |
365 | 403,195 | ||||||
| Tobacco Settlement Financing Corp., Refunding RB, Series B-1, 5.00%, 06/01/47 |
1,010 | 1,017,352 | ||||||
| S C H E D U L E O F I N V E S T M E N T S |
29 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Virginia (continued) | ||||||||
| Virginia Housing Development Authority, RB, M/F Housing, Series 1, (FHLMC, FNMA, GNMA), 2.55%, 11/01/50 |
$ | 1,520 | $ | 1,347,357 | ||||
| Virginia Small Business Financing Authority, Refunding RB |
||||||||
| AMT, Senior Lien, 5.25%, 01/01/32 |
2,005 | 2,034,796 | ||||||
| AMT, Senior Lien, 6.00%, 01/01/37 |
3,440 | 3,491,744 | ||||||
|
|
|
|||||||
| 10,630,270 | ||||||||
| Washington — 3.1% | ||||||||
| Grant County Public Utility District No.2 Priest Rapids Hydroelectric Project, Refunding RB, Series A, 5.00%, 01/01/26(c) |
2,335 | 2,654,442 | ||||||
| Port of Seattle Washington, ARB |
||||||||
| Series A, AMT, 5.00%, 05/01/43 |
1,615 | 1,823,703 | ||||||
| Series C, AMT, 5.00%, 04/01/40 |
1,050 | 1,132,567 | ||||||
| Port of Seattle Washington, Refunding ARB, Series C, AMT, Intermediate Lien, 5.00%, 08/01/46 |
6,320 | 7,544,045 | ||||||
| Washington Health Care Facilities Authority, RB, Series A, Catholic Health Services, 5.75%, 01/01/23(c) |
3,160 | 3,288,789 | ||||||
| Washington Health Care Facilities Authority, Refunding RB, Series A, 4.00%, 08/01/44 |
375 | 407,920 | ||||||
| Washington State Housing Finance Commission, RB, M/F Housing, Series A-1, 3.50%, 12/20/35 |
1,959 | 2,054,352 | ||||||
| Washington State Housing Finance Commission, Refunding RB(b) |
||||||||
| 5.00%, 01/01/43 |
1,000 | 1,116,948 | ||||||
| 5.00%, 01/01/48 |
1,405 | 1,561,230 | ||||||
|
|
|
|||||||
| 21,583,996 | ||||||||
| West Virginia — 0.1% | ||||||||
| City of Martinsburg West Verginia, RB, M/F Housing, Series A-1, 4.63%, 12/01/43 |
570 | 610,621 | ||||||
|
|
|
|||||||
| Wisconsin — 1.4% | ||||||||
| Public Finance Authority, RB |
||||||||
| Series A, 5.00%, 11/15/41 |
205 | 241,270 | ||||||
| Series A, 5.00%, 07/01/55(b) |
120 | 126,965 | ||||||
| Series A-1, 4.50%, 01/01/35(b) |
210 | 219,157 | ||||||
| AMT, 4.00%, 09/30/51 |
1,835 | 1,931,191 | ||||||
| AMT, 4.00%, 03/31/56 |
1,925 | 2,007,929 | ||||||
| Public Finance Authority, Refunding RB(b) |
||||||||
| 5.25%, 05/15/52 |
735 | 787,776 | ||||||
| 5.00%, 09/01/54 |
115 | 121,087 | ||||||
| Wisconsin Health & Educational Facilities Authority, RB, 4.00%, 08/15/46 |
3,280 | 3,657,344 | ||||||
| Wisconsin Housing & Economic Development Authority, RB, M/F Housing, Series A, 4.70%, 07/01/47 |
660 | 696,604 | ||||||
|
|
|
|||||||
| 9,789,323 | ||||||||
|
|
|
|||||||
| Total Municipal Bonds — 129.0% |
|
888,849,463 | ||||||
|
|
|
|||||||
| Municipal Bonds Transferred to Tender Option Bond Trusts(i) |
| |||||||
| California — 3.6% | ||||||||
| Bay Area Toll Authority, Refunding RB, 4.00%, 04/01/42(j) |
3,358 | 3,647,346 | ||||||
| Security | Par (000) |
Value | ||||||
| California (continued) | ||||||||
| City of Los Angeles Department of Airports, ARB, Series B, AMT, 5.00%, 05/15/46 |
$ | 4,050 | $ | 4,487,262 | ||||
| Fremont Union High School District, Refunding GO, Series A, 4.00%, 08/01/46 |
1,839 | 2,004,433 | ||||||
| Sacramento Area Flood Control Agency, Refunding SAB |
||||||||
| 5.00%, 10/01/47 |
3,344 | 3,832,018 | ||||||
| Series A, 5.00%, 10/01/43 |
4,725 | 5,418,753 | ||||||
| San Diego County Regional Airport Authority, ARB(j) |
||||||||
| Series B, AMT, Subordinate, 4.00%, 07/01/56 |
1,441 | 1,567,964 | ||||||
| Series B, AMT, Subordinate, 5.00%, 07/01/56 |
3,436 | 4,047,873 | ||||||
|
|
|
|||||||
| 25,005,649 | ||||||||
| Colorado — 1.2% | ||||||||
| City & County of Denver Colorado Airport System Revenue, Refunding ARB, Series A, AMT, 5.25%, 12/01/48(j) |
2,463 | 2,867,352 | ||||||
| Colorado Health Facilities Authority, Refunding RB, Series A, 4.00%, 08/01/49(j) |
3,920 | 4,221,173 | ||||||
| County of Adams Colorado, Refunding COP, 4.00%, 12/01/45 |
1,180 | 1,243,755 | ||||||
|
|
|
|||||||
| 8,332,280 | ||||||||
| Connecticut — 0.2% | ||||||||
| Connecticut State Health & Educational Facilities Authority, Refunding RB, 5.00%, 12/01/45 |
1,216 | 1,365,397 | ||||||
|
|
|
|||||||
| District of Columbia — 1.5% | ||||||||
| District of Columbia Housing Finance Agency, RB, M/F Housing, Series B-2, (FHA), 4.10%, 09/01/39 |
2,361 | 2,522,336 | ||||||
| Metropolitan Washington Airports Authority Dulles Toll Road Revenue, Refunding RB, Series B, Subordinate, (AGM), 4.00%, 10/01/53 |
6,986 | 7,624,576 | ||||||
|
|
|
|||||||
| 10,146,912 | ||||||||
| Florida — 0.9% | ||||||||
| Escambia County Health Facilities Authority, Refunding RB, 4.00%, 08/15/45(j) |
5,672 | 6,167,811 | ||||||
|
|
|
|||||||
| Georgia — 0.9% | ||||||||
| Dalton Whitfield County Joint Development Authority, RB, 4.00%, 08/15/48 |
4,396 | 4,740,587 | ||||||
| Georgia Housing & Finance Authority, Refunding RB, Series A, 3.60%, 12/01/44 |
1,582 | 1,639,805 | ||||||
|
|
|
|||||||
| 6,380,392 | ||||||||
| Idaho — 0.7% | ||||||||
| Idaho State Building Authority, RB, Series A, 4.00%, 09/01/48. |
4,800 | 5,201,748 | ||||||
|
|
|
|||||||
| Illinois — 0.9% | ||||||||
| Illinois Finance Authority, Refunding RB, Series C, 4.00%, 02/15/41 |
1,544 | 1,674,715 | ||||||
| Illinois State Toll Highway Authority, RB, Series C, 5.00%, 01/01/38 |
4,244 | 4,647,666 | ||||||
|
|
|
|||||||
| 6,322,381 | ||||||||
| Iowa — 0.4% | ||||||||
| Iowa Finance Authority, Refunding RB, Series E, 4.00%, 08/15/46 |
2,730 | 2,872,659 | ||||||
|
|
|
|||||||
| Massachusetts — 1.7% | ||||||||
| Commonwealth of Massachusetts Transportation Fund Revenue, RB, Series A, 4.00%, 06/01/45 |
2,238 | 2,361,409 | ||||||
| 30 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Massachusetts (continued) | ||||||||
| Massachusetts Development Finance Agency, Refunding RB, 5.00%, 07/01/47 |
$ | 4,979 | $ | 5,623,275 | ||||
| Massachusetts Housing Finance Agency, RB, M/F Housing, Series A-1, (FHA), 3.10%, 06/01/60 |
2,643 | 2,540,964 | ||||||
| Massachusetts Housing Finance Agency, Refunding RB, Series A, AMT, 4.50%, 12/01/47 |
1,273 | 1,320,186 | ||||||
|
|
|
|||||||
| 11,845,834 | ||||||||
| Michigan — 1.5% | ||||||||
| Michigan Finance Authority, RB, 4.00%, 02/15/47 |
4,376 | 4,820,306 | ||||||
| Michigan State Housing Development Authority, RB, M/F Housing, Series A, 4.15%, 10/01/53 |
5,000 | 5,268,669 | ||||||
|
|
|
|||||||
| 10,088,975 | ||||||||
| New Jersey — 0.3% | ||||||||
| New Jersey Higher Education Student Assistance Authority, Refunding RB, Series C, AMT, 4.25%, 12/01/50. |
1,804 | 1,873,345 | ||||||
|
|
|
|||||||
| New York — 6.0% |
||||||||
| City of New York, GO, Sub-Series-D1, Series D, 5.00%, 12/01/43(j) |
2,380 | 2,812,600 | ||||||
| New York City Housing Development Corp., Refunding RB, Series A, 4.15%, 11/01/38. |
5,270 | 5,565,990 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, RB, Series C, Subordinate, 3.00%, 05/01/46 |
3,020 | 3,036,565 | ||||||
| New York City Water & Sewer System, Refunding RB, Series FF, 5.00%, 06/15/45 |
2,499 | 2,524,629 | ||||||
| New York Power Authority, Refunding RB, Series A, 4.00%, 11/15/60 |
1,459 | 1,608,275 | ||||||
| New York State Dormitory Authority, Refunding RB, Series D, 4.00%, 02/15/47 |
6,576 | 7,233,412 | ||||||
| New York State Thruway Authority, Refunding RB, Series B, Subordinate, 4.00%, 01/01/50 |
3,164 | 3,436,445 | ||||||
| New York State Urban Development Corp., RB, Series A, 4.00%, 03/15/46 |
7,217 | 7,907,089 | ||||||
| Port Authority of New York & New Jersey, ARB, Series 221, AMT, 4.00%, 07/15/60 |
2,817 | 3,029,350 | ||||||
| Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55 |
3,600 | 4,027,954 | ||||||
|
|
|
|||||||
| 41,182,309 | ||||||||
| North Carolina — 0.7% | ||||||||
| North Carolina Capital Facilities Finance Agency, Refunding RB, Series B, 5.00%, 10/01/25 |
3,540 | 3,963,593 | ||||||
| North Carolina Housing Finance Agency, RB, S/F Housing, Series 39-B, (FHLMC, FNMA, GNMA), 4.00%, 01/01/48 |
1,206 | 1,287,383 | ||||||
|
|
|
|||||||
| 5,250,976 | ||||||||
| Pennsylvania — 3.1% | ||||||||
| County of Lehigh Pennsylvania, Refunding RB, Series A, 4.00%, 07/01/49(j) |
7,498 | 8,240,433 | ||||||
| Security | Par (000) |
Value | ||||||
| Pennsylvania (continued) | ||||||||
| Pennsylvania Turnpike Commission, RB, Sub-Series A, 5.50%, 12/01/42 |
$ | 7,078 | $ | 8,195,987 | ||||
| Pennsylvania Turnpike Commission, Refunding RB, Sub-Series B-2, (AGM), 5.00%, 06/01/35 |
3,110 | 3,649,548 | ||||||
| Westmoreland County Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/38 |
1,034 | 1,144,070 | ||||||
|
|
|
|||||||
| 21,230,038 | ||||||||
| Rhode Island — 1.1% | ||||||||
| Narragansett Bay Commission, Refunding RB, Series A, 4.00%, 09/01/43 |
1,695 | 1,723,125 | ||||||
| Rhode Island Health and Educational Building Corp., RB, Series A, 4.00%, 09/15/47 |
5,571 | 6,155,519 | ||||||
|
|
|
|||||||
| 7,878,644 | ||||||||
| Texas — 3.3% | ||||||||
| Board of Regents of the University of Texas System, Refunding RB, Series B, 5.00%, 08/15/43 |
4,322 | 4,392,929 | ||||||
| City of San Antonio Texas Electric & Gas Systems Revenue, RB, Junior Lien, 5.00%, 02/01/43 |
3,440 | 3,568,067 | ||||||
| Lower Colorado River Authority, Refunding, RB, 4.00%, 05/15/43 |
2,241 | 2,252,207 | ||||||
| Texas Department of Housing & Community Affairs, RB, S/F Housing |
||||||||
| Series A, (GNMA), 3.63%, 09/01/44 |
2,107 | 2,185,360 | ||||||
| Series A, (GNMA), 3.75%, 09/01/49 |
1,493 | 1,549,116 | ||||||
| Texas Water Development Board, RB, Series A, 4.00%, 10/15/49 |
7,600 | 8,596,151 | ||||||
|
|
|
|||||||
| 22,543,830 | ||||||||
| Virginia — 2.5% | ||||||||
| Hampton Roads Transportation Accountability Commission, RB(j) |
||||||||
| Series A, Senior Lien, 5.50%, 07/01/57 |
4,553 | 5,420,929 | ||||||
| Series A, Senior Lien, 4.00%, 07/01/60 |
5,115 | 5,736,680 | ||||||
| Virginia Small Business Financing Authority, Refunding RB, Series A, 4.00%, 12/01/49 |
5,320 | 5,903,077 | ||||||
|
|
|
|||||||
| 17,060,686 | ||||||||
| West Virginia — 0.7% | ||||||||
| Morgantown Utility Board, Inc., RB, Series B, 4.00%, 12/01/48(j) |
4,222 | 4,582,937 | ||||||
|
|
|
|||||||
| Wisconsin — 1.4% | ||||||||
| Wisconsin Health & Educational Facilities Authority, Refunding RB, 4.00%, 12/01/46 |
3,072 | 3,270,308 | ||||||
| S C H E D U L E O F I N V E S T M E N T S |
31 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Wisconsin (continued) | ||||||||
| Wisconsin Housing & Economic Development Authority, RB, M/F Housing |
||||||||
| Series A, 4.10%, 11/01/43 |
$ | 2,658 | $ | 2,827,895 | ||||
| Series A, 4.45%, 05/01/57 |
3,322 | 3,534,869 | ||||||
|
|
|
|||||||
| 9,633,072 | ||||||||
|
|
|
|||||||
| Total Municipal Bonds Transferred to Tender Option Bond Trusts —
32.6% |
|
|||||||
| (Cost: $215,510,926) |
224,965,875 | |||||||
|
|
|
|||||||
| Total Long-Term Investments — 161.6% |
1,113,815,338 | |||||||
|
|
|
|||||||
| Shares | ||||||||
| Short-Term Securities | ||||||||
| Money Market Funds — 0.5% |
||||||||
| BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.01%(k)(l) |
3,555,847 | 3,555,847 | ||||||
|
|
|
|||||||
| Total Short-Term Securities — 0.5% |
|
3,555,847 | ||||||
|
|
|
|||||||
| Total Investments — 162.1% |
|
1,117,371,185 | ||||||
| Other Assets Less Liabilities — 0.8% |
|
5,423,681 | ||||||
| Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (19.0)% |
|
(130,966,652 | ) | |||||
| VMTP Shares at Liquidation Value, Net of Deferred Offering Costs — (43.9)% |
|
(302,693,355 | ) | |||||
|
|
|
|||||||
| Net Assets Applicable to Common Shares — 100.0% |
|
$ | 689,134,859 | |||||
|
|
|
|||||||
| (a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| (b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (c) | 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. |
| (d) | Zero-coupon bond. |
| (e) | Issuer filed for bankruptcy and/or is in default. |
| (f) | Non-income producing security. |
| (g) | When-issued security. |
| (h) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| (i) | Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details. |
| (j) | All or a portion of the security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between April 1, 2025 to July 1, 2029, is $27,944,457. See Note 4 of the Notes to Financial Statements for details. |
| (k) | Affiliate of the Trust. |
| (l) | Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the six months ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 08/31/21 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 02/28/22 |
Shares Held at 02/28/22 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
| BlackRock Liquidity Funds, MuniCash, Institutional Class |
$ | 15,829,553 | $ | — | $ | (12,271,934 | )(a) | $ | (1,582 | ) | $ | (190 | ) | $ | 3,555,847 | 3,555,847 | $ | 318 | $ | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
(a) Represents net amount purchased (sold).
| 32 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||||
| Short Contracts |
||||||||||||||||
| 10-Year U.S. Treasury Note |
180 | 06/21/22 | $ | 22,942 | $ | (191,542 | ) | |||||||||
| U.S. Long Bond |
152 | 06/21/22 | 23,869 | (396,107 | ) | |||||||||||
| 5-Year U.S. Treasury Note |
125 | 06/30/22 | 14,783 | (103,519 | ) | |||||||||||
|
|
|
|||||||||||||||
| $ | (691,168 | ) | ||||||||||||||
|
|
|
|||||||||||||||
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
| Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
| Futures contracts |
||||||||||||||||||||||||||||
| Unrealized depreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 691,168 | $ | — | $ | 691,168 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
For the period ended February 28, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
| Net Realized Gain (Loss) from: |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 3,760,488 | $ | — | $ | 3,760,488 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | (349,960 | ) | $ | — | $ | (349,960 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| Futures contracts: |
||||
| Average notional value of contracts — short |
$ | 78,245,040 |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Investments |
||||||||||||||||
| Long-Term Investments |
||||||||||||||||
| Municipal Bonds |
$ | — | $ | 888,849,463 | $ | — | $ | 888,849,463 | ||||||||
| Municipal Bonds Transferred to Tender Option Bond Trusts |
— | 224,965,875 | — | 224,965,875 | ||||||||||||
| S C H E D U L E O F I N V E S T M E N T S |
33 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock Municipal Income Trust II (BLE) |
Fair Value Hierarchy as of Period End (continued)
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Short-Term Securities |
||||||||||||||||
| Money Market Funds |
$ | 3,555,847 | $ | — | $ | — | $ | 3,555,847 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 3,555,847 | $ | 1,113,815,338 | $ | — | $ | 1,117,371,185 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivative Financial Instruments(a) |
||||||||||||||||
| Liabilities |
||||||||||||||||
| Interest Rate Contracts |
$ | (691,168 | ) | $ | — | $ | — | $ | (691,168 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the fair value hierarchy as follows:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Liabilities |
||||||||||||||||
| TOB Trust Certificates |
$ | — | $ | (130,922,743 | ) | $ | — | $ | (130,922,743 | ) | ||||||
| VMTP Shares at Liquidation Value |
— | (302,700,000 | ) | — | (302,700,000 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | — | $ | (433,622,743 | ) | $ | — | $ | (433,622,743 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
See notes to financial statements.
| 34 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) February 28, 2022 |
BlackRock MuniHoldings Investment Quality Fund (MFL) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Municipal Bonds |
||||||||
| Arizona — 4.1% | ||||||||
| Arizona Industrial Development Authority, RB(a) |
||||||||
| 4.38%, 07/01/39 |
$ | 1,015 | $ | 1,081,360 | ||||
| Series A, 5.00%, 07/01/39 |
855 | 889,406 | ||||||
| Series A, 5.00%, 07/01/49 |
965 | 996,515 | ||||||
| Series A, 5.00%, 07/01/54 |
745 | 768,186 | ||||||
| Industrial Development Authority of the County of Pima, Refunding RB(a) |
||||||||
| 5.00%, 06/15/47 |
1,480 | 1,494,372 | ||||||
| 5.00%, 06/15/52 |
825 | 857,135 | ||||||
| Maricopa County Industrial Development Authority, Refunding RB |
||||||||
| 5.00%, 07/01/39(a) |
360 | 409,360 | ||||||
| 5.00%, 07/01/54(a) |
820 | 905,301 | ||||||
| Series A, 5.00%, 01/01/38 |
3,000 | 3,439,149 | ||||||
| Salt River Project Agricultural Improvement & Power District, RB, 4.00%, 01/01/41. |
10,000 | 11,365,980 | ||||||
|
|
|
|||||||
| 22,206,764 | ||||||||
| Arkansas — 0.5% | ||||||||
| Arkansas Development Finance Authority, RB, Series A, AMT, 4.50%, 09/01/49(a) |
2,395 | 2,565,646 | ||||||
|
|
|
|||||||
| California — 18.4% | ||||||||
| California Community Choice Financing Authority, RB, Series B-1, 4.00%, 02/01/52(b) |
4,390 | 5,006,049 | ||||||
| California Community Housing Agency, RB, M/F Housing(a) |
||||||||
| Series A, 5.00%, 04/01/49 |
370 | 396,538 | ||||||
| Series A-2, 4.00%, 08/01/47 |
2,380 | 2,221,042 | ||||||
| California State Public Works Board, RB |
||||||||
| Series I, 5.50%, 11/01/30 |
4,500 | 4,814,739 | ||||||
| Series I, 5.50%, 11/01/33 |
2,000 | 2,137,822 | ||||||
| California State University, Refunding RB, Series A, 5.00%, 11/01/42 |
3,500 | 4,053,392 | ||||||
| City of Los Angeles Department of Airports, ARB AMT, 5.00%, 05/15/45 |
8,500 | 10,312,328 | ||||||
| Series A, AMT, 4.00%, 05/15/42 |
8,000 | 8,932,048 | ||||||
| CMFA Special Finance Agency XII, RB, M/F Housing, Series A, 3.25%, 02/01/57(a) |
240 | 204,799 | ||||||
| CSCDA Community Improvement Authority, RB, M/F Housing(a) |
||||||||
| Class 2, 4.00%, 06/01/58 |
1,955 | 1,829,161 | ||||||
| Senior Lien, 3.13%, 06/01/57 |
1,320 | 1,099,102 | ||||||
| Class 2, Senior Lien, 4.00%, 12/01/58 |
1,545 | 1,465,955 | ||||||
| CSCDA Community Improvement Authority, RB, S/F Housing, 3.00%, 03/01/57(a) |
760 | 629,715 | ||||||
| Glendale Community College District/CA, GO, Series B, 4.00%, 08/01/50 |
6,750 | 7,519,500 | ||||||
| Golden State Tobacco Securitization Corp., Refunding RB, CAB, Series B, 0.00%, 06/01/66(c) |
5,310 | 788,392 | ||||||
| Manteca Financing Authority, RB, Series A, (AGC-ICC), 5.75%, 12/01/36 |
3,285 | 3,296,727 | ||||||
| Regents of the University of California Medical Center Pooled Revenue, Refunding RB, Series J, 5.25%, 05/15/38 |
2,705 | 2,826,333 | ||||||
| San Francisco City & County Airport Comm-San Francisco International Airport, Refunding ARB |
||||||||
| Series A, AMT, 5.25%, 05/01/33 |
6,370 | 6,636,043 | ||||||
| Series A, AMT, 5.00%, 05/01/38 |
3,040 | 3,577,356 | ||||||
| Security | Par (000) |
Value | ||||||
| California (continued) | ||||||||
| San Francisco City & County Airport Comm-San Francisco International Airport, Refunding ARB (continued) |
||||||||
| Series A, AMT, 5.00%, 05/01/44 |
$ | 3,430 | $ | 3,624,165 | ||||
| Series B, AMT, 5.00%, 05/01/46 |
7,855 | 8,731,249 | ||||||
| San Mateo Joint Powers Financing Authority, RB, Class A, 3.00%, 06/15/46 |
7,615 | 7,740,495 | ||||||
| University of California, Refunding RB, Series AR, 5.00%, 05/15/38 |
10,200 | 11,651,032 | ||||||
|
|
|
|||||||
| 99,493,982 | ||||||||
| Colorado — 3.2% | ||||||||
| City & County of Denver Colorado Airport System Revenue, ARB |
||||||||
| Series A, AMT, 5.50%, 11/15/28 |
2,700 | 2,885,663 | ||||||
| Series A, AMT, 5.50%, 11/15/30 |
1,040 | 1,110,504 | ||||||
| Series A, AMT, 5.50%, 11/15/31 |
1,250 | 1,334,155 | ||||||
| City & County of Denver Colorado Airport System Revenue, Refunding ARB, Series A, AMT, 5.00%, 12/01/43 |
10,500 | 12,113,493 | ||||||
|
|
|
|||||||
| 17,443,815 | ||||||||
| Connecticut — 0.0% |
||||||||
| Connecticut State Health & Educational Facilities Authority, RB, Series A-1, 5.00%, 10/01/54(a) |
235 | 254,401 | ||||||
|
|
|
|||||||
| District of Columbia — 1.6% |
||||||||
| District of Columbia, Refunding GO |
||||||||
| Series D, 4.00%, 02/01/39 |
1,520 | 1,754,889 | ||||||
| Series D, 4.00%, 02/01/40 |
1,000 | 1,151,922 | ||||||
| Metropolitan Washington Airports Authority Aviation Revenue, Refunding ARB, Series A, AMT, 4.00%, 10/01/51 |
5,500 | 6,021,559 | ||||||
|
|
|
|||||||
| 8,928,370 | ||||||||
| Florida — 3.5% | ||||||||
| Capital Trust Agency, Inc., RB(a) |
||||||||
| Series A, 5.00%, 06/01/45 |
850 | 875,495 | ||||||
| Series SE, 3.00%, 07/01/31 |
125 | 125,527 | ||||||
| Series SE, 4.00%, 07/01/41 |
285 | 299,819 | ||||||
| Series SE, 4.00%, 07/01/51 |
335 | 346,479 | ||||||
| Series SE, 4.00%, 07/01/56 |
280 | 288,464 | ||||||
| County of Miami-Dade Seaport Department, ARB(d) |
||||||||
| Series B, AMT, 6.00%, 10/01/23 |
1,885 | 2,028,207 | ||||||
| Series B, AMT, 6.25%, 10/01/23 |
1,405 | 1,515,380 | ||||||
| Esplanade Lake Club Community Development District, SAB |
||||||||
| Series A-1, 4.00%, 11/01/40 |
1,080 | 1,104,385 | ||||||
| Series A-1, 4.13%, 11/01/50 |
385 | 392,444 | ||||||
| Series A-2, 4.00%, 11/01/40 |
400 | 409,032 | ||||||
| Series A-2, 4.13%, 11/01/50 |
435 | 443,411 | ||||||
| Florida Development Finance Corp., RB(a) AMT, 5.00%, 05/01/29 |
825 | 869,015 | ||||||
| Series A, AMT, 5.00%, 08/01/29(b) |
325 | 329,566 | ||||||
| Florida Development Finance Corp., Refunding RB, Series C, 5.00%, 09/15/50(a) |
475 | 506,582 | ||||||
| Hillsborough County Aviation Authority, Refunding
RB(d) |
3,255 | 3,441,215 | ||||||
| S C H E D U LE O F I N V E S T M E N T S |
35 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock MuniHoldings Investment Quality Fund (MFL) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Florida (continued) | ||||||||
| Hillsborough County Aviation Authority, Refunding RB(d) (continued) |
||||||||
| Sub-Series A, AMT, 5.50%, 10/01/23 |
$ | 5,360 | $ | 5,689,876 | ||||
| Lee County Housing Finance Authority, RB, S/F Housing, Series A-2, AMT, (FHLMC, FNMA, GNMA), 6.00%, 09/01/40 |
130 | 130,440 | ||||||
|
|
|
|||||||
| 18,795,337 | ||||||||
| Hawaii — 1.9% | ||||||||
| State of Hawaii Airports System Revenue, ARB |
||||||||
| AMT, 5.25%, 08/01/25 |
1,350 | 1,423,616 | ||||||
| AMT, 5.25%, 08/01/26 |
2,500 | 2,633,792 | ||||||
| Series A, AMT, 5.00%, 07/01/45 |
5,985 | 6,508,005 | ||||||
|
|
|
|||||||
| 10,565,413 | ||||||||
| Idaho — 2.1% | ||||||||
| Idaho Health Facilities Authority, RB, 4.00%, 12/01/43 |
10,000 | 11,210,570 | ||||||
|
|
|
|||||||
| Illinois — 15.3% | ||||||||
| Chicago Board of Education, GO |
||||||||
| Series A, 5.00%, 12/01/36 |
1,760 | 2,030,206 | ||||||
| Series A, 5.00%, 12/01/38 |
715 | 822,412 | ||||||
| Series A, 5.00%, 12/01/39 |
630 | 722,600 | ||||||
| Series A, 5.00%, 12/01/40 |
1,285 | 1,470,896 | ||||||
| Series A, 5.00%, 12/01/47 |
835 | 951,133 | ||||||
| Chicago Board of Education, Refunding GO, Series A, 5.00%, 12/01/30 |
1,485 | 1,717,873 | ||||||
| Chicago Board of Education, Refunding GO, CAB, Series A, 0.00%, 12/01/25(c) |
395 | 365,148 | ||||||
| Chicago Midway International Airport, Refunding ARB, Series A, 2nd Lien, AMT, 5.00%, 01/01/41 |
8,020 | 8,455,229 | ||||||
| Chicago Midway International Airport, Refunding RB |
||||||||
| Series A, 2nd Lien, AMT, 5.50%, 01/01/30 |
6,500 | 6,709,937 | ||||||
| Series A, 2nd Lien, AMT, 5.50%, 01/01/32 |
6,275 | 6,474,746 | ||||||
| Chicago O’Hare International Airport, ARB, Series D, Senior Lien, 5.25%, 01/01/42 |
2,630 | 3,009,512 | ||||||
| Chicago O’Hare International Airport, Refunding RB |
||||||||
| Series B, Senior Lien, 5.00%, 01/01/35 |
4,400 | 5,051,473 | ||||||
| Series C, Senior Lien, 4.00%, 01/01/38 |
3,820 | 4,247,702 | ||||||
| Series E, Senior Lien, (AGM), 4.00%, 01/01/39 |
5,000 | 5,592,875 | ||||||
| Illinois State Toll Highway Authority, RB |
||||||||
| Series A, 5.00%, 01/01/40 |
5,000 | 5,517,570 | ||||||
| Series A, 4.00%, 01/01/42 |
4,990 | 5,635,931 | ||||||
| Series A, 5.00%, 01/01/46 |
2,960 | 3,632,325 | ||||||
| State of Illinois, GO |
||||||||
| 5.50%, 05/01/39 |
15,000 | 17,895,990 | ||||||
| 5.75%, 05/01/45 |
2,000 | 2,403,850 | ||||||
|
|
|
|||||||
| 82,707,408 | ||||||||
| Indiana — 0.3% | ||||||||
| Indiana Finance Authority, RB |
||||||||
| Series A, 5.00%, 06/01/41 |
550 | 592,709 | ||||||
| Series A, 5.00%, 06/01/51 |
405 | 428,333 | ||||||
| Series A, 5.00%, 06/01/56 |
360 | 378,885 | ||||||
|
|
|
|||||||
| 1,399,927 | ||||||||
| Massachusetts — 7.0% | ||||||||
| Commonwealth of Massachusetts, GO, Series G, 4.00%, 09/01/42 |
20,000 | 21,719,260 | ||||||
| Massachusetts Development Finance Agency, Refunding RB, 5.00%, 07/01/41 |
4,710 | 5,343,509 | ||||||
| Massachusetts Educational Financing Authority, RB, AMT, 5.00%, 01/01/27 |
1,000 | 1,087,018 | ||||||
| Security | Par (000) |
Value | ||||||
| Massachusetts (continued) | ||||||||
| Massachusetts Housing Finance Agency, Refunding RB, M/F Housing, Series G, 3.45%, 12/01/30 |
$ | 3,100 | $ | 3,227,518 | ||||
| Massachusetts School Building Authority, RB, Sub-Series B, 4.00%, 02/15/42 |
6,200 | 6,497,526 | ||||||
|
|
|
|||||||
| 37,874,831 | ||||||||
| Michigan — 2.5% | ||||||||
| City of Detroit Michigan Water Supply System Revenue, RB, Series B, 2nd Lien, (AGM), 6.25%, 07/01/36 |
10 | 10,038 | ||||||
| Michigan Finance Authority, RB |
||||||||
| 4.00%, 12/01/40 |
2,140 | 2,394,829 | ||||||
| 4.00%, 02/15/44 |
10,000 | 11,066,770 | ||||||
|
|
|
|||||||
| 13,471,637 | ||||||||
| Mississippi — 2.5% | ||||||||
| Mississippi Development Bank, RB |
||||||||
| (AGM), 6.75%, 12/01/31 |
3,775 | 4,118,861 | ||||||
| (AGM), 6.75%, 12/01/33 |
2,350 | 2,561,133 | ||||||
| (AGM), 6.88%, 12/01/40 |
6,405 | 6,966,853 | ||||||
|
|
|
|||||||
| 13,646,847 | ||||||||
| New Jersey — 13.9% | ||||||||
| New Jersey Economic Development Authority, RB |
||||||||
| AMT, (AGM), 5.00%, 01/01/31 |
2,425 | 2,586,587 | ||||||
| AMT, 5.38%, 01/01/43 |
7,000 | 7,416,661 | ||||||
| New Jersey Economic Development Authority, Refunding RB, Series BBB, 5.50%, 12/15/26(d) |
4,080 | 4,838,186 | ||||||
| New Jersey Higher Education Student Assistance Authority, Refunding RB, 1st Series, AMT, 5.75%, 12/01/28 |
1,450 | 1,451,256 | ||||||
| New Jersey Transportation Trust Fund Authority, RB |
||||||||
| Series AA, 5.50%, 06/15/39 |
8,175 | 8,560,623 | ||||||
| Series AA, 4.00%, 06/15/40 |
4,000 | 4,393,524 | ||||||
| Series BB, 5.00%, 06/15/44 |
5,000 | 5,707,720 | ||||||
| Series S, 5.25%, 06/15/43 |
10,000 | 11,729,690 | ||||||
| State of New Jersey GO, 2.00%, 06/01/34 |
12,520 | 11,807,700 | ||||||
| Tobacco Settlement Financing Corp., Refunding RB, Sub-Series B, 5.00%, 06/01/46 |
15,000 | 16,671,765 | ||||||
|
|
|
|||||||
| 75,163,712 | ||||||||
| New Mexico — 0.1% | ||||||||
| City of Santa Fe New Mexico, RB, Series A, 5.00%, 05/15/39 |
310 | 341,398 | ||||||
|
|
|
|||||||
| New York — 15.9% | ||||||||
| Metropolitan Transportation Authority, RB |
||||||||
| Series A-1, 5.25%, 11/15/39 |
7,005 | 7,341,037 | ||||||
| Series C, 5.00%, 11/15/38 |
4,450 | 4,629,580 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, RB, Series C-3, Subordinate, 4.00%, 05/01/43 |
5,000 | 5,463,035 | ||||||
| New York City Water & Sewer System, RB, Series CC-1, Subordinate, 5.00%, 06/15/51 |
5,385 | 6,630,513 | ||||||
| New York Convention Center Development Corp., RB, CAB, Series B, Sub Lien, (BAM-TCRS), 0.00%, 11/15/40(c) |
7,000 | 3,915,142 | ||||||
| New York Liberty Development Corp., Refunding RB |
||||||||
| Series 1, Class 1, 5.00%, 11/15/44(a) |
1,730 | 1,854,371 | ||||||
| Series A, 2.88%, 11/15/46 |
12,000 | 11,408,820 | ||||||
| New York Power Authority, RB, Series A, 4.00%, 11/15/50 |
10,135 | 11,244,306 | ||||||
| New York State Dormitory Authority, Refunding RB, Series E, 4.00%, 03/15/45 |
10,000 | 11,236,360 | ||||||
| 36 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock MuniHoldings Investment Quality Fund (MFL) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| New York (continued) | ||||||||
| New York State Urban Development Corp., RB, Series A, 3.00%, 03/15/41 |
$ | 8,515 | $ | 8,650,176 | ||||
| New York State Urban Development Corp., Refunding RB, Series A, 3.00%, 03/15/40 |
3,405 | 3,467,982 | ||||||
| New York Transportation Development Corp., RB |
||||||||
| AMT, 5.00%, 10/01/35 |
630 | 752,106 | ||||||
| AMT, 5.00%, 10/01/40 |
1,775 | 2,078,282 | ||||||
| Triborough Bridge & Tunnel Authority, Refunding RB |
||||||||
| 4.00%, 05/15/51 |
2,250 | 2,534,033 | ||||||
| Series B, 5.00%, 11/15/38 |
4,400 | 5,107,194 | ||||||
|
|
|
|||||||
| 86,312,937 | ||||||||
| Ohio — 4.4% | ||||||||
| Buckeye Tobacco Settlement Financing Authority, Refunding RB, Series B-2, Class 2, 5.00%, 06/01/55 |
8,490 | 9,220,369 | ||||||
| Ohio Turnpike & Infrastructure Commission, Refunding RB |
||||||||
| Series A-1, Junior Lien, 5.25%, 02/15/31 |
5,145 | 5,353,789 | ||||||
| Series A-1, Junior Lien, 5.25%, 02/15/32 |
2,250 | 2,341,224 | ||||||
| State of Ohio, RB, 4.00%, 01/01/41 |
6,000 | 6,657,756 | ||||||
| State of Ohio, Refunding RB, Series A, 4.00%, 01/01/28(d) |
25 | 28,507 | ||||||
|
|
|
|||||||
| 23,601,645 | ||||||||
| Pennsylvania — 4.7% | ||||||||
| Bristol Township School District, GO, (SAW), 5.25%, 06/01/23(d) |
3,000 | 3,159,255 | ||||||
| Bucks County Industrial Development Authority, RB |
||||||||
| 4.00%, 07/01/46 |
145 | 156,988 | ||||||
| 4.00%, 07/01/51 |
100 | 107,543 | ||||||
| Pennsylvania Turnpike Commission, RB, Sub-Series A, 5.50%, 12/01/46 |
18,570 | 21,794,086 | ||||||
|
|
|
|||||||
| 25,217,872 | ||||||||
| Puerto Rico — 4.8% | ||||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB |
||||||||
| Series A-1, Restructured, 4.75%, 07/01/53 |
719 | 792,654 | ||||||
| Series A-1, Restructured, 5.00%, 07/01/58 |
6,203 | 6,920,544 | ||||||
| Series A-2, Restructured, 4.33%, 07/01/40 |
12,484 | 13,698,668 | ||||||
| Series A-2, Restructured, 4.78%, 07/01/58 |
488 | 538,398 | ||||||
| Series B-1, Restructured, 4.75%, 07/01/53 |
749 | 825,819 | ||||||
| Series B-2, Restructured, 4.78%, 07/01/58 |
726 | 800,565 | ||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, CAB, Series A-1, Restructured, 0.00%, 07/01/46(c) |
8,018 | 2,607,414 | ||||||
|
|
|
|||||||
| 26,184,062 | ||||||||
| South Carolina — 5.6% | ||||||||
| Charleston County Airport District, ARB |
||||||||
| Series A, AMT, 5.25%, 07/01/25 |
4,490 | 4,722,066 | ||||||
| Series A, AMT, 5.50%, 07/01/38 |
3,000 | 3,149,028 | ||||||
| Series A, AMT, 6.00%, 07/01/38 |
5,270 | 5,566,295 | ||||||
| Series A, AMT, 5.50%, 07/01/41 |
4,170 | 4,372,654 | ||||||
| County of Charleston South Carolina, ARB, 5.25%, 12/01/23(d) |
6,735 | 7,223,691 | ||||||
| South Carolina Jobs-Economic Development Authority, Refunding RB, Series A, 5.00%, 05/01/37 |
4,480 | 5,215,818 | ||||||
|
|
|
|||||||
| 30,249,552 | ||||||||
| Security | Par (000) |
Value | ||||||
| Texas — 11.0% | ||||||||
| City of Dallas TX Waterworks & Sewer System Revenue Refunding RB, Series C, 3.00%, 10/01/46 |
$ | 5,110 | $ | 5,405,169 | ||||
| City of Houston Texas Airport System Revenue, RB, Series A, AMT, 6.63%, 07/15/38 |
700 | 702,164 | ||||||
| City of Houston Texas Airport System Revenue, Refunding ARB, AMT, 5.00%, 07/15/27 |
410 | 464,892 | ||||||
| City of Houston Texas Airport System Revenue, Refunding RB, Series A, AMT, 5.00%, 07/01/27 |
400 | 453,139 | ||||||
| Dallas Area Rapid Transit, Refunding RB, Senior Lien, 4.00%, 12/01/51 |
1,840 | 2,075,520 | ||||||
| Harris County Cultural Education Facilities Finance Corp., Refunding RB, 4.00%, 10/01/47 |
8,000 | 9,073,768 | ||||||
| Lower Colorado River Authority, Refunding RB, 5.50%, 05/15/33 |
3,735 | 3,910,377 | ||||||
| New Hope Cultural Education Facilities Finance Corp., RB, Series A, 5.00%, 08/15/50(a) |
800 | 838,519 | ||||||
| Red River Education Finance Corp., RB, 5.25%, 03/15/23(d) |
7,170 | 7,486,957 | ||||||
| State of Texas, GO, 5.00%, 04/01/43 |
15,550 | 17,579,057 | ||||||
| Texas City Industrial Development Corp., RB, Series 2012, 4.13%, 12/01/45 |
445 | 464,434 | ||||||
| Texas Water Development Board, RB |
||||||||
| 5.25%, 10/15/46 |
4,780 | 5,530,508 | ||||||
| Series B, 4.00%, 10/15/43 |
5,000 | 5,601,040 | ||||||
|
|
|
|||||||
| 59,585,544 | ||||||||
| Utah — 2.9% | ||||||||
| County of Utah, RB |
||||||||
| Series A, 5.00%, 05/15/50 |
2,000 | 2,421,222 | ||||||
| Series B, 5.00%, 05/15/46 |
8,590 | 9,692,801 | ||||||
| Utah Charter School Finance Authority, RB, Series A, 5.00%, 06/15/49(a) |
320 | 331,487 | ||||||
| Utah State University, RB, Series B, (AGM), 4.00%, 12/01/45 |
3,000 | 3,298,596 | ||||||
|
|
|
|||||||
| 15,744,106 | ||||||||
| Washington — 0.5% | ||||||||
| State of Washington, GO, Series C, 5.00%, 02/01/41 |
2,500 | 2,944,573 | ||||||
|
|
|
|||||||
| Wisconsin(a) — 1.1% | ||||||||
| Public Finance Authority RB, 5.00%, 06/15/56 |
1,000 | 991,753 | ||||||
| Public Finance Authority, RB |
||||||||
| 5.00%, 10/15/56 |
385 | 408,821 | ||||||
| Series A, 5.00%, 07/15/39 |
165 | 180,511 | ||||||
| Series A, 5.00%, 07/15/49 |
630 | 677,757 | ||||||
| Series A, 5.00%, 10/15/50 |
1,695 | 1,807,901 | ||||||
| Series A, 5.00%, 07/15/54 |
300 | 321,555 | ||||||
| Series A-1, 5.00%, 01/01/55 |
945 | 993,608 | ||||||
| Public Finance Authority, Refunding RB, 5.00%, 09/01/49 |
520 | 547,504 | ||||||
|
|
|
|||||||
| 5,929,410 | ||||||||
|
|
|
|||||||
| Total Municipal Bonds — 127.8% |
691,839,759 | |||||||
|
|
|
|||||||
| Municipal Bonds Transferred to Tender Option Bond Trusts(e) |
| |||||||
| Alabama — 8.3% | ||||||||
| Alabama Special Care Facilities Financing Authority- Birmingham AL, Refunding RB, Series B, 5.00%, 11/15/46 |
39,718 | 44,810,898 | ||||||
|
|
|
|||||||
| S C H E D U L E O F I N V E S T M E N T S |
37 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock MuniHoldings Investment Quality Fund (MFL) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| District of Columbia — 3.1% | ||||||||
| Washington Dc Met Area Transit, 4.00%, 07/15/45 |
$ | 15,000 | $ | 16,864,013 | ||||
|
|
|
|||||||
| Massachusetts — 4.5% | ||||||||
| Commonwealth of Massachusetts, GO, Series E, 5.25%, 09/01/43 |
20,000 | 24,159,740 | ||||||
|
|
|
|||||||
| Michigan — 2.1% | ||||||||
| Michigan Finance Authority, Refunding RB, Series A, 4.00%, 12/01/40 |
10,100 | 11,075,554 | ||||||
|
|
|
|||||||
| Nevada — 2.0% | ||||||||
| County of Clark Nevada, GO, 4.00%, 07/01/47 |
10,000 | 10,902,810 | ||||||
|
|
|
|||||||
| New York — 12.7% | ||||||||
| Hudson Yards Infrastructure Corp, Refunding RB, Series A, 4.00%, 02/15/44 |
30,165 | 32,749,296 | ||||||
| New York City Transitional Finance Authority Building Aid Revenue, RB, Series S-1, 5.00%, 07/15/43 |
11,825 | 13,830,647 | ||||||
| New York City Transitional Finance Authority Future Tax Secured Revenue, RB, Sub-Series B-1, 4.00%, 11/01/41 |
20,000 | 22,324,690 | ||||||
|
|
|
|||||||
| 68,904,633 | ||||||||
| Pennsylvania — 1.9% | ||||||||
| Geisinger Authority, Refunding RB, Series A, 4.00%, 06/01/41 |
10,000 | 10,375,910 | ||||||
|
|
|
|||||||
| Texas — 2.1% | ||||||||
| Texas St Wtr Dev Brd, 4.00%, 10/15/51 |
10,000 | 11,487,660 | ||||||
|
|
|
|||||||
| Total Municipal Bonds Transferred to Tender Option Bond Trusts — 36.7% |
|
198,581,218 | ||||||
|
|
|
|||||||
| Total Long-Term Investments — 164.5% |
890,420,977 | |||||||
|
|
|
|||||||
| Security |
Shares |
Value | ||||||
| Short-Term Securities |
||||||||
| Money Market Funds — 1.5% | ||||||||
| BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.01%(f)(g) |
8,237,018 | $ | 8,237,018 | |||||
|
|
|
|||||||
| Total Short-Term Securities — 1.5% |
8,237,018 | |||||||
|
|
|
|||||||
| Total Investments — 166.0% |
898,657,995 | |||||||
| Other Assets Less Liabilities — 1.0% |
5,350,022 | |||||||
| Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (16.3)% |
|
(88,437,117 | ) | |||||
| VRDP Shares at Liquidation Value, Net of Deferred Offering Costs — (50.7)% |
|
(274,274,430 | ) | |||||
|
|
|
|||||||
| Net Assets Applicable to Common Shares — 100.0% |
|
$ | 541,296,470 | |||||
|
|
|
|||||||
| (a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (b) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| (c) | Zero-coupon bond. |
| (d) | 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. |
| (e) | Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details. |
| (f) | Affiliate of the Trust. |
| (g) | Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the six months ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 08/31/21 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 02/28/22 |
Shares Held at 02/28/22 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
| BlackRock Liquidity Funds, MuniCash, Institutional Class |
$ | 16,431,699 | $ | — | $ | (8,196,953 | )(a) | $ | 2,272 | $ | — | $ | 8,237,018 | 8,237,018 | $ | 236 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Represents net amount purchased (sold). |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||||
| Short Contracts |
||||||||||||||||
| 10-Year U.S. Treasury Note |
271 | 06/21/22 | $ | 34,540 | $ | (288,377 | ) | |||||||||
| U.S. Long Bond |
115 | 06/21/22 | 18,059 | (299,686 | ) | |||||||||||
| 5-Year U.S. Treasury Note |
285 | 06/30/22 | 33,706 | (236,024 | ) | |||||||||||
|
|
|
|||||||||||||||
| $ | (824,087 | ) | ||||||||||||||
|
|
|
|||||||||||||||
| 38 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P OR T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock MuniHoldings Investment Quality Fund (MFL) |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
| Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
| Futures contracts |
||||||||||||||||||||||||||||
| Unrealized depreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 824,087 | $ | — | $ | 824,087 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
For the period ended February 28, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
| Net Realized Gain (Loss) from: |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 3,215,040 | $ | — | $ | 3,215,040 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) on: |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | (648,906 | ) | $ | — | $ | (648,906 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
|
||||
| Futures contracts: |
||||
| Average notional value of contracts — short. |
$ | 92,500,270 | ||
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Investments |
||||||||||||||||
| Long-Term Investments |
||||||||||||||||
| Municipal Bonds |
$ | — | $ | 691,839,759 | $ | — | $ | 691,839,759 | ||||||||
| Municipal Bonds Transferred to Tender Option Bond Trusts |
— | 198,581,218 | — | 198,581,218 | ||||||||||||
| Short-Term Securities |
||||||||||||||||
| Money Market Funds |
8,237,018 | — | — | 8,237,018 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 8,237,018 | $ | 890,420,977 | $ | — | $ | 898,657,995 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivative Financial Instruments(a) |
||||||||||||||||
| Liabilities |
||||||||||||||||
| Interest Rate Contracts |
$ | (824,087 | ) | $ | — | $ | — | $ | (824,087 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
(a) Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.
| S C H E D U LE O F I N V E S T M E N T S |
39 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock MuniHoldings Investment Quality Fund (MFL) |
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the fair value hierarchy as follows:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Liabilities |
||||||||||||||||
| TOB Trust Certificates |
$ | — | $ | (88,413,120 | ) | $ | — | $ | (88,413,120 | ) | ||||||
| VRDP Shares at Liquidation Value |
— | (274,600,000 | ) | — | (274,600,000 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | — | $ | (363,013,120 | ) | $ | — | $ | (363,013,120 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
See notes to financial statements.
| 40 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P OR T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) February 28, 2022 |
BlackRock MuniVest Fund, Inc. (MVF) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Municipal Bonds |
||||||||
| Alabama — 1.0% |
||||||||
| Black Belt Energy Gas District, Refunding RB, 4.00%, 06/01/51(a) |
$ | 3,595 | $ | 4,160,192 | ||||
| Tuscaloosa County Industrial Development Authority, Refunding RB, Series A, 4.50%, 05/01/32(b) |
1,691 | 1,769,631 | ||||||
|
|
|
|||||||
| 5,929,823 | ||||||||
| Alaska — 0.6% | ||||||||
| City of Anchorage Alaska Electric Revenue, Refunding RB, Series A, Senior Lien, 5.00%, 12/01/24(c)(d) |
3,000 | 3,292,842 | ||||||
|
|
|
|||||||
| Arizona — 4.6% | ||||||||
| Arizona Industrial Development Authority, RB, Series A, (BAM), 4.00%, 06/01/44 |
1,435 | 1,581,897 | ||||||
| Arizona Industrial Development Authority, Refunding RB(b) |
||||||||
| Series A, 5.38%, 07/01/50 |
2,500 | 2,763,782 | ||||||
| Series G, 5.00%, 07/01/47 |
715 | 795,946 | ||||||
| Glendale Industrial Development Authority, RB, 5.00%, 05/15/56 |
1,030 | 1,126,264 | ||||||
| Industrial Development Authority of the City of Phoenix, RB(c)(d) |
||||||||
| 6.63%, 07/01/23 |
2,245 | 2,412,091 | ||||||
| 6.88%, 07/01/23 |
3,440 | 3,707,371 | ||||||
| Industrial Development Authority of the City of Phoenix, Refunding RB(b) |
||||||||
| 5.00%, 07/01/35 |
600 | 653,441 | ||||||
| 5.00%, 07/01/45 |
700 | 739,839 | ||||||
| Series A, 5.00%, 07/01/35 |
1,125 | 1,225,201 | ||||||
| Salt Verde Financial Corp., RB, 5.00%, 12/01/37 |
9,805 | 12,706,584 | ||||||
|
|
|
|||||||
| 27,712,416 | ||||||||
| Arkansas — 0.7% | ||||||||
| Arkansas Development Finance Authority, RB, Series A, AMT, 4.50%, 09/01/49(b) |
3,790 | 4,060,041 | ||||||
|
|
|
|||||||
| California — 4.6% | ||||||||
| California Community Choice Financing Authority, RB, Series A, 4.00%, 10/01/52(a) |
3,005 | 3,307,862 | ||||||
| California Health Facilities Financing Authority, Refunding RB, Series A, 4.00%, 04/01/45 |
1,470 | 1,603,841 | ||||||
| California Housing Finance Agency, RB, M/F Housing |
||||||||
| Class A, 3.25%, 08/20/36 |
1,151 | 1,212,182 | ||||||
| Series 2021-1, Class A, 3.50%, 11/20/35 |
1,273 | 1,357,759 | ||||||
| California Municipal Finance Authority, ARB, AMT, Senior Lien, 5.00%, 12/31/43 |
2,800 | 3,212,546 | ||||||
| CMFA Special Finance Agency XII, RB, M/F Housing, Series A, 3.25%, 02/01/57(b) |
445 | 379,732 | ||||||
| CSCDA Community Improvement Authority, RB, M/F Housing(b) |
||||||||
| Class 2, 4.00%, 06/01/58 |
1,475 | 1,380,057 | ||||||
| Senior Lien, 3.13%, 06/01/57 |
1,410 | 1,174,041 | ||||||
| Class 2, Senior Lien, 4.00%, 12/01/58 |
635 | 602,512 | ||||||
| Golden State Tobacco Securitization Corp., Refunding RB, Series A-2, |
855 | 864,567 | ||||||
| Security | Par (000) |
Value | ||||||
| California (continued) | ||||||||
| Poway Unified School District, Refunding GO, CAB, Series B, 0.00%, 08/01/46(e) |
$ | 10,000 | $ | 4,532,710 | ||||
| San Francisco City & County Airport Comm-San Francisco International Airport, Refunding ARB, Series E, AMT, 5.00%, 05/01/50 |
5,000 | 5,735,650 | ||||||
| San Francisco City & County Airport Comm-San Francisco International Airport, Refunding RB, AMT, 5.00%, 05/01/52 |
2,315 | 2,775,201 | ||||||
|
|
|
|||||||
| 28,138,660 | ||||||||
| Colorado — 1.6% | ||||||||
| Centerra Metropolitan District No.1, TA, 5.00%, 12/01/47(b) |
1,025 | 1,064,610 | ||||||
| Colorado Health Facilities Authority, Refunding RB |
||||||||
| 4.00%, 11/15/43 |
2,320 | 2,576,840 | ||||||
| Series A, 5.00%, 08/01/44 |
3,840 | 4,479,763 | ||||||
| E-470 Public Highway Authority, Refunding RB, Series B, 0.38%, 09/01/39(a) |
510 | 499,389 | ||||||
| Serenity Ridge Metropolitan District No. 2, GO, Series A, 5.13%, 12/01/23(c)(d) |
1,000 | 1,099,554 | ||||||
|
|
|
|||||||
| 9,720,156 | ||||||||
| Connecticut — 0.7% | ||||||||
| State of Connecticut, GO, Series A, 5.00%, 04/15/38 |
3,325 | 3,908,581 | ||||||
|
|
|
|||||||
| Delaware — 0.5% | ||||||||
| Delaware State Health Facilities Authority, RB, 5.00%, 06/01/43 |
2,780 | 3,261,604 | ||||||
|
|
|
|||||||
| District of Columbia — 0.6% | ||||||||
| Metropolitan Washington Airports Authority Aviation Revenue, Refunding ARB, Series A, AMT, 5.00%, 10/01/26 |
3,055 | 3,468,968 | ||||||
|
|
|
|||||||
| Florida — 6.5% | ||||||||
| Celebration Pointe Community Development District, SAB(b) |
||||||||
| 5.00%, 05/01/32 |
860 | 929,336 | ||||||
| 5.00%, 05/01/48 |
2,160 | 2,292,797 | ||||||
| Central Florida Expressway Authority, Refunding RB, Senior Lien, 5.00%, 07/01/48 |
9,370 | 11,005,862 | ||||||
| County of Miami-Dade Florida Transit System, Refunding RB, 5.00%, 07/01/22(c)(d) |
3,750 | 3,803,876 | ||||||
| County of Miami-Dade Seaport Department, Refunding RB, Series B-1, AMT, Subordinate, 4.00%, 10/01/46 |
1,055 | 1,163,557 | ||||||
| Hillsborough County Aviation Authority, ARB, AMT, 4.00%, 10/01/52(f) |
3,965 | 4,309,475 | ||||||
| Lakewood Ranch Stewardship District, SAB |
||||||||
| 4.63%, 05/01/27 |
255 | 267,837 | ||||||
| 5.25%, 05/01/37 |
470 | 508,803 | ||||||
| 5.38%, 05/01/47 |
770 | 829,322 | ||||||
| Miami-Dade County Educational Facilities Authority, Refunding RB, Series A, 5.00%, 04/01/45 |
4,625 | 5,021,820 | ||||||
| Miami-Dade County Expressway Authority, Refunding RB, Series A, (AGM), 5.00%, 07/01/35 |
8,900 | 8,925,116 | ||||||
| S C H E D U L E O F I N V E S T M E N T S |
41 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock MuniVest Fund, Inc. (MVF) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Florida (continued) | ||||||||
| Palm Beach County Health Facilities Authority, RB |
||||||||
| Series B, 4.00%, 11/15/41 |
$ | 300 | $ | 332,654 | ||||
| Series B, 5.00%, 11/15/42 |
135 | 158,898 | ||||||
|
|
|
|||||||
| 39,549,353 | ||||||||
| Georgia — 2.0% | ||||||||
| Development Authority for Fulton County, RB, 4.00%, 06/15/49 |
1,575 | 1,749,419 | ||||||
| Georgia Ports Authority, ARB, 4.00%, 07/01/51 |
4,325 | 4,913,559 | ||||||
| Main Street Natural Gas, Inc., RB, Series A, 5.00%, 05/15/49 |
1,855 | 2,495,246 | ||||||
| Municipal Electric Authority of Georgia, RB, 5.00%, 01/01/48 |
2,745 | 3,179,256 | ||||||
|
|
|
|||||||
| 12,337,480 | ||||||||
| Illinois — 10.4% | ||||||||
| Chicago Board of Education, GO |
||||||||
| Series C, 5.25%, 12/01/35 |
2,785 | 2,981,434 | ||||||
| Series D, 5.00%, 12/01/46 |
3,570 | 3,775,395 | ||||||
| Series H, 5.00%, 12/01/36 |
865 | 969,313 | ||||||
| Chicago Board of Education, Refunding GO |
||||||||
| Series C, 5.00%, 12/01/25 |
1,200 | 1,315,337 | ||||||
| Series D, 5.00%, 12/01/25 |
1,560 | 1,709,938 | ||||||
| Series G, 5.00%, 12/01/34 |
865 | 972,487 | ||||||
| Chicago O’Hare International Airport, ARB, Series D, AMT, Senior Lien, 5.00%, 01/01/42 |
1,450 | 1,617,943 | ||||||
| City of Chicago Illinois Wastewater Transmission Revenue, Refunding RB, Series C, 2nd Lien, 5.00%, 01/01/39 |
1,000 | 1,086,952 | ||||||
| Cook County Community College District No. 508, GO, 5.25%, 12/01/31 |
5,000 | 5,281,925 | ||||||
| Illinois Finance Authority, RB, Series A, 5.25%, 07/01/23(c)(d) |
1,785 | 1,883,987 | ||||||
| Illinois Finance Authority, Refunding RB |
||||||||
| Series A, 4.00%, 05/01/45 |
2,525 | 2,726,096 | ||||||
| Series C, 5.00%, 02/15/41 |
3,600 | 4,128,066 | ||||||
| Illinois State Toll Highway Authority, RB |
||||||||
| Series A, 5.00%, 01/01/42 |
7,990 | 9,234,507 | ||||||
| Series A, 4.00%, 01/01/46 |
2,550 | 2,876,140 | ||||||
| Metropolitan Pier & Exposition Authority, RB, Series A, 5.00%, 06/15/57 |
2,515 | 2,723,652 | ||||||
| Metropolitan Pier & Exposition Authority, RB, CAB, (BAM-TCRS), 0.00%, 12/15/56(e) |
8,755 | 2,475,940 | ||||||
| Metropolitan Pier & Exposition Authority, Refunding RB, 4.00%, 06/15/50 |
2,010 | 2,089,506 | ||||||
| Metropolitan Pier & Exposition Authority, Refunding RB, CAB, Series B, (BAM-TCRS), 0.00%, 12/15/54(e) |
12,215 | 3,711,210 | ||||||
| State of Illinois, GO |
||||||||
| Series A, 4.00%, 03/01/41 |
115 | 123,108 | ||||||
| Series D, 5.00%, 11/01/28 |
6,965 | 7,976,088 | ||||||
| Village of Hodgkins Illinois, RB, AMT, 6.00%, 11/01/23 |
3,725 | 3,739,509 | ||||||
|
|
|
|||||||
| 63,398,533 | ||||||||
| Indiana — 1.4% | ||||||||
| City of Valparaiso Indiana, RB, AMT, 6.75%, 01/01/34 |
2,250 | 2,456,548 | ||||||
| Indiana Finance Authority, RB, Series A, AMT, 5.00%, 07/01/23(c)(d) |
2,640 | 2,769,069 | ||||||
| Indiana Finance Authority, Refunding RB, Series A, 5.00%, 03/01/25(c)(d) |
3,000 | 3,317,898 | ||||||
|
|
|
|||||||
| 8,543,515 | ||||||||
| Security | Par (000) |
Value | ||||||
| Iowa — 2.1% |
||||||||
| Iowa Finance Authority, RB |
||||||||
| 5.00%, 05/15/36 |
$ | 1,050 | $ | 1,141,271 | ||||
| Series A, 5.00%, 05/15/48 |
6,750 | 7,301,651 | ||||||
| Iowa Finance Authority, Refunding RB, 5.25%, 12/01/25 |
4,000 | 4,250,468 | ||||||
|
|
|
|||||||
| 12,693,390 | ||||||||
| Kansas — 1.0% | ||||||||
| City of Lenexa Kansas, Refunding RB, Series A, 5.00%, 05/15/43 |
1,965 | 2,077,760 | ||||||
| Wyandotte County-Kansas City Unified Government Utility System Revenue, RB, Series A, 5.00%, 09/01/40 |
3,700 | 4,098,967 | ||||||
|
|
|
|||||||
| 6,176,727 | ||||||||
| Louisiana — 2.1% | ||||||||
| Parish of St. Charles Louisiana, RB, Convertible, 4.00%, 12/01/40(a) |
2,210 | 2,226,124 | ||||||
| Tobacco Settlement Financing Corp., Refunding RB |
||||||||
| Series A, 5.25%, 05/15/32 |
4,375 | 4,407,931 | ||||||
| Series A, 5.25%, 05/15/33 |
4,750 | 4,785,425 | ||||||
| Series A, 5.25%, 05/15/35 |
1,500 | 1,564,515 | ||||||
|
|
|
|||||||
| 12,983,995 | ||||||||
| Maine — 1.5% | ||||||||
| Maine Turnpike Authority, RB, 4.00%, 07/01/45 |
8,195 | 9,230,487 | ||||||
|
|
|
|||||||
| Maryland — 2.6% | ||||||||
| City of Baltimore Maryland, Refunding RB, Series A, 4.50%, 09/01/33 |
545 | 592,059 | ||||||
| Howard County Housing Commission, RB, M/F Housing, 5.00%, 12/01/42 |
4,935 | 5,616,751 | ||||||
| Maryland Health & Higher Educational Facilities Authority, RB, Series B, 4.00%, 04/15/45 |
2,560 | 2,802,844 | ||||||
| Maryland Health & Higher Educational Facilities Authority, Refunding RB, 5.00%, 07/01/40 |
6,350 | 6,939,813 | ||||||
|
|
|
|||||||
| 15,951,467 | ||||||||
| Massachusetts — 1.9% | ||||||||
| Massachusetts Development Finance Agency, RB |
||||||||
| Series A, 5.25%, 01/01/42 |
1,895 | 2,146,012 | ||||||
| Series A, 5.00%, 01/01/47 |
845 | 942,089 | ||||||
| Massachusetts Development Finance Agency, Refunding RB, Series A, 5.00%, 01/01/40 |
1,620 | 1,846,884 | ||||||
| Massachusetts Port Authority, Refunding ARB, Series A, AMT, 4.00%, 07/01/44 |
6,180 | 6,652,776 | ||||||
|
|
|
|||||||
| 11,587,761 | ||||||||
| Michigan — 2.0% | ||||||||
| Michigan Finance Authority, Refunding RB |
||||||||
| 4.00%, 09/01/50 |
855 | 947,547 | ||||||
| Series C, Class 1, 4.00%, 06/01/49 |
2,500 | 2,644,925 | ||||||
| Michigan State Housing Development Authority, RB, M/F Housing |
||||||||
| Series A, 0.55%, 04/01/25 |
340 | 329,777 | ||||||
| Series A, 2.55%, 10/01/51 |
6,890 | 6,226,810 | ||||||
| Michigan Strategic Fund, RB, AMT, 5.00%, 06/30/48 |
1,775 | 1,985,375 | ||||||
|
|
|
|||||||
| 12,134,434 | ||||||||
| Minnesota — 0.7% | ||||||||
| City of Cologne Minnesota,RB, Series A, 5.00%, 07/01/45 |
1,500 | 1,550,114 | ||||||
| 42 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock MuniVest Fund, Inc. (MVF) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Minnesota (continued) | ||||||||
| Housing & Redevelopment Authority of The City of St. Paul Minnesota, RB, Series A, 5.50%, 07/01/52(b) |
$ | 695 | $ | 760,055 | ||||
| Housing & Redevelopment Authority of The City of St. Paul Minnesota, Refunding RB, Series A, 4.00%, 11/15/43 |
1,940 | 2,104,590 | ||||||
|
|
|
|||||||
| 4,414,759 | ||||||||
| Mississippi — 4.0% | ||||||||
| County of Lowndes Mississippi, Refunding RB |
||||||||
| Series A, 6.80%, 04/01/22 |
9,160 | 9,203,098 | ||||||
| Series B, 6.70%, 04/01/22 |
4,500 | 4,520,808 | ||||||
| Mississippi Development Bank, Refunding RB, Series A, (AGM), 4.00%, 03/01/41 |
3,000 | 3,221,865 | ||||||
| State of Mississippi, RB |
||||||||
| Series A, 5.00%, 10/15/37 |
1,105 | 1,314,189 | ||||||
| Series A, 4.00%, 10/15/38 |
5,535 | 6,175,399 | ||||||
|
|
|
|||||||
| 24,435,359 | ||||||||
| Montana — 0.6% | ||||||||
| Montana Board of Housing, RB, S/F Housing |
||||||||
| Series B-2, 3.50%, 12/01/42 |
245 | 250,601 | ||||||
| Series B-2, 3.60%, 12/01/47 |
380 | 391,082 | ||||||
| Montana Facility Finance Authority, Refunding RB, Series A, 3.00%, 06/01/50 |
2,760 | 2,709,349 | ||||||
|
|
|
|||||||
| 3,351,032 | ||||||||
| Nebraska — 1.0% | ||||||||
| Central Plains Energy Project, RB, 5.00%, 09/01/42 |
6,200 | 6,320,931 | ||||||
|
|
|
|||||||
| Nevada — 2.5% | ||||||||
| City of Carson City Nevada, Refunding RB, 5.00%, 09/01/42 |
2,250 | 2,556,281 | ||||||
| City of Reno Nevada, Refunding RB |
||||||||
| Series A-1, (AGM), 4.00%, 06/01/43 |
5,230 | 5,617,700 | ||||||
| Series A-1, (AGM), 4.00%, 06/01/46 |
245 | 262,658 | ||||||
| County of Clark Nevada, GO |
||||||||
| Series A, 5.00%, 06/01/36 |
4,080 | 4,824,441 | ||||||
| Series A, 5.00%, 06/01/37 |
1,500 | 1,767,906 | ||||||
|
|
|
|||||||
| 15,028,986 | ||||||||
| New Jersey — 9.9% | ||||||||
| Casino Reinvestment Development Authority, Inc., Refunding RB, 5.25%, 11/01/44 |
1,400 | 1,492,014 | ||||||
| New Jersey Economic Development Authority, RB |
||||||||
| Series UU, 5.00%, 06/15/40 |
2,755 | 2,922,746 | ||||||
| AMT, 5.13%, 01/01/34 |
1,050 | 1,111,950 | ||||||
| AMT, 5.38%, 01/01/43 |
10,000 | 10,595,230 | ||||||
| Series A, AMT, 5.63%, 11/15/30 |
1,530 | 1,646,998 | ||||||
| New Jersey Housing & Mortgage Finance Agency, Refunding RB, Series A, AMT, 3.80%, 10/01/32 |
4,090 | 4,327,130 | ||||||
| New Jersey Transportation Trust Fund Authority, RB |
||||||||
| 4.00%, 06/15/46 |
1,000 | 1,069,935 | ||||||
| Series AA, 5.25%, 06/15/33 |
8,750 | 9,154,057 | ||||||
| Series AA, 5.25%, 06/15/41 |
780 | 855,985 | ||||||
| Series AA, 5.00%, 06/15/44 |
4,450 | 4,711,927 | ||||||
| Series BB, 4.00%, 06/15/50 |
3,795 | 4,093,420 | ||||||
| New Jersey Transportation Trust Fund Authority, RB, CAB, Series A, 0.00%, 12/15/38(e) |
7,260 | 4,126,148 | ||||||
| New Jersey Transportation Trust Fund Authority, Refunding RB, Series A, 5.00%, 12/15/32 |
5,430 | 6,347,567 | ||||||
| Security | Par (000) |
Value | ||||||
| New Jersey (continued) | ||||||||
| State of New Jersey, GO, Series A, 4.00%, 06/01/31 |
$ | 1,730 | $ | 2,013,286 | ||||
| Tobacco Settlement Financing Corp., Refunding RB |
||||||||
| Series A, 5.25%, 06/01/46 |
4,550 | 5,184,411 | ||||||
| Sub-Series B, 5.00%, 06/01/46 |
665 | 739,115 | ||||||
|
|
|
|||||||
| 60,391,919 | ||||||||
| New York — 6.8% | ||||||||
| Build NYC Resource Corp., Refunding RB, AMT, 5.00%, |
||||||||
| 01/01/35(b) |
2,145 | 2,346,999 | ||||||
| City of New York, GO, Series C, 4.00%, 08/01/40 |
5,000 | 5,599,350 | ||||||
| Erie Tobacco Asset Securitization Corp., Refunding RB, Series A, 5.00%, 06/01/45 |
4,435 | 4,490,149 | ||||||
| Monroe County Industrial Development Corp., |
||||||||
| Refunding RB, 4.00%, 12/01/46 |
1,400 | 1,516,953 | ||||||
| New York Counties Tobacco Trust IV, Refunding RB |
||||||||
| Series A, 5.00%, 06/01/38 |
3,665 | 3,668,269 | ||||||
| Series A, 6.25%, 06/01/41(b) |
3,400 | 3,523,678 | ||||||
| New York Liberty Development Corp., Refunding RB(b) |
||||||||
| Series 2, Class 2, 5.15%, 11/15/34 |
460 | 502,671 | ||||||
| Series 2, Class 2, 5.38%, 11/15/40 |
1,145 | 1,254,790 | ||||||
| New York State Urban Development Corp., RB, Series A, 4.00%, 03/15/49 |
7,500 | 8,266,995 | ||||||
| New York Transportation Development Corp., RB |
||||||||
| AMT, 5.00%, 10/01/35 |
665 | 793,890 | ||||||
| AMT, 5.00%, 10/01/40 |
1,875 | 2,195,368 | ||||||
| AMT, 4.00%, 10/31/46 |
1,175 | 1,283,866 | ||||||
| New York Transportation Development Corp., Refunding RB |
||||||||
| Series A, Class A, AMT, 4.00%, 12/01/38 |
500 | 534,690 | ||||||
| Series A, Class A, AMT, 4.00%, 12/01/39 |
500 | 548,173 | ||||||
| TSASC, Inc., Refunding RB, Series A, 5.00%, 06/01/41 |
1,785 | 1,990,080 | ||||||
| Westchester Tobacco Asset Securitization Corp., Refunding RB, Sub-Series C, 5.13%, 06/01/51 |
2,740 | 3,036,430 | ||||||
|
|
|
|||||||
| 41,552,351 | ||||||||
| North Carolina — 0.7% | ||||||||
| North Carolina Medical Care Commission, RB |
||||||||
| 4.00%, 09/01/41 |
160 | 175,063 | ||||||
| 4.00%, 09/01/46 |
155 | 168,198 | ||||||
| 4.00%, 09/01/51 |
250 | 269,882 | ||||||
| Series A, 4.00%, 10/01/50 |
365 | 394,440 | ||||||
| Series A, 5.00%, 10/01/50 |
980 | 1,119,280 | ||||||
| North Carolina Turnpike Authority, RB, Senior Lien, (AGM), 4.00%, 01/01/55 |
1,045 | 1,149,091 | ||||||
| University of North Carolina at Chapel Hill, RB, 5.00%, 02/01/49 |
525 | 720,086 | ||||||
|
|
|
|||||||
| 3,996,040 | ||||||||
| North Dakota — 0.2% | ||||||||
| University of North Dakota COP, Series A, (AGM), 4.00%, 06/01/46 |
990 | 1,096,509 | ||||||
|
|
|
|||||||
| Ohio — 5.0% | ||||||||
| Allen County Port Authority, Refunding RB, Series A, 4.00%, 12/01/40 |
950 | 1,037,485 | ||||||
| Buckeye Tobacco Settlement Financing Authority, Refunding RB, Series B-2, Class 2, 5.00%, 06/01/55 |
7,590 | 8,242,945 | ||||||
| Cleveland-Cuyahoga County Port Authority, RB 4.00%, 07/01/46 |
490 | 543,761 | ||||||
| S C H E D U L E O F I N V E S T M E N T S |
43 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock MuniVest Fund, Inc. (MVF) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Ohio (continued) | ||||||||
| Cleveland-Cuyahoga County Port Authority, RB (continued) 4.00%, 07/01/51 |
$ | 425 | $ | 470,011 | ||||
| County of Franklin Ohio, RB, Series A, 6.13%, 07/01/22(c)(d) |
1,690 | 1,719,744 | ||||||
| County of Montgomery Ohio, RB, Catholic Health Services, 5.45%, 11/13/23(c)(d) |
7,430 | 7,972,903 | ||||||
| Ohio Air Quality Development Authority, RB, AMT, 5.00%, 07/01/49(b) |
585 | 640,102 | ||||||
| Ohio Air Quality Development Authority, Refunding RB, 3.25%, 09/01/29 |
5,000 | 5,121,725 | ||||||
| State of Ohio, Refunding RB, Series A, 4.00%, 01/15/50 |
4,420 | 4,751,420 | ||||||
|
|
|
|||||||
| 30,500,096 | ||||||||
| Oklahoma — 0.4% | ||||||||
| Oklahoma Development Finance Authority, RB, Series B, 5.25%, 08/15/48 |
2,205 | 2,588,688 | ||||||
|
|
|
|||||||
| Oregon — 1.0% | ||||||||
| Oregon Health & Science University, RB, Series A, 5.00%, 07/01/42 |
800 | 925,958 | ||||||
| Port of Portland Oregon Airport Revenue, Refunding ARB, Series 27-A, AMT, 4.00%, 07/01/50 |
5,000 | 5,396,080 | ||||||
|
|
|
|||||||
| 6,322,038 | ||||||||
| Pennsylvania — 13.0% | ||||||||
| Allegheny County Airport Authority, ARB, Series A, AMT, 4.00%, 01/01/56 |
1,930 | 2,062,276 | ||||||
| Allentown Neighborhood Improvement Zone Development Authority, RB, 5.00%, 05/01/42(b) |
1,725 | 1,920,127 | ||||||
| Altoona Area School District, GO, (BAM SAW), 5.00%, 12/01/25(c)(d) |
365 | 413,425 | ||||||
| City of Philadelphia Pennsylvania Water & Wastewater Revenue, RB, Series B, 5.00%, 11/01/49 |
6,030 | 7,132,007 | ||||||
| County of Lehigh Pennsylvania, Refunding RB, Series A, 4.00%, 07/01/49 |
1,435 | 1,556,857 | ||||||
| Geisinger Authority, Refunding RB, Series A, 4.00%, 04/01/50 |
4,260 | 4,635,251 | ||||||
| Montgomery County Higher Education and Health Authority, Refunding RB |
||||||||
| 4.00%, 09/01/49 |
6,750 | 7,267,205 | ||||||
| 5.00%, 05/01/52 |
6,610 | 7,916,638 | ||||||
| Series A, 5.00%, 09/01/48 |
3,330 | 3,791,208 | ||||||
| Montgomery County Industrial Development Authority, Refunding RB, 5.25%, 01/01/40 |
4,170 | 4,416,038 | ||||||
| Northampton County General Purpose Authority, Refunding RB, 4.00%, 11/01/38 |
1,855 | 2,072,490 | ||||||
| Pennsylvania Economic Development Financing Authority, RB, AMT, 5.00%, 12/31/38 |
2,565 | 2,821,405 | ||||||
| Pennsylvania Housing Finance Agency, RB, S/F Housing |
||||||||
| Series 137, 2.45%, 10/01/41 |
410 | 381,245 | ||||||
| Series 125B, AMT, 3.65%, 10/01/42 |
7,000 | 7,211,610 | ||||||
| Pennsylvania Turnpike Commission, RB |
||||||||
| Series A-1, 5.00%, 12/01/41 |
440 | 496,071 | ||||||
| Sub-Series B-1, 5.25%, 06/01/47 |
5,680 | 6,539,634 | ||||||
| Series A, Subordinate, 5.00%, 12/01/44 |
4,540 | 5,327,881 | ||||||
| Pennsylvania Turnpike Commission, Refunding RB, 2nd Series, 5.00%, 12/01/41 |
1,700 | 1,975,494 | ||||||
| Security | Par (000) |
Value | ||||||
| Pennsylvania (continued) | ||||||||
| Springfield School District/Delaware County, GO |
||||||||
| (SAW), 5.00%, 03/01/40 |
$ | 2,955 | $ | 3,441,068 | ||||
| (SAW), 5.00%, 03/01/43 |
2,145 | 2,488,869 | ||||||
| Westmoreland County Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/36 |
4,385 | 5,078,523 | ||||||
|
|
|
|||||||
| 78,945,322 | ||||||||
| Puerto Rico — 5.5% | ||||||||
| Children’s Trust Fund, Refunding RB |
||||||||
| 5.50%, 05/15/39 |
1,340 | 1,373,567 | ||||||
| 5.63%, 05/15/43 |
1,335 | 1,359,632 | ||||||
| Puerto Rico Commonwealth Aqueduct & Sewer Authority, Refunding RB, Series A, Senior Lien, 5.00%, 07/01/33 |
3,820 | 3,873,874 | ||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB |
||||||||
| Series A-1, Restructured, 4.75%, 07/01/53 |
3,376 | 3,721,837 | ||||||
| Series A-1, Restructured, 5.00%, 07/01/58 |
12,657 | 14,121,124 | ||||||
| Series A-2, Restructured, 4.33%, 07/01/40 |
2,240 | 2,457,948 | ||||||
| Series A-2, Restructured, 4.78%, 07/01/58 |
3,133 | 3,456,557 | ||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, CAB, Series A-1, Restructured, 0.00%, 07/01/46(e) |
10,130 | 3,294,225 | ||||||
|
|
|
|||||||
| 33,658,764 | ||||||||
| Rhode Island — 1.6% | ||||||||
| Rhode Island Turnpike & Bridge Authority, RB, Series A, 3.00%, 10/01/39 |
240 | 247,398 | ||||||
| Tobacco Settlement Financing Corp., Refunding RB |
||||||||
| Series B, 4.50%, 06/01/45 |
6,820 | 7,207,963 | ||||||
| Series B, 5.00%, 06/01/50 |
2,000 | 2,165,636 | ||||||
|
|
|
|||||||
| 9,620,997 | ||||||||
| South Carolina — 1.8% | ||||||||
| South Carolina Jobs-Economic Development Authority, Refunding RB, Series A, 5.00%, 05/01/43 |
2,690 | 3,124,150 | ||||||
| South Carolina Public Service Authority, RB, Series E, 5.50%, 12/01/53 |
750 | 796,951 | ||||||
| South Carolina Public Service Authority, Refunding RB, Series E, 5.25%, 12/01/55 |
6,450 | 7,176,399 | ||||||
|
|
|
|||||||
| 11,097,500 | ||||||||
| Texas — 10.1% | ||||||||
| Central Texas Regional Mobility Authority, RB, Series A, Senior Lien, 5.00%, 07/01/25(c)(d) |
4,715 | 5,285,491 | ||||||
| Central Texas Regional Mobility Authority, Refunding RB, Series A, Senior Lien, 5.00%, 01/01/23(c)(d) |
6,925 | 7,162,334 | ||||||
| City of Houston Texas Airport System Revenue, Refunding RB |
||||||||
| Sub-Series D, 5.00%, 07/01/37. |
4,005 | 4,650,278 | ||||||
| AMT, 5.00%, 07/01/29 |
2,135 | 2,248,819 | ||||||
| Sub-Series A, AMT, 4.00%, 07/01/35 |
990 | 1,104,711 | ||||||
| County of Nueces Texas, Refunding GO |
||||||||
| 4.00%, 02/15/37 |
575 | 653,613 | ||||||
| 4.00%, 02/15/39 |
1,205 | 1,360,646 | ||||||
| Harris County Cultural Education Facilities Finance Corp., RB, Series B, 7.00%, 01/01/23(c)(d) |
850 | 893,444 | ||||||
| New Hope Cultural Education Facilities Finance Corp., RB, Series A, 5.00%, 04/01/25(c)(d) |
500 | 556,100 | ||||||
| North Texas Education Finance Corp., RB, Series A, 5.13%, 06/01/22(c)(d) |
1,000 | 1,011,204 | ||||||
| 44 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock MuniVest Fund, Inc. (MVF) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Texas (continued) | ||||||||
| North Texas Tollway Authority, Refunding RB |
||||||||
| Series A, 5.00%, 01/01/38 |
$ | 5,000 | $ | 5,458,255 | ||||
| Series A, 5.00%, 01/01/48 |
5,350 | 6,217,000 | ||||||
| Spring Branch Independent School District, GO, (PSF-GTD), 3.00%, 02/01/33 |
1,600 | 1,712,342 | ||||||
| Tarrant County Cultural Education Facilities Finance Corp., Refunding RB, Series A-1, 5.00%, 10/01/44 |
3,500 | 3,713,297 | ||||||
| Texas Municipal Gas Acquisition & Supply Corp III, Refunding RB, 5.00%, 12/15/30 |
1,500 | 1,811,699 | ||||||
| Texas Municipal Gas Acquisition & Supply Corp. III, Refunding RB, 5.00%, 12/15/32 |
10,720 | 13,293,025 | ||||||
| Texas Private Activity Bond Surface Transportation Corp., RB, AMT, 5.00%, 06/30/58 |
3,575 | 4,136,507 | ||||||
|
|
|
|||||||
| 61,268,765 | ||||||||
| Virginia — 3.6% | ||||||||
| Ballston Quarter Community Development Authority, TA |
||||||||
| Series A, 5.38%, 03/01/36 |
430 | 380,706 | ||||||
| Series A, 5.50%, 03/01/46 |
1,475 | 1,211,387 | ||||||
| Tobacco Settlement Financing Corp., Refunding RB, Series B-1, 5.00%, 06/01/47 |
3,665 | 3,691,678 | ||||||
| Virginia Small Business Financing Authority, RB, AMT, 5.00%, 12/31/52 |
7,895 | 9,105,540 | ||||||
| Virginia Small Business Financing Authority, Refunding RB |
||||||||
| AMT, Senior Lien, 6.00%, 01/01/37 |
2,150 | 2,182,340 | ||||||
| AMT, Senior Lien, 5.50%, 01/01/42 |
5,140 | 5,206,239 | ||||||
|
|
|
|||||||
| 21,777,890 | ||||||||
| Washington — 3.2% | ||||||||
| Port of Seattle Washington, ARB |
||||||||
| Series A, AMT, 5.00%, 05/01/43 |
1,295 | 1,462,350 | ||||||
| Series C, AMT, Intermediate Lien, 5.00%, 05/01/37 |
4,905 | 5,573,703 | ||||||
| State of Washington, COP |
||||||||
| Series B, 5.00%, 07/01/36 |
1,725 | 2,058,037 | ||||||
| Series B, 5.00%, 07/01/38 |
2,300 | 2,740,947 | ||||||
| Washington Health Care Facilities Authority, RB, Series A, Catholic Health Services, 5.75%, 01/01/23(c)(d) |
4,010 | 4,173,432 | ||||||
| Washington Health Care Facilities Authority, Refunding RB, 4.00%, 09/01/45 |
3,000 | 3,332,991 | ||||||
|
|
|
|||||||
| 19,341,460 | ||||||||
| Wisconsin — 1.8% | ||||||||
| Public Finance Authority, RB |
||||||||
| Series A, 5.00%, 06/01/36(b) |
200 | 218,356 | ||||||
| Series A, 4.00%, 11/15/37 |
325 | 364,498 | ||||||
| Series A, 5.00%, 11/15/41 |
2,180 | 2,565,698 | ||||||
| Series A, 5.00%, 06/01/51(b) |
680 | 722,303 | ||||||
| Series A, 5.00%, 06/01/61(b) |
870 | 919,965 | ||||||
| Security | Par (000) |
Value | ||||||
| Wisconsin (continued) | ||||||||
| Public Finance Authority, Refunding RB, Series A, 5.00%, 11/15/49 |
$ | 1,095 | $ | 1,220,622 | ||||
| Wisconsin Health & Educational Facilities Authority, Refunding RB, 5.00%, 04/01/44 |
4,080 | 4,869,007 | ||||||
|
|
|
|||||||
| 10,880,449 | ||||||||
| Wyoming — 0.6% | ||||||||
| Wyoming Community Development Authority, Refunding RB, Series 2, 4.05%, 12/01/38 |
2,170 | 2,184,715 | ||||||
| Wyoming Municipal Power Agency, Inc., Refunding RB, Series A, (BAM), 5.00%, 01/01/27(c)(d) |
1,120 | 1,304,395 | ||||||
|
|
|
|||||||
| 3,489,110 | ||||||||
|
|
|
|||||||
| Total Municipal Bonds — 122.4% |
744,159,198 | |||||||
|
|
|
|||||||
| Municipal Bonds Transferred to Tender Option Bond Trusts(g) |
| |||||||
| Arizona — 1.8% | ||||||||
| Maricopa County Industrial Development Authority, RB, 4.00%, 01/01/48 |
10,000 | 11,002,470 | ||||||
|
|
|
|||||||
| California — 2.8% | ||||||||
| Sacramento Area Flood Control Agency, Refunding SAB, 5.00%, 10/01/47 |
14,998 | 17,183,935 | ||||||
|
|
|
|||||||
| Colorado(h) — 1.8% | ||||||||
| City & County of Denver Colorado Airport System Revenue, Refunding ARB, Series A, AMT, 5.25%, 12/01/43 |
6,504 | 7,612,937 | ||||||
| Colorado Health Facilities Authority, Refunding RB, Series A, 4.00%, 08/01/49 |
3,290 | 3,542,770 | ||||||
|
|
|
|||||||
| 11,155,707 | ||||||||
| Florida — 3.6% | ||||||||
| Greater Orlando Aviation Authority, ARB, Series A, AMT, 4.00%, 10/01/49 |
10,000 | 10,816,005 | ||||||
| Miami-Dade County Seaport Department, Refunding RB, 4.00%, 10/01/49 |
10,005 | 11,165,290 | ||||||
|
|
|
|||||||
| 21,981,295 | ||||||||
| Illinois — 2.0% | ||||||||
| Illinois State Toll Highway Authority, RB, Series B, 5.00%, 01/01/40 |
10,976 | 12,241,404 | ||||||
|
|
|
|||||||
| Louisiana — 3.0% | ||||||||
| City of Shreveport Louisiana Water & Sewer Revenue, RB |
||||||||
| Series B, Junior Lien, (AGM), 4.00%, 12/01/44 |
5,542 | 5,981,153 | ||||||
| Series B, Junior Lien, (AGM), 4.00%, 12/01/49 |
11,133 | 12,015,911 | ||||||
|
|
|
|||||||
| 17,997,064 | ||||||||
| S C H E D U L E O F I N V E S T M E N T S |
45 |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock MuniVest Fund, Inc. (MVF) (Percentages shown are based on Net Assets) |
| Security | Par (000) |
Value | ||||||
| Maryland — 2.0% | ||||||||
| City of Baltimore Maryland, RB, Series A, 5.00%, 07/01/46 |
$ | 4,898 | $ | 5,604,889 | ||||
| Maryland Stadium Authority, RB, 5.00%, 05/01/47 |
5,509 | 6,456,100 | ||||||
|
|
|
|||||||
| 12,060,989 | ||||||||
| Michigan(h) — 2.6% | ||||||||
| Michigan Finance Authority, RB |
||||||||
| 4.00%, 02/15/47 |
7,434 | 8,206,969 | ||||||
| Series A, 4.00%, 02/15/44 |
6,646 | 7,336,907 | ||||||
|
|
|
|||||||
| 15,543,876 | ||||||||
| New Jersey — 2.5% | ||||||||
| South Jersey Transportation Authority, RB (BAM), Series A, 4.00%, 11/01/50. |
13,590 | 14,935,023 | ||||||
|
|
|
|||||||
| New York — 1.8% | ||||||||
| New York State Dormitory Authority, Refunding RB, Series A, 4.00%, 03/15/46 |
10,000 | 11,091,910 | ||||||
|
|
|
|||||||
| Oregon — 0.1% | ||||||||
| State of Oregon Housing & Community Services Department, RB, M/F Housing, Series A, AMT, 4.95%, 07/01/30 |
600 | 600,887 | ||||||
|
|
|
|||||||
| Pennsylvania — 3.9% | ||||||||
| Commonwealth of Pennsylvania, GO, 1st Series, 4.00%, 03/01/38(h) |
7,250 | 8,097,467 | ||||||
| County of Lehigh Pennsylvania, Refunding RB, Series A, 4.00%, 07/01/49(h) |
10,007 | 11,069,775 | ||||||
| Westmoreland County Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/38 |
3,925 | 4,342,548 | ||||||
|
|
|
|||||||
| 23,509,790 | ||||||||
| Texas — 3.5% | ||||||||
| Harris County Health Facilities Development Corp, Refunding RB, Series B, 5.75%, 07/01/27 |
18,390 | 21,291,648 | ||||||
|
|
|
|||||||
| Virginia — 1.3% | ||||||||
| Fairfax County Economic Development Authority, RB, 5.00%, 04/01/47(h) |
6,960 | 8,009,478 | ||||||
|
|
|
|||||||
| Washington — 2.0% | ||||||||
| Washington Health Care Facilities Authority, Refunding RB, Series A, 5.00%, 10/01/38 |
10,000 | 12,194,315 | ||||||
|
|
|
|||||||
| Total Municipal Bonds Transferred to Tender Option Bond Trusts — 34.7% |
210,799,791 | |||||||
|
|
|
|||||||
| Total Long-Term Investments — 157.1% |
954,958,989 | |||||||
|
|
|
|||||||
| Security |
Shares |
Value | ||||||
| Short-Term Securities |
||||||||
| Money Market Funds — 0.2% |
||||||||
| BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.01%(i)(j) |
1,362,672 | $ | 1,362,672 | |||||
|
|
|
|||||||
| Total Short-Term Securities — 0.2% |
1,362,672 | |||||||
|
|
|
|||||||
| Total Investments — 157.3% |
956,321,661 | |||||||
| Other Assets Less Liabilities — 0.5% |
3,267,438 | |||||||
| Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (17.7)% |
(107,643,661 | ) | ||||||
| VMTP Shares at Liquidation Value, Net of Deferred Offering Costs — (40.1)% |
(243,800,000 | ) | ||||||
|
|
|
|||||||
| Net Assets Applicable to Common Shares — 100.0% |
$ | 608,145,438 | ||||||
|
|
|
|||||||
| (a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| (b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (c) | Security is collateralized by municipal bonds or U.S. Treasury obligations. |
| (d) | 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. |
| (e) | Zero-coupon bond. |
| (f) | When-issued security. |
| (g) | Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details. |
| (h) | All or a portion of the security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between October 1, 2024 to August 1, 2027, is $26,782,302. See Note 4 of the Notes to Financial Statements for details. |
| (i) | Affiliate of the Trust. |
| (j) | Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Trust during the six months ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 08/31/21 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 02/28/22 |
Shares Held at 02/28/22 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
| BlackRock Liquidity Funds, MuniCash, Institutional Class |
$ | 977,136 | $ | 386,531 | (a) | $ | — | $ | (844 | ) | $ | (151 | ) | $ | 1,362,672 | 1,362,672 | $ | 356 | $ | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) | Represents net amount purchased (sold). |
| 46 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Schedule of Investments (unaudited) (continued) February 28, 2022 |
BlackRock MuniVest Fund, Inc. (MVF) |
Derivative Financial Instruments Categorized by Risk Exposure
For the period ended February 28, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
| Net Realized Gain (Loss) from: |
||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 1,610,169 | $ | — | $ | 1,610,169 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
| Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 95,342 | $ | — | $ | 95,342 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Average Quarterly Balances of Outstanding Derivative Financial Instruments
| Futures contracts: |
||||
| Average notional value of contracts — short |
$ | 13,078,145 |
For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Trust’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Trust’s financial instruments categorized in the fair value hierarchy. The breakdown of the Trust’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Assets |
||||||||||||||||
| Investments |
||||||||||||||||
| Long-Term Investments |
||||||||||||||||
| Municipal Bonds |
$ | — | $ | 744,159,198 | $ | — | $ | 744,159,198 | ||||||||
| Municipal Bonds Transferred to Tender Option Bond Trusts |
— | 210,799,791 | — | 210,799,791 | ||||||||||||
| Short-Term Securities |
||||||||||||||||
| Money Market Funds |
1,362,672 | — | — | 1,362,672 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 1,362,672 | $ | 954,958,989 | $ | — | $ | 956,321,661 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the fair value hierarchy as follows:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Liabilities |
||||||||||||||||
| TOB Trust Certificates |
$ | — | $ | (107,606,861 | ) | $ | — | $ | (107,606,861 | ) | ||||||
| VMTP Shares at Liquidation Value |
— | (243,800,000 | ) | — | (243,800,000 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | — | $ | (351,406,861 | ) | $ | — | $ | (351,406,861 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
See notes to financial statements.
| S C H E D U LE O F I N V E S T M E N T S |
47 |
Statements of Assets and Liabilities (unaudited)
February 28, 2022
| BYM | BLE | MFL | MVF | |||||||||||||
|
|
||||||||||||||||
| ASSETS |
||||||||||||||||
| Investments, at value — unaffiliated(a) |
$ | 640,284,700 | $ | 1,113,815,338 | $ | 890,420,977 | $ | 954,958,989 | ||||||||
| Investments, at value — affiliated(b) |
856,795 | 3,555,847 | 8,237,018 | 1,362,672 | ||||||||||||
| Cash |
— | 100,833 | 146,563 | — | ||||||||||||
| Cash pledged for futures contracts |
— | 961,000 | 1,147,000 | — | ||||||||||||
| Receivables: |
||||||||||||||||
| Investments sold |
699,041 | 946,495 | 1,034,792 | — | ||||||||||||
| Dividends — affiliated |
38 | 29 | 38 | 3 | ||||||||||||
| Interest — unaffiliated |
6,217,629 | 11,306,736 | 9,267,245 | 10,366,490 | ||||||||||||
| Deferred offering costs |
— | 114,854 | — | — | ||||||||||||
| Prepaid expenses |
1,992 | 24,967 | 34,004 | 1,120 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total assets |
648,060,195 | 1,130,826,099 | 910,287,637 | 966,689,274 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| ACCRUED LIABILITIES |
||||||||||||||||
| Payables: |
||||||||||||||||
| Investments purchased |
692,471 | 3,357,192 | 2,478,329 | 4,319,907 | ||||||||||||
| Accounting services fees |
22,871 | 28,421 | 41,927 | 40,770 | ||||||||||||
| Custodian fees |
2,064 | 3,981 | 6,759 | 3,516 | ||||||||||||
| Income dividend distributions — Common Shares |
1,532,086 | 3,029,113 | 1,837,966 | 2,172,018 | ||||||||||||
| Interest expense and fees |
37,176 | 43,909 | 23,997 | 36,800 | ||||||||||||
| Investment advisory fees |
269,481 | 486,509 | 383,238 | 371,557 | ||||||||||||
| Offering costs |
— | 37,670 | — | — | ||||||||||||
| Trustees’ and Officer’s fees |
61,836 | 99,164 | 294,027 | 125,089 | ||||||||||||
| Other accrued expenses |
7,417 | 72,000 | 9,740 | 5,786 | ||||||||||||
| Professional fees |
31,934 | 78,039 | 44,236 | 35,369 | ||||||||||||
| Reorganization costs |
— | — | 229,189 | — | ||||||||||||
| Transfer agent fees |
15,523 | 39,515 | 18,800 | 26,163 | ||||||||||||
| Variation margin on futures contracts |
— | 799,629 | 935,409 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total accrued liabilities |
2,672,859 | 8,075,142 | 6,303,617 | 7,136,975 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| OTHER LIABILITIES |
||||||||||||||||
| TOB Trust Certificates |
115,429,037 | 130,922,743 | 88,413,120 | 107,606,861 | ||||||||||||
| VRDP Shares, at liquidation value of $ 100,000 per share, net of deferred offering |
— | — | 274,274,430 | — | ||||||||||||
| VMTP Shares, at liquidation value of $ 100,000 per share, net of deferred offering |
137,200,000 | 302,693,355 | — | 243,800,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total other liabilities |
252,629,037 | 433,616,098 | 362,687,550 | 351,406,861 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total liabilities |
255,301,896 | 441,691,240 | 368,991,167 | 358,543,836 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
$ | 392,758,299 | $ | 689,134,859 | $ | 541,296,470 | $ | 608,145,438 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS CONSIST OF |
||||||||||||||||
| Paid-in capital(f)(g)(h) |
$ | 362,939,577 | $ | 669,372,756 | $ | 513,540,415 | $ | 577,197,773 | ||||||||
| Accumulated earnings |
29,818,722 | 19,762,103 | 27,756,055 | 30,947,665 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
$ | 392,758,299 | $ | 689,134,859 | $ | 541,296,470 | $ | 608,145,438 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net asset value per Common Share |
$ | 14.87 | $ | 14.11 | $ | 14.28 | $ | 9.38 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) Investments, at cost — unaffiliated |
$ | 598,736,450 | $ | 1,063,396,483 | $ | 860,493,811 | $ | 906,565,872 | ||||||||
| (b) Investments, at cost — affiliated |
$ | 856,795 | $ | 3,556,037 | $ | 8,237,018 | $ | 1,362,672 | ||||||||
| (c) Preferred Shares outstanding |
1,372 | 3,027 | 2,746 | 2,438 | ||||||||||||
| (d) Preferred Shares authorized |
Unlimited | Unlimited | 1,000,000 | 10,000,000 | ||||||||||||
| (e) Par value per Preferred Share |
$ | 0.001 | $ | 0.001 | $ | 0.10 | $ | 0.10 | ||||||||
| (f) Common Shares outstanding |
26,415,271 | 48,856,664 | 37,896,208 | 64,836,371 | ||||||||||||
| (g) Common Shares authorized |
Unlimited | Unlimited | Unlimited | 150,000,000 | ||||||||||||
| (h) Par value per Common Share |
$ | 0.001 | $ | 0.001 | $ | 0.10 | $ | 0.10 | ||||||||
See notes to financial statements.
| 48 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Operations (unaudited)
Six Months Ended February 28, 2022
| BYM | BLE | MFL | MVF | |||||||||||||
|
|
||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||
| Dividends — affiliated |
$ | 1,542 | $ | 318 | $ | 236 | $ | 356 | ||||||||
| Interest — unaffiliated |
11,511,065 | 21,028,245 | 14,814,492 | 17,322,842 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total investment income |
11,512,607 | 21,028,563 | 14,814,728 | 17,323,198 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| EXPENSES |
||||||||||||||||
| Investment advisory |
1,788,137 | 3,220,070 | 2,543,917 | 2,464,728 | ||||||||||||
| Professional |
34,536 | 36,351 | 46,282 | 45,597 | ||||||||||||
| Accounting services |
34,070 | 28,618 | 63,148 | 68,853 | ||||||||||||
| Transfer agent |
15,034 | 12,661 | 20,227 | 23,190 | ||||||||||||
| Trustees and Officer |
7,914 | 13,528 | 495 | 10,226 | ||||||||||||
| Registration |
4,494 | 7,975 | 6,453 | 11,032 | ||||||||||||
| Custodian |
2,930 | 5,769 | 1,568 | 5,535 | ||||||||||||
| Liquidity fees |
— | — | 13,869 | — | ||||||||||||
| Remarketing fees on Preferred Shares |
— | — | 13,617 | — | ||||||||||||
| Reorganization |
— | — | 438,817 | — | ||||||||||||
| Miscellaneous |
37,789 | 44,452 | 36,850 | 38,823 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total expenses excluding interest expense, fees and amortization of offering costs |
1,924,904 | 3,369,424 | 3,185,243 | 2,667,984 | ||||||||||||
| Interest expense, fees and amortization of offering costs(a) |
1,059,291 | 2,090,352 | 1,537,755 | 1,596,137 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total expenses |
2,984,195 | 5,459,776 | 4,722,998 | 4,264,121 | ||||||||||||
| Less: |
||||||||||||||||
| Fees waived and/or reimbursed by the Manager |
(1,724 | ) | (1,262 | ) | (243,779 | ) | (372 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total expenses after fees waived and/or reimbursed |
2,982,471 | 5,458,514 | 4,479,219 | 4,263,749 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net investment income |
8,530,136 | 15,570,049 | 10,335,509 | 13,059,449 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||
| Net realized gain (loss) from: |
||||||||||||||||
| Investments — unaffiliated |
(33,825 | ) | (1,902,808 | ) | (1,886,470 | ) | 335,940 | |||||||||
| Investments — affiliated |
(3,122 | ) | (1,582 | ) | 2,272 | (844 | ) | |||||||||
| Futures contracts |
775,271 | 3,760,488 | 3,215,040 | 1,610,169 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 738,324 | 1,856,098 | 1,330,842 | 1,945,265 | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net change in unrealized appreciation (depreciation) on: |
||||||||||||||||
| Investments — unaffiliated |
(28,634,342 | ) | (51,345,140 | ) | (41,489,060 | ) | (47,664,124 | ) | ||||||||
| Investments — affiliated |
(170 | ) | (190 | ) | — | (151 | ) | |||||||||
| Futures contracts |
1,812 | (349,960 | ) | (648,906 | ) | 95,342 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (28,632,700 | ) | (51,695,290 | ) | (42,137,966 | ) | (47,568,933 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net realized and unrealized loss |
(27,894,376 | ) | (49,839,192 | ) | (40,807,124 | ) | (45,623,668 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET DECREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS |
$ | (19,364,240 | ) | $ | (34,269,143 | ) | $ | (30,471,615 | ) | $ | (32,564,219) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Related to TOB Trusts, VMTP Shares and/or VRDP Shares. |
See notes to financial statements.
| F I N A N C I A L S T A T E M E N T S |
49 |
Statements of Changes in Net Assets
| BYM | BLE | |||||||||||||||
|
|
|
|
|
|||||||||||||
| Six Months Ended 02/28/22 (unaudited) |
Year Ended 08/31/21 |
Six Months Ended 02/28/22 (unaudited) |
Year Ended 08/31/21 |
|||||||||||||
|
|
||||||||||||||||
| INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
||||||||||||||||
| OPERATIONS |
||||||||||||||||
| Net investment income |
$ | 8,530,136 | $ | 18,442,119 | $ | 15,570,049 | $ | 22,845,790 | ||||||||
| Net realized gain (loss) |
738,324 | 1,130,070 | 1,856,098 | (1,085,434 | ) | |||||||||||
| Net change in unrealized appreciation (depreciation) |
(28,632,700 | ) | 8,574,911 | (51,695,290 | ) | 15,056,145 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations |
(19,364,240 | ) | 28,147,100 | (34,269,143 | ) | 36,816,501 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| DISTRIBUTIONS TO COMMON SHAREHOLDERS(a) |
||||||||||||||||
| Decrease in net assets resulting from distributions to Common Shareholders |
(9,192,526 | ) | (18,114,969 | ) | (18,165,520 | )(b) | (23,759,629 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||
| Net proceeds from the issuance of common shares |
— | — | 2,684,598 | — | ||||||||||||
| Net proceeds from the issuance of common shares due to reorganization |
— | — | — | 376,530,043 | ||||||||||||
| Reinvestment of common distributions |
70,326 | 74,214 | 371,902 | 598,608 | ||||||||||||
| Redemption of common shares |
— | — | — | (379 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase in net assets derived from capital share transactions |
70,326 | 74,214 | 3,056,500 | 377,128,272 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
||||||||||||||||
| Total increase (decrease) in net assets applicable to Common Shareholders |
(28,486,440 | ) | 10,106,345 | (49,378,163 | ) | 390,185,144 | ||||||||||
| Beginning of period |
421,244,739 | 411,138,394 | 738,513,022 | 348,327,878 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| End of period |
$ | 392,758,299 | $ | 421,244,739 | $ | 689,134,859 | $ | 738,513,022 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
See notes to financial statements.
| 50 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Changes in Net Assets (continued)
| MFL | MVF | |||||||||||||||
|
|
|
|
|
|||||||||||||
| Six Months Ended 02/28/22 (unaudited) |
Year Ended 08/31/21 |
Six Months Ended 02/28/22 (unaudited) |
Year Ended 08/31/21 |
|||||||||||||
|
|
||||||||||||||||
| INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
||||||||||||||||
| OPERATIONS |
||||||||||||||||
| Net investment income |
$ | 10,335,509 | $ | 22,759,286 | $ | 13,059,449 | $ | 26,743,153 | ||||||||
| Net realized gain |
1,330,842 | 6,926,678 | 1,945,265 | 2,243,779 | ||||||||||||
| Net change in unrealized appreciation (depreciation) |
(42,137,966 | ) | 16,152,602 | (47,568,933 | ) | 28,082,486 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations |
(30,471,615 | ) | 45,838,566 | (32,564,219 | ) | 57,069,418 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| DISTRIBUTIONS TO COMMON SHAREHOLDERS(a) |
||||||||||||||||
| Decrease in net assets resulting from distributions to Common Shareholders |
(11,027,796 | ) | (21,971,464 | ) | (13,045,078 | ) | (26,064,221 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
||||||||||||||||
| Total increase (decrease) in net assets applicable to Common Shareholders |
(41,499,411 | ) | 23,867,102 | (45,609,297 | ) | 31,005,197 | ||||||||||
| Beginning of period |
582,795,881 | 558,928,779 | 653,754,735 | 622,749,538 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| End of period |
$ | 541,296,470 | $ | 582,795,881 | $ | 608,145,438 | $ | 653,754,735 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
| F I N A N C I A L S T A T E M E N T S |
51 |
Statements of Cash Flows (unaudited)
Six Months Ended February 28, 2022
| BYM | BLE | MFL | MVF | |||||||||||||
|
|
||||||||||||||||
| CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES |
||||||||||||||||
| Net decrease in net assets resulting from operations |
$ | (19,364,240 | ) | $ | (34,269,143 | ) | $ | (30,471,615 | ) | $ | (32,564,219 | ) | ||||
| Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities |
||||||||||||||||
| Proceeds from sales of long-term investments |
27,241,878 | 128,813,720 | 311,079,739 | 59,360,904 | ||||||||||||
| Purchases of long-term investments |
(41,631,480 | ) | (123,650,913 | ) | (324,826,218 | ) | (65,099,498 | ) | ||||||||
| Net proceeds from sales (purchases) of short-term securities |
5,467,296 | 12,271,934 | 8,196,953 | (386,531 | ) | |||||||||||
| Amortization of premium and accretion of discount on investments and other fees |
688,510 | 2,061,069 | 4,013,036 | 2,739,421 | ||||||||||||
| Net realized (gain) loss on investments |
36,947 | 1,904,390 | 1,884,198 | (335,096 | ) | |||||||||||
| Net unrealized depreciation on investments |
28,634,512 | 51,345,330 | 41,489,060 | 47,664,275 | ||||||||||||
| (Increase) Decrease in Assets |
||||||||||||||||
| Receivables |
||||||||||||||||
| Dividends — affiliated |
35 | 21 | 24 | 12 | ||||||||||||
| From the Manager |
— | 96,582 | — | — | ||||||||||||
| Interest — unaffiliated |
81,382 | 744,611 | 278,146 | (97,410 | ) | |||||||||||
| Variation margin on futures contracts |
1,494 | 113,713 | 52,861 | 30,704 | ||||||||||||
| Prepaid expenses |
19,880 | (51,301 | ) | (29,656 | ) | (1,120 | ) | |||||||||
| Deferred offering costs |
— | (114,854 | ) | — | — | |||||||||||
| Increase (Decrease) in Liabilities |
||||||||||||||||
| Payables |
||||||||||||||||
| Accounting services fees |
(46,160 | ) | (130,597 | ) | (86,856 | ) | (87,178 | ) | ||||||||
| Custodian fees |
(4,615 | ) | (10,842 | ) | (14,318 | ) | (6,292 | ) | ||||||||
| Interest expense and fees |
11,926 | 11,670 | 9,089 | 15,685 | ||||||||||||
| Investment advisory fees |
(43,804 | ) | (74,666 | ) | (37,331 | ) | (56,107 | ) | ||||||||
| Trustees’ and Officer’s fees |
(30,461 | ) | (43,881 | ) | (97,025 | ) | (37,795 | ) | ||||||||
| Other accrued expenses |
(1,552 | ) | 41,593 | (7,497 | ) | (9,535 | ) | |||||||||
| Professional fees |
(16,278 | ) | (32,074 | ) | (16,886 | ) | (19,463 | ) | ||||||||
| Reorganization costs |
— | — | 229,189 | — | ||||||||||||
| Transfer agent fees |
1,335 | 1,099 | 5,245 | 4,312 | ||||||||||||
| Variation margin on futures contracts |
(3,329 | ) | 799,629 | 935,409 | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net cash provided by operating activities |
1,043,276 | 39,827,090 | 12,585,547 | 11,115,069 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES |
||||||||||||||||
| Cash dividends paid to Common Shareholders |
(9,121,944 | ) | (17,781,053 | ) | (11,027,796 | ) | (13,045,078 | ) | ||||||||
| Payments for offering costs |
— | 37,670 | — | — | ||||||||||||
| Repayments of TOB Trust Certificates |
— | (28,730,901 | ) | (13,400,056 | ) | (6,712,728 | ) | |||||||||
| Repayments of Loan for TOB Trust Certificates |
— | (361,424 | ) | — | (1,620,737 | ) | ||||||||||
| Proceeds from TOB Trust Certificates |
8,071,324 | 3,665,240 | 12,500,000 | 8,290,737 | ||||||||||||
| Proceeds from Loan for TOB Trust Certificates |
— | 361,424 | — | 1,620,737 | ||||||||||||
| Amortization of deferred offering costs |
— | 75,166 | 9,493 | — | ||||||||||||
| Proceeds from issuance of Common Shares |
— | 2,684,598 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net cash used for financing activities |
(1,050,620 | ) | (40,049,280 | ) | (11,918,359 | ) | (11,467,069 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| CASH |
||||||||||||||||
| Net increase (decrease) in restricted and unrestricted cash |
(7,344 | ) | (222,190 | ) | 667,188 | (352,000 | ) | |||||||||
| Restricted and unrestricted cash at beginning of period |
7,344 | 1,284,023 | 626,375 | 352,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Restricted and unrestricted cash at end of period |
$ | — | $ | 1,061,833 | $ | 1,293,563 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION |
||||||||||||||||
| Cash paid during the period for interest expense |
$ | 1,047,365 | $ | 2,003,516 | $ | 1,519,173 | $ | 1,580,452 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NON-CASH FINANCING ACTIVITIES |
||||||||||||||||
| Reinvestment of common distributions |
$ | 70,326 | $ | 371,902 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 52 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Cash Flows (unaudited) (continued)
Six Months Ended February 28, 2022
| BYM | BLE | MFL | MVF | |||||||||||||
|
|
||||||||||||||||
| RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES |
||||||||||||||||
| Cash |
$ | — | $ | 100,833 | $ | 146,563 | $ | — | ||||||||
| Cash pledged |
||||||||||||||||
| Futures contracts |
— | 961,000 | 1,147,000 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | — | $ | 1,061,833 | $ | 1,293,563 | $ | — | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
See notes to financial statements.
| F I N A N C I A L S T A T E M E N T S |
53 |
(For a share outstanding throughout each period)
| BYM | ||||||||||||||||||||||||||||
| Six Months Ended (unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 15.95 | $ | 15.57 | $ | 15.72 | $ | 14.70 | $ | 15.32 | $ | 16.22 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net investment income(a) |
0.32 | 0.70 | 0.66 | 0.61 | 0.67 | 0.75 | ||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(1.05 | ) | 0.37 | (0.23 | ) | 1.04 | (0.62 | ) | (0.87 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net increase (decrease) from investment operations |
(0.73 | ) | 1.07 | 0.43 | 1.65 | 0.05 | (0.12 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Distributions to Common Shareholders from net investment income(b) |
(0.35 | ) | (0.69 | ) | (0.58 | ) | (0.63 | ) | (0.67 | ) | (0.78 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net asset value, end of period |
$ | 14.87 | $ | 15.95 | $ | 15.57 | $ | 15.72 | $ | 14.70 | $ | 15.32 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Market price, end of period |
$ | 13.71 | $ | 16.06 | $ | 14.19 | $ | 14.19 | $ | 13.09 | $ | 14.84 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total Return Applicable to Common Shareholders(c) |
||||||||||||||||||||||||||||
| Based on net asset value |
(4.57 | )%(d) | 7.14 | % | 3.20 | % | 12.12 | % | 0.80 | % | (0.30 | )% | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Based on market price |
(12.62 | )%(d) | 18.36 | % | 4.19 | % | 13.66 | % | (7.34 | )% | 0.74 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Ratios to Average Net Assets Applicable to Common Shareholders(e) |
||||||||||||||||||||||||||||
| Total expenses |
1.46 | %(f) | 1.49 | % | 2.02 | % | 2.53 | % | 2.23 | % | 1.93 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
1.46 | %(f) | 1.49 | % | 2.02 | % | 2.53 | % | 2.23 | % | 1.93 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total expenses after fees waived and/or reimbursed and excluding interest expense, fees, and amortization of offering costs(g) |
0.94 | %(f) | 0.96 | % | 0.98 | % | 0.98 | % | 0.97 | % | 0.97 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net investment income to Common Shareholders |
4.19 | %(f) | 4.41 | % | 4.31 | % | 4.13 | % | 4.50 | % | 4.95 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||
| Net assets applicable to Common Shareholders, end of period (000) |
$ | 392,758 | $ | 421,245 | $ | 411,138 | $ | 415,127 | $ | 388,149 | $ | 404,474 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| VMTP Shares outstanding at $100,000 liquidation value, end of period (000) |
$ | 137,200 | $ | 137,200 | $ | 137,200 | $ | 137,200 | $ | 137,200 | $ | 137,200 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Asset coverage per VMTP Shares at $100,000 liquidation value, end of period |
$ | 386,267 | $ | 407,030 | $ | 399,664 | $ | 402,571 | $ | 382,907 | $ | 394,806 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Borrowings outstanding, end of period (000) |
$ | 115,429 | $ | 107,358 | $ | 121,029 | $ | 118,726 | $ | 111,781 | $ | 101,288 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Portfolio turnover rate |
4 | % | 5 | % | 13 | % | 15 | % | 30 | % | 18 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| (a) | Based on average Common Shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
| (d) | Aggregate total return. |
| (e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (f) | Annualized. |
| (g) | Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details. |
See notes to financial statements.
| 54 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| BLE | ||||||||||||||||||||||||||||
| Six Months Ended (unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 15.18 | $ | 14.79 | $ | 15.16 | $ | 14.55 | $ | 15.17 | $ | 16.12 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net investment income(a) |
0.32 | 0.69 | 0.73 | 0.71 | 0.76 | 0.83 | ||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(1.02 | ) | 0.44 | (0.40 | ) | 0.60 | (0.60 | ) | (0.89 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net increase (decrease) from investment operations |
(0.70 | ) | 1.13 | 0.33 | 1.31 | 0.16 | (0.06 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Distributions to Common Shareholders from net investment income(b) |
(0.37 | )(c) | (0.74 | ) | (0.70 | ) | (0.70 | ) | (0.78 | ) | (0.89 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net asset value, end of period |
$ | 14.11 | $ | 15.18 | $ | 14.79 | $ | 15.16 | $ | 14.55 | $ | 15.17 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Market price, end of period |
$ | 13.77 | $ | 16.10 | $ | 14.83 | $ | 15.48 | $ | 13.77 | $ | 15.45 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total Return Applicable to Common Shareholders(d) |
||||||||||||||||||||||||||||
| Based on net asset value |
(4.64 | )%(e) | 7.82 | % | 2.37 | % | 9.52 | % | 1.35 | % | (0.18 | )% | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Based on market price |
(12.26 | )%(e) | 14.05 | % | 0.52 | % | 18.17 | % | (5.82 | )% | 0.29 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Ratios to Average Net Assets Applicable to Common Shareholders(f) |
||||||||||||||||||||||||||||
| Total expenses |
1.53 | %(g) | 1.60 | %(h) | 2.03 | %(i) | 2.55 | % | 2.32 | % | 2.02 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
1.52 | %(g) | 1.57 | %(h) | 2.00 | %(i) | 2.55 | % | 2.31 | % | 2.02 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total expenses after fees waived and/or reimbursed and excluding interest expense, fees, and amortization of offering costs(j) |
0.94 | %(g) | 1.00 | %(h) | 0.99 | %(i) | 0.98 | % | 0.98 | % | 0.99 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net investment income to Common Shareholders |
4.35 | %(g) | 4.54 | % | 4.96 | % | 4.86 | % | 5.12 | % | 5.47 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Supplemental Data |
||||||||||||||||||||||||||||
| Net assets applicable to Common Shareholders, end of period (000) |
$ | 689,135 | $ | 738,513 | $ | 348,328 | $ | 356,649 | $ | 342,437 | $ | 356,901 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| VMTP Shares outstanding at $100,000 liquidation value, end of period (000) |
$ | 302,700 | $ | 302,700 | $ | 151,300 | $ | 151,300 | $ | 151,300 | $ | 151,300 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Asset coverage per VMTP Shares at $100,000 liquidation value, end of period |
$ | 327,663 | $ | 343,975 | $ | 330,223 | $ | 335,723 | $ | 326,330 | $ | 335,890 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Borrowings outstanding, end of period (000) |
$ | 130,923 | $ | 155,988 | $ | 73,763 | $ | 59,519 | $ | 67,497 | $ | 71,274 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Portfolio turnover rate |
10 | % | 15 | % | 19 | % | 18 | % | 7 | % | 9 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| (a) | Based on average Common Shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
| (d) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
| (e) | Aggregate total return. |
| (f) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (g) | Annualized. |
| (h) | Includes non-recurring expenses of reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense, fees, and amortization of offering costs would have been 1.56%, 1.56% and 0.99%, respectively. |
| (i) | Includes non-recurring expenses of reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense, fees, and amortization of offering costs would have been 2.00%, 2.00% and 0.98%, respectively. |
| (j) | Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details. |
See notes to financial statements.
| F I N A N C I A L H I G H L IG HT S |
55 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| MFL | ||||||||||||||||||||||||||||
| Six Months Ended (unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 15.38 | $ | 14.75 | $ | 14.94 | $ | 14.09 | $ | 14.91 | $ | 15.86 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net investment income(a) |
0.27 | 0.60 | 0.57 | 0.59 | 0.71 | 0.78 | ||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(1.08 | ) | 0.61 | (0.21 | ) | 0.90 | (0.76 | ) | (0.87 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net increase (decrease) from investment operations |
(0.81 | ) | 1.21 | 0.36 | 1.49 | (0.05 | ) | (0.09 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Distributions to Common Shareholders from net investment income(b) |
(0.29 | ) | (0.58 | ) | (0.55 | ) | (0.64 | ) | (0.77 | ) | (0.86 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Net asset value, end of period |
$ | 14.28 | $ | 15.38 | $ | 14.75 | $ | 14.94 | $ | 14.09 | $ | 14.91 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Market price, end of period |
$ | 13.00 | $ | 14.88 | $ | 13.45 | $ | 13.60 | $ | 12.73 | $ | 15.03 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total Return Applicable to Common Shareholders(c) |
||||||||||||||||||||||||||||
| Based on net asset value |
(5.22 | )%(d) | 8.56 | % | 2.85 | % | 11.42 | % | (0.05 | )% | (0.34 | )% | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Based on market price |
(10.82 | )%(d) | 15.18 | % | 3.02 | % | 12.27 | % | (10.42 | )% | 0.46 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Ratios to Average Net Assets Applicable to Common Shareholders(e) |
||||||||||||||||||||||||||||
| Total expenses |
1.67 | %(f)(g) | 1.54 | % | 2.19 | % | 2.67 | % | 2.51 | % | 2.17 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total expenses after fees waived and/or reimbursed |
1.59 | %(f)(g) | 1.48 | % | 2.11 | % | 2.58 | % | 2.41 | % | 2.08 | % | ||||||||||||||||
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| Total expenses after fees waived and/or reimbursed and excluding interest expense, fees, and amortization of offering costs(h)(i) |
1.04 | %(f)(g) | 0.94 | % | 0.93 | % | 0.94 | % | 0.94 | % | 0.95 | % | ||||||||||||||||
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| Net investment income to Common Shareholders |
3.66 | %(g) | 3.97 | % | 3.90 | % | 4.15 | % | 4.91 | % | 5.22 | % | ||||||||||||||||
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| Supplemental Data |
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| Net assets applicable to Common Shareholders, end of period (000) |
$ | 541,296 | $ | 582,796 | $ | 558,929 | $ | 566,341 | $ | 534,075 | $ | 564,383 | ||||||||||||||||
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| VRDP Shares outstanding at $100,000 liquidation value, end of period (000) |
$ | 274,600 | $ | 274,600 | $ | 274,600 | $ | 274,600 | $ | 274,600 | $ | 274,600 | ||||||||||||||||
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| Asset coverage per VRDP Shares at $100,000 liquidation value, end of period |
$ | 297,122 | $ | 312,234 | $ | 303,543 | $ | 306,242 | $ | 294,492 | $ | 305,529 | ||||||||||||||||
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| Borrowings outstanding, end of period (000) |
$ | 88,413 | $ | 89,313 | $ | 91,534 | $ | 95,978 | $ | 114,546 | $ | 123,111 | ||||||||||||||||
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| Portfolio turnover rate |
34 | % | 39 | % | 44 | % | 52 | % | 22 | % | 16 | % | ||||||||||||||||
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| (a) | Based on average Common Shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
| (d) | Aggregate total return. |
| (e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (f) | Includes non-recurring expenses of reorganization costs. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and excluding interest expense, fees, and amortization of offering cost would have been 1.52%, 1.46% and 0.91%, respectively. |
| (g) | Annualized. |
| (h) | Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details. |
| (i) | The total expense ratio after fees waived and/or reimbursed and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees as follows: |
|
Six Months Ended (unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||
| Expense ratios |
1.03 | % | 0.93 | % | 0.92 | % | 0.93 | % | 0.93 | % | 0.94 | % | ||||||||||||||||
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See notes to financial statements.
| 56 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
| MVF | ||||||||||||||||||||||||||||
| Six Months Ended (unaudited) |
Year Ended August 31, | |||||||||||||||||||||||||||
| 2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||||
| Net asset value, beginning of period |
$ | 10.08 | $ | 9.60 | $ | 9.83 | $ | 9.35 | $ | 9.75 | $ | 10.38 | ||||||||||||||||
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| Net investment income(a) |
0.20 | 0.41 | 0.43 | 0.44 | 0.51 | 0.56 | ||||||||||||||||||||||
| Net realized and unrealized gain (loss) |
(0.70 | ) | 0.47 | (0.25 | ) | 0.50 | (0.39 | ) | (0.62 | ) | ||||||||||||||||||
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| Net increase (decrease) from investment operations |
(0.50 | ) | 0.88 | 0.18 | 0.94 | 0.12 | (0.06 | ) | ||||||||||||||||||||
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| Distributions to Common Shareholders from net investment income(b) |
(0.20 | ) | (0.40 | ) | (0.41 | ) | (0.46 | ) | (0.52 | ) | (0.57 | ) | ||||||||||||||||
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| Net asset value, end of period |
$ | 9.38 | $ | 10.08 | $ | 9.60 | $ | 9.83 | $ | 9.35 | $ | 9.75 | ||||||||||||||||
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| Market price, end of period |
$ | 8.78 | $ | 9.80 | $ | 8.77 | $ | 9.49 | $ | 8.81 | $ | 9.84 | ||||||||||||||||
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| Total Return Applicable to Common Shareholders(c) |
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| Based on net asset value. |
(4.91 | )%(d) | 9.62 | % | 2.30 | % | 10.76 | % | 1.52 | % | (0.38 | )% | ||||||||||||||||
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| Based on market price |
(8.45 | )%(d) | 16.66 | % | (3.19 | )% | 13.47 | % | (5.22 | )% | (3.10 | )% | ||||||||||||||||
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| Ratios to Average Net Assets Applicable to Common Shareholders(e) |
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| Total expenses |
1.35 | %(f) | 1.34 | % | 1.77 | % | 2.29 | % | 2.16 | % | 1.92 | % | ||||||||||||||||
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| Total expenses after fees waived and/or reimbursed |
1.35 | %(f) | 1.34 | % | 1.77 | % | 2.29 | % | 2.16 | % | 1.92 | % | ||||||||||||||||
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| Total expenses after fees waived and/or reimbursed and excluding interest expense,fees, and amortization of offering costs(g) |
0.84 | %(f) | 0.84 | % | 0.85 | % | 0.87 | % | 0.89 | % | 0.91 | % | ||||||||||||||||
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| Net investment income to Common Shareholders |
4.13 | %(f) | 4.17 | % | 4.48 | % | 4.74 | % | 5.35 | % | 5.71 | % | ||||||||||||||||
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| Supplemental Data |
||||||||||||||||||||||||||||
| Net assets applicable to Common Shareholders, end of period (000) |
$ | 608,145 | $ | 653,755 | $ | 622,750 | $ | 637,636 | $ | 605,972 | $ | 630,489 | ||||||||||||||||
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| VMTP Shares outstanding at $100,000 liquidation value, end of period (000) |
$ | 243,800 | $ | 243,800 | $ | 243,800 | $ | 243,800 | $ | 243,800 | $ | 243,800 | ||||||||||||||||
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| Asset coverage per VMTP Shares at $100,000 liquidation value, end of period |
$ | 349,444 | $ | 368,152 | $ | 355,435 | $ | 361,541 | $ | 348,553 | $ | 358,609 | ||||||||||||||||
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| Borrowings outstanding, end of period (000) |
$ | 107,607 | $ | 106,029 | $ | 97,266 | $ | 100,463 | $ | 112,817 | $ | 139,989 | ||||||||||||||||
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| Portfolio turnover rate |
6 | % | 13 | % | 18 | % | 31 | % | 21 | % | 26 | % | ||||||||||||||||
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| (a) | Based on average Common Shares outstanding. |
| (b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
| (d) | Aggregate total return. |
| (e) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (f) | Annualized. |
| (g) | Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details. |
See notes to financial statements.
| F I N A N C I A L H I G H L I G H T S |
57 |
Notes to Financial Statements (unaudited)
| 1. | ORGANIZATION |
The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Trusts”, or individually as a “Trust”:
| Trust Name | Herein Referred To As | Organized | Diversification Classification | |||
| BlackRock Municipal Income Quality Trust |
BYM | Delaware | Diversified | |||
| BlackRock Municipal Income Trust II |
BLE | Delaware | Diversified | |||
| BlackRock MuniHoldings Investment Quality Fund |
MFL | Massachusetts | Diversified | |||
| BlackRock MuniVest Fund, Inc. |
MVF | Maryland | Diversified |
The Boards of Directors and Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board,” and the trustees thereof are collectively referred to throughout this report as “Trustees”. The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.
The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of open-end non-index fixed-income funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.
Prior Year Reorganization: The Board and shareholders of BLE (the “Acquiring Trust”) and the Board and shareholders of each of BlackRock Strategic Municipal Trust (“BSD”), BlackRock MuniYield Investment Quality Fund (“MFT”) and BlackRock Municipal Income Investment Trust (“BBF”) (individually, a “Target Fund” and collectively the “Target Funds”) approved the reorganization of each Target Fund into the Acquiring Trust. As a result, the Acquiring Trust acquired substantially all of the assets and assumed substantially all of the liabilities of each Target Fund in exchange for an equal aggregate value of newly-issued Common Shares and Preferred Shares of the Acquiring Trust.
Each Common Shareholder of a Target Fund received Common Shares of the Acquiring Trust in an amount equal to the aggregate NAV of such Common Shareholder’s Target Fund Common Shares, as determined at the close of business on April 9, 2021, less the costs of the Target Fund’s reorganizations. Cash was distributed for any fractional shares.
Each Preferred Shareholder of a Target Fund received Preferred Shares of the Acquiring Trust in an amount equal to the aggregate liquidation preference of the Target Fund’s Preferred Shares held by such Preferred Shareholder prior to the Target Fund’s reorganization.
The reorganizations were accomplished by a tax-free exchange of Common Shares and Preferred Shares of the Acquiring Trust in the following amounts and at the following conversion ratios:
| Target Funds | Target Fund’s Share Class |
Shares Prior to Reorganization |
Conversion Ratio |
BLE’s Share Class |
Shares of BLE |
|||||||||||||||
| BSD |
Common | 7,309,381 | 0.97816190 | Common | 7,149,748 | (a) | ||||||||||||||
| MFT |
Common | 8,481,587 | 0.95690286 | Common | 8,116,045 | (a) | ||||||||||||||
| BBF |
Common | 10,232,375 | 0.95732884 | Common | 9,795,743 | (a) | ||||||||||||||
| BSD |
VMTP | 429 | 1 | VMTP | 429 | |||||||||||||||
| MFT |
VMTP | 565 | 1 | VMTP | 565 | |||||||||||||||
| BBF |
VMTP | 520 | 1 | VMTP | 520 | |||||||||||||||
| (a) | Net of fractional shares redeemed. |
Each Target Fund’s net assets and composition of net assets on April 9, 2021, the valuation date of the reorganizations were as follows:
| BSD | MFT | BBF | ||||||||||
| Net assets applicable to Common Shareholders |
$ | 107,419,054 | $ | 121,937,458 | $ | 147,173,531 | ||||||
| Paid-in-capital |
94,046,930 | 113,183,132 | 133,279,579 | |||||||||
| Accumulated earnings |
13,372,124 | 8,754,326 | 13,893,952 | |||||||||
For financial reporting purposes, assets received and shares issued by the Acquiring Trust were recorded at fair value. However, the cost basis of the investments received from the Target Funds was carried forward to align ongoing reporting of the Acquiring Trust’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The net assets applicable to Common Shareholders of the Acquiring Trust before the reorganizations were $354,170,274. The aggregate net assets applicable to Common Shareholders of the Acquiring Trust immediately after the reorganizations amounted to $730,700,317. Each Target Fund’s fair value and cost of financial instruments prior to the reorganizations were as follows:
| Target Funds | Fair Value of Investments |
Cost of Investments |
TOB Trust Certificates |
Preferred Shares Value |
||||||||||||
| BSD |
$ | 175,642,719 | $ | 160,134,612 | $ | 29,381,544 | $ | 42,900,000 | ||||||||
| MFT |
199,974,622 | 183,080,385 | 27,570,183 | 56,500,000 | ||||||||||||
| BBF |
228,740,575 | 208,822,701 | 35,319,194 | 52,000,000 | ||||||||||||
| 58 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
The purpose of these transactions was to combine four funds managed by the Manager with same or substantially similar (but not identical) investment objectives, investment policies, strategies, risks and restrictions. Each reorganization was a tax-free event and was effective on April 12, 2021.
Assuming the reorganization had been completed on September 1, 2020, the beginning of the fiscal reporting period of Acquiring Trust, the pro forma results of operations for the year ended August 31, 2021, are as follows:
| • | Net investment income (loss): $33,072,194 |
| • | Net realized and change in unrealized gain/loss on investments: $24,768,855 |
| • | Net increase in net assets resulting from operations: $57,841,049 |
Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Target Funds that have been included in the Acquiring Trust’s Statements of Operations since April 12, 2021.
Reorganization costs incurred by BLE in connection with the reorganization were expensed by BLE.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.
Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., futures contracts) or certain borrowings (e.g., TOB Trust transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investments or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions from net investment income are declared monthly and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Distributions to Preferred Shareholders are accrued and determined as described in Note 10.
Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the trustees who are not “interested persons” of the Trusts, as defined in the 1940 Act (“Independent Trustees”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, as applicable. Deferred compensation liabilities, if any, are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.
Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.
Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
59 |
Notes to Financial Statements (unaudited) (continued)
| 3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Trust’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Trust is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Trust determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:
| • | Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
| • | Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
| • | Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
| • | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access; |
| • | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
| • | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
| 4. | SECURITIES AND OTHER INVESTMENTS |
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Forward Commitments, When-Issued and 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.
| 60 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
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, a fund is 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.
Municipal Bonds Transferred to TOB Trusts: Certain Trusts leverage their assets through the use of “TOB Trust” transactions. The funds transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust issues two classes of beneficial interests: short-term floating rate interests (“TOB Trust Certificates”), which are sold to third-party investors, and residual inverse floating rate interests (“TOB Residuals”), which are issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that reset weekly and their holders have the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a fund provide the fund with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The funds may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment adviser may also contribute municipal bonds to a TOB Trust into which a fund has contributed bonds. If multiple BlackRock-advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residuals will be shared among the funds ratably in proportion to their participation in the TOB Trust.
TOB Trusts are supported by a liquidity facility provided by a third-party bank or other financial institution (the “Liquidity Provider”) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment of par plus accrued interest on any business day. The tendered TOB Trust Certificates are remarketed by a Remarketing Agent. In the event of a failed remarketing, the TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on number of days the loan is outstanding.
The TOB Trust may be collapsed without the consent of a fund, upon the occurrence of a termination event as defined in the TOB Trust agreement. Upon the occurrence of a termination event, a TOB Trust would be liquidated with the proceeds applied first to any accrued fees owed to the trustee of the TOB Trust, the Remarketing Agent and the Liquidity Provider. Upon certain termination events, TOB Trust Certificates holders will be paid before the TOB Residuals holders (i.e., the Trusts) whereas in other termination events, TOB Trust Certificates holders and TOB Residuals holders will be paid pro rata.
While a fund’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they restrict the ability of a fund to borrow money for purposes of making investments. MVF’s management believes that the trust’s restrictions on borrowings do not apply to the Trust’s TOB Trust transactions. Each Fund’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less certain transaction expenses, is paid to a Fund. A Fund typically invests the cash received in additional municipal bonds.
Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a Fund’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a Fund’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.
Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a Fund on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to non-bank sponsored TOB Trusts, a Fund incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of offering costs in the Statements of Operations. Amounts recorded within interest expense, fees and amortization of offering costs in the Statements of Operations are:
| Trust Name | Interest Expense |
Liquidity Fees |
Other Expenses |
Total | ||||||||||
| BYM |
$ | 63,232 | $ | 227,397 | $ | 72,047 | $362,676 | |||||||
| BLE |
79,153 | 289,360 | 108,553 | 477,066 | ||||||||||
| MFL |
45,158 | 181,120 | 53,645 | 279,923 | ||||||||||
| MVF |
60,004 | 220,483 | 77,090 | 357,577 | ||||||||||
For the six months ended February 28, 2022, the following table is a summary of each Trust’s TOB Trusts:
| Trust Name |
|
Underlying Municipal Bonds Transferred to TOB Trusts |
(a) |
|
Liability for TOB
Trust |
|
|
Range of Interest Rates on TOB Trust Certificates at Period End |
|
|
Average TOB
Trust |
|
|
Daily Weighted Average Rate of Interest and Other Expenses on TOB Trusts |
| |||||
| BYM |
$ | 185,907,042 | $ | 115,429,037 | 0.23% — 0.35 | % | $ | 108,103,118 | 0.68 | % | ||||||||||
| BLE |
224,965,875 | 130,922,743 | 0.20 — 0.37 | 143,920,401 | 0.67 | |||||||||||||||
| MFL |
198,581,218 | 88,413,120 | 0.23 — 0.26 | 89,049,520 | 0.64 |
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
61 |
Notes to Financial Statements (unaudited) (continued)
| Trust Name |
|
Underlying Municipal Bonds Transferred to TOB Trusts |
(a) |
|
Liability for TOB
Trust |
|
|
Range of Interest Rates on TOB Trust Certificates at Period End |
|
|
Average TOB
Trust |
|
|
Daily Weighted Average Rate of Interest and Other Expenses on TOB Trusts |
| |||||
| MVF |
$ | 210,799,791 | $ | 107,606,861 | 0.23% — 0.34% | $ | 108,923,365 | 0.66 | % |
| (a) | The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB Trust transaction may include a credit enhancement feature that provides for the timely payment of principal and interest on the bonds to the TOB Trust by a credit enhancement provider in the event of default of the municipal bond. The TOB Trust would be responsible for the payment of the credit enhancement fee and the Trusts, as TOB Residuals holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The maximum potential amounts owed by the Trusts, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts in the Schedules of Investments. |
| (b) | TOB Trusts may be structured on a non-recourse or recourse basis. When a Trust invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a Trust invests in a TOB Trust on a recourse basis, a Trust enters into a reimbursement agreement with the Liquidity Provider where a Trust is required to reimburse the Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the “Liquidation Shortfall”). As a result, if a Trust invests in a recourse TOB Trust, a Trust will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a Trust at February 28, 2022, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a fund at February 28, 2022. |
For the six months ended February 28, 2022, the following table is a summary of each Trust’s Loan for TOB Trust Certificates:
| Trust Name | Loans Outstanding at Period End |
Range of Interest Rates on Loans at Period End |
Average Loans Outstanding |
Daily Weighted Average Rate of Interest and Other Expenses on Loans |
||||||||||||
| BLE |
$ | — | — | % | $ | 15,975 | 0.71 | % | ||||||||
| MVF |
— | — | 71,635 | 0.71 | ||||||||||||
| 5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
| 6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.
For such services, each Trust, except for MFL and MVF, pays the Manager a monthly fee at an annual rate equal to the following percentages of the average weekly value of each Trust’s managed assets:
| Trust Name | Investment Advisory Fees |
|||
| BYM |
0.55 | % | ||
| BLE |
0.55 | |||
| 62 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
For purposes of calculating these fees, “managed assets” are determined as total assets of the Trust (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).
For such services, MFL and MVF pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Trust’s net assets:
| Trust Name | Investment Advisory Fees |
|||
| MFL |
0.55 | % | ||
| MVF |
0.50 | |||
For purposes of calculating these fees, “net assets” mean the total assets of the Trust minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred shares). It is understood that the liquidation preference of any outstanding preferred stock (other than accumulated dividends) and TOB Trusts is not considered a liability in determining a Trust’s NAV.
BLE has entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of BLE common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, BRIL will receive commissions with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of BLE’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended February 28, 2022 amounted to $5,426.
Expense Limitations, Waivers and Reimbursements: With respect to each Trust, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Trustees, or by a vote of a majority of the outstanding voting securities of a Trust. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended February 28, 2022, the amounts waived were as follows:
| Trust Name | Fees Waived and/or Reimbursed by the Manager |
|||
| BYM |
$ | 1,724 | ||
| BLE |
1,262 | |||
| MFL |
1,077 | |||
| MVF |
372 | |||
The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trust’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees. For the six months ended February 28, 2022, there were no fees waived by the Manager pursuant to this arrangement.
The Manager reimbursed MFL $85,525, for reorganization costs.
The Manager, for MFL, voluntarily agreed to waive its investment advisory fee on the proceeds of the Preferred Shares and TOB Trusts that exceed 35% of total assets minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred shares). The voluntary waiver may be reduced or discontinued at any time without notice. This amount is included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended February 28, 2022 the waiver was $157,177.
Trustees and Officers: Certain trustees and/or officers of the Trusts are directors and/or officers of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.
| 7. | PURCHASES AND SALES |
For the six months ended February 28, 2022, purchases and sales of investments, excluding short-term investments, were as follows:
| Trust Name | Purchases | Sales | ||||||
| BYM |
$ | 39,479,838 | $ | 24,470,919 | ||||
| BLE |
115,945,430 | 126,449,653 | ||||||
| MFL |
310,805,595 | 311,297,025 | ||||||
| MVF |
62,318,134 | 59,360,904 | ||||||
| 8. | INCOME TAX INFORMATION |
It is each Trust’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for a period of three fiscal years after they are filed. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
63 |
Notes to Financial Statements (unaudited) (continued)
Management has analyzed tax laws and regulations and their application to the Trusts as of February 28, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.
As of August 31, 2021, the Trusts had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
| Trust Name | Non-Expiring | |||
| BYM |
$ | 12,450,892 | ||
| BLE |
29,858,190 | |||
| MFL |
3,420,817 | |||
| MVF |
19,391,088 | |||
As of February 28, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
| Trust Name | Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
| BYM |
$ | 484,686,435 | $ | 44,081,326 | $ | (3,055,303 | ) | $ | 41,026,023 | |||||||
| BLE |
936,145,614 | 62,222,303 | (12,610,643 | ) | 49,611,660 | |||||||||||
| MFL |
780,536,561 | 35,165,920 | (6,281,693 | ) | 28,884,227 | |||||||||||
| MVF |
801,194,898 | 53,145,486 | (5,625,584 | ) | 47,519,902 | |||||||||||
| 9. | PRINCIPAL RISKS |
In the normal course of business, the Trusts invest in securities or other instruments and may enter into certain transactions, and such activities subject each Trust to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Trusts and their investments.
The Trusts may hold a significant amount of bonds subject to calls by the issuers at defined dates and prices. When bonds are called by issuers and the Trusts reinvest the proceeds received, such investments may be in securities with lower yields than the bonds originally held, and correspondingly, could adversely impact the yield and total return performance of a Trust.
A Trust structures and “sponsors” the TOB Trusts in which it holds TOB Residuals and has certain duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.
Should short-term interest rates rise, the Trusts’ investments in the TOB Trusts may adversely affect the Trusts’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect the Trusts’ NAVs per share.
The U.S. Securities and Exchange Commission (“SEC”) and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”). The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect the Trusts’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.
TOB Trusts constitute an important component of the municipal bond market. Any modifications or changes to rules governing TOB Trusts may adversely impact the municipal market and the Trusts, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. The ultimate impact of any potential modifications on the TOB Trust market and the overall municipal market is not yet certain.
Each Trust may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Trust may not be able to readily dispose of such investments at prices that approximate those at which a Trust could sell such investments if they were more widely traded and, as a result of such illiquidity, a Trust may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Trust’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Market Risk: Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolio’s current earnings rate.
Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities
| 64 | 2 0 2 2 B L A C K RO C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. Although vaccines have been developed and approved for use by various governments, the duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Trust’s portfolio are disclosed in its Schedule of Investments.
Certain Trusts invest a substantial amount of their assets in issuers located in a single state or limited number of states. When a Trust concentrates its investments in this manner, it assumes the risk that economic, regulatory, political or social conditions affecting that state or group of states could have a significant impact on the fund and could affect the income from, or the value or liquidity of, the fund’s portfolio. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.
The Trusts invest a significant portion of their assets in securities within a single or limited number of market sectors. When a Trust concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions affecting such sectors may have a significant impact on the Trust and could affect the income from, or the value or liquidity of, the Trust’s portfolio. Investment percentages in specific sectors are presented in the Schedules of Investments.
The Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Trusts may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Trusts is uncertain.
| 10. | CAPITAL SHARE TRANSACTIONS |
Each of BYM, and BLE is authorized to issue an unlimited number of shares, including Preferred Shares, par value $0.001 per share, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.
MFL is authorized to issue an unlimited number of shares, including 1 million Preferred Shares, par value $0.10 per share.
MVF is authorized to issue 160 million shares, 150 million of which were initially classified as Common Shares, par value $0.10 per share and 10 million of which were classified as Preferred Shares, par value $0.10 per share.
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
65 |
Notes to Financial Statements (unaudited) (continued)
Common Shares
For the six months shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:
| Trust Name | Six Months Ended 02/28/22 |
Year Ended 08/31/21 |
||||||
| BYM |
4,409 | 4,589 | ||||||
| BLE |
24,988 | 39,663 | ||||||
For the six months ended February 28, 2022 and the year ended August 31, 2021, shares issued and outstanding remained constant for MFL and MVF.
For the year ended August 31, 2021, Common Shares of BLE issued and outstanding increased by 25,061,561 as a result of the reorganization of BSD, MFT and BBF with and into BLE.
For the year ended August 31, 2021, Common Shares of BLE issued and outstanding decreased by 25 as a result of a redemption of fractional shares from the reorganization of BSD, MFT and BBF with and into BLE.
The Trusts participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2020 through November 30, 2021, each Trust may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2020, subject to certain conditions. From December 1, 2021 through November 30, 2022, each Trust may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2021, subject to certain conditions. There is no assurance that the Trusts will purchase shares in any particular amounts. For the six months ended February 28, 2022, the Trusts did not repurchase any shares.
BLE has filed a prospectus with the SEC allowing it to issue an additional 15,000,000 Common Shares through the Shelf Offering. Under the Shelf Offering, BLE, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above each Trust’s NAV per Common Share (calculated within 48 hours of pricing). As of period end, 14,822,320 Common Shares remain available for issuance under the Shelf Offering. During the period, BLE issued 177,680 shares under the Shelf Offering. See Additional Information - Shelf Offering Program for additional information.
Initial costs incurred by BLE in connection with its shelf offering are recorded as “Deferred offering costs” in the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against paid-in-capital. Any remaining deferred charges at the end of the shelf offering period will be charged to expense.
Preferred Shares
A Trust’s Preferred Shares rank prior to its Common Shares as to the payment of dividends by the Trust and distribution of assets upon dissolution or liquidation of the Trust. The 1940 Act prohibits the declaration of any dividend on Common Shares or the repurchase of Common Shares if the Trust fails to maintain asset coverage of at least 200% of the liquidation preference of the Trust’s outstanding Preferred Shares. In addition, pursuant to the Preferred Shares’ governing instruments, a Trust is restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with its Preferred Shares or repurchasing such shares if the Trust fails to declare and pay dividends on the Preferred Shares, redeem any Preferred Shares required to be redeemed under the Preferred Shares’ governing instruments or comply with the basic maintenance amount requirement of the ratings agencies rating the Preferred Shares.
Holders of Preferred Shares have voting rights equal to the voting rights of holders of Common Shares (one vote per share) and vote together with holders of Common Shares (one vote per share) as a single class on certain matters. Holders of Preferred Shares, voting as a separate class, are also entitled to (i) elect two members of the Board, (ii) elect the full Board if dividends on the Preferred Shares are not paid for a period of two years and (iii) a separate class vote to amend the Preferred Share governing documents. In addition, the 1940 Act requires the approval of the holders of a majority of any outstanding Preferred Shares, voting as a separate class, to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Trust’s sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.
VRDP Shares
MFL (for purposes of this section, a “VRDP Trust”) has issued Series W-7 VRDP Shares, $100,000 liquidation preference per share, in one or more privately negotiated offerings to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act of 1933, as amended (the “Securities Act”). The VRDP Shares include a liquidity feature and may be subject to a special rate period. As of period end, the VRDP Shares outstanding were as follows:
| Trust Name | Issue Date |
Shares Issued |
Aggregate Principal |
Maturity Date |
||||||||||||
| MFL |
06/30/11 | 2,746 | $ | 274,600,000 | 07/01/41 | |||||||||||
Redemption Terms: A VRDP Trust is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, a VRDP Trust is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, a VRDP Trust is required to redeem certain of its outstanding VRDP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.
Subject to certain conditions, the VRDP Shares may also be redeemed, in whole or in part, at any time at the option of a VRDP Trust. The redemption price per VRDP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends.
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Notes to Financial Statements (unaudited) (continued)
Liquidity Feature: VRDP Shares are subject to a fee agreement between the VRDP Trust and the liquidity provider that requires a per annum liquidity fee and, in some cases, an upfront or initial commitment fee, payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations. As of period end, the fee agreement is set to expire, unless renewed or terminated in advance, as follows:
| MFL | ||||
| Expiration date |
04/30/23 | |||
The VRDP Shares are also subject to a purchase agreement in connection with the liquidity feature. In the event a purchase agreement is not renewed or is terminated in advance, and the VRDP Shares do not become subject to a purchase 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 purchase agreement. In the event of such mandatory purchase, a VRDP Trust is required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, the VRDP Trust is required to begin to segregate liquid assets with its custodian to fund the redemption. There is no assurance that a VRDP Trust will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.
Remarketing: A VRDP Trust may incur remarketing fees on the aggregate principal amount of all its VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. During any special rate period (as described below), a VRDP Trust may incur nominal or no remarketing fees.
Ratings: As of period end, the VRDP Shares were assigned the following ratings:
| Trust Name | Moody’s Investors Service, Inc. Long-Term Ratings |
Fitch Ratings, Inc. Long-Term Ratings |
||||||
| MFL |
Aa1 | AA | ||||||
Special Rate Period:
A VRDP Trust has commenced a “special rate period” with respect to its VRDP Shares, during which the VRDP Shares will not be subject to any remarketing and the dividend rate will be based on a predetermined methodology. During a special rate period, short-term ratings on VRDP Shares are withdrawn. As of period end, the following VRDP Trust has commenced a special rate period:
| Trust Name | Commencement Date |
Expiration Date as of Period Ended 02/28/22 |
||||||
| MFL |
04/17/14 | 04/15/23 | ||||||
Prior to the expiration date, the VRDP Trust and the VRDP Shares holder may mutually agree to extend the special rate period. If a special rate period is not extended, the VRDP Shares will revert to remarketable securities upon the termination of the special rate period and will be remarketed and available for purchase by qualified institutional investors.
During the special rate period: (i) the liquidity and fee agreements remain in effect, (ii) VRDP Shares remain subject to mandatory redemption by the VRDP Trust on the maturity date, (iii) VRDP Shares will not be remarketed or subject to optional or mandatory tender events, (iv) the VRDP Trust is required to comply with the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares as is required when the VRDP Shares are not in a special rate period, (v) the VRDP Trust will pay dividends monthly based on the sum of an agreed upon reference rate and a percentage per annum based on the long-term ratings assigned to the VRDP Shares and (vi) the VRDP Trust will pay nominal or no fees to the liquidity provider and remarketing agent.
Dividends: Except during the Special Rate Period as described above, dividends on the VRDP Shares are payable monthly at a variable rate set weekly by the remarketing agent. Such dividend rates are generally based upon a spread over a base rate and cannot exceed a maximum rate. A change in the short-term credit rating of the liquidity provider or the VRDP Shares may adversely affect the dividend rate paid on such shares, although the dividend rate paid on the VRDP Shares is not directly based upon either short-term rating. In the event of a failed remarketing, the dividend rate of the VRDP Shares will be reset to a maximum rate. The maximum rate is determined based on, among other things, the long-term preferred share rating assigned to the VRDP Shares and the length of time that the VRDP Shares fail to be remarketed.
For the six months ended February 28, 2022, the annualized dividend rate for the VRDP Shares were as follows:
| MFL | ||||
| Dividend rates |
0.92 | % | ||
For the six months ended February 28, 2022, VRDP Shares issued and outstanding of each VRDP Trust remained constant.
VMTP Shares
BYM, BLE and MVF (for purposes of this section, each a “VMTP Trust”) have issued Series W-7 VMTP Shares, $100,000 liquidation preference per share, in one or more privately negotiated offerings to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act. The VMTP Shares are subject to certain restrictions on
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
67 |
Notes to Financial Statements (unaudited) (continued)
transfer, and a VMTP Trust may also be required to register its VMTP Shares for sale under the Securities Act under certain circumstances. As of period end, the VMTP Shares outstanding and assigned long-term ratings were as follows:
| Trust Name | Issue Date |
Shares Issued |
Aggregate Principal |
Term Redemption Date |
Moody’s Rating |
Fitch Rating |
||||||||||||||||||
| BYM |
12/16/11 | 1,372 | $ | 137,200,000 | 07/02/23 | Aa1 | AA | |||||||||||||||||
| BLE |
12/16/11 | 1,513 | 151,300,000 | 07/02/23 | Aa1 | AA | ||||||||||||||||||
| 04/12/21 | 1,514 | 151,400,000 | 07/02/23 | Aa1 | AA | |||||||||||||||||||
| MVF |
12/16/11 | 2,438 | 243,800,000 | 07/02/23 | Aa1 | AA | ||||||||||||||||||
Redemption Terms: Each VMTP Trust is required to redeem its VMTP Shares on the term redemption date, unless earlier redeemed or repurchased or unless extended. There is no assurance that a term will be extended further or that any VMTP Shares will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the VMTP Shares. Six months prior to the term redemption date, a VMTP Trust is required to begin to segregate liquid assets with its custodian to fund the redemption. In addition, a VMTP Trust is required to redeem certain of its outstanding VMTP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.
Subject to certain conditions, VMTP Shares may be redeemed, in whole or in part, at any time at the option of the VMTP Trust. With respect to each VMTP Trust, the redemption price per VMTP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends and applicable redemption premium. If each VMTP Trust redeems the VMTP Shares prior to the term redemption date and the VMTP Shares have long-term ratings above A1/A+ or its equivalent by the ratings agencies then rating the VMTP Shares, then such redemption may be subject to a prescribed redemption premium (up to 2% of the liquidation preference) payable to the holder of the VMTP Shares based on the time remaining until the term redemption date, subject to certain exceptions for redemptions that are required to comply with minimum asset coverage requirements.
Dividends: Dividends on the VMTP Shares are declared daily and payable monthly at a variable rate set weekly at a fixed rate spread to the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index or to a percentage of the one-month LIBOR rate, as set forth in the VMTP Shares governing instrument. The fixed spread is determined based on the long-term preferred share rating assigned to the VMTP Shares by the ratings agencies then rating the VMTP Shares.
The dividend rate on VMTP Shares is subject to a step-up spread if the VMTP Trust fails to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and complying with certain asset coverage and leverage requirements.
For the six months ended February 28, 2022, the average annualized dividend rates for the VMTP Shares were as follows:
| BYM | BLE | MVF | ||||||||||
| Dividend rates |
1.02 | % | 1.02 | % | 1.02 | % | ||||||
For the six months ended February 28, 2022, VMTP Shares issued and outstanding remained constant for BYM, BLE and MVF.
For the year ended August 31, 2021, VMTP Shares issued and outstanding for BLE increased by 1,514 due to the reorganizations of BSD, MFT and BBF with and into BLE.
Offering Costs: The Trusts incurred costs in connection with the issuance of VRDP and VMTP Shares, which were recorded as a direct deduction from the carrying value of the related debt liability and will be amortized over the life of the VRDP and VMTP Shares with the exception of any upfront fees paid by a VRDP Trust to the liquidity provider which, if any, were amortized over the life of the liquidity agreement. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.
Financial Reporting: The VRDP and VMTP Shares are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the VRDP and VMTP Shares, is recorded as a liability in the Statements of Assets and Liabilities net of deferred offering costs. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends accrued and paid on the VRDP and VMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP and VMTP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP and VMTP Shares are generally classified as tax-exempt income for tax-reporting purposes. Dividends and amortization of deferred offering costs on VRDP and VMTP Shares are included in interest expense, fees and amortization of offering costs in the Statements of Operations:
| Trust Name | Dividends Accrued | Deferred Offering Costs Amortization |
||||||
| BYM |
$ | 696,615 | $ | — | ||||
| BLE |
1,538,120 | 75,166 | ||||||
| MFL |
1,248,339 | 9,493 | ||||||
| MVF |
1,238,560 | — | ||||||
| 11. | 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:
With the requisite approvals by each Trust’s shareholders and the satisfaction of customary closing conditions, the reorganization of MFL into MUI closed on April 11, 2022.
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Notes to Financial Statements (unaudited) (continued)
The Trusts declared and paid or will pay distributions to Common Shareholders as follows:
| Trust Name | Declaration Date |
Record Date |
Payable/ Paid Date |
Dividend Per Common Share |
||||||||||||
| BYM |
03/01/22 | 03/15/22 | 04/01/22 | $ | 0.058000 | |||||||||||
| 04/01/22 | 04/14/22 | 05/02/22 | 0.058000 | |||||||||||||
| BLE |
03/01/22 | 03/15/22 | 04/01/22 | 0.052000 | ||||||||||||
| 04/01/22 | 04/14/22 | 05/02/22 | 0.052000 | |||||||||||||
| MFL |
03/01/22 | 03/15/22 | 04/01/22 | 0.048500 | ||||||||||||
| 03/18/22 | 04/07/22 | 05/02/22 | 0.050000 | (a) | ||||||||||||
| MVF |
03/01/22 | 03/15/22 | 04/01/22 | 0.033500 | ||||||||||||
| 04/01/22 | 04/14/22 | 05/02/22 | 0.033500 | |||||||||||||
| (a) | Net investment income special dividend. |
The Trusts declared and paid or will pay distributions to Preferred Shareholders as follows:
| Preferred Shares(a) | ||||||||||||
| Trust Name | Shares | Series | Declared | |||||||||
| BYM |
VMTP | W-7 | $ | 141,635 | ||||||||
| BLE |
VMTP | W-7 | 312,485 | |||||||||
| MFL |
VRDP | W-7 | 273,547 | |||||||||
| MVF |
VMTP | W-7 | 251,681 | |||||||||
| (a) | Dividends declared for period March 1, 2022 to March 31, 2022. |
| N O T E S T O F I N A N C I A L S T A T E M E N T S |
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Proxy Results
At a Joint Special Meeting of Shareholders of BlackRock MuniHoldings Investment Quality Fund held on February 4, 2022 and adjourned to March 4, 2022, Trust shareholders were asked to vote on the following proposals:
Common and Preferred Shareholders
Proposal 1(A). The common shareholders and holders of Variable Rate Demand Preferred Shares (“VRDP Shares” and the holders thereof, “VRDP Holders”) of MFL are being asked to vote as a single class on a proposal to approve an Agreement and Plan of Reorganization between MFL and BlackRock Municipal Income Fund, Inc. (the “Acquiring Fund”) (the “Reorganization Agreement”) and the transactions contemplated therein, including (i) the acquisition by the Acquiring Fund of substantially all of MFL’s assets and the assumption by the Acquiring Fund of substantially all of MFL’s liabilities in exchange solely for newly issued common shares and VRDP Shares of the Acquiring Fund, which will be distributed to the common shareholders (although cash may be distributed in lieu of fractional common shares) and VRDP Holders, respectively, of MFL, and which shall constitute the sole consideration to be distributed or paid to the common shareholders (although cash may be distributed in lieu of fractional common shares) and the VRDP Holders in respect of their common shares and VRDP Shares, respectively, and (ii) the termination by MFL of its registration under the Investment Company Act of 1940, as amended (the “1940 Act”), and the liquidation, dissolution and termination of MFL in accordance with its Declaration of Trust and Massachusetts law (the “Reorganization”).
With respect to Proposal 1(A):
| Trust Name | For | Against | Abstain | |||||||||||
| MFL | 19,752,619 | 419,663 | 1,082,153 | |||||||||||
Preferred Shareholders
Proposal 1(B). The VRDP Holders of MFL are being asked to vote as a separate class on a proposal to approve the Reorganization Agreement and the Reorganization.
With respect to Proposal 1(B):
| Trust Name | For | Against | Abstain | |||||||||||
| MFL | 2,746 | — | — | |||||||||||
Trust Certification
The Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by Section 302 of the Sarbanes-Oxley Act.
Regulation Regarding Derivatives
On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Trusts will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
Environmental, Social and Governance (“ESG”) Integration
Although a Trust does not seek to implement a specific ESG, impact or sustainability strategy unless otherwise disclosed, Trust management will consider ESG characteristics as part of the investment process for actively managed Trusts. These considerations will vary depending on a Trust’s particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. Trust management will consider those ESG characteristics it deems relevant or additive when making investment decisions for a Trust. The ESG characteristics utilized in a Trust’s investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. ESG characteristics are not the sole considerations when making investment decisions for a Trust. Further, investors can differ in their views of what constitutes positive or negative ESG characteristics. As a result, a Trust may invest in issuers that do not reflect the beliefs and values with respect to ESG of any particular investor. ESG considerations may affect a Trust’s exposure to certain companies or industries and a Trust may forego certain investment opportunities. While Trust management views ESG considerations as having the potential to contribute to a Trust’s long-term performance, there is no guarantee that such results will be achieved.
Dividend Policy
Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed as accumulated earnings (loss) in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.
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Additional Information (continued)
General Information
The Trusts (other than BLE) do not make available copies of their Statements of Additional Information because the Trusts’ (other than BLE’s) shares are not continuously offered, which means that the Statement of Additional Information of each Trust (other than BLE) has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s (other than BLE’s) Statement of Additional Information may have become outdated.
BLE’s Statement of Additional Information includes additional information about its Board and is available, without charge upon request by calling (800)-882-0052.
The following information is a summary of certain changes since August 31, 2021. This information may not reflect all of the changes that have occurred since you purchased the relevant Trust.
On November 2, 2021, MVF divided its Board of Directors into three classes, with one class standing for election each year, effective November 18, 2021. In addition, on November 2, 2021, MVF amended and restated its Bylaws to classify its Board of Directors and adopt a voting standard of a majority of the outstanding shares for the election of directors in a contested election.
Except if noted otherwise herein, there were no changes 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.
In accordance with Section 23(c) of the Investment Company Act of 1940, each Trust may from time to time purchase shares of its common stock in the open market or in private transactions.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.
Electronic Delivery
Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports and, for BLE only, prospectuses, by enrolling in the electronic delivery program. Electronic copies of shareholder reports and, for BLE only, prospectuses, are available on BlackRock’s website.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service.
Householding
The Trusts will mail only one copy of shareholder documents, including for BLE only, prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.
Availability of Quarterly Schedule of Investments
The Trusts file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Trusts’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Trust makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities and 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 without charge, upon request (1) by calling (800) 882-0052; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at 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 blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.
| A D D I T I O N A L I N F O R M A T I O N |
71 |
Additional Information (continued)
Shelf Offering Program
From time to time, BLE may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, BLE may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above BLE’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow BLE to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks – including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market.
On November 22, 2021, BLE filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of BLE are not offers to sell BLE Common Shares or solicitations of an offer to buy BLE Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of BLE contains important information about the Trust, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of BLE carefully and in its entirety before investing. Copies of the final prospectus for BLE can be obtained from BlackRock at blackrock.com.
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.
Trust and Service Providers
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Accounting Agent and Custodian
State Street Bank and Trust Company
Boston, MA 02111
Transfer Agent
Computershare Trust Company, N.A.
Canton, MA 02021
VRDP Liquidity Provider
Bank of America, N.A.
New York, NY 10036
VRDP Remarketing Agent
BofA Securities, Inc.
New York, NY 10036
VRDP Tender and Paying Agent and VMTP Redemption and Paying Agent
The Bank of New York Mellon
New York, NY 10286
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Address of the Trusts
100 Bellevue Parkway
Wilmington, DE 19809
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Glossary of Terms Used in this Report
Portfolio Abbreviation
| AGC-ICC | Assured Guaranty Corp. – Insured Custody Certificate | |
| AGM | Assured Guaranty Municipal Corp. | |
| AGM-CR | AGM Insured Custodial Receipt | |
| AMBAC | AMBAC Assurance Corp. | |
| AMT | Alternative Minimum Tax | |
| ARB | Airport Revenue Bonds | |
| BAM | Build America Mutual Assurance Co. | |
| BAM-TCRS | Build America Mutual Assurance Co.- Transferable Custodial | |
| Receipts | ||
| CAB | Capital Appreciation Bonds | |
| COP | Certificates of Participation | |
| FHA | Federal Housing Administration | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| FNMA | Federal National Mortgage Association | |
| GNMA | Government National Mortgage Association | |
| GO | General Obligation Bonds | |
| GTD | GTD Guaranteed | |
| HUD SECT 8 | U.S. Department of Housing and Urban Development | |
| Section 8 | ||
| M/F | Multi-Family | |
| NPFGC | National Public Finance Guarantee Corp. | |
| PSF | Permanent School Fund | |
| PSF-GTD | Permanent School Fund Guaranteed | |
| RB | Revenue Bond | |
| S/F | Single-Family | |
| SAB | Special Assessment Bonds | |
| SAW | State Aid Withholding | |
| SONYMA | State of New York Mortgage Agency | |
| TA | Tax Allocation | |
| G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T |
73 |
Want to know more?
blackrock.com | 800-882-0052
This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of NAV and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.
CEF-NTL-02/22-SAR
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(b) Not Applicable
| 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(a) 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 due to no such purchases during the period covered by this report. |
| Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
| Item 11 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable |
| Item 13 – | Exhibits attached hereto |
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(a)(1) Code of Ethics – Not Applicable to this semi-annual report
(a)(2) Section 302 Certifications are attached
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(4) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock MuniHoldings Investment Quality Fund
| By: | /s/ John M. Perlowski | |||
| John M. Perlowski | ||||
| Chief Executive Officer (principal executive officer) of | ||||
| BlackRock MuniHoldings Investment Quality Fund |
Date: April 20, 2022
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 MuniHoldings Investment Quality Fund |
Date: April 20, 2022
| By: | /s/ Trent Walker | |||
| Trent Walker | ||||
| Chief Financial Officer (principal financial officer) of | ||||
| BlackRock MuniHoldings Investment Quality Fund |
Date: April 20, 2022
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