UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21180
Name of Fund: BlackRock Insured Municipal Income Investment Trust (BAF)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: Anne F. Ackerley, Chief Executive Officer, BlackRock Insured Municipal Income Investment Trust, 55 East 52nd Street, New York, NY 10055.
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2010
Date of reporting period: 11/30/2009
Item 1 – Schedule of Investments
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BlackRock Insured Municipal Income Investment Trust (BAF) |
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Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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State |
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Municipal Bonds |
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Par |
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Value |
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Alabama - 1.7% |
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Birmingham Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC), 6.13%, 6/01/34 |
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$ |
1,000 |
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$ |
1,067,120 |
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Birmingham Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC), 6.00%, 6/01/39 |
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1,000 |
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1,053,720 |
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2,120,840 |
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California - 5.3% |
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County of Sacramento, California, RB, Senior, Series A (AGC), 5.50%, 7/01/41 |
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1,400 |
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1,430,954 |
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Los Angeles Municipal Improvement Corp., Refunding RB, Real Property, Series B (AGC), 5.50%, 4/01/39 |
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3,810 |
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3,921,214 |
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San Diego Public Facilities Financing Authority, Refunding RB, Series B (AGC), 5.38%, 8/01/34 |
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1,125 |
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1,170,079 |
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6,522,247 |
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Colorado - 1.3% |
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Colorado Health Facilities Authority, RB, Hospital, NCMC Inc. Project, Series B (FSA), 6.00%, 5/15/26 |
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1,425 |
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1,576,577 |
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Florida - 41.4% |
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City of Jacksonville, Florida, RB, Series B (AMBAC), 5.00%, 10/01/26 |
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5,000 |
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5,057,600 |
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City of Miami, Florida, RB (MBIA), 5.25%, 1/01/28 |
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5,035 |
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5,246,822 |
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City of Palm Bay, Florida, RB, Improvement (MBIA), 5.51%, 10/01/28 (a) |
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1,845 |
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639,163 |
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City of Sunrise, Florida, Refunding RB (AMBAC), 5.00%, 10/01/28 |
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5,000 |
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5,110,750 |
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County of Miami-Dade, Florida, RB, CAB, Sub-Series A (MBIA), 5.26%, 10/01/39 (a) |
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10,000 |
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1,202,100 |
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County of Miami-Dade, Florida, RB, CAB, Sub-Series A (MBIA), 5.26%, 10/01/40 (a) |
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10,000 |
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1,039,500 |
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County of Miami-Dade, Florida, RB, Sub-Series B (MBIA), 5.62%, 10/01/31 (a) |
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26,935 |
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5,772,440 |
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County of Orange, Florida, Refunding RB (AMBAC), 5.00%, 10/01/29 |
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1,600 |
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1,636,448 |
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County of Orange, Florida, Refunding RB, Series B (MBIA), 5.13%, 1/01/32 |
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7,380 |
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7,416,236 |
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County of Saint John’s, Florida, RB (FSA), 5.00%, 10/01/37 |
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840 |
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827,526 |
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Hillsborough County Aviation Authority, Florida, Refunding RB, Series D (AGC), 5.50%, 10/01/26 |
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1,295 |
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1,413,130 |
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Lake County School Board, COP, Series A (AMBAC), 5.00%, 7/01/28 |
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3,500 |
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3,506,685 |
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Pasco County School Board, COP, Series A (MBIA), 5.00%, 8/01/27 |
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2,765 |
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2,833,821 |
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Tohopekaliga Water Authority, RB, Series B (FSA), 5.00%, 10/01/23 |
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1,000 |
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1,042,050 |
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Portfolio Abbreviations |
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To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list.
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AGC |
Assured Guaranty Corp. |
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AMBAC |
American Municipal Bond Assurance Corp. |
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BHAC |
Berkshire Hathaway Assurance Corp. |
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CAB |
Capital Appreciation Bonds |
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COP |
Certificates of Participation |
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EDA |
Economic Development Authority |
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FSA |
Financial Security Assurance Inc. |
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GO |
General Obligation Bonds |
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ISD |
Independent School District |
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MBIA |
Municipal Bond Investors Assurance (National Public Finance Guaranty Corp.) |
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RB |
Revenue Bonds |
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S/F |
Single-Family |
1
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BlackRock Insured Municipal Income Investment Trust (BAF) |
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Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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State |
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Municipal Bonds |
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Par |
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Value |
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Village Center Community Development District, RB, Series A (MBIA), 5.00%, 11/01/32 |
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$ |
10,000 |
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$ |
8,082,300 |
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50,826,571 |
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Georgia - 2.7% |
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Gwinnett County Hospital Authority, Refunding RB, Gwinnett Hospital System, Series D (FSA), 5.50%, 7/01/41 |
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1,350 |
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1,345,910 |
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Metropolitan Atlanta Rapid Transit Authority, RB, Third Indenture, Series B (FSA), 5.00%, 7/01/34 |
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1,890 |
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1,962,406 |
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3,308,316 |
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Illinois - 4.2% |
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Chicago Board of Education, Illinois, GO, Refunding, Chicago School Reform Board, Series A (MBIA), 5.50%, 12/01/26 |
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|
900 |
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1,005,012 |
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Chicago Transit Authority, RB, Federal Transit Administration Section 5309, Series A (AGC), 6.00%, 6/01/26 |
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1,300 |
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1,477,047 |
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City of Chicago, Illinois, Refunding RB, Second Lien (MBIA), 5.50%, 1/01/30 |
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|
975 |
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1,060,985 |
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Illinois Municipal Electric Agency, RB, Series A (MBIA), 5.25%, 2/01/28 |
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1,560 |
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1,620,263 |
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5,163,307 |
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Indiana - 1.2% |
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Indianapolis Local Public Improvement Bond Bank, Refunding RB, Waterworks Project, Series A (AGC), 5.50%, 1/01/38 |
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1,415 |
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1,500,013 |
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Iowa - 0.9% |
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Iowa Finance Authority, Refunding RB, Iowa Health System (AGC), 5.25%, 2/15/29 |
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1,125 |
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1,146,296 |
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Kentucky - 0.8% |
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Kentucky Municipal Power Agency, RB, Prairie State Project, Series A (BHAC), 5.25%, 9/01/42 |
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1,000 |
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1,021,630 |
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Louisiana - 2.8% |
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Louisiana State Citizens Property Insurance Corp., RB, Series C-3 (AGC), 6.13%, 6/01/25 |
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|
2,510 |
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2,817,952 |
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New Orleans Aviation Board, Louisiana, Refunding RB, Restructuring GARBs, Series A-1 (AGC), 6.00%, 1/01/23 |
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375 |
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423,720 |
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New Orleans Aviation Board, Louisiana, Refunding RB, Restructuring GARBs, Series A-2 (AGC), 6.00%, 1/01/23 |
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150 |
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169,488 |
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3,411,160 |
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Michigan - 15.1% |
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City of Detroit, Michigan, RB, Second Lien, Series B (FSA), 6.25%, 7/01/36 |
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1,700 |
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1,828,010 |
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City of Detroit, Michigan, RB, Second Lien, Series B (FSA), 7.00%, 7/01/36 |
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|
200 |
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|
224,166 |
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City of Detroit, Michigan, RB, Second Lien, Series B (MBIA), 5.50%, 7/01/29 |
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|
1,790 |
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1,756,795 |
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City of Detroit, Michigan, RB, Senior Lien, Series B (BHAC), 5.50%, 7/01/35 |
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|
4,750 |
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4,867,278 |
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City of Detroit, Michigan, RB, Senior Lien, Series B (FSA), 7.50%, 7/01/33 |
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|
515 |
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|
606,057 |
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City of Detroit, Michigan, RB, System, Second Lien, Series A (BHAC), 5.50%, 7/01/36 |
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2,330 |
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2,394,028 |
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City of Detroit, Michigan, Refunding RB, Second Lien, Series E (BHAC), 5.75%, 7/01/31 |
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2,300 |
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|
2,453,847 |
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City of Detroit, Michigan, Refunding RB, Senior Lien, Series C-1 (FSA), 7.00%, 7/01/27 |
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|
1,800 |
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2,060,352 |
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Michigan State Building Authority, Refunding RB, Facilities Program, Series I (AGC), 5.25%, 10/15/24 |
|
|
565 |
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|
602,352 |
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2
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BlackRock Insured Municipal Income Investment Trust (BAF) |
|
|
Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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State |
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Municipal Bonds |
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Par |
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Value |
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Michigan State Building Authority, Refunding RB, Facilities Program, Series I (AGC), 5.25%, 10/15/25 |
|
$ |
300 |
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$ |
317,079 |
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Royal Oak Hospital Finance Authority, Michigan, Refunding RB, William Beaumont Hospital, 8.25%, 9/01/39 |
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1,205 |
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1,392,691 |
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18,502,655 |
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Minnesota - 5.1% |
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City of Minneapolis, Minnesota, Refunding RB, Fairview Health Services, Series B (AGC), 6.50%, 11/15/38 |
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5,680 |
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6,276,059 |
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New Jersey - 5.0% |
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New Jersey EDA, RB, School Facilities Construction, Series Z (AGC), 6.00%, 12/15/34 |
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1,000 |
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1,111,570 |
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New Jersey Health Care Facilities Financing Authority, RB, Virtua Health (AGC), 5.50%, 7/01/38 |
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|
1,300 |
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|
1,333,033 |
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New Jersey State Housing & Mortgage Finance Agency, RB, S/F Housing, Series CC, 5.25%, 10/01/29 |
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|
1,575 |
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1,609,871 |
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New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series A (AGC), 5.50%, 12/15/38 |
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2,000 |
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|
2,133,400 |
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6,187,874 |
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New York - 2.9% |
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New York City Transitional Finance Authority, RB, Fiscal 2009, Series S-3, 5.25%, 1/15/39 |
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|
900 |
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|
929,592 |
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New York City Transitional Finance Authority, RB, Fiscal 2009, Series S-4 (AGC), 5.50%, 1/15/29 |
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2,465 |
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2,695,921 |
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3,625,513 |
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Puerto Rico - 1.2% |
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Puerto Rico Sales Tax Financing Corp., RB, First Sub-Series A, 6.38%, 8/01/39 |
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|
1,350 |
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|
1,423,049 |
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Texas - 15.5% |
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City of Dallas, Texas, Refunding RB (AGC), 5.25%, 8/15/38 |
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|
800 |
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|
807,816 |
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City of Houston, Texas, Refunding RB, Combined, First Lien, Series A (AGC), 6.00%, 11/15/35 |
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|
2,600 |
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|
2,946,840 |
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City of Houston, Texas, Refunding RB, Combined, First Lien, Series A (AGC), 6.00%, 11/15/36 |
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|
2,215 |
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|
2,512,696 |
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City of Houston, Texas, Refunding RB, Combined, First Lien, Series A (AGC), 5.38%, 11/15/38 |
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|
1,000 |
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|
1,045,600 |
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Frisco ISD, Texas, GO, School Building (AGC), 5.38%, 8/15/39 |
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|
1,415 |
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|
1,493,179 |
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Frisco ISD, Texas, GO, School Building (AGC), 5.50%, 8/15/41 |
|
|
3,365 |
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|
3,575,346 |
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Harris County Health Facilities Development Corp., Refunding RB, Memorial Hermann Healthcare System, Series B, 7.13%, 12/01/31 |
|
|
500 |
|
|
557,835 |
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Lower Colorado River Authority, Refunding RB, Transmission Services Project (AGC), 5.50%, 5/15/36 |
|
|
1,270 |
|
|
1,315,428 |
|
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Lubbock Cooper ISD, Texas, GO, School Building (AGC), 5.75%, 2/15/42 |
|
|
500 |
|
|
527,325 |
|
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North Texas Tollway Authority, RB, System, First Tier, Series K-1 (AGC), 5.75%, 1/01/38 |
|
|
1,500 |
|
|
1,575,690 |
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North Texas Tollway Authority, Refunding RB, System, First Tier, Series A (AGC), 5.75%, 1/01/40 |
|
|
1,500 |
|
|
1,565,895 |
|
|
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Tarrant County Cultural Education Facilities Finance Corp., Refunding RB, Christus Health, Series A (AGC), 6.50%, 7/01/37 |
|
|
1,000 |
|
|
1,090,860 |
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|
|
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|
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19,014,510 |
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3
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BlackRock Insured Municipal Income Investment Trust (BAF) |
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Schedule of Investments November 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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* |
The cost and unrealized appreciation (depreciation) of investments as of November 30, 2009, as computed for federal income tax purposes, were as follows: |
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|
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Aggregate cost |
|
$ |
163,764,691 |
|
|
|
|
|
|
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|
Gross unrealized appreciation |
|
$ |
5,688,347 |
|
|
Gross unrealized depreciation |
|
|
(6,296,540 |
) |
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|
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(608,193 |
) |
|
|
|
|
|
|
4
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|
BlackRock Insured Municipal Income Investment Trust (BAF) |
|
Schedule of Investments November 30, 2009 (Unaudited) |
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(a) |
Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
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(b) |
Securities represent bonds transferred to a tender option bond trust in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. |
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(c) |
Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
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Affiliate |
|
Net |
|
Income |
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|
CMA Florida Municipal Money Fund |
|
|
— |
|
|
— |
|
|
FFI Institutional Tax-Exempt Fund |
|
$ |
(4,202,751 |
) |
$ |
3,606 |
|
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(d) |
Represents the current yield as of report date. |
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• |
Fair Value Measurements - Various inputs are used in determining the fair value of investments, which are as follows: |
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• |
Level 1 - price quotations in active markets/exchanges for identical assets and liabilities |
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• |
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) |
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• |
Level 3 - unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments) |
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The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its annual report. |
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The following table summarizes the inputs used as of November 30, 2009 in determining the fair valuation of the Trust’s investments: |
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Valuation |
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Investments in |
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Assets |
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|
Level 1 - Short-Term Securities |
|
$ |
5,000,005 |
|
|
Level 2 - Long-Term Investments1 |
|
|
186,853,850 |
|
|
Level 3 |
|
|
— |
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Total |
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$ |
191,853,855 |
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1See above Schedule of Investments for values in each state or political subdivision. |
5
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Item 2 – |
Controls and Procedures | ||
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2(a) – |
The registrant's principal executive and principal financial officers or persons performing similar functions have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13(a)-15(b) under the Securities Exchange Act of 1934, as amended. | ||
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2(b) – |
There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. | ||
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Item 3 – |
Exhibits | ||
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Certifications – Attached hereto | ||
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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. | ||
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BlackRock Insured Municipal Income Investment Trust | ||
| By: | /s/ Anne F. Ackerley | ||
| Anne F. Ackerley | |||
| Chief Executive Officer of | |||
| BlackRock Insured Municipal Income Investment Trust | |||
| Date: January 22, 2010 | |||
| 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/ Anne F. Ackerley | ||
| Anne F. Ackerley | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Insured Municipal Income Investment Trust | |||
| Date: January 22, 2010 | |||
| By: | /s/ Neal J. Andrews | ||
| Neal J. Andrews | |||
| Chief Financial Officer (principal financial officer) of | |||
| BlackRock Insured Municipal Income Investment Trust | |||
| Date: January 22, 2010 | |||