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 811-10337

 

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

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 07/31/2011

 

Date of reporting period: 07/31/2011

 

Item 1 – Report to Stockholders

 


 

 

(BLACKROCK LOGO)

July 31, 2011


 

 

 

Annual Report

 

 

 

BlackRock California Municipal Income Trust (BFZ)

 

 

 

BlackRock Florida Municipal 2020 Term Trust (BFO)

 

 

 

BlackRock Investment Quality Municipal Income Trust (RFA)

 

 

 

BlackRock Municipal Income Investment Trust (BBF)

 

 

 

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

 

 

 

BlackRock New Jersey Municipal Income Trust (BNJ)

 

 

 

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

 

 

 

BlackRock New York Municipal Income Trust (BNY)


 

Not FDIC Insured § No Bank Guarantee § May Lose Value




 

 

 

 

 

Table of Contents

 

 

 

 

 

 

 

Page

 

 

 

Dear Shareholder

 

3

Annual Report:

 

 

Municipal Market Overview

 

4

Trust Summaries

 

5

The Benefits and Risks of Leveraging

 

13

Derivative Financial Instruments

 

13

Financial Statements:

 

 

Schedules of Investments

 

14

Statements of Assets and Liabilities

 

40

Statements of Operations

 

42

Statements of Changes in Net Assets

 

44

Statements of Cash Flows

 

46

Financial Highlights

 

47

Notes to Financial Statements

 

55

Report of Independent Registered Public Accounting Firm

 

63

Important Tax Information

 

64

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

 

65

Automatic Dividend Reinvestment Plan

 

69

Officers and Trustees

 

70

Additional Information

 

73


 

 

 

 

 

 

 

2

ANNUAL REPORT

JULY 31, 2011




 

 

 

Dear Shareholder

Financial markets have been extremely volatile in the wake of the Standard & Poor’s downgrade of US Treasury debt. While the August 5 announcement was the catalyst for the market turmoil, weaker-than-expected economic data and Europe’s deepening financial crisis further compounded investor uncertainty as the future direction of the global economy became increasingly questionable. Although markets remain highly volatile and conditions are highly uncertain, BlackRock remains focused on finding opportunities in this environment.

The pages that follow reflect your mutual fund’s reporting period ended July 31, 2011. Accordingly, the below discussion is intended to provide you with additional perspective on the performance of your investments during that period.

During the summer of 2010, investors were in “risk-off” mode as the global economy was sputtering and the sovereign debt crisis was spreading across Europe. But markets were revived toward the end of the summer on positive economic news and robust corporate earnings. The global economy had finally gained traction and fear turned to optimism with the anticipation of a second round of quantitative easing (“QE2”) from the US Federal Reserve (the “Fed”). Stock markets rallied even though the European debt crisis continued and inflationary pressures loomed over emerging markets. Fixed income markets, however, saw yields move sharply upward (pushing prices down) especially on the long end of the historically steep yield curve. While high yield bonds benefited from the risk rally, most fixed income sectors declined in the fourth quarter. The tax-exempt municipal market faced additional headwinds as it became evident that the Build America Bond program would not be extended and municipal finance troubles abounded.

The new year brought spikes of volatility as political turmoil swept across the Middle East/North Africa region and as prices of oil and other commodities soared. Natural disasters in Japan disrupted industrial supply chains and concerns mounted over US debt and deficit issues. Equities quickly rebounded as investors chose to focus on the continuing stream of strong corporate earnings and positive economic data. Credit markets were surprisingly resilient in this environment and yields regained relative stability in 2011. The tax-exempt market saw relief from its headwinds and steadily recovered from its fourth-quarter lows. Equities, commodities and high yield bonds outpaced higher-quality assets as investors increased their risk tolerance.

However, longer-term headwinds had been brewing. Inflationary pressures intensified in emerging economies, many of which were overheating, and the European debt crisis continued to escalate. Markets were met with a sharp reversal in May when political unrest in Greece pushed the nation closer to defaulting on its debt. This development rekindled fears about the broader debt crisis and its further contagion among peripheral European countries. Concurrently, it became evident that the pace of global economic growth had slowed. Higher oil prices and supply chain disruptions finally showed up in economic data. In the final month of the reporting period, the prolonged debt ceiling debate in Washington, DC led to a loss of confidence in policymakers. Stocks generally declined from May through the end of the period, but 6- and 12-month returns through the end of July remained in positive territory. In bond markets, yields were volatile but generally moved lower for the period as a whole (pushing prices up). Continued low short-term interest rates kept yields on money market securities near their all-time lows.

Sincerely,

 

-s- Rob Kapito

 

Rob Kapito

President, BlackRock Advisors, LLC

 

(PHOTO OF ROB KAPITO)

 

“Although markets remain highly volatile and conditions are highly uncertain, BlackRock remains focused on finding opportunities in this environment.”

 

Rob Kapito

President, BlackRock Advisors, LLC

 

 

Total Returns as of July 31, 2011

 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

US large cap equities
(S&P 500® Index)

 

1.46

%

 

19.65

%

 

US small cap equities
(Russell 2000® Index)

 

2.63

 

 

23.92

 

 

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

 

0.93

 

 

17.17

 

 

Emerging market
equities (MSCI Emerging
Markets Index)

 

3.23

 

 

17.45

 

 

3-month Treasury
bill (BofA Merrill Lynch
3-Month Treasury
Bill Index)

 

0.07

 

 

0.14

 

 

US Treasury securities
(BofA Merrill Lynch 10-
Year US Treasury Index)

 

6.93

 

 

4.53

 

 

US investment grade
bonds (Barclays
Capital US Aggregate
Bond Index)

 

4.23

 

 

4.44

 

 

Tax-exempt municipal
bonds (Barclays Capital
Municipal Bond Index)

 

6.27

 

 

3.24

 

 

US high yield bonds
(Barclays Capital US
Corporate High Yield 2%
Issuer Capped Index)

 

3.90

 

 

12.89

 

 


 

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

 

 


 

 

 

 

 

 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

 

3




 

 

 

Municipal Market Overview

 

For the 12-Month Period Ended July 31, 2011

At the outset of the 12-month period, investor concerns were focused on the possibility of deflation and a double-dip in the US economy thus leading to a flatter municipal yield curve at that time as compared to July 31, 2011. From July through September 2010, rates moved lower (and prices higher) across the curve, reaching historic lows in August when the yield on 5-year issues touched 1.06%, the 10-year reached 2.18%, and the 30-year closed at 3.67%. However, the market took a turn in October amid a “perfect storm” of events that ultimately resulted in the worst quarterly performance for municipals since the Fed tightening cycle of 1994. Treasury yields lost support due to concerns over the US deficit and municipal valuations suffered a quick and severe setback as it became evident that the Build America Bond (“BAB”) program would expire at the end of 2010. The BAB program opened the taxable market to municipal issuers, which had successfully alleviated supply pressure in the traditional tax-exempt marketplace, bringing down yields in that space.

(LINE GRAPH)

Towards the end of the fourth quarter 2010, news about municipal finance troubles mounted and damaged confidence among retail investors. From mid-November through year end, weekly outflows from municipal mutual funds averaged over $2.5 billion. Political uncertainty surrounding the midterm elections and tax policies along with the expiration of the BAB program exacerbated the situation. These conditions combined with seasonal illiquidity sapped willful market participation from the trading community. December brought declining demand with no comparable reduction in supply as issuers rushed their deals to market before the BAB program was retired. This supply-demand imbalance led to wider quality spreads and higher yields.

Demand is usually strong at the beginning of a new year, but retail investors continued to move away from municipal mutual funds in 2011. From mid-November, outflows persisted for 29 consecutive weeks, totaling $35.1 billion before the trend finally broke in June. Weak demand has been counterbalanced by lower supply in 2011. According to Thomson Reuters, year-to-date through July, new issuance was down 40% compared to the same period last year. Issuers have been reluctant to bring new deals to the market due to higher interest rates, fiscal policy changes and a reduced need for municipal borrowing. In this positive technical environment, the S&P/Investortools Main Municipal Bond Index gained 4.22% for the second quarter of 2011, its best second-quarter performance since 1992, and municipals outperformed most other fixed income asset classes for the quarter.

Municipals displayed an impressive degree of resiliency throughout the month of July as Moody’s Investors Service signaled that its potential downgrade of US government debt could also result in downgrades of a number of triple A-rated states and nearly 200 local general obligation issues. July also brought weaker US economic data. The housing market remained sluggish, fewer jobs were created and consumer confidence declined. US Treasury yields moved lower, dragging municipal yields down, which pushed bond prices up.

Overall, the municipal yield curve steepened during the period from July 31, 2010 to July 31, 2011. As measured by Thomson Municipal Market Data, yields on AAA quality-rated 30-year municipals rose 38 basis points (“bps”) to 4.35%, while yields for 5-year maturities rallied by 13 bps to 1.16%, and 10-year maturities increased by 10 bps to 2.67%. With the exception of the 2- to 5-year range, the yield spread between maturities increased over the past year, with the greatest increase seen in the 5- to 30-year range, where the spread widened by 51 bps, while overall the slope between 2- and 30-year maturities increased by 35 bps to 3.95%.

The fundamental picture for municipalities is improving as most states began their new fiscal year with a balanced budget. Austerity is the general theme across the country, while a small number of states continue to rely on the “kick the can” approach, using aggressive revenue projections and accounting gimmicks to close their shortfalls. As long as economic growth stays positive, tax receipts for states should continue to rise and lead to better credit fundamentals. BlackRock maintains a constructive view of the municipal market, recognizing that careful credit research and security selection remain imperative amid uncertainty in the economic environment.

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

 

 

 

 

 

 

 

4

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock California Municipal Income Trust


 

Trust Overview

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

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned (0.86)% based on market price and 4.05% based on net asset value (“NAV”). For the same period, the closed-end Lipper California Municipal Debt Funds category posted an average return of (1.84)% based on market price and 3.16% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s slightly long duration posture benefited performance as bonds with longer maturities experienced the greatest price appreciation as the yield curve flattened amid the investor flight-to-quality in the latter half of the period. Increased exposure to inverse floating rate instruments (tender option bonds) while the municipal yield curve was historically steep boosted the Trust’s income accrual. Holdings of higher quality essential service revenue bonds had a positive impact on performance as investors favored these securities versus general obligation bonds and school district credits, which lagged due to budget concerns in California. Conversely, some widening of credit spreads, especially among California school district and health care issues, had a negative impact on returns. In addition, the Trust’s cash reserves detracted as cash underperformed longer maturity, coupon bonds as yields fell and spreads tightened.

 

 

 

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


 

 

 

 

 

Trust Information

 

 

 

 

 

Symbol on New York Stock Exchange (“NYSE”)

 

 

BFZ

 

Initial Offering Date

 

 

July 27, 2001

 

Yield on Closing Market Price as of July 31, 2011 ($13.16)1

 

 

6.90%

 

Tax Equivalent Yield2

 

 

10.62%

 

Current Monthly Distribution per Common Share3

 

 

$0.0757

 

Current Annualized Distribution per Common Share3

 

 

$0.9084

 

Leverage as of July 31, 20114

 

 

42%

 


 

 

 

 

1

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

 

 

 

 

2

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

 

 

 

 

3

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

 

 

 

 

4

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$13.16

 

 

$14.21

 

 

(7.39)%

 

 

$14.99

 

 

$12.02

 

Net Asset Value

 

 

$13.88

 

 

$14.28

 

 

(2.80)%

 

 

$14.88

 

 

$12.17

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

County/City/Special District/School District

 

39

%

 

37

%

 

Utilities

 

29

 

 

27

 

 

Health

 

11

 

 

9

 

 

Education

 

7

 

 

10

 

 

Transportation

 

7

 

 

6

 

 

State

 

5

 

 

7

 

 

Housing

 

2

 

 

3

 

 

Corporate

 

5

 

1

 

 


 

 

 

 

5

Amount rounds to less than 1%.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

11

%

 

24

%

 

AA/Aa

 

67

 

 

46

 

 

A

 

20

 

 

26

 

 

BBB/Baa

 

2

 

 

3

 

 

Not Rated

 

 

 

17

 

 


 

 

 

 

6

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

 

 

 

 

7

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2010, the market value of these securities was $5,717,100, representing 1% of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

5




 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock Florida Municipal 2020 Term Trust


 

Trust Overview

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

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned 2.00% based on market price and 5.07% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of (3.65)% based on market price and 3.25% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust benefited from its exposure to pre-refunded bonds and escrow bonds, which performed well due to their shorter maturities when long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s holdings in health care bonds detracted from performance due to the sector’s underperformance versus the broader municipal market in the first half of the reporting period.

 

 

 

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


 

Trust Information


 

 

 

 

 

Symbol on NYSE

 

 

BFO

 

Initial Offering Date

 

 

September 30, 2003

 

Termination Date (on or about)

 

 

December 31, 2020

 

Yield on Closing Market Price as of July 31, 2011 ($13.91)1

 

 

4.83%

 

Tax Equivalent Yield2

 

 

7.43%

 

Current Monthly Distribution per Common Share3

 

 

$0.056

 

Current Annualized Distribution per Common Share3

 

 

$0.672

 

Leverage as of July 31, 20114

 

 

34%

 


 

 

 

 

1

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

 

 

 

 

2

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

 

 

 

 

3

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

 

 

 

 

4

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$13.91

 

 

$14.30

 

 

(2.73)%

 

 

$14.87

 

 

$13.01

 

Net Asset Value

 

 

$14.94

 

 

$14.91

 

 

0.20%

 

 

$15.40

 

 

$13.86

 

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

 

Sector Allocations


 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

County/City/Special District/School District

 

46

%

 

45

%

 

Utilities

 

18

 

 

20

 

 

Health

 

12

 

 

12

 

 

State

 

11

 

 

10

 

 

Corporate

 

6

 

 

7

 

 

Transportation

 

4

 

 

2

 

 

Housing

 

2

 

 

3

 

 

Education

 

1

 

 

1

 

 


 

Credit Quality Allocations5


 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

7

%

 

32

%

 

AA/Aa

 

40

 

 

19

 

 

A

 

23

 

 

23

 

 

BBB/Baa

 

12

 

 

7

 

 

BB/Ba

 

1

 

 

 

 

Not Rated6

 

17

 

 

19

 

 


 

 

 

 

5

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

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011 and July 31, 2010, the market value of these securities was $10,771,005, representing 8%, and $15,832,064, representing 13%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

6

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock Investment Quality Municipal Income Trust


 

Trust Overview


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

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned (0.66)% based on market price and 2.90% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of (2.24)% based on market price and 4.19% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s holdings in spread sectors, including housing and health care bonds, enhanced performance as these sectors provided a relatively high degree of incremental income in the low interest rate environment. In addition, the Trust’s holdings of premium coupon bonds (6% or higher) and shorter-duration bonds (bonds with lower sensitivity to interest rate movements) performed well as long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s exposure to bonds with longer duration (greater sensitivity to interest rate movements) and bonds with longer-dated maturities detracted from performance as the municipal yield curve steepened over the 12-month period. The surprise non-extension of the BAB program at the end of 2010 put additional upward pressure on the long end of the yield curve, where most of the BAB supply was issued.

 

 

 

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


 

Trust Information


 

 

 

 

 

Symbol on NYSE Amex

 

 

RFA

 

Initial Offering Date

 

 

May 28, 1993

 

Yield on Closing Market Price as of July 31, 2011 ($11.65)1

 

 

7.21%

 

Tax Equivalent Yield2

 

 

11.09%

 

Current Monthly Distribution per Common Share3

 

 

$0.07

 

Current Annualized Distribution per Common Share3

 

 

$0.84

 

Leverage as of July 31, 20114

 

 

40%

 


 

 

 

 

1

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

 

 

 

 

2

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

 

 

 

 

3

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

 

 

 

 

4

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$11.65

 

 

$12.60

 

 

(7.54)%

 

 

$13.20

 

 

$10.40

 

Net Asset Value

 

 

$11.77

 

 

$12.29

 

 

(4.23)%

 

 

$12.76

 

 

$10.54

 

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

 

Sector Allocations


 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

Transportation

 

20

%

 

19

%

 

Utilities

 

20

 

 

19

 

 

County/City/Special District/School District

 

19

 

 

19

 

 

Health

 

17

 

 

17

 

 

State

 

8

 

 

10

 

 

Education

 

7

 

 

7

 

 

Housing

 

6

 

 

6

 

 

Corporate

 

2

 

 

2

 

 

Tobacco

 

1

 

 

1

 

 


 

Credit Quality Allocations5


 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

8

%

 

16

%

 

AA/Aa

 

57

 

 

57

 

 

A

 

25

 

 

22

 

 

BBB/Baa

 

8

 

 

4

 

 

BB/Ba

 

1

 

 

 

 

Not Rated

 

1

 

 

1

 

 


 

 

 

 

5

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

7




 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock Municipal Income Investment Trust


 

Trust Overview

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

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned (1.86)% based on market price and 3.15% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of (2.24)% based on market price and 4.19% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s holdings in spread sectors, including corporate-backed municipal and health care bonds, enhanced performance as these sectors provided a relatively high degree of incremental income in the low interest rate environment. In addition, the Trust’s holdings of premium coupon bonds (6% or higher) and shorter-duration bonds (bonds with lower sensitivity to interest rate movements) performed well as long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s exposure to bonds with longer duration (greater sensitivity to interest rate movements) and bonds with longer-dated maturities detracted from performance as the municipal yield curve steepened over the 12-month period. The surprise non-extension of the BAB program at the end of 2010 put additional upward pressure on the long end of the yield curve, where most of the BAB supply was issued. US Treasury financial futures contracts used to hedge interest rate risk in the portfolio had a negative impact on performance.

 

 

 

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


 

Trust Information


 

 

 

 

 

Symbol on NYSE

 

 

BBF

 

Initial Offering Date

 

 

July 27, 2001

 

Yield on Closing Market Price as of July 31, 2011 ($12.74)1

 

 

7.10%

 

Tax Equivalent Yield2

 

 

10.92%

 

Current Monthly Distribution per Common Share3

 

 

$0.075375

 

Current Annualized Distribution per Common Share3

 

 

$0.904500

 

Leverage as of July 31, 20114

 

 

42%

 


 

 

 

 

1

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

 

 

 

 

2

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

 

 

 

 

3

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

 

 

 

 

4

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$12.74

 

 

$13.90

 

 

(8.35)%

 

 

$14.60

 

 

$11.13

 

Net Asset Value

 

 

$13.40

 

 

$13.91

 

 

(3.67)%

 

 

$14.47

 

 

$11.82

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

Sector Allocations


 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

Health

 

21

%

 

24

%

 

County/City/Special District/School District

 

19

 

 

19

 

 

Utilities

 

18

 

 

20

 

 

Transportation

 

16

 

 

17

 

 

State

 

9

 

 

9

 

 

Corporate

 

8

 

 

1

 

 

Education

 

7

 

 

9

 

 

Housing

 

1

 

 

1

 

 

Tobacco

 

1

 

 

 

 


 

Credit Quality Allocations5


 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

10

%

 

11

%

 

AA/Aa

 

55

 

 

58

 

 

A

 

26

 

 

25

 

 

BBB/Baa

 

7

 

 

4

 

 

BB/Ba

 

1

 

 

 

 

Not Rated

 

1

 

 

2

 

 


 

 

 

 

5

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


 

 

 

 

 

 

 

8

ANNUAL REPORT

JULY 31, 2011



 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock New Jersey Investment Quality Municipal Trust Inc.


 

Trust Overview

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

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned (0.99)% based on market price and 4.63% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of (3.20)% based on market price and 3.20% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s holdings in spread sectors, including housing, health care and corporate-backed municipal bonds, enhanced performance as these sectors provided a relatively high degree of incremental income in the low interest rate environment. In addition, the Trust’s holdings of premium coupon bonds (6% or higher) and shorter-duration bonds (bonds with lower sensitivity to interest rate movements) performed well as long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s exposure to bonds with longer duration (greater sensitivity to interest rate movements) and bonds with longer-dated maturities detracted from performance as the municipal yield curve steepened over the 12-month period. The surprise non-extension of the BAB program at the end of 2010 put additional upward pressure on the long end of the yield curve, where most of the BAB supply was issued.

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

 

Trust Information

 

 

 

 

 

Symbol on NYSE Amex

 

 

RNJ

 

Initial Offering Date

 

 

May 28, 1993

 

Yield on Closing Market Price as of July 31, 2011 ($12.02)1

 

 

6.54%

 

Tax Equivalent Yield2

 

 

10.06%

 

Current Monthly Distribution per Common Share3

 

 

$0.0655

 

Current Annualized Distribution per Common Share3

 

 

$0.7860

 

Leverage as of July 31, 20114

 

 

36%

 

 

 

 

 

 


 

 

1

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

 

 

2

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

 

 

3

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

 

 

4

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$12.02

 

 

$12.96

 

 

(7.25)%

 

 

$14.39

 

 

$10.94

 

Net Asset Value

 

 

$12.32

 

 

$12.57

 

 

(1.99)%

 

 

$13.01

 

 

$11.09

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

Education

 

19

%

 

15

%

 

Transportation

 

18

 

 

14

 

 

State

 

17

 

 

18

 

 

County/City/Special District/School District

 

13

 

 

8

 

 

Health

 

11

 

 

16

 

 

Corporate

 

10

 

 

10

 

 

Housing

 

9

 

 

11

 

 

Utilities

 

2

 

 

7

 

 

Tobacco

 

1

 

 

1

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

 

 

12

%

 

AA/Aa

 

39

%

 

28

 

 

A

 

42

 

 

27

 

 

BBB/Baa

 

10

 

 

21

 

 

BB/Ba

 

 

 

3

 

 

B

 

5

 

 

4

 

 

Not Rated6

 

4

 

 

5

 

 


 

 

5

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

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011 and July 31, 2010, the market value of these securities was $884,636, representing 4%, and $500,505, representing 3%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

9



 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock New Jersey Municipal Income Trust


 

Trust Overview

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

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned 1.85% based on market price and 4.74% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of (3.20)% based on market price and 3.20% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s holdings in spread sectors, including housing, health care and corporate-backed municipal bonds, enhanced performance as these sectors provided a relatively high degree of incremental income in the low interest rate environment. In addition, the Trust’s holdings of premium coupon bonds (6% or higher) and shorter-duration bonds (bonds with lower sensitivity to interest rate movements) performed well as long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s exposure to bonds with longer duration (greater sensitivity to interest rate movements) and bonds with longer-dated maturities detracted from performance as the municipal yield curve steepened over the 12-month period. The surprise non-extension of the BAB program at the end of 2010 put additional upward pressure on the long end of the yield curve, where most of the BAB supply was issued.

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

 

Trust Information

 

 

 

 

 

Symbol on NYSE

 

 

BNJ

 

Initial Offering Date

 

 

July 27, 2001

 

Yield on Closing Market Price as of July 31, 2011 ($14.10)1

 

 

6.73%

 

Tax Equivalent Yield2

 

 

10.35%

 

Current Monthly Distribution per Common Share3

 

 

$0.0791

 

Current Annualized Distribution per Common Share3

 

 

$0.9492

 

Leverage as of July 31, 20114

 

 

37%

 


 

 

1

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

 

 

2

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

 

 

3

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

 

 

4

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$14.10

 

 

$14.82

 

 

(4.86)%

 

 

$16.02

 

 

$12.50

 

Net Asset Value

 

 

$14.07

 

 

$14.38

 

 

(2.16)%

 

 

$14.86

 

 

$12.72

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

State

 

22

%

 

23

%

 

Transportation

 

18

 

 

13

 

 

Health

 

15

 

 

18

 

 

Housing

 

13

 

 

19

 

 

County/City/Special District/School District

 

12

 

 

9

 

 

Education

 

11

 

 

8

 

 

Corporate

 

7

 

 

7

 

 

Utilities

 

1

 

 

2

 

 

Tobacco

 

1

 

 

1

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

5

%

 

25

%

 

AA/Aa

 

33

 

 

25

 

 

A

 

33

 

 

28

 

 

BBB/Baa

 

12

 

 

11

 

 

BB/Ba

 

5

 

 

2

 

 

B

 

3

 

 

3

 

 

Not Rated6

 

9

 

 

6

 

 


 

 

5

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

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011 and July 31, 2010, the market value of these securities was $13,046,133, representing 8%, and $4,086,005, representing 2%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

10

ANNUAL REPORT

JULY 31, 2011



 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock New York Investment Quality Municipal Trust Inc.


 

Trust Overview

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

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned (2.14)% based on market price and 3.63% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of (0.55)% based on market price and 3.05% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. Yields on the long end of the municipal yield curve were ultimately higher at the close of the period than where they started. Therefore, positive performance came mostly from the Trust’s exposure to higher-yielding sectors including housing, health care and corporate/industrial development bonds, which provided incremental income. The Trust also benefited from its exposure to lower-quality bonds, which, in addition to offering higher embedded yields, experienced some price appreciation due to spread compression during the period. The Trust was most heavily invested in tax-backed credits, where performance was moderately positive during the period. Low exposure to the short end of the yield curve and high-quality pre-refunded bonds proved beneficial as performance was weak in those issues. Detracting from performance was the Trust’s allocation to Puerto Rico credits, which underperformed New York issues during the period. Low exposure to tobacco, the strongest performing sector, was a disadvantage. The Trust’s holdings of higher education bonds hindered returns; however, we increased exposure to the sector despite its recent under-performance as these holdings help diversify the portfolio and we believe they will benefit the Trust during periods of scarce new-issue supply. For most of the period, the Trust maintained a slightly long duration bias and exposure to the long end of the yield curve, which also detracted from performance.

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

 

Trust Information

 

 

 

 

 

Symbol on NYSE Amex

 

 

RNY

 

Initial Offering Date

 

 

May 28, 1993

 

Yield on Closing Market Price as of July 31, 2011 ($13.49)1

 

 

6.49%

 

Tax Equivalent Yield2

 

 

9.98%

 

Current Monthly Distribution per Common Share3

 

 

$0.073

 

Current Annualized Distribution per Common Share3

 

 

$0.876

 

Leverage as of July 31, 20114

 

 

36%

 


 

 

1

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

 

 

2

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

 

 

3

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

 

 

4

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$13.49

 

 

$14.70

 

 

(8.23)%

 

 

$15.05

 

 

$12.39

 

Net Asset Value

 

 

$13.75

 

 

$14.15

 

 

(2.83)%

 

 

$14.66

 

 

$12.37

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

County/City/Special District/School District

 

25

%

 

28

%

 

Utilities

 

16

 

 

16

 

 

Health

 

14

 

 

10

 

 

Education

 

13

 

 

12

 

 

Corporate

 

11

 

 

12

 

 

State

 

9

 

 

10

 

 

Housing

 

7

 

 

7

 

 

Transportation

 

3

 

 

3

 

 

Tobacco

 

2

 

 

2

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

17

%

 

24

%

 

AA/Aa

 

26

 

 

19

 

 

A

 

28

 

 

38

 

 

BBB/Baa

 

14

 

 

6

 

 

BB/Ba

 

6

 

 

4

 

 

B

 

4

 

 

7

 

 

Not Rated

 

5

6

 

2

 

 


 

 

5

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

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011, the market value of these securities was $1,312,653, representing 5% of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

11



 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock New York Municipal Income Trust


 

Trust Overview

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

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned 0.94% based on market price and 4.39% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of (0.55)% based on market price and 3.05% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. Yields on the long end of the municipal yield curve were ultimately higher at the close of the period than where they started. Therefore, positive performance came mostly from the Trust’s exposure to higher-yielding sectors including housing, health care and corporate/industrial development bonds, which provided incremental income. The Trust also benefited from its exposure to lower-quality bonds, which, in addition to offering higher embedded yields, experienced some price appreciation due to spread compression during the period. The Trust was most heavily invested in tax-backed credits, where performance was moderately positive during the period. Low exposure to the short end of the yield curve and high-quality pre-refunded bonds proved beneficial as performance was weak in those issues. Detracting from performance was the Trust’s allocation to Puerto Rico credits, which underperformed New York issues during the period. Low exposure to tobacco, the strongest performing sector, was a disadvantage. The Trust’s holdings of higher education bonds hindered returns; however, we increased exposure to the sector despite its recent underperformance as these holdings help diversify the portfolio and we believe they will benefit the Trust during periods of scarce new-issue supply. For most of the period, the Trust maintained a slightly long duration bias and exposure to the long end of the yield curve, which also detracted from performance.

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

 

Trust Information

 

 

 

 

 

Symbol on NYSE

 

 

BNY

 

Initial Offering Date

 

 

July 27, 2001

 

Yield on Closing Market Price as of July 31, 2011 ($14.20)1

 

 

6.97%

 

Tax Equivalent Yield2

 

 

10.72%

 

Current Monthly Distribution per Common Share3

 

 

$0.0825

 

Current Annualized Distribution per Common Share3

 

 

$0.9900

 

Leverage as of July 31, 20114

 

 

37%

 


 

 

1

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

 

 

2

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

 

 

3

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

 

 

4

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$14.20

 

 

$15.11

 

 

(6.02)%

 

 

$15.74

 

 

$12.97

 

Net Asset Value

 

 

$13.87

 

 

$14.27

 

 

(2.80)%

 

 

$14.67

 

 

$12.53

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

County/City/Special District/School District

 

18

%

 

16

%

 

Education

 

17

 

 

15

 

 

Transportation

 

17

 

 

14

 

 

Corporate

 

11

 

 

12

 

 

Housing

 

10

 

 

14

 

 

Utilities

 

10

 

 

12

 

 

State

 

7

 

 

8

 

 

Health

 

6

 

 

4

 

 

Tobacco

 

4

 

 

5

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

11

%

 

23

%

 

AA/Aa

 

33

 

 

19

 

 

A

 

27

 

 

29

 

 

BBB/Baa

 

20

 

 

16

 

 

BB/Ba

 

2

 

 

3

 

 

B

 

3

 

 

6

 

 

Not Rated6

 

4

 

 

4

 

 

 

 

 

 

 

 

 

 


 

 

5

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

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011 and July 31, 2010, the market value of these securities was $11,121,550, representing 4%, and $2,474,600, representing 1%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

12

ANNUAL REPORT

JULY 31, 2011



 

 

 

The Benefits and Risks of Leveraging

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

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

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

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

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

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

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

Under the Investment Company Act of 1940, the Trusts are permitted to issue AMPS in an amount of up to 50% of their total managed assets at the time of issuance. Under normal circumstances, each Trust anticipates that the total economic leverage from AMPS and/or TOBs will not exceed 50% of its total managed assets at the time such leverage is incurred. As of July 31, 2011, the Trusts had economic leverage from AMPS and/or TOBs as a percentage of their total managed assets as follows:

 

 

 

 

 

 

 

Percent of
Leverage

 

BFZ

 

42

%

 

BFO

 

34

%

 

RFA

 

40

%

 

BBF

 

42

%

 

RNJ

 

36

%

 

BNJ

 

37

%

 

RNY

 

36

%

 

BNY

 

37

%

 


 

 

Derivative Financial Instruments

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

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

13



 

 

 

 

Schedule of Investments July 31, 2011

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California — 105.3%

 

 

 

 

 

 

 

Corporate — 0.2%

 

 

 

 

 

 

 

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

 

$

680

 

$

732,761

 

County/City/Special District/School District — 40.8%

 

 

 

 

 

 

 

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

 

 

8,425

 

 

9,271,291

 

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

 

 

8,000

 

 

8,661,600

 

Central Unified School District, GO, Election of 2008,
Series A (AGC), 5.63%, 8/01/33

 

 

400

 

 

420,636

 

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

 

 

3,000

 

 

3,158,070

 

City & County of San Francisco California, COP,
Refunding, Series A, 5.00%, 10/01/31

 

 

7,730

 

 

7,814,489

 

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

 

 

2,000

 

 

2,034,900

 

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

 

 

 

 

 

 

 

6.13%, 5/01/31

 

 

500

 

 

519,090

 

6.50%, 5/01/36

 

 

1,210

 

 

1,256,767

 

6.50%, 5/01/42

 

 

2,225

 

 

2,299,359

 

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

 

 

2,000

 

 

2,164,160

 

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

 

 

5,020

 

 

5,238,169

 

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

 

 

2,500

 

 

2,561,825

 

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

 

 

2,000

 

 

2,173,980

 

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

 

 

4,135

 

 

4,485,028

 

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

 

 

5,675

 

 

6,014,535

 

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

 

 

4,975

 

 

5,222,009

 

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

 

 

 

 

 

 

 

5.75%, 10/01/29

 

 

3,000

 

 

3,194,760

 

5.75%, 10/01/34

 

 

180

 

 

185,953

 

Murrieta Valley Unified School District Public Financing
Authority, Special Tax Bonds, Refunding, Series A
(AGC), 5.13%, 9/01/26

 

 

1,000

 

 

1,029,940

 

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

 

 

6,000

 

 

6,395,460

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (continued)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

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

 

$

3,600

 

$

3,630,708

 

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

 

 

2,000

 

 

2,105,840

 

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

 

 

2,000

 

 

2,030,880

 

Pittsburg Redevelopment Agency, Tax Allocation Bonds,
Refunding, Subordinate, Los Medanos Community
Project, Series A, 6.50%, 9/01/28

 

 

5,500

 

 

5,454,845

 

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

 

 

2,000

 

 

2,105,540

 

Port of Oakland, Refunding RB, Series M (FGIC),
5.38%, 11/01/27

 

 

4,800

 

 

4,808,496

 

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

 

 

1,500

 

 

1,580,070

 

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

 

 

6,500

 

 

6,745,635

 

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

 

 

6,000

 

 

5,888,640

 

San Leandro Unified School District California, GO:

 

 

 

 

 

 

 

Election of 2006, Series B (AGM), 6.25%, 8/01/29

 

 

1,150

 

 

1,279,260

 

Election of 2010, Series A, 5.75%, 8/01/41

 

 

3,060

 

 

3,236,470

 

San Marcos Unified School District, GO, Election of 2010,
Series A:

 

 

 

 

 

 

 

5.00%, 8/01/34

 

 

3,735

 

 

3,758,381

 

5.00%, 8/01/38

 

 

3,520

 

 

3,499,338

 

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

 

 

 

 

 

 

 

5.50%, 8/01/30

 

 

6,455

 

 

6,807,443

 

5.13%, 8/01/33

 

 

10,000

 

 

10,227,200

 

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

 

 

21,000

 

 

21,177,240

 

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

 

 

 

 

 

 

 

6.63%, 9/01/29

 

 

1,000

 

 

1,093,750

 

7.00%, 9/01/36

 

 

1,700

 

 

1,846,098

 

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

 

 

2,250

 

 

2,427,750

 

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

 

 

4,000

 

 

4,368,680

 

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

 

 

3,445

 

 

3,634,268

 


 

Portfolio Abbreviations

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

 

 

ACA

ACA Financial Guaranty Corp.

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

BHAC

Berkshire Hathaway Assurance Corp.

CAB

Capital Appreciation Bonds

CIFG

CDC IXIS Financial Guaranty

COP

Certificates of Participation

EDA

Economic Development Authority

EDC

Economic Development Corp.

ERB

Education Revenue Bonds

FGIC

Financial Guaranty Insurance Co.

FHA

Federal Housing Administration

FSA

Financial Security Assurance, Inc.

GO

General Obligation Bonds

HFA

Housing Finance Agency

HRB

Housing Revenue Bonds

IDA

Industrial Development Authority

ISD

Independent School District

LRB

Lease Revenue Bonds

MRB

Mortgage Revenue Bonds

NPFGC

National Public Finance Guarantee Corp.

PILOT

Payment in Lieu of Taxes

RB

Revenue Bonds

S/F

Single-Family

SONYMA

State of New York Mortgage Agency

VHA

Veterans Health Administration


 

 

 

See Notes to Financial Statements.

 

 

 

 

14

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

Schedule of Investments (continued)

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (continued)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

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

 

$

7,750

 

$

8,617,767

 

 

 

 

 

 

 

180,426,320

 

Education — 1.6%

 

 

 

 

 

 

 

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

 

 

6,280

 

 

6,708,296

 

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

 

 

460

 

 

482,485

 

 

 

 

 

 

 

7,190,781

 

Health — 18.7%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

6.38%, 8/01/34

 

 

3,055

 

 

3,168,279

 

6.25%, 8/01/39

 

 

3,760

 

 

3,923,334

 

Series A, 6.00%, 8/01/30

 

 

2,250

 

 

2,376,450

 

California Health Facilities Financing Authority, RB:

 

 

 

 

 

 

 

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

 

 

6,000

 

 

6,092,640

 

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

 

 

8,300

 

 

8,388,146

 

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

 

 

25

 

 

32,510

 

California Health Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,061,350

 

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

 

 

4,400

 

 

4,628,888

 

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

 

 

2,500

 

 

2,620,125

 

Providence Health, 6.50%, 10/01/38

 

 

4,090

 

 

4,478,796

 

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

 

 

6,015

 

 

6,407,659

 

California Infrastructure & Economic Development Bank,
RB, Kaiser Hospital Assistance I-LLC, Series A,
5.55%, 8/01/31

 

 

10,000

 

 

10,003,000

 

California Statewide Communities Development
Authority, RB, Series A:

 

 

 

 

 

 

 

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

 

 

8,310

 

 

8,371,245

 

Kaiser Permanente, 5.50%, 11/01/32

 

 

11,090

 

 

11,112,956

 

California Statewide Communities Development Authority,
Catholic Healthcare West, Refunding RB:

 

 

 

 

 

 

 

Series B, 5.50%, 7/01/30

 

 

2,980

 

 

3,023,419

 

Series E, 5.50%, 7/01/31

 

 

4,255

 

 

4,304,018

 

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

 

 

2,250

 

 

2,452,455

 

 

 

 

 

 

 

82,445,270

 

Housing — 0.9%

 

 

 

 

 

 

 

California Statewide Communities Development
Authority, Multifamily Housing Revenue Bond
Pass-Through Certificates, RB, Series 3, Westgate
Courtyards Apartments, Mandatory Put Bonds, AMT,
5.80%, 11/01/34 (b)

 

 

2,180

 

 

2,122,819

 

City of Los Angeles, Multifamily Housing Revenue Bond
Pass-Through Certificates, RB, Series 5, San Lucas
Apartments, AMT, 5.95%, 11/01/34 (b)

 

 

2,035

 

 

1,992,163

 

 

 

 

 

 

 

4,114,982

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (continued)

 

 

 

 

 

 

 

State — 8.9%

 

 

 

 

 

 

 

California State Public Works Board, RB:

 

 

 

 

 

 

 

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

 

$

9,000

 

$

9,608,490

 

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

 

 

2,475

 

 

2,627,856

 

State of California, GO, Various Purpose,
6.50%, 4/01/33

 

 

20,500

 

 

22,950,160

 

University of California, RB, Limited Project, Series D
(NPFGC), 5.00%, 5/15/41

 

 

4,315

 

 

4,261,969

 

 

 

 

 

 

 

39,448,475

 

Transportation — 12.0%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.75%, 3/01/34

 

 

895

 

 

887,124

 

6.25%, 3/01/34

 

 

1,650

 

 

1,713,756

 

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

 

 

8,000

 

 

8,531,600

 

County of Sacramento California, RB, Senior Series B,
5.75%, 7/01/39

 

 

1,850

 

 

1,906,259

 

Los Angeles Department of Airports, RB, Series A,
5.00%, 5/15/34

 

 

6,000

 

 

6,119,820

 

Los Angeles Department of Airports, Refunding RB,
Los Angeles International Airport, Sub-Series C,
5.25%, 5/15/38

 

 

400

 

 

405,440

 

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

 

 

5,530

 

 

5,719,790

 

Palm Springs Unified School District, GO, Election of
2004, Series A (AGM), 5.00%, 8/01/31

 

 

11,625

 

 

11,935,271

 

Port of Oakland, RB, Series K, AMT (FGIC),
5.75%, 11/01/29

 

 

5,300

 

 

5,301,060

 

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

 

 

6,750

 

 

7,259,760

 

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

 

 

2,880

 

 

3,154,550

 

 

 

 

 

 

 

52,934,430

 

Utilities — 22.2%

 

 

 

 

 

 

 

Anaheim Public Financing Authority, RB:

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,540,860

 

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

 

 

7,690

 

 

8,004,214

 

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

 

 

5,500

 

 

5,845,565

 

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

 

 

5,475

 

 

5,617,076

 

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

 

 

 

 

 

 

 

Series D, 5.88%, 1/01/34

 

 

1,000

 

 

1,077,590

 

Series E, 5.88%, 1/01/34

 

 

6,500

 

 

7,004,335

 

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

 

 

4,000

 

 

4,153,160

 

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

 

 

5,625

 

 

6,159,206

 

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

 

 

2,425

 

 

2,582,140

 

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

 

 

4,660

 

 

4,863,269

 

Los Angeles Department of Water & Power, RB:

 

 

 

 

 

 

 

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

 

 

11,215

 

 

11,582,179

 

Series A, 5.38%, 7/01/34

 

 

3,050

 

 

3,210,796

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

15




 

 

 

 

 

Schedule of Investments (continued)

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

Utilities (concluded)

 

 

 

 

 

 

 

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

 

$

2,200

 

$

2,237,400

 

San Diego Public Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

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

 

 

9,500

 

 

9,906,315

 

Series A, 5.25%, 8/01/38

 

 

3,255

 

 

3,372,603

 

San Francisco City & County Public Utilities
Commission, RB:

 

 

 

 

 

 

 

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

 

 

4,000

 

 

4,025,800

 

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

 

 

5,695

 

 

5,809,128

 

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

 

 

10,625

 

 

10,832,931

 

 

 

 

 

 

 

97,824,567

 

Total Municipal Bonds in California

 

 

 

 

 

465,117,586

 

 

 

 

 

 

 

 

 

 

Multi-State — 1.9%

 

 

 

 

 

 

 

Housing — 1.9%

 

 

 

 

 

 

 

Centerline Equity Issuer Trust (d)(e):

 

 

 

 

 

 

 

5.75%, 5/15/15

 

 

500

 

 

537,870

 

6.00%, 5/15/15

 

 

1,500

 

 

1,630,845

 

6.00%, 5/15/19

 

 

1,000

 

 

1,091,540

 

6.30%, 5/15/19

 

 

1,000

 

 

1,095,270

 

7.20%, 11/15/52

 

 

3,500

 

 

3,847,865

 

Total Municipal Bonds in Multi-State

 

 

 

 

 

8,203,390

 

 

 

 

 

 

 

 

 

 

Puerto Rico — 0.7%

 

 

 

 

 

 

 

County/City/Special District/School District — 0.7%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 6.50%, 8/01/44

 

 

3,000

 

 

3,242,550

 

Total Municipal Bonds — 107.9%

 

 

 

 

 

476,563,526

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (f)

 

 

 

 

 

 

 

 

California — 63.2%

 

 

 

 

 

 

 

County/City/Special District/School District — 25.0%

 

 

 

 

 

 

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

8,000

 

 

8,200,000

 

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

 

 

20,131

 

 

22,428,136

 

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

 

 

12,900

 

 

13,561,125

 

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

 

 

5,000

 

 

5,038,850

 

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

 

 

10,770

 

 

11,012,110

 

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

 

 

12,499

 

 

12,688,787

 

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

 

 

2,000

 

 

2,023,820

 

San Diego Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

10,484

 

 

11,043,880

 

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

 

 

9,000

 

 

9,277,470

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (f)

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

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

 

$

14,625

 

$

14,998,354

 

 

 

 

 

 

 

110,272,532

 

Education — 11.1%

 

 

 

 

 

 

 

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

 

 

10,395

 

 

10,887,203

 

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

 

 

13,095

 

 

13,241,388

 

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

 

 

8,630

 

 

8,863,442

 

University of California, RB:

 

 

 

 

 

 

 

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

 

 

2,600

 

 

2,568,046

 

Series O, 5.75%, 5/15/34

 

 

12,300

 

 

13,300,482

 

 

 

 

 

 

 

48,860,561

 

Utilities — 27.1%

 

 

 

 

 

 

 

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

 

 

7,000

 

 

7,488,320

 

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

 

 

3,000

 

 

3,041,700

 

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

 

 

3,000

 

 

3,058,710

 

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

 

 

18,002

 

 

18,200,996

 

Los Angeles Department of Water & Power, RB:

 

 

 

 

 

 

 

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

 

 

15,998

 

 

16,168,584

 

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

 

 

2,000

 

 

2,025,140

 

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

 

 

11,180

 

 

11,467,438

 

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

 

 

14,700

 

 

14,983,122

 

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

 

 

10,480

 

 

10,686,037

 

San Diego County Water Authority, COP, Refunding:

 

 

 

 

 

 

 

Series 2002-A (NPFGC), 5.00%, 5/01/32

 

 

5,292

 

 

5,331,206

 

Series 2008-A (AGM), 5.00%, 5/01/33

 

 

14,290

 

 

14,592,662

 

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

 

 

12,457

 

 

12,842,161

 

 

 

 

 

 

 

119,886,076

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 63.2%

 

 

 

 

 

279,019,169

 

Total Long-Term Investments
(Cost — $736,064,449) — 171.1%

 

 

 

 

 

755,582,695

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

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

 

 

2,720,243

 

 

2,720,243

 

Total Short-Term Securities
(Cost — $2,720,243) — 0.6%

 

 

 

 

 

2,720,243

 

Total Investments (Cost — $738,784,692*) — 171.7%

 

 

 

 

 

758,302,938

 

Liabilities in Excess of Other Assets — (0.3)%

 

 

 

 

 

(1,396,156

)

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (32.6)%

 

 

 

 

 

(143,834,366

)

AMPS, at Redemption Value — (38.8)%

 

 

 

 

 

(171,327,730

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

441,744,686

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

16

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

 

Schedule of Investments (concluded)

BlackRock California Municipal Income Trust (BFZ)


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

595,568,946

 

Gross unrealized appreciation

 

$

22,075,580

 

Gross unrealized depreciation

 

 

(3,054,525

)

Net unrealized appreciation

 

$

19,021,055

 


 

 

(a)

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

 

 

(b)

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

 

 

(c)

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


 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Bank of America Merrill Lynch

 

$

5,809,128

 

$

171

 


 

 

(d)

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

 

 

(e)

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

 

 

(f)

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

 

 

(g)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held
at July 31,
2010

 

Net
Activity

 

Shares Held
at July 31,
2011

 

Income

 

BIF California Municipal
Money Fund

 

 

26,178,133

 

 

(23,457,890

)

 

2,720,243

 

 

$3,543

 


 

 

 

(h)

Represents the current yield as of report date.

 

 

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

 

 

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

 

 

 

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

 

 

 

 

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

 

 

 

 

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

The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of July 31, 2011 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

755,582,695

 

 

 

$

755,582,695

 

Short-Term
Securities

 

$

2,720,243

 

 

 

 

 

 

2,720,243

 

Total

 

$

2,720,243

 

$

755,582,695

 

 

 

$

758,302,938

 


 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

17




 

 

 

 

 

Schedule of Investments July 31, 2011

BlackRock Florida Municipal 2020 Term Trust (BFO)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida — 149.0%

 

 

 

 

 

 

 

Corporate — 8.6%

 

 

 

 

 

 

 

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

 

$

4,000

 

$

4,022,240

 

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

 

 

 

 

 

 

 

5.50%, 10/01/23

 

 

1,955

 

 

1,986,339

 

Series A, 5.65%, 5/15/18

 

 

1,000

 

 

1,144,100

 

 

 

 

 

 

 

7,152,679

 

County/City/Special District/School District — 69.5%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,172,220

 

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

 

 

2,500

 

 

2,671,650

 

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

 

 

5,545

 

 

6,006,122

 

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

 

 

7,560

 

 

1,794,215

 

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

 

 

 

 

 

 

 

5.33%, 10/01/19

 

 

5,365

 

 

3,480,919

 

5.31%, 10/01/20

 

 

10,000

 

 

5,989,100

 

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

 

 

2,200

 

 

2,290,838

 

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

 

 

485

 

 

564,108

 

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

 

 

1,000

 

 

1,012,380

 

Miami-Dade County Educational Facilities Authority
Florida, RB, University of Miami, Series A (AMBAC),
5.00%, 4/01/24 (b)

 

 

1,000

 

 

1,111,370

 

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

 

 

4,000

 

 

4,388,440

 

Northern Palm Beach County Improvement District, RB,
Water Control & Improvement:

 

 

 

 

 

 

 

Series 43, 6.10%, 8/01/21

 

 

195

 

 

192,990

 

Unit of Development No. 43, 6.10%, 8/01/11 (b)

 

 

2,735

 

 

2,763,198

 

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

 

 

 

 

 

 

 

4.50%, 8/01/22

 

 

1,000

 

 

860,080

 

5.00%, 8/01/31

 

 

1,000

 

 

820,820

 

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

 

 

6,500

 

 

6,596,915

 

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

 

 

3,705

 

 

3,423,568

 

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

 

 

2,425

 

 

2,176,971

 

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

 

 

1,150

 

 

817,558

 

Village Center Community Development District, RB:

 

 

 

 

 

 

 

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

 

 

5,000

 

 

4,843,200

 

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

 

 

2,000

 

 

2,008,300

 

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

 

 

1,100

 

 

1,115,180

 

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

 

 

1,000

 

 

652,890

 

 

 

 

 

 

 

57,753,032

 

Education — 0.9%

 

 

 

 

 

 

 

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

 

 

725

 

 

784,406

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida (continued)

 

 

 

 

 

 

 

Health — 17.6%

 

 

 

 

 

 

 

Escambia County Health Facilities Authority, RB, Florida
Health Care Facility Loan, VHA Program (AMBAC),
5.95%, 7/01/20

 

$

416

 

$

429,874

 

Halifax Hospital Medical Center, Refunding RB, Series A,
5.25%, 6/01/26

 

 

2,500

 

 

2,474,425

 

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

 

 

2,155

 

 

2,398,989

 

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

 

 

1,500

 

 

1,550,775

 

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

 

 

1,500

 

 

1,536,285

 

Orange County Health Facilities Authority, RB, Hospital,
Adventist Health System, 5.63%, 11/15/32 (b)

 

 

4,450

 

 

4,785,664

 

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

 

 

1,285

 

 

1,428,470

 

 

 

 

 

 

 

14,604,482

 

Housing — 2.8%

 

 

 

 

 

 

 

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

 

 

1,065

 

 

1,076,747

 

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

 

 

570

 

 

611,553

 

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

 

 

575

 

 

624,341

 

 

 

 

 

 

 

2,312,641

 

State — 15.0%

 

 

 

 

 

 

 

Florida Municipal Loan Council, RB:

 

 

 

 

 

 

 

CAB, Series A (NPFGC), 5.22%, 4/01/20 (a)

 

 

4,000

 

 

2,595,080

 

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

 

 

1,050

 

 

1,179,538

 

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

 

 

1,105

 

 

1,147,985

 

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

 

 

500

 

 

514,180

 

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

 

 

6,150

 

 

6,465,433

 

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

 

 

500

 

 

539,660

 

 

 

 

 

 

 

12,441,876

 

Transportation — 6.5%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.00%, 10/01/20

 

 

2,250

 

 

2,336,670

 

5.00%, 10/01/22

 

 

3,000

 

 

3,082,080

 

 

 

 

 

 

 

5,418,750

 

Utilities — 28.1%

 

 

 

 

 

 

 

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

 

 

1,095

 

 

1,123,240

 

City of Lakeland Florida, Refunding RB,
5.00%, 10/01/27

 

 

1,000

 

 

1,011,010

 

City of Marco Island Florida, RB (NPFGC):

 

 

 

 

 

 

 

5.25%, 10/01/21

 

 

1,000

 

 

1,067,350

 

5.00%, 10/01/22

 

 

2,000

 

 

2,094,100

 

5.00%, 10/01/23

 

 

1,375

 

 

1,424,445

 

City of Palm Coast Florida, RB (NPFGC):

 

 

 

 

 

 

 

5.00%, 10/01/22

 

 

1,770

 

 

1,807,860

 

5.00%, 10/01/23

 

 

1,485

 

 

1,512,116

 

5.00%, 10/01/24

 

 

1,500

 

 

1,523,490

 

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

 

 

4,000

 

 

4,683,560

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

18

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

 

Schedule of Investments (concluded)

BlackRock Florida Municipal 2020 Term Trust (BFO)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida (concluded)

 

 

 

 

 

 

 

Utilities (concluded)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.00%, 10/01/22

 

$

1,975

 

$

2,106,812

 

5.00%, 10/01/23

 

 

1,180

 

 

1,258,753

 

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

 

 

3,630

 

 

3,776,543

 

 

 

 

 

 

 

23,389,279

 

Total Municipal Bonds in Florida

 

 

 

 

 

123,857,145

 

 

 

 

 

 

 

 

 

 

Puerto Rico — 1.4%

 

 

 

 

 

 

 

State — 1.4%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,109,550

 

 

 

 

 

 

 

 

 

 

U.S. Virgin Islands — 1.2%

 

 

 

 

 

 

 

Corporate — 1.2%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

987,660

 

Total Municipal Bonds — 151.6%

 

 

 

 

 

125,954,355

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)

 

 

 

 

 

 

 

Florida — 1.0%

 

 

 

 

 

 

 

Housing — 1.0%

 

 

 

 

 

 

 

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

 

 

750

 

 

826,770

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 1.0%

 

 

 

 

 

826,770

 

Total Long-Term Investments
(Cost — $126,160,555) — 152.6%

 

 

 

 

 

126,781,125

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

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

 

 

1,843,816

 

 

1,843,816

 

Total Short-Term Securities
(Cost — $1,843,816) — 2.2%

 

 

 

 

 

1,843,816

 

Total Investments (Cost — $128,004,371*) — 154.8%

 

 

 

 

 

128,624,941

 

Liabilities in Excess of Other Assets — (2.5)%

 

 

 

 

 

(2,111,706

)

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (0.6)%

 

 

 

 

 

(500,874

)

AMPS, at Redemption Value — (51.6)%

 

 

 

 

 

(42,900,915

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

83,111,446

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

127,480,901

 

Gross unrealized appreciation

 

$

3,298,277

 

Gross unrealized depreciation

 

 

(2,654,237

)

Net unrealized appreciation

 

$

644,040

 


 

 

(a)

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

 

 

(b)

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

 

 

(c)

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

 

 

(d)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held
at July 31,
2010

 

Net
Activity

 

Shares Held
at July 31,
2011

 

Income

 

BIF Florida Municipal
Money Fund

 

 

5,065,158

 

 

(3,221,342

)

 

1,843,816

 

 

 


 

 

 

(e)

Represents the current yield as of report date.

 

 

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

 

 

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

 

 

 

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

 

 

 

 

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

 

 

 

 

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

The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of July 31, 2011 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

126,781,125

 

 

 

$

126,781,125

 

Short-Term
Securities

 

$

1,843,816

 

 

 

 

 

 

1,843,816

 

Total

 

$

1,843,816

 

$

126,781,125

 

 

 

$

128,624,941

 


 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

19




 

 

 

 

Schedule of Investments July 31, 2011

BlackRock Investment Quality Municipal Income Trust (RFA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alaska — 0.3%

 

 

 

 

 

 

 

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

 

$

50

 

$

32,999

 

California — 13.1%

 

 

 

 

 

 

 

Bay Area Toll Authority, Refunding RB, San Francisco
Bay Area, Series F-1, 5.63%, 4/01/44

 

 

195

 

 

205,466

 

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

 

 

200

 

 

210,096

 

California Health Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

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

 

 

130

 

 

136,246

 

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

 

 

120

 

 

127,834

 

Los Angeles Department of Airports, Refunding RB,
Senior, Los Angeles International Airport, Series A,
5.00%, 5/15/35

 

 

395

 

 

400,870

 

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

 

 

200

 

 

206,548

 

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

 

 

240

 

 

249,070

 

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

 

 

185

 

 

202,099

 

 

 

 

 

 

 

1,738,229

 

Colorado — 1.2%

 

 

 

 

 

 

 

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

 

 

155

 

 

159,909

 

Delaware — 1.3%

 

 

 

 

 

 

 

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

 

 

175

 

 

176,356

 

Florida — 5.3%

 

 

 

 

 

 

 

Arborwood Community Development District, Special
Assessment Bonds, Master Infrastructure Projects,
Series B, 5.10%, 5/01/14

 

 

195

 

 

162,412

 

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

 

 

145

 

 

157,442

 

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

 

 

450

 

 

388,075

 

 

 

 

 

 

 

707,929

 

Georgia — 4.6%

 

 

 

 

 

 

 

City of Atlanta Georgia, RB, Refunding, General, Series B,
AMT, 5.00%, 1/01/29 (a)

 

 

45

 

 

45,335

 

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

 

 

500

 

 

565,735

 

 

 

 

 

 

 

611,070

 

Illinois — 11.1%

 

 

 

 

 

 

 

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

 

 

445

 

 

489,727

 

County of Cook Illinois, GO, Refunding, Series A, 5.25%,
11/15/33

 

 

100

 

 

103,867

 

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

 

 

75

 

 

77,081

 

Illinois Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

Carle Foundation, 6.00%, 8/15/41

 

 

250

 

 

252,242

 

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

 

 

250

 

 

266,897

 

OSF Healthcare System, 6.00%, 5/15/39

 

 

150

 

 

152,546

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

100

 

 

103,605

 

6.00%, 6/01/28

 

 

30

 

 

30,896

 

 

 

 

 

 

 

1,476,861

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Indiana — 2.7%

 

 

 

 

 

 

 

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

 

$

335

 

$

355,546

 

Iowa — 0.2%

 

 

 

 

 

 

 

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

 

 

40

 

 

29,803

 

Kansas — 2.0%

 

 

 

 

 

 

 

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

 

 

250

 

 

268,560

 

Kentucky — 4.2%

 

 

 

 

 

 

 

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

 

 

100

 

 

101,916

 

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

 

 

220

 

 

237,659

 

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

 

 

215

 

 

215,742

 

 

 

 

 

 

 

555,317

 

Louisiana — 0.8%

 

 

 

 

 

 

 

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

 

 

100

 

 

103,493

 

Maine — 1.5%

 

 

 

 

 

 

 

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

 

 

190

 

 

204,296

 

Maryland — 1.1%

 

 

 

 

 

 

 

Maryland EDC, Refunding RB, CNX Marine Terminals, Inc.,
5.75%, 9/01/25

 

 

145

 

 

143,066

 

Massachusetts — 7.4%

 

 

 

 

 

 

 

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

 

 

125

 

 

130,029

 

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

 

 

220

 

 

220,288

 

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

 

 

250

 

 

253,568

 

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

 

 

120

 

 

116,791

 

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

 

 

250

 

 

262,687

 

 

 

 

 

 

 

983,363

 

Michigan — 7.4%

 

 

 

 

 

 

 

Kalamazoo Hospital Finance Authority, Refunding RB,
Bronson Methodist Hospital, 5.50%, 5/15/36

 

 

200

 

 

199,446

 

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

 

 

130

 

 

137,743

 

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

 

 

250

 

 

263,412

 

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

 

 

325

 

 

375,209

 

 

 

 

 

 

 

975,810

 

Nevada — 5.5%

 

 

 

 

 

 

 

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

 

 

250

 

 

271,382

 

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

 

 

440

 

 

456,619

 

 

 

 

 

 

 

728,001

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

20

ANNUAL REPORT

JULY 31, 2011

 



 

 

 

 

Schedule of Investments (continued)

BlackRock Investment Quality Municipal Income Trust (RFA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey — 6.1%

 

 

 

 

 

 

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

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

 

$

175

 

$

176,829

 

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

 

 

250

 

 

265,392

 

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

 

 

165

 

 

169,494

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A, 5.88%, 12/15/38

 

 

190

 

 

203,895

 

 

 

 

 

 

 

815,610

 

New York — 4.8%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB,
Second General Resolution, Series EE, 5.38%,
6/15/43

 

 

55

 

 

58,343

 

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

 

 

250

 

 

259,680

 

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

 

 

85

 

 

87,429

 

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

 

 

225

 

 

237,112

 

 

 

 

 

 

 

642,564

 

Ohio — 0.3%

 

 

 

 

 

 

 

Buckeye Tobacco Settlement Financing Authority, RB,
Senior Series A-2, 6.50%, 6/01/47

 

 

45

 

 

36,404

 

Pennsylvania — 10.6%

 

 

 

 

 

 

 

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

 

 

300

 

 

321,105

 

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

 

 

200

 

 

198,552

 

Pennsylvania Turnpike Commission, RB:

 

 

 

 

 

 

 

Sub-Series A, 5.63%, 12/01/31

 

 

275

 

 

289,779

 

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

 

 

350

 

 

364,367

 

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

 

 

215

 

 

237,788

 

 

 

 

 

 

 

1,411,591

 

Texas — 14.2%

 

 

 

 

 

 

 

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

 

 

240

 

 

236,724

 

City of Houston Texas, Refunding RB, Series B, 5.25%,
9/01/27 (a)

 

 

260

 

 

263,809

 

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

 

 

140

 

 

155,467

 

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

 

 

250

 

 

278,383

 

Lower Colorado River Authority, RB, 5.75%, 5/15/28

 

 

120

 

 

127,447

 

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

 

 

250

 

 

265,293

 

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

 

 

280

 

 

293,521

 

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

 

 

250

 

 

263,435

 

 

 

 

 

 

 

1,884,079

 

Virginia — 2.1%

 

 

 

 

 

 

 

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

 

 

250

 

 

280,440

 

Total Municipal Bonds — 107.8%

 

 

 

 

 

14,321,296

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

California — 20.6%

 

 

 

 

 

 

 

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

 

$

300

 

$

314,205

 

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

 

 

300

 

 

298,632

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

390

 

 

409,988

 

Series A, 6.00%, 8/01/33

 

 

700

 

 

779,528

 

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

 

 

60

 

 

60,466

 

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

 

 

615

 

 

646,880

 

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

 

 

210

 

 

227,081

 

 

 

 

 

 

 

2,736,780

 

District of Columbia — 4.1%

 

 

 

 

 

 

 

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

 

 

195

 

 

217,458

 

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

 

 

300

 

 

318,737

 

 

 

 

 

 

 

536,195

 

Florida — 4.1%

 

 

 

 

 

 

 

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

 

 

280

 

 

277,556

 

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

 

 

240

 

 

264,566

 

 

 

 

 

 

 

542,122

 

Illinois — 5.3%

 

 

 

 

 

 

 

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

 

 

400

 

 

449,308

 

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

 

 

250

 

 

258,127

 

 

 

 

 

 

 

707,435

 

Nevada — 4.1%

 

 

 

 

 

 

 

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

 

 

500

 

 

548,210

 

New Hampshire — 1.3%

 

 

 

 

 

 

 

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

 

 

165

 

 

174,682

 

New Jersey — 2.3%

 

 

 

 

 

 

 

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

 

 

300

 

 

305,556

 

New York — 6.4%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

240

 

 

263,753

 

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

 

 

255

 

 

272,718

 

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

 

 

300

 

 

314,769

 

 

 

 

 

 

 

851,240

 

Ohio — 1.8%

 

 

 

 

 

 

 

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

 

 

230

 

 

230,789

 

South Carolina — 4.1%

 

 

 

 

 

 

 

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

 

 

510

 

 

543,186

 

Texas — 5.5%

 

 

 

 

 

 

 

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

 

 

300

 

 

322,831

 

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

 

 

400

 

 

412,172

 

 

 

 

 

 

 

735,003

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

21


 

 

 

 

Schedule of Investments (concluded)

BlackRock Investment Quality Municipal Income Trust (RFA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

Virginia — 1.0%

 

 

 

 

 

 

 

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

 

$

130

 

$

134,815

 

Wisconsin — 1.8%

 

 

 

 

 

 

 

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

 

 

240

 

 

240,830

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 62.4%

 

 

 

 

 

8,286,843

 

Total Long-Term Investments
(Cost — $21,751,350) — 170.2%

 

 

 

 

 

22,608,139

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

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

 

 

302,911

 

 

302,911

 

Total Short-Term Securities
(Cost — $302,911) — 2.3%

 

 

 

 

 

302,911

 

Total Investments (Cost — $22,054,261*) — 172.5%

 

 

 

 

 

22,911,050

 

Liabilities in Excess of Other Assets — (4.4)%

 

 

 

 

 

(590,195

)

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (33.6)%

 

 

 

 

 

(4,462,033

)

AMPS, at Redemption Value — (34.4)%

 

 

 

 

 

(4,575,047

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

13,283,775

 

 

 


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

17,661,014

 

Gross unrealized appreciation

 

$

995,029

 

Gross unrealized depreciation

 

 

(203,713

)

Net unrealized appreciation

 

$

791,316

 


 

 

(a)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

Bank of America Merrill Lynch

 

$

204,296

 

$

3,031

 

National Financial Securities

 

$

45,335

 

$

904

 

Piper Jaffray

 

$

263,809

 

$

(68

)


 

 

(b)

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

 

 

(c)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held
at July 31,
2010

 

Net
Activity

 

Shares Held
at July 31,
2011

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

353,621

 

 

(50,710

)

 

302,911

 

$

377

 


 

 

(d)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of July 31,2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

5

 

 

10-Year US
Treasury Note

 

 

Chicago
Board of Trade

 

 

September
2011

 

$

613,037

 

$

(15,400

)


 

 

 

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

 

 

 

 

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

 

 

 

 

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

 

 

 

 

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

 

 

 

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

 

 

 

The following table summarizes the inputs used as of July 31, 2011 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

22,608,139

 

 

 

$

22,608,139

 

Short-Term
Securities

 

$

302,911

 

 

 

 

 

 

302,911

 

Total

 

$

302,911

 

$

22,608,139

 

 

 

$

22,911,050

 


 

 

 

 

1

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(15,400)

 

 

 

 

 

$

(15,400

)


 

 

 

 

2

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


 

 

 

See Notes to Financial Statements.

 

 

 

 

22

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

Schedule of Investments July 31, 2011

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alaska — 0.2%

 

 

 

 

 

 

 

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

 

$

330

 

$

217,797

 

California — 14.7%

 

 

 

 

 

 

 

Bay Area Toll Authority, Refunding RB, San Francisco Bay
Area, Series F-1, 5.63%, 4/01/44

 

 

1,355

 

 

1,427,723

 

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

 

 

1,315

 

 

1,381,381

 

California Health Facilities Financing Authority,
Refunding RB, Series A:

 

 

 

 

 

 

 

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

 

 

890

 

 

932,765

 

St. Joseph Health System, 5.75%, 7/01/39

 

 

 

 

 

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

 

 

1,910

 

 

1,782,183

 

Los Angeles Department of Airports, Refunding RB,
Senior, Los Angeles International Airport, Series A,
5.00%, 5/15/35

 

 

2,725

 

 

2,765,493

 

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

 

 

1,750

 

 

1,807,295

 

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

 

 

1,600

 

 

1,660,464

 

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

 

 

1,275

 

 

1,392,848

 

 

 

 

 

 

 

13,150,152

 

Colorado — 3.3%

 

 

 

 

 

 

 

City & County of Denver Colorado, Refunding RB,
Series A, 5.25%, 11/15/36

 

 

1,810

 

 

1,847,666

 

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

 

 

1,095

 

 

1,129,679

 

 

 

 

 

 

 

2,977,345

 

Delaware — 1.4%

 

 

 

 

 

 

 

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

 

 

1,230

 

 

1,239,532

 

District of Columbia — 1.2%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,076,570

 

Florida — 3.1%

 

 

 

 

 

 

 

Escambia County Health Facilities Authority, RB, Florida
Health Care Facility Loan, VHA Program (AMBAC),
5.95%, 7/01/20

 

 

579

 

 

597,693

 

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

 

 

1,795

 

 

1,547,990

 

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

 

 

1,000

 

 

652,890

 

 

 

 

 

 

 

2,798,573

 

Georgia — 3.7%

 

 

 

 

 

 

 

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

 

 

2,900

 

 

3,281,263

 

Illinois — 15.1%

 

 

 

 

 

 

 

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

 

 

1,105

 

 

1,130,514

 

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

 

 

2,955

 

 

3,252,007

 

County of Cook Illinois, GO, Refunding, Series A, 5.25%,
11/15/33

 

 

1,685

 

 

1,750,159

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

510

 

 

524,153

 

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

 

 

1,600

 

 

1,788,784

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

Illinois Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

Carle Foundation, 6.00%, 8/15/41

 

$

1,000

 

$

1,008,970

 

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

 

 

1,900

 

 

2,028,421

 

OSF Healthcare System, 6.00%, 5/15/39

 

 

990

 

 

1,006,800

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

690

 

 

714,874

 

6.00%, 6/01/28

 

 

195

 

 

200,821

 

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

 

 

125

 

 

126,844

 

 

 

 

 

 

 

13,532,347

 

Indiana — 2.6%

 

 

 

 

 

 

 

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

 

 

2,210

 

 

2,345,539

 

Iowa — 0.2%

 

 

 

 

 

 

 

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

 

 

270

 

 

201,172

 

Kansas — 1.9%

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,718,784

 

Kentucky — 4.2%

 

 

 

 

 

 

 

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

 

 

660

 

 

672,646

 

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

 

 

1,500

 

 

1,620,405

 

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

 

 

1,450

 

 

1,455,002

 

 

 

 

 

 

 

3,748,053

 

Louisiana — 0.8%

 

 

 

 

 

 

 

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

 

 

715

 

 

739,975

 

Maine — 1.5%

 

 

 

 

 

 

 

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

 

 

1,270

 

 

1,365,555

 

Maryland — 1.1%

 

 

 

 

 

 

 

Maryland EDC, Refunding RB, CNX Marine
Terminals, Inc., 5.75%, 9/01/25

 

 

985

 

 

971,860

 

Massachusetts — 2.0%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,055,390

 

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

 

 

750

 

 

788,062

 

 

 

 

 

 

 

1,843,452

 

Michigan — 5.4%

 

 

 

 

 

 

 

Kalamazoo Hospital Finance Authority, Refunding RB,
Bronson Methodist Hospital, 5.50%, 5/15/36

 

 

1,665

 

 

1,660,388

 

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

 

 

915

 

 

969,497

 

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

 

 

1,000

 

 

1,053,650

 

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

 

 

995

 

 

1,148,718

 

 

 

 

 

 

 

4,832,253

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

23




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Nevada — 7.1%

 

 

 

 

 

 

 

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

 

$

1,600

 

$

1,736,848

 

County of Clark Nevada, GO, Refunding, Transportation,
Series A, 5.00%, 12/01/29

 

 

1,400

 

 

1,455,048

 

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

 

 

3,075

 

 

3,191,143

 

 

 

 

 

 

 

6,383,039

 

New Jersey — 2.9%

 

 

 

 

 

 

 

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

 

 

1,165

 

 

1,196,735

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A, 5.88%, 12/15/38

 

 

1,295

 

 

1,389,703

 

 

 

 

 

 

 

2,586,438

 

New York — 8.5%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB,
Second General Resolution, Series EE, 5.38%,
6/15/43

 

 

385

 

 

408,404

 

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

 

 

1,500

 

 

1,558,080

 

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

 

 

605

 

 

622,285

 

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

 

 

3,250

 

 

3,409,998

 

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

 

 

1,510

 

 

1,591,283

 

 

 

 

 

 

 

7,590,050

 

North Carolina — 2.6%

 

 

 

 

 

 

 

North Carolina Medical Care Commission, RB, Novant
Health Obligation, Series A, 4.75%, 11/01/43

 

 

2,735

 

 

2,324,941

 

Ohio — 0.3%

 

 

 

 

 

 

 

Buckeye Tobacco Settlement Financing Authority, RB,
Asset-Backed, Senior Series A-2, 6.50%, 6/01/47

 

 

295

 

 

238,646

 

Pennsylvania — 4.4%

 

 

 

 

 

 

 

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

 

 

500

 

 

535,175

 

Pennsylvania Turnpike Commission, RB, Sub-Series A:

 

 

 

 

 

 

 

5.63%, 12/01/31

 

 

1,775

 

 

1,870,388

 

6.00%, 12/01/41

 

 

1,500

 

 

1,561,575

 

 

 

 

 

 

 

3,967,138

 

Puerto Rico — 3.0%

 

 

 

 

 

 

 

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

 

 

2,605

 

 

2,670,412

 

Texas — 17.8%

 

 

 

 

 

 

 

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

 

 

1,670

 

 

1,647,205

 

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

 

 

890

 

 

988,327

 

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

 

 

500

 

 

556,765

 

Houston Texas Hotel Occupancy, RB, Refunding, Series B,
5.25%, 9/01/27 (a)

 

 

1,800

 

 

1,826,370

 

Lower Colorado River Authority, RB:

 

 

 

 

 

 

 

5.75%, 5/15/28

 

 

810

 

 

860,269

 

5.50%, 5/15/33

 

 

2,000

 

 

2,113,526

 

North Texas Tollway Authority, RB:

 

 

 

 

 

 

 

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

 

 

1,670

 

 

1,772,154

 

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

 

 

1,000

 

 

1,038,450

 

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

 

 

1,905

 

 

1,996,992

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

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

 

$

2,980

 

$

3,140,145

 

 

 

 

 

 

 

15,940,203

 

Virginia — 1.2%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,121,760

 

Total Municipal Bonds — 110.2%

 

 

 

 

 

98,862,849

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

 

 

 

 

 

 

California — 20.1%

 

 

 

 

 

 

 

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

 

 

1,995

 

 

2,089,463

 

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

 

 

2,400

 

 

2,389,056

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

2,630

 

 

2,764,787

 

Series A, 6.00%, 8/01/33

 

 

3,898

 

 

4,343,085

 

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

 

 

400

 

 

403,108

 

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

 

 

4,214

 

 

4,433,493

 

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

 

 

1,500

 

 

1,622,010

 

 

 

 

 

 

 

18,045,002

 

District Of Columbia — 3.9%

 

 

 

 

 

 

 

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

 

 

1,395

 

 

1,555,662

 

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

 

 

1,799

 

 

1,912,421

 

 

 

 

 

 

 

3,468,083

 

Florida — 8.4%

 

 

 

 

 

 

 

Jacksonville Economic Development Commission, RB,
Mayo Clinic Jacksonville, Series B, 5.50%, 11/15/36

 

 

7,490

 

 

7,544,153

 

Illinois — 3.5%

 

 

 

 

 

 

 

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

 

 

2,800

 

 

3,145,156

 

Nevada — 5.5%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO:

 

 

 

 

 

 

 

Limited Tax, 6.00%, 7/01/38

 

 

2,500

 

 

2,741,050

 

Series B, 5.50%, 7/01/29

 

 

1,994

 

 

2,167,536

 

 

 

 

 

 

 

4,908,586

 

New Hampshire — 1.3%

 

 

 

 

 

 

 

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

 

 

1,094

 

 

1,159,255

 

New Jersey — 2.3%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,037,040

 

New York — 6.4%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

1,410

 

 

1,549,546

 

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

 

 

1,994

 

 

2,133,618

 

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

 

 

2,000

 

 

2,098,460

 

 

 

 

 

 

 

5,781,624

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

24

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

Ohio — 1.7%

 

 

 

 

 

 

 

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

 

$

1,560

 

$

1,565,351

 

South Carolina — 2.1%

 

 

 

 

 

 

 

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

 

 

1,755

 

 

1,869,198

 

Texas — 5.6%

 

 

 

 

 

 

 

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

 

 

2,025

 

 

2,179,108

 

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

 

 

2,750

 

 

2,833,682

 

 

 

 

 

 

 

5,012,790

 

Virginia — 1.0%

 

 

 

 

 

 

 

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

 

 

899

 

 

933,337

 

Wisconsin — 1.9%

 

 

 

 

 

 

 

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

 

 

1,680

 

 

1,685,810

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 63.7%

 

 

 

 

 

57,155,385

 

Total Long-Term Investments
(Cost — $151,252,212) — 173.9%

 

 

 

 

 

156,018,234

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

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

 

 

2,119,108

 

 

2,119,108

 

Total Short-Term Securities
(Cost — $2,119,108) — 2.3%

 

 

 

 

 

2,119,108

 

Total Investments (Cost — $153,371,320*) — 176.2%

 

 

 

 

 

158,137,342

 

Liabilities in Excess of Other Assets — (3.9)%

 

 

 

 

 

(3,523,166

)

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (34.1)%

 

 

 

 

 

(30,638,088

)

AMPS, at Redemption Value — (38.2)%

 

 

 

 

 

(34,250,572

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

89,725,516

 


 

 


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

123,256,374

 

Gross unrealized appreciation

 

$

6,336,567

 

Gross unrealized depreciation

 

 

(2,072,637

)

Net unrealized appreciation

 

$

4,263,930

 


 

 

(a)

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


 

 

 

 

 

 

 

 

 

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

Bank of America Merrill Lynch

 

$

1,365,555

 

$

20,257

 

Piper Jaffray

 

$

1,826,370

 

$

(468

)


 

 

(b)

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

 

 

(c)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares Held
at July 31,
2010

 

Net
Activity

 

Shares Held
at July 31,
2011

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

4,963,552

 

 

(2,844,444

)

 

2,119,108

 

$

3,536

 


 

 

(d)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of July 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

43

 

 

10-Year US
Treasury Note

 

 

Chicago
Board of Trade

 

 

September
2011

 

$

5,268,348

 

$

(136,215

)


 

 

 

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

 

 

 

 

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

 

 

 

 

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

 

 

 

 

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

 

 

 

The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust ‘s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

The following tables summarize the inputs used as of July 31, 2011 in determining the fair valuation of the Trust’s investments and derivative financial instruments:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

156,018,234

 

 

 

$

156,018,234

 

Short-Term
Securities

 

$

2,119,108

 

 

 

 

 

 

2,119,108

 

Total

 

$

2,119,108

 

$

156,018,234

 

 

 

$

158,137,342

 


 

 

 

 

1

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(136,215

)

 

 

 

 

$

(136,215

)


 

 

 

 

2

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


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

25




 

 

 

 

Schedule of Investments July 31, 2011

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

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey — 141.3%

 

 

 

 

 

 

 

Corporate — 15.5%

 

 

 

 

 

 

 

New Jersey EDA, RB, AMT (a):

 

 

 

 

 

 

 

Continental Airlines, Inc. Project, 7.00%, 11/15/30

 

$

925

 

$

925,472

 

Disposal Waste Management of New Jersey,
Series A, Mandatory Put Bonds, 5.30%, 6/01/15

 

 

500

 

 

539,545

 

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

 

 

175

 

 

176,829

 

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

 

 

300

 

 

304,731