UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-21053

 

Name of Fund: BlackRock Virginia Municipal Bond Trust (BHV)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 08/31/2012

 

Date of reporting period: 11/30/2011

 

Item 1 – Schedule of Investments

 


 

 

 

Schedule of Investments November 30, 2011 (Unaudited)

BlackRock Virginia Municipal Bond Trust (BHV)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Virginia — 111.9%

 

 

 

 

 

 

 

Corporate — 11.9%

 

 

 

 

 

 

 

Chesterfield County EDA, RB, Virginia
Electric Power Co. Project, Series A,
AMT, 5.60%, 11/01/31

 

$

500

 

$

502,770

 

Isle Wight County IDA Virginia, RB,
Series A, AMT, 5.70%, 11/01/27

 

 

1,300

 

 

1,304,134

 

Louisa IDA, Refunding RB, Virginia
Electric & Power Co. Project, Series A,
Mandatory Put Bonds, 5.38%,
11/01/35 (a)

 

 

1,000

 

 

1,075,270

 

 

 

 

 

 

 

2,882,174

 

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

 

 

 

 

 

 

 

City of Portsmouth Virginia, GO,
Refunding, Series D, 5.00%, 7/15/34

 

 

500

 

 

535,395

 

County of Prince William Virginia, RB,
5.00%, 6/01/12 (b)

 

 

100

 

 

102,404

 

Dulles Town Center Community
Development Authority, Special
Assessment Bonds, Dulles Town
Center Project, 6.25%, 3/01/26

 

 

910

 

 

910,146

 

Fairfax County Redevelopment &
Housing Authority, RB, Fairfax
Redevelopment & Housing, 5.00%,
10/01/39

 

 

1,500

 

 

1,550,985

 

Mosaic District Community
Development Authority, RB, Special
Assessment, Series A, 6.88%,
3/01/36

 

 

250

 

 

262,072

 

White Oak Village Shops Community
Development Authority, Special
Assessment Bonds, 5.30%, 3/01/17

 

 

205

 

 

212,097

 

 

 

 

 

 

 

3,573,099

 

Education — 19.9%

 

 

 

 

 

 

 

Montgomery County EDA, Refunding RB,
Virginia Tech Foundation, Series A,
5.00%, 6/01/39

 

 

355

 

 

375,913

 

University of Virginia, Refunding RB,
General, 5.00%, 6/01/40

 

 

1,000

 

 

1,072,730

 

Virginia College Building Authority,
Refunding RB:

 

 

 

 

 

 

 

Liberty University Projects,
5.00%, 3/01/41

 

 

1,000

 

 

1,039,680

 

Washington & Lee University Project
(NPFGC), 5.25%, 1/01/26

 

 

500

 

 

593,135

 

Washington & Lee University Project
(NPFGC), 5.25%, 1/01/31

 

 

1,000

 

 

1,184,530

 

Virginia Small Business Financing
Authority, RB, Roanoke College,
5.75%, 4/01/41

 

 

500

 

 

524,925

 

 

 

 

 

 

 

4,790,913

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Virginia (continued)

 

 

 

 

 

 

 

Health — 20.6%

 

 

 

 

 

 

 

Danville IDA Virginia, Refunding RB,
Danville Regional Medical Center
(AMBAC), 5.25%, 10/01/28 (c)

 

$

1,000

 

$

1,207,800

 

Fairfax County EDA, Refunding RB,
Goodwin House Inc., 5.00%,
10/01/27

 

 

1,000

 

 

992,370

 

Henrico County EDA, Refunding RB, Bon
Secours, Series A, 5.60%, 11/15/30

 

 

1,440

 

 

1,442,347

 

Peninsula Ports Authority, Refunding RB,
Virginia Baptist Homes, Series C,
5.40%, 12/01/33

 

 

250

 

 

158,038

 

Roanoke Economic Development
Authority, Refunding RB, Carilion
Health System, Series B (AGM),
5.00%, 7/01/38 (a)

 

 

500

 

 

507,650

 

Winchester IDA Virginia, RB, Valley
Health System Obligation, Series E,
5.63%, 1/01/44

 

 

650

 

 

674,349

 

 

 

 

 

 

 

4,982,554

 

Housing — 9.7%

 

 

 

 

 

 

 

Virginia HDA, RB, Rental Housing:

 

 

 

 

 

 

 

Series A, 5.25%, 5/01/41

 

 

750

 

 

776,423

 

Series B, 5.63%, 6/01/39

 

 

1,000

 

 

1,057,660

 

Series D, 4.60%, 9/01/40

 

 

500

 

 

496,965

 

 

 

 

 

 

 

2,331,048

 

State — 14.6%

 

 

 

 

 

 

 

Virginia College Building Authority, RB,
Public Higher Education Financing
Program, Series A:

 

 

 

 

 

 

 

5.00%, 9/01/27

 

 

500

 

 

566,795

 

5.00%, 9/01/33

 

 

1,000

 

 

1,060,430

 

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

 

 

360

 

 

408,384

 

Virginia Public School Authority, RB,
School Financing, 1997 Resolution,
Series B:

 

 

 

 

 

 

 

5.25%, 8/01/33

 

 

500

 

 

540,190

 

4.00%, 8/01/36

 

 

1,000

 

 

956,960

 

 

 

 

 

 

 

3,532,759

 

Transportation — 6.5%

 

 

 

 

 

 

 

City of Norfolk Virginia, Refunding RB,
Series B (AMBAC), 5.50%, 2/01/31

 

 

465

 

 

465,042

 

Richmond Metropolitan Authority
Virginia, Refunding RB (NPFGC),
5.25%, 7/15/22

 

 

500

 

 

559,480

 

Virginia Port Authority Commonwealth
Port Fund, RB, 5.00%, 7/01/36

 

 

500

 

 

533,020

 

 

 

 

 

 

 

1,557,542

 


 

Portfolio Abbreviations

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

 

 

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

EDA

Economic Development Authority

GO

General Obligation Bonds

HDA

Housing Development Authority

IDA

Industrial Development Authority

NPFGC

National Public Finance Guarantee Corp.

RB

Revenue Bonds


 

 

 

 

 

 

 

 

 

BLACKROCK VIRGINIA MUNICIPAL BOND TRUST

NOVEMBER 30, 2011

1




 

 

 

 

Schedule of Investments (continued)

BlackRock Virginia Municipal Bond Trust (BHV)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Virginia (concluded)

 

 

 

 

 

 

 

Utilities — 13.9%

 

 

 

 

 

 

 

Fairfax County Water Authority,
Refunding RB, 5.00%, 4/01/27

 

$

1,205

 

$

1,212,796

 

Virginia Resources Authority, RB, Senior,
Virginia Pooled Financing Program,
Series B, 5.00%, 11/01/33

 

 

2,000

 

 

2,152,320

 

 

 

 

 

 

 

3,365,116

 

Total Municipal Bonds in Virginia

 

 

 

 

 

27,015,205

 

District of Columbia — 7.6%

 

 

 

 

 

 

 

Transportation — 7.6%

 

 

 

 

 

 

 

Metropolitan Washington Airports
Authority, RB:

 

 

 

 

 

 

 

First Senior Lien, Series A,
5.00%, 10/01/39

 

 

290

 

 

299,083

 

First Senior Lien, Series A,
5.25%, 10/01/44

 

 

460

 

 

476,091

 

Series B, 5.00%, 10/01/29

 

 

1,000

 

 

1,063,190

 

 

 

 

 

 

 

1,838,364

 

Total Municipal Bonds in District of Columbia

 

 

 

 

 

1,838,364

 

Guam — 1.9%

 

 

 

 

 

 

 

County/City/Special District/School District — 1.1%

 

 

 

 

 

 

 

Government of Guam Business Privilege
Tax Revenue, Series A, 5.13%,
1/01/42 (d)

 

 

250

 

 

253,827

 

State — 0.8%

 

 

 

 

 

 

 

Territory of Guam, RB, Section 30,
Series A, 5.63%, 12/01/29

 

 

200

 

 

203,412

 

Total Municipal Bonds in Guam

 

 

 

 

 

457,239

 

Multi-State — 6.8%

 

 

 

 

 

 

 

Housing — 6.8%

 

 

 

 

 

 

 

Centerline Equity Issuer Trust, 7.20%,
11/15/14 (e)(f)

 

 

1,500

 

 

1,637,115

 

Total Municipal Bonds in Multi-State

 

 

 

 

 

1,637,115

 

Puerto Rico — 8.6%

 

 

 

 

 

 

 

State — 4.2%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp.,
RB, Series A-1, 5.25%, 8/01/43

 

 

1,000

 

 

1,016,610

 

Tobacco — 4.4%

 

 

 

 

 

 

 

Children’s Trust Fund, Refunding RB,
Asset-Backed, 5.38%, 5/15/33

 

 

1,145

 

 

1,068,388

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

2,084,998

 

Total Municipal Bonds – 136.8%

 

 

 

 

 

33,032,921

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to Tender
Option Bond (TOB) Trusts (g)

 

Par
(000)

 

Value

 

Virginia — 23.2%

 

 

 

 

 

 

 

Education — 8.8%

 

 

 

 

 

 

 

University of Virginia, Refunding RB,
General, 5.00%, 6/01/40

 

$

1,995

 

$

2,139,835

 

Health — 8.7%

 

 

 

 

 

 

 

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

 

 

999

 

 

1,068,561

 

Virginia Small Business Financing
Authority, Refunding RB, Sentara
Healthcare, 5.00%, 11/01/40

 

 

1,000

 

 

1,034,304

 

 

 

 

 

 

 

2,102,865

 

Transportation — 5.7%

 

 

 

 

 

 

 

Virginia State Commonwealth
Transportation Board Transportation
Revenue, Capital Projects, 5.00%,
5/15/32

 

 

1,259

 

 

1,368,290

 

Total Municipal Bonds Transferred to Tender Option
Bond (TOB) Trusts – 23.2%

 

 

 

 

 

5,610,990

 

Total Long-Term Investments
(Cost – $36,697,728) – 160.0%

 

 

 

 

 

38,643,911

 

 

 

 

 

 

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund,
0.01% (h)(i)

 

 

374,036

 

 

374,036

 

Total Short-Term Securities
(Cost – $374,036) – 1.5%

 

 

 

 

 

374,036

 

Total Investments
(Cost - $37,071,764*) – 161.5%

 

 

 

 

 

39,017,947

 

Other Assets Less Liabilities – 0.0%

 

 

 

 

 

1,169

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable – (13.2)%

 

 

 

 

 

(3,188,950

)

Preferred Shares, at Redemption Value – (48.3)%

 

 

 

 

 

(11,675,000

)

Net Assets – 100.0%

 

 

 

 

$

24,155,166

 


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of November 30, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

33,786,681

 

Gross unrealized appreciation

 

$

2,215,353

 

Gross unrealized depreciation

 

 

(172,102

)

Net unrealized appreciation

 

$

2,043,251

 


 

 

(a)

Variable rate security. Rate shown is 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)

Security is collateralized by Municipal or US Treasury obligations.


 

 

 

 

 

 

 

 

 

BLACKROCK VIRGINIA MUNICIPAL BOND TRUST

NOVEMBER 30, 2011

2




 

 

 

 

Schedule of Investments (concluded)

BlackRock Virginia Municipal Bond Trust (BHV)


 

 

(d)

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


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

Barclays Capital Inc.

 

$

253,827

 

$

1,980

 


 

 

(e)

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

 

 

(f)

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.

 

 

(g)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction.

 

 

(h)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
August 31,
2011

 

Net
Activity

 

Shares
Held at
November 30,
2011

 

Income

 

 

FFI Institutional
Tax-Exempt
Fund

 

 

115,091

 

 

258,945

 

 

374,036

 

$

38

 


 

 

(i)

Represents the current yield as of report date.


 

 

 

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

 

 

 

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

 

 

 

 

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

 

 

 

 

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

 

 

 

 

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

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

The following table summarizes the inputs used as of November 30, 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

 

 

 

$

38,643,911

 

 

 

$

38,643,911

 

Short-Term
Securities

 

$

374,036

 

 

 

 

 

 

374,036

 

Total

 

$

374,036

 

$

38,643,911

 

 

 

$

39,017,947

 


 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

BLACKROCK VIRGINIA MUNICIPAL BOND TRUST

NOVEMBER 30, 2011

3


Item 2 –

Controls and Procedures

 

 

2(a) –

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

 

 

2(b) –

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

 

 

Item 3 –

Exhibits

 

 

 

Certifications – Attached hereto

 

 

 

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

 

 

 

BlackRock Virginia Municipal Bond Trust

   
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Virginia Municipal Bond Trust
   
  Date: January 23, 2012
   
  Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
   
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Virginia Municipal Bond Trust
   
  Date: January 23, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Virginia Municipal Bond Trust
     
  Date: January 23, 2012