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: 07/31/2012

 

Date of reporting period: 01/31/2012

 

Item 1 – Report to Stockholders

 


 

 

(BLACKROCK LOGO)

January 31, 2012


 

 

 

Semi-Annual Report (Unaudited)

 

 

 

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

 

Semi-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

 

Officers and Trustees

 

63

 

Additional Information

 

64

 


 

 

 

 

 

 

2

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

Dear Shareholder

Early in 2011, global financial market action was dominated by political revolutions in the Middle East and North Africa, soaring prices of oil and other commodities, and natural disasters in Japan resulting in global supply chain disruptions. But corporate earnings were strong and the global economic recovery appeared to be on track. Investors demonstrated steadfast confidence as risk assets, including equities, commodities and high yield bonds, charged forward. Markets reversed sharply in May, however, when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe. Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5th, Standard & Poor’s downgraded the US government’s credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as Greece teetered on the brink of default, debt problems escalated in Italy and Spain, and exposure to European sovereign bonds stressed banks globally. Financial markets whipsawed on hopes and fears. Macro news flow became a greater influence on trading decisions than the fundamentals of the securities traded, resulting in highly correlated asset prices. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.

October brought enough positive economic data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming the region’s debt crisis. Investors came back from the sidelines and risk assets rallied through the month. Eventually, a lack of definitive details about Europe’s rescue plan raised doubts among investors and thwarted the rally at the end of October. The last two months of 2011 saw political instability in Greece, unsustainable yields on Italian bonds, and US policymakers in gridlock over budget issues. Global central bank actions and improving economic data invigorated investors, but confidence was easily tempered by sobering news flow. Sentiment improved in the New Year as investors saw bright spots in global economic data, particularly from the United States, China and Germany. International and emerging markets rebounded strongly through January. US stocks rallied on solid improvement in the domestic labor market and indications from the Federal Reserve that interest rates would remain low through 2014. Nonetheless, investors maintained caution as US corporate earnings began to weaken and a European recession appeared inevitable.

US equities and high yield bonds recovered their late-summer losses and posted positive returns for both the 6- and 12-month periods ended January 31, 2012. International markets, however, experienced some significant downturns in 2011 and remained in negative territory despite a strong rebound at the end of the period. Fixed income securities benefited from declining yields and delivered positive returns for the 6- and 12-month periods. US Treasury bonds outperformed other fixed income classes despite their quality rating downgrade, while municipal bonds also delivered superior results. Continued low short-term interest rates kept yields on money market securities near their all-time lows.

Many of the themes that caused uncertainty in 2011 remain unresolved. For investors, the risks are daunting. BlackRock remains committed to helping you keep your financial goals on track in this challenging environment.

Sincerely,

-s- Rob Kapito

Rob Kapito
President, BlackRock Advisors, LLC

(PHOTO OF ROB KAPITO)

“BlackRock remains committed to helping you keep your financial goals on track in this challenging environment.”

 

Rob Kapito
President, BlackRock Advisors, LLC

 

Total Returns as of January 31, 2012

 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

US large cap equities

 

2.71

%

 

4.22

%

 

(S&P 500® Index)

 

 

 

 

 

 

 

US small cap equities

 

0.22

 

 

2.86

 

 

(Russell 2000® Index)

 

 

 

 

 

 

 

International equities

 

(10.42

)

 

(9.59

)

 

(MSCI Europe, Australasia,

 

 

 

 

 

 

 

Far East Index)

 

 

 

 

 

 

 

Emerging market

 

(9.56

)

 

(6.64

)

 

equities (MSCI Emerging

 

 

 

 

 

 

 

Markets Index)

 

 

 

 

 

 

 

3-month Treasury

 

0.02

 

 

0.09

 

 

bill (BofA Merrill Lynch

 

 

 

 

 

 

 

3-Month Treasury

 

 

 

 

 

 

 

Bill Index)

 

 

 

 

 

 

 

US Treasury securities

 

10.81

 

 

18.49

 

 

(BofA Merrill Lynch 10-

 

 

 

 

 

 

 

Year US Treasury Index)

 

 

 

 

 

 

 

US investment grade

 

4.25

 

 

8.66

 

 

bonds (Barclays

 

 

 

 

 

 

 

Capital US Aggregate

 

 

 

 

 

 

 

Bond Index)

 

 

 

 

 

 

 

Tax-exempt municipal

 

7.25

 

 

14.40

 

 

bonds (S&P Municipal

 

 

 

 

 

 

 

Bond Index)

 

 

 

 

 

 

 

US high yield bonds

 

1.84

 

 

5.81

 

 

(Barclays Capital US

 

 

 

 

 

 

 

Corporate High Yield 2%

 

 

 

 

 

 

 

Issuer Capped Index)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 January 31, 2012

One year ago, the municipal bond market was steadily recovering from a difficult fourth quarter of 2010 that brought severe losses amid a steepening US Treasury yield curve and a flood of inflated headlines about municipal finance troubles. Retail investors had lost confidence in municipals and retreated from the market. Political uncertainty surrounding the midterm elections and tax policies exacerbated the situation. These conditions combined with seasonal illiquidity weakened willful market participation from the trading community. December 2010 brought declining demand with no comparable reduction in supply as issuers rushed their deals to market before the Build America Bond program was retired. This supply-demand imbalance led to wider quality spreads and higher yields for municipal bonds heading into 2011.

(LINE GRAPH)

Demand is usually strong at the beginning of a new year, but retail investors continued to move away from municipal mutual funds in the first half of 2011. From the middle of November 2010, outflows persisted for 29 consecutive weeks, totaling $35.1 billion before the trend finally broke in June 2011. However, weak demand was counterbalanced by lower supply in 2011. According to Thomson Reuters, new issuance was down 32% in 2011 as compared to the prior year. While these technical factors were improving, municipalities were struggling to balance their budgets, although the late-2010 predictions for widespread municipal defaults did not materialize. Other concerns that resonated at the beginning of the year, such as rising interest rates, weakening credits and higher rates of inflation, abated as these scenarios also did not come to fruition.

On August 5th, 2011, Standard & Poor’s (“S&P”) downgraded the US government’s credit rating from AAA to AA+. While this led to the downgrade of approximately 11,000 municipal issues directly tied to the US debt rating, this represented a very small fraction of the municipal market and said nothing about the individual municipal credits themselves. In fact, demand for municipal bonds increased as severe volatility in US equities drove investors to more stable asset classes. The municipal market benefited from an exuberant Treasury market and continued muted new issuance. As supply remained constrained, demand from both traditional and non-traditional buyers was strong, pushing long-term municipal bond yields lower and sparking a curve-flattening trend that continued through year end. Ultimately, 2011 was one of the strongest performance years in municipal market history. The S&P Municipal Bond Index returned 10.62% in 2011, making municipal bonds a top-performing fixed income asset class for the year.

Supply and demand technicals continued to be favorable in January 2012. Overall, the municipal yield curve flattened during the period from January 31, 2011 to January 31, 2012. As measured by Thomson Municipal Market Data, yields declined by 161 basis points (“bps”) to 3.17% on AAA-rated 30-year municipal bonds and by 163 bps to 1.68% on 10-year bonds, while yields on 5-year issues fell 117 bps to 0.68%. While the entire municipal curve flattened over the 12-month time period, the spread between 2- and 30-year maturities tightened by 120 bps, and in the 2- to 10-year range, the spread tightened by 124 bps.

The fundamental picture for municipalities continues to improve. Austerity has been the general theme across the country, while a small number of states continue to rely on a “kick-the-can” approach to close their budget shortfalls, with aggressive revenue projections and accounting gimmicks. The market’s technical factors are also improving as demand outpaces supply in what is historically a light issuance period. It has been over a year since the first highly publicized interview about the fiscal problems plaguing state and local governments. Thus far, the prophecy of widespread defaults across the municipal market has not materialized. In 2011, there were fewer municipal defaults than seen in 2010. Throughout 2011 monetary defaults in the S&P Municipal Bond Index totaled roughly $805 million, representing less than 0.48% of the index. BlackRock maintains the view that municipal bond defaults will remain in the periphery and the overall market is fundamentally sound. We continue to recognize that careful credit research and security selection remain imperative amid uncertainty in this 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

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Trust Summary as of January 31, 2012

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 six months ended January 31, 2012, the Trust returned 21.17% based on market price and 17.19% based on net asset value (“NAV”). For the same period, the closed-end Lipper California Municipal Debt Funds category posted an average return of 21.02% based on market price and 14.53% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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 slightly long duration (sensitivity to interest rate movements) had a positive impact on performance as interest rates generally declined amid the investor flight-to-quality in the US Treasury market. Increased exposure to inverse floating rate instruments (tender option bonds) while the municipal yield curve was historically steep boosted the Trust’s income accrual. The Trust’s holdings of higher quality essential service revenue bonds contributed positively, as did holdings of select general obligation bonds and school district credits with stronger underlying fundamentals. Additionally, purchases of zero-coupon bonds deemed undervalued added to the Trust’s total return.

 

 

 

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 January 31, 2012 ($15.45)1

5.88%

Tax Equivalent Yield2

9.05%

Current Monthly Distribution per Common Share3

$0.0757

Current Annualized Distribution per Common Share3

$0.9084

Economic Leverage as of January 31, 20124

39%


 

 

 

 

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 Monthly Distribution per Common Share, declared on March 1, 2012, was increased to $0.0777 per share. The Yield on Closing Market Price, Current Monthly Distribution per Common Share and Current Annualized Distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

 

 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

15.45

 

$

13.16

 

 

17.40

%

$

15.45

 

$

12.95

 

Net Asset Value

 

$

15.76

 

$

13.88

 

 

13.54

%

$

15.76

 

$

13.88

 

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

 

 

 

 

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

County/City/Special District/School District

 

 

 

37

%

 

 

 

39

%

 

Utilities

 

 

 

29

 

 

 

 

29

 

 

Health

 

 

 

12

 

 

 

 

11

 

 

Education

 

 

 

9

 

 

 

 

7

 

 

Transportation

 

 

 

6

 

 

 

 

7

 

 

State

 

 

 

6

 

 

 

 

5

 

 

Housing

 

 

 

1

 

 

 

 

2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

AAA/Aaa

 

 

 

10

%

 

 

 

11

%

 

AA/Aa

 

 

 

70

 

 

 

 

67

 

 

A

 

 

 

20

 

 

 

 

20

 

 

BBB/Ba

 

 

 

6

 

 

 

2

 

 


 

 

 

 

5

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

 

 

 

 

6

Amount rounds to less than 1%.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

5




 

 

 

 

Trust Summary as of January 31, 2012

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 six months ended January 31, 2012, the Trust returned 13.28% based on market price and 7.94% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of 16.44% based on market price and 11.33% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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. During the period, municipal bond prices generally rose as the yield curve flattened and credit spreads tightened. Given these market conditions, the Trust’s exposure to intermediate and longer maturity bonds and lower-quality investment grade bonds had a significant positive impact on the Trust’s performance for the period. The Trust is scheduled to mature on or about December 31, 2020 and thus holds securities that will mature close to that date. The Trust’s shorter maturity profile was a disadvantage as compared to its Lipper category peers that typically hold longer-dated issues, which exhibited greater price appreciation in the declining interest rate environment.


 

 

 

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 January 31, 2012 ($15.41)1

4.36%

Tax Equivalent Yield2

6.71%

Current Monthly Distribution per Common Share3

$0.056

Current Annualized Distribution per Common Share3

$0.672

Economic Leverage as of January 31, 20124

33%


 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

15.41

 

$

13.91

 

 

10.78

%

$

15.44

 

$

13.79

 

Net Asset Value

 

$

15.77

 

$

14.94

 

 

5.56

%

$

15.77

 

$

14.94

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

County/City/Special District/School District

 

44

%

 

46

%

 

Utilities

 

15

 

 

18

 

 

State

 

14

 

 

11

 

 

Corporate

 

8

 

 

6

 

 

Health

 

8

 

 

12

 

 

Transportation

 

8

 

 

4

 

 

Housing

 

2

 

 

2

 

 

Education

 

1

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

AAA/Aaa

 

7

%

 

7

%

 

AA/Aa

 

48

 

 

40

 

 

A

 

20

 

 

23

 

 

BBB/Baa

 

12

 

 

12

 

 

BB/Ba

 

1

 

 

1

 

 

Not Rated6

 

12

 

 

17

 

 


 

 

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 January 31, 2012 and July 31, 2011, the market value of these securities was $6,284,191, representing 5%, and $10,771,005, representing 8%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

6

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Trust Summary as of January 31, 2012

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.


 

On February 10, 2012, the Board of Trustees of the Trust approved a plan of liquidation and dissolution. If approved by shareholders, the liquidation and distribution of substantially all of the Trust’s assets is expected to occur by the end of the third quarter of 2012.


 

Performance


For the six months ended January 31, 2012, the Trust returned 24.27% based on market price and 16.68% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 21.10% based on market price and 13.67% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium 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. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health care, transportation and education sectors experienced the best price appreciation.


 

 

 

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 January 31, 2012 ($14.00)1

 

 

6.00%

 

Tax Equivalent Yield2

 

 

9.23%

 

Current Monthly Distribution per Common Share3

 

 

$0.07

 

Current Annualized Distribution per Common Share3

 

 

$0.84

 

Economic Leverage as of January 31, 20124

 

 

39%

 


 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

14.00

 

$

11.65

 

 

20.17

%

$

14.00

 

$

11.49

 

Net Asset Value

 

$

13.28

 

$

11.77

 

 

12.83

%

$

13.28

 

$

11.77

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

County/City/Special District/School District

 

21

%

 

19

%

 

Transportation

 

18

 

 

20

 

 

Health

 

18

 

 

17

 

 

Utilities

 

17

 

 

20

 

 

State

 

10

 

 

8

 

 

Education

 

7

 

 

7

 

 

Housing

 

6

 

 

6

 

 

Corporate

 

2

 

 

2

 

 

Tobacco

 

1

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

AAA/Aaa

 

11

%

 

8

%

 

AA/Aa

 

58

 

 

57

 

 

A

 

23

 

 

25

 

 

BBB/Baa

 

7

 

 

8

 

 

BB/Ba

 

 

 

1

 

 

Not Rated

 

1

 

 

1

 

 


 

 

5

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


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

7




 

 

 

 

Trust Summary as of January 31, 2012

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). 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 six months ended January 31, 2012, the Trust returned 21.49% based on market price and 17.04% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 21.10% based on market price and 13.67% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount 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. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health care, transportation and education sectors experienced the best price appreciation.


 

 

 

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 January 31, 2012 ($14.99)1

6.03%

Tax Equivalent Yield2

9.28%

Current Monthly Distribution per Common Share3

$0.075375

Current Annualized Distribution per Common Share3

$0.904500

Economic Leverage as of January 31, 20124

39%


 

 

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 Variable Rate Demand Preferred Shares (“VRDP Shares”) and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

14.99

 

$

12.74

 

 

17.66

%

$

15.00

 

$

12.20

 

Net Asset Value

 

$

15.19

 

$

13.40

 

 

13.36

%

$

15.19

 

$

13.40

 


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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

County/City/Special District/School District

 

26

%

 

19

%

 

Utilities

 

18

 

 

18

 

 

Transportation

 

18

 

 

16

 

 

Health

 

17

 

 

21

 

 

State

 

11

 

 

9

 

 

Education

 

7

 

 

7

 

 

Corporate

 

1

 

 

8

 

 

Tobacco

 

1

 

 

1

 

 

Housing

 

1

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

AAA/Aaa

 

9

%

 

10

%

 

AA/Aa

 

60

 

 

55

 

 

A

 

23

 

 

26

 

 

BBB/Baa

 

7

 

 

7

 

 

BB/Ba

 

6

 

1

 

 

Not Rated

 

1

 

 

1

 

 


 

 

5

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

 

 

6

Amount rounds to less than 1%.


 

 

 

 

 

 

8

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Trust Summary as of January 31, 2012

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.


 

On February 10, 2012, the Board of Trustees of the Trust approved a plan of liquidation and dissolution. If approved by shareholders, the liquidation and distribution of substantially all of the Trust’s assets is expected to occur by the end of the third quarter of 2012.


 

Performance


For the six months ended January 31, 2012, the Trust returned 19.86% based on market price and 16.19% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of 20.36% based on market price and 13.24% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium 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. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health care, transportation and education sectors experienced the best price appreciation.


 

 

 

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 January 31, 2012 ($13.97)1

5.63%

Tax Equivalent Yield2

8.66%

Current Monthly Distribution per Common Share3

$0.0655

Current Annualized Distribution per Common Share3

$0.7860

Economic Leverage as of January 31, 20124

35%


 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

13.97

 

$

12.02

 

 

16.22

%

$

13.97

 

$

11.85

 

Net Asset Value

 

$

13.88

 

$

12.32

 

 

12.66

%

$

13.88

 

$

12.32

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

State

 

26

%

 

17

%

 

Education

 

17

 

 

19

 

 

County/City/Special District/School District

 

17

 

 

13

 

 

Transportation

 

15

 

 

18

 

 

Health

 

11

 

 

11

 

 

Housing

 

7

 

 

9

 

 

Corporate

 

7

 

 

10

 

 

Utilities

 

 

 

2

 

 

Tobacco

 

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

AA/Aa

 

44

%

 

39

%

 

A

 

41

 

 

42

 

 

BBB/Baa

 

5

 

 

10

 

 

BB/Ba

 

1

 

 

 

 

B

 

5

 

 

5

 

 

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 January 31, 2012 and July 31, 2011, the market value of these securities was $511,455, representing 2%, and $884,636, representing 4%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

9




 

 

 

 

Trust Summary as of January 31, 2012

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 six months ended January 31, 2012, the Trust returned 22.66% based on market price and 15.51% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of 20.36% based on market price and 13.24% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium 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. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. The Trust’s longer-dated holdings in the health care, transportation and education sectors experienced the best price appreciation.


 

 

 

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 January 31, 2012 ($16.75)1

 

 

5.67%

 

Tax Equivalent Yield2

 

 

8.72%

 

Current Monthly Distribution per Common Share3

 

 

$0.0791

 

Current Annualized Distribution per Common Share3

 

 

$0.9492

 

Economic Leverage as of January 31, 20124

 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

16.75

 

$

14.10

 

 

18.79

%

$

16.79

 

$

13.34

 

Net Asset Value

 

$

15.74

 

$

14.07

 

 

11.87

%

$

15.74

 

$

14.07

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

State

 

23

%

 

22

%

 

County/City/Special District/School District

 

19

 

 

12

 

 

Transportation

 

16

 

 

18

 

 

Health

 

14

 

 

15

 

 

Education

 

12

 

 

11

 

 

Housing

 

10

 

 

13

 

 

Corporate

 

5

 

 

7

 

 

Utilities

 

1

 

 

1

 

 

Tobacco

 

 

 

1

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 


1/31/12


7/31/11

 

AAA/Aaa

 

7

%

 

5

%

 

AA/Aa

 

36

 

 

33

 

 

A

 

32

 

 

33

 

 

BBB/Baa

 

12

 

 

12

 

 

BB/Ba

 

4

 

 

5

 

 

B

 

3

 

 

3

 

 

Not Rated6

 

6

 

 

9

 

 


 

 

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 January 31, 2012 and July 31, 2011, the market value of these securities was $8,545,602, representing 5%, and $13,046,133, representing 8%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

10

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Trust Summary as of January 31, 2012

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.

On February 10, 2012, the Board of Trustees of the Trust approved a plan of liquidation and dissolution. If approved by shareholders, the liquidation and distribution of substantially all of the Trust’s assets is expected to occur by the end of the third quarter of 2012.

 

Performance


For the six months ended January 31, 2012, the Trust returned 16.73% based on market price and 13.47% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return 17.53% based on market price and 11.32% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a discount to NAV to a premium 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. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. Additionally, the Trust benefited from its long duration bias (greater sensitivity to interest rate movements) as overall interest rates declined. The Trust’s heavy exposures to health care and education, which were among the better performing sectors for the period, had a positive 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 Amex

RNY

Initial Offering Date

May 28, 1993

Yield on Closing Market Price as of January 31, 2012 ($15.27)1

5.74%

Tax Equivalent Yield2

8.83%

Current Monthly Distribution per Common Share3

$0.073

Current Annualized Distribution per Common Share3

$0.876

Economic Leverage as of January 31, 20124

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:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

15.27

 

$

13.49

 

 

13.19

%

$

15.35

 

$

13.43

 

Net Asset Value

 

$

15.13

 

$

13.75

 

 

10.04

%

$

15.13

 

$

13.75

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

County/City/Special District/School District

 

24

%

 

25

%

 

Health

 

15

 

 

14

 

 

State

 

14

 

 

9

 

 

Utilities

 

13

 

 

16

 

 

Corporate

 

11

 

 

11

 

 

Education

 

10

 

 

13

 

 

Transportation

 

7

 

 

3

 

 

Housing

 

6

 

 

7

 

 

Tobacco

 

 

 

2

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

AAA/Aaa

 

13

%

 

17

%

 

AA/Aa

 

31

 

 

26

 

 

A

 

35

 

 

28

 

 

BBB/Baa

 

9

 

 

14

 

 

BB/Ba

 

5

 

 

6

 

 

B

 

 

 

4

 

 

Not Rated

 

7

 

 

5

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, the market value of these securities was $1,312,653, representing 2% of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

11




 

 

 

 

Trust Summary as of January 31, 2012

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 six months ended January 31, 2012, the Trust returned 17.48% based on market price and 11.54% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of 17.53% based on market price and 11.32% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium 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. As the yield curve flattened during the period (longer-term interest rates fell more than shorter rates), rising bond prices in the long end of the municipal curve contributed positively to the Trust’s performance. Additionally, the Trust benefited from its long duration bias (greater sensitivity to interest rate movements) as overall interest rates declined. The Trust’s heavy exposures to education and transportation, which were among the better performing sectors for the period, had a positive 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

BNY

Initial Offering Date

July 27, 2001

Yield on Closing Market Price as of January 31, 2012 ($16.12)1

6.14%

Tax Equivalent Yield2

9.45%

Current Monthly Distribution per Common Share3

$0.0825

Current Annualized Distribution per Common Share3

$0.9900

Economic Leverage as of January 31, 20124

38%


 

 

 

 

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1/31/12

 

7/31/11

 

Change

 

High

 

Low

 

Market Price

 

$

16.12

 

$

14.20

 

 

13.52

%

$

16.15

 

$

13.99

 

Net Asset Value

 

$

14.95

 

$

13.87

 

 

7.79

%

$

14.95

 

$

13.87

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

County/City/Special District/School District

 

18

%

 

18

%

 

Transportation

 

17

 

 

17

 

 

Education

 

16

 

 

17

 

 

Utilities

 

12

 

 

10

 

 

Corporate

 

10

 

 

11

 

 

Housing

 

9

 

 

10

 

 

Health

 

8

 

 

6

 

 

State

 

7

 

 

7

 

 

Tobacco

 

3

 

 

4

 

 


 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 


1/31/12

 


7/31/11

 

AAA/Aaa

 

11

%

 

11

%

 

AA/Aa

 

37

 

 

33

 

 

A

 

29

 

 

27

 

 

BBB/Baa

 

16

 

 

20

 

 

BB/Ba

 

1

 

 

2

 

 

B

 

 

 

3

 

 

Not Rated6

 

6

 

 

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 January 31, 2012 and July 31, 2011, the market value of these securities was $2,501,000, representing 1%, and $11,121,550 representing 4%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

12

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

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 obtain leverage, the Trusts issue Auction Market Preferred Securities (“AMPS”), Variable Rate Demand Preferred Shares (“VRDP Shares”) or Variable Rate Muni Term Preferred Shares (“VMTP Shares”) (collectively, “Preferred Shares”). Preferred Shares pay dividends at prevailing short-term interest rates, and the Trusts 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 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 Preferred Shares 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 Preferred Shares based on the lower short-term interest rates. At the same time, the securities purchased by the Trust with assets received from the Preferred Shares issuance earn income based on long-term interest rates. In this case, the dividends paid to holders of Preferred Shares (“Preferred 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 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 higher short-term interest rates 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’ Preferred Shares does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively in addition to the impact on Trust performance from leverage from Preferred Shares discussed above.

The Trusts may also leverage their assets through the use of tender option bond trusts (“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 Preferred Shares 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, the Trusts’ 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 rating agencies that rate the Preferred Shares 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, as amended (the “1940 Act”), the Trusts are permitted to issue senior securities in the form of equity securities (e.g., Preferred Shares) up to 50% of their total managed assets. In addition, each Trust voluntarily limits its economic leverage to 50% of its total managed assets for Trusts with AMPS or 45% for Trusts with VRDPs. As of January 31, 2012, the Trusts had economic leverage from Preferred Shares and/or TOBs as a percentage of their total managed assets as follows:

 

 

 

 

 

 

 

Percent of
Economic
Leverage

 

BFZ

 

39

%

 

BFO

 

33

%

 

RFA

 

39

%

 

BBF

 

39

%

 

RNJ

 

35

%

 

BNJ

 

36

%

 

RNY

 

37

%

 

BNY

 

38

%

 

 

 

 

 

 

 

 

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.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

13




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

California — 95.2%

 

 

 

 

 

 

 

Corporate — 0.2%

 

 

 

 

 

 

 

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

 

$

680

 

$

786,957

 

County/City/Special District/School District — 34.4%

 

 

 

 

 

 

 

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

 

 

8,425

 

 

9,935,518

 

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

 

 

8,000

 

 

9,386,960

 

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

 

 

3,000

 

 

3,439,500

 

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

 

 

2,000

 

 

2,196,540

 

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

 

 

 

 

 

 

 

6.13%, 5/01/31

 

 

500

 

 

562,900

 

6.50%, 5/01/36

 

 

1,210

 

 

1,364,009

 

6.50%, 5/01/42

 

 

2,225

 

 

2,497,585

 

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

 

 

2,000

 

 

2,318,820

 

Desert Community College District, GO, CAB, Election of
2004, Series C (AGM), 5.90%, 8/01/46 (a)

 

 

4,230

 

 

602,394

 

Escondido Union High School District, GO, CAB (AGC),
6.09%, 8/01/36 (a)

 

 

5,280

 

 

1,498,939

 

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

 

 

2,500

 

 

2,785,125

 

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

 

 

2,000

 

 

2,377,800

 

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

 

 

4,135

 

 

4,887,570

 

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

 

 

5,735

 

 

6,575,751

 

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

 

 

4,975

 

 

5,641,053

 

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

 

 

 

 

 

 

 

5.75%, 10/01/29

 

 

3,000

 

 

3,414,240

 

5.75%, 10/01/34

 

 

180

 

 

200,041

 

Norwalk-La Mirada Unified School District California,
GO, CAB, Election of 2002, Series E (AGC), 5.53%,
8/01/38 (a)

 

 

7,500

 

 

1,790,025

 

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

 

 

6,000

 

 

6,952,740

 

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

 

 

3,600

 

 

3,704,832

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

California (continued)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

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

 

$

2,000

 

$

2,289,980

 

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

 

 

2,000

 

 

2,196,740

 

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

 

 

2,000

 

 

2,263,020

 

San Bernardino Community College District, GO, Election
Of 2008, Series B, 6.33%, 8/01/44 (a)

 

 

5,000

 

 

857,350

 

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

 

 

1,500

 

 

1,721,910

 

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

 

 

6,500

 

 

7,240,220

 

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

 

 

6,000

 

 

6,025,860

 

San Leandro Unified School District California, GO,
Election of 2010, Series A, 5.75%, 8/01/41

 

 

3,060

 

 

3,550,640

 

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

 

 

 

 

 

 

 

5.50%, 8/01/30

 

 

6,455

 

 

7,259,616

 

5.13%, 8/01/33

 

 

10,000

 

 

10,895,000

 

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

 

 

21,000

 

 

22,945,650

 

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

 

 

 

 

 

 

 

6.63%, 9/01/29

 

 

1,000

 

 

1,165,940

 

7.00%, 9/01/36

 

 

1,700

 

 

1,996,667

 

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

 

 

2,250

 

 

2,560,455

 

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

 

 

4,000

 

 

4,756,240

 

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

 

 

3,445

 

 

4,056,660

 

West Contra Costa Unified School District, GO, Election
of 2010, Series A (AGM), 5.25%, 8/01/32

 

 

3,000

 

 

3,447,360

 

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

 

 

7,750

 

 

9,294,110

 

William S. Hart Union High School District, GO, CAB,
Series B (AGM) (a):

 

 

 

 

 

 

 

6.28%, 8/01/34

 

 

11,150

 

 

3,354,701

 

6.32%, 8/01/35

 

 

9,800

 

 

2,776,144

 

 

 

 

 

 

 

172,786,605

 


 

 

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

American Capital Access Corp.

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

ARB

Airport Revenue Bonds

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

GARB

General Airport Revenue Bonds

GO

General Obligation Bonds

HFA

Housing Finance Agency

HRB

Housing Revenue Bonds

IDA

Industrial Development Authority

IDB

Industrial Development Board

ISD

Independent School District

LRB

Lease Revenue Bonds

MRB

Mortgage Revenue Bonds

NPFGC

National Public Finance Guarantee Corp.

PILOT

Payment in Lieu of Taxes

Q-SBLF

Qualified School Bond Loan Fund

RB

Revenue Bonds

S/F

Single-Family

SONYMA

State of New York Mortgage Agency


See Notes to Financial Statements.

 

 

 

 

 

 

14

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

California (continued)

 

 

 

 

 

 

 

Education — 2.8%

 

 

 

 

 

 

 

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

 

$

2,900

 

$

3,252,379

 

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

 

 

6,280

 

 

7,446,070

 

California Municipal Finance Authority, RB, Emerson
College, 5.75%, 1/01/33

 

 

2,500

 

 

2,756,075

 

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

 

 

460

 

 

526,493

 

 

 

 

 

 

 

13,981,017

 

Health — 18.6%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

6.38%, 8/01/34

 

 

3,055

 

 

3,254,461

 

6.25%, 8/01/39

 

 

3,760

 

 

4,343,026

 

Series A, 6.00%, 8/01/30

 

 

2,275

 

 

2,743,559

 

California Health Facilities Financing Authority, RB:

 

 

 

 

 

 

 

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

 

 

6,475

 

 

7,142,896

 

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

 

 

8,300

 

 

8,893,450

 

Children’s Hospital, Series A, 5.25%, 11/01/41

 

 

6,985

 

 

7,496,931

 

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

 

 

25

 

 

33,718

 

Sutter Health, Series A, 5.25%, 11/15/46

 

 

7,000

 

 

7,295,680

 

California Health Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,178,470

 

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

 

 

4,400

 

 

5,075,664

 

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

 

 

2,750

 

 

3,128,207

 

Providence Health, 6.50%, 10/01/38

 

 

4,090

 

 

4,811,067

 

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

 

 

6,015

 

 

6,929,521

 

California Statewide Communities Development Authority,
RB Series A:

 

 

 

 

 

 

 

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

 

 

7,000

 

 

7,301,490

 

Kaiser Permanente, 5.50%, 11/01/32

 

 

11,090

 

 

11,219,198

 

California Statewide Communities Development Authority,
Refunding RB:

 

 

 

 

 

 

 

Kaiser, Series C, 5.25%, 8/01/31

 

 

2,050

 

 

2,158,896

 

Catholic Healthcare West, Series B, 5.50%, 7/01/30

 

 

2,980

 

 

3,228,830

 

Catholic Healthcare West, Series E, 5.50%, 7/01/31

 

 

4,255

 

 

4,601,655

 

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

 

 

2,275

 

 

2,707,250

 

 

 

 

 

 

 

93,543,969

 

State — 7.8%

 

 

 

 

 

 

 

California State Public Works Board, RB:

 

 

 

 

 

 

 

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

 

 

9,000

 

 

10,383,300

 

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

 

 

5,025

 

 

5,800,508

 

State of California, GO, Various Purpose:

 

 

 

 

 

 

 

6.00%, 3/01/33

 

 

5,015

 

 

5,956,917

 

6.50%, 4/01/33

 

 

5,985

 

 

7,361,191

 

6.00%, 4/01/38

 

 

8,390

 

 

9,737,686

 

 

 

 

 

 

 

39,239,602

 

Transportation — 10.4%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.75%, 3/01/34

 

 

2,265

 

 

2,502,553

 

6.25%, 3/01/34

 

 

2,650

 

 

3,056,616

 

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

 

 

8,000

 

 

9,002,720

 

County of Sacramento California, RB, Airport System:

 

 

 

 

 

 

 

PFC/Grant, Sub-Series D, 6.00%, 7/01/35

 

 

3,000

 

 

3,349,080

 

Senior Series B, 5.75%, 7/01/39

 

 

1,850

 

 

2,041,457

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

California (concluded)

 

 

 

 

 

 

 

Transportation (concluded)

 

 

 

 

 

 

 

Los Angeles Department of Airports, RB, Series A:

 

 

 

 

 

 

 

5.00%, 5/15/34

 

$

6,000

 

$

6,639,360

 

5.25%, 5/15/39

 

 

2,775

 

 

3,088,658

 

Los Angeles Department of Airports, Refunding RB,
Los Angeles International Airport:

 

 

 

 

 

 

 

Senior Series A, 5.00%, 5/15/35

 

 

2,945

 

 

3,284,971

 

Sub-Series C, 5.25%, 5/15/38

 

 

1,330

 

 

1,447,758

 

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

 

 

5,530

 

 

6,284,568

 

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

 

 

6,750

 

 

7,821,900

 

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

 

 

2,880

 

 

3,458,362

 

 

 

 

 

 

 

51,978,003

 

Utilities — 21.0%

 

 

 

 

 

 

 

Anaheim Public Financing Authority, RB:

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,673,100

 

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

 

 

7,690

 

 

8,857,573

 

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

 

 

5,500

 

 

6,047,690

 

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

 

 

5,280

 

 

5,704,459

 

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

 

 

 

 

 

 

 

Series D, 5.88%, 1/01/34

 

 

2,500

 

 

2,893,225

 

Series E, 5.88%, 1/01/34

 

 

6,500

 

 

7,522,385

 

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

 

 

4,000

 

 

4,544,760

 

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

 

 

5,625

 

 

6,727,725

 

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

 

 

2,425

 

 

2,873,140

 

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

 

 

2,000

 

 

2,300,680

 

Los Angeles Department of Water & Power, RB:

 

 

 

 

 

 

 

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

 

 

11,215

 

 

12,435,865

 

Series A, 5.38%, 7/01/34

 

 

3,050

 

 

3,493,195

 

Series A, 5.25%, 7/01/39

 

 

4,000

 

 

4,581,520

 

Series A, 5.00%, 7/01/41

 

 

4,740

 

 

5,272,729

 

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

 

 

2,200

 

 

2,293,742

 

San Diego County Water Authority, COP, Unrefunded,
Series A (NPFGC), 5.00%, 5/01/32

 

 

1,850

 

 

1,876,381

 

San Diego Public Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

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

 

 

9,520

 

 

10,819,099

 

Series A, 5.25%, 8/01/38

 

 

3,255

 

 

3,619,593

 

San Francisco City & County Public Utilities
Commission, RB:

 

 

 

 

 

 

 

Local Water Main, Sub-Series C, 5.00%, 11/01/36

 

 

1,000

 

 

1,136,230

 

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

 

 

4,000

 

 

4,058,720

 

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

 

 

5,695

 

 

6,445,487

 

 

 

 

 

 

 

105,177,298

 

Total Municipal Bonds in California

 

 

 

 

 

477,493,451

 


See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

15




 

 

 

 

Schedule of Investments (continued)

BlackRock California Municipal Income Trust (BFZ)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

Multi-State — 1.6%

 

 

 

 

 

 

 

Housing — 1.6%

 

 

 

 

 

 

 

Centerline Equity Issuer Trust (c)(d):

 

 

 

 

 

 

 

7.20%, 11/15/14

 

$

3,500

 

$

3,822,735

 

5.75%, 5/15/15

 

 

500

 

 

536,840

 

6.00%, 5/15/15

 

 

1,500

 

 

1,625,625

 

6.00%, 5/15/19

 

 

1,000

 

 

1,122,920

 

6.30%, 5/15/19

 

 

1,000

 

 

1,126,270

 

Total Municipal Bonds in Multi-State

 

 

 

 

 

8,234,390

 

 

 

 

 

 

 

 

 

Puerto Rico — 1.3%3

 

 

 

 

 

 

 

State — 1.3%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, CAB,
Series C (a):

 

 

 

 

 

 

 

5.73%, 8/01/37

 

 

13,260

 

 

3,458,739

 

6.00%, 8/01/39

 

 

12,420

 

 

2,892,245

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

6,350,984

 

Total Municipal Bonds — 98.1%

 

 

 

 

 

492,078,825

 

 


Municipal Bonds Transferred to
Tender Option Bond Trusts (e)

 

 

 

 

 

 

 

California — 64.0%

 

 

 

 

 

 

 

County/City/Special District/School District — 25.8%

 

 

 

 

 

 

 

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

 

 

5,020

 

 

5,526,869

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

8,000

 

 

8,750,480

 

Election of 2003, Series F-1, 5.00%, 8/01/33

 

 

5,000

 

 

5,515,150

 

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

 

 

20,131

 

 

24,205,189

 

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

 

 

12,900

 

 

14,782,110

 

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

 

 

5,000

 

 

5,499,750

 

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

 

 

10,770

 

 

11,628,261

 

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

 

 

12,499

 

 

13,387,850

 

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

 

 

2,000

 

 

2,217,220

 

San Diego Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

10,484

 

 

12,035,515

 

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

 

 

9,000

 

 

9,930,420

 

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

 

 

14,625

 

 

16,041,985

 

 

 

 

 

 

 

129,520,799

 

Education — 11.4%

 

 

 

 

 

 

 

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

 

 

10,395

 

 

11,658,096

 

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

 

 

13,095

 

 

14,307,663

 

Mount Diablo California Uniform School District, GO,
Election of 2002, 5.00%, 6/01/31

 

 

4,000

 

 

4,190,240

 

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

 

 

8,630

 

 

9,643,594

 

University of California, RB:

 

 

 

 

 

 

 

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

 

 

2,600

 

 

2,774,200

 

Series O, 5.75%, 5/15/34

 

 

12,300

 

 

14,472,795

 

 

 

 

 

 

 

57,046,588

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (e)

 

 

Par
(000)

 

 

Value

 

California (concluded)

 

 

 

 

 

 

 

Utilities — 26.8%

 

 

 

 

 

 

 

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

 

$

7,000

 

$

8,150,030

 

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

 

 

3,000

 

 

3,222,900

 

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

 

 

3,000

 

 

3,320,460

 

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

 

 

18,002

 

 

19,585,425

 

Los Angeles Department of Water & Power, RB:

 

 

 

 

 

 

 

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

 

 

15,998

 

 

17,237,384

 

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

 

 

2,000

 

 

2,135,220

 

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

 

 

11,180

 

 

12,301,689

 

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

 

 

14,700

 

 

15,843,219

 

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

 

 

10,480

 

 

11,586,688

 

San Diego County Water Authority, COP, Refunding,
Series 2008-A (AGM), 5.00%, 5/01/33

 

 

14,290

 

 

15,458,207

 

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

 

 

12,457

 

 

13,976,831

 

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

 

 

10,625

 

 

11,866,210

 

 

 

 

 

 

 

134,684,263

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 64.0%

 

 

 

 

 

321,251,650

 

 

 

 

 

 

 

 

 

Total Long-Term Investments
(Cost — $739,022,289) — 162.1%

 

 

 

 

 

813,330,475

 


 

 

 

 

 

 

 

 

 


Short-Term Securities

 

Shares

 

 

 

 

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

 

 

5,547,758

 

 

5,547,758

 

Total Short-Term Securities
(Cost — $5,547,758) — 1.1%

 

 

 

 

 

5,547,758

 

Total Investments (Cost — $744,570,047) — 163.2%

 

 

 

 

 

818,878,233

 

Other Assets Less Liabilities — 1.5%

 

 

 

 

 

7,623,578

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (30.6)%

 

 

 

 

 

(153,464,491

)

AMPS, at Redemption Value — (34.1)%

 

 

 

 

 

(171,327,859

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

501,709,461

 

 

 

 

 

 

 

 

 


 

 

(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.


See Notes to Financial Statements.

 

 

 

 

 

 

16

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock California Municipal Income Trust (BFZ)


 

 

(c)

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.

 

 

(d)

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.

 

 

(e)

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.

 

 

(f)

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 July 31,
2011

 

Net
Activity

 

Shares Held
at January 31,
2012

 

Income

 

BIF California Municipal
Money Fund

 

 

2,720,243

 

 

2,827,515

 

 

5,547,758

 

$

163

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

(g)

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.

 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

60

 

10-Year US
Treasury
Note

 

Chicago
Board of
Trade

 

March
2012

 

$

7,935,000

 

$

(105,114

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement 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 and derivative financial instruments)

 

 

 

 

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 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 January 31, 2012 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

 

 

 

$

813,330,475

 

 

 

$

813,330,475

 

Short-Term
Securities

 

$

5,547,758

 

 

 

 

 

 

5,547,758

 

Total

 

$

5,547,758

 

$

813,330,475

 

 

 

$

818,878,233

 


 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(105,114

)

 

 

 

 

$

(105,114

)


 

 

2

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


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

17




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock Florida Municipal 2020 Term Trust (BFO)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida — 143.5%

 

 

 

 

 

 

 

Corporate — 11.1%

 

 

 

 

 

 

 

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

 

$

4,000

 

$

4,088,000

 

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

 

 

 

 

 

 

 

5.50%, 10/01/23

 

 

1,955

 

 

2,008,059

 

Series A, 5.65%, 5/15/18

 

 

1,000

 

 

1,162,310

 

Palm Beach County Solid Waste Authority, Refunding RB,
5.00%, 10/01/20

 

 

2,000

 

 

2,460,360

 

 

 

 

 

 

 

9,718,729

 

County/City/Special District/School District — 64.4%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,317,280

 

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

 

 

2,500

 

 

2,825,275

 

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

 

 

5,545

 

 

6,285,480

 

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

 

 

7,560

 

 

2,296,123

 

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

 

 

 

 

 

 

 

5.33%, 10/01/19

 

 

5,365

 

 

3,617,351

 

5.31%, 10/01/20

 

 

10,000

 

 

6,377,200

 

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

 

 

2,200

 

 

2,279,288

 

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

 

 

485

 

 

603,854

 

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

 

 

1,000

 

 

1,027,090

 

Miami-Dade County Educational Facilities Authority
Florida, RB, University of Miami, Series A (AMBAC),
5.00%, 4/01/14 (b)

 

 

1,000

 

 

1,096,160

 

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

 

 

4,000

 

 

4,631,920

 

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

 

 

915,050

 

5.00%, 8/01/31

 

 

1,000

 

 

893,350

 

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

 

 

6,500

 

 

6,612,450

 

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

 

 

3,705

 

 

3,428,829

 

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

 

 

2,425

 

 

1,888,954

 

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

 

 

1,150

 

 

490,452

 

Village Center Community Development District, RB:

 

 

 

 

 

 

 

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

 

 

5,000

 

 

5,102,100

 

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

 

 

2,000

 

 

2,031,860

 

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

 

 

1,075

 

 

1,101,821

 

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

 

 

980

 

 

683,148

 

 

 

 

 

 

 

56,505,035

 

Education — 1.6%

 

 

 

 

 

 

 

Florida State Board of Governors, Refunding RB,
University of Central Florida, Series A, 5.00%, 7/01/18

 

 

500

 

 

593,210

 

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

 

 

725

 

 

826,906

 

 

 

 

 

 

 

1,420,116

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida (concluded)

 

 

 

 

 

 

 

Health — 12.0%

 

 

 

 

 

 

 

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

 

$

2,155

 

$

2,575,139

 

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

 

 

1,500

 

 

1,654,905

 

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

 

 

1,500

 

 

1,605,915

 

Orange County Health Facilities Authority, RB, Hospital,
Adventist Health System, 5.63%, 11/15/12 (b)

 

 

3,000

 

 

3,150,510

 

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

 

 

1,285

 

 

1,531,746

 

 

 

 

 

 

 

10,518,215

 

Housing — 2.5%

 

 

 

 

 

 

 

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

 

 

980

 

 

1,013,055

 

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

 

 

505

 

 

547,531

 

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

 

 

575

 

 

645,570

 

 

 

 

 

 

 

2,206,156

 

State — 19.0%

 

 

 

 

 

 

 

Florida Municipal Loan Council, RB:

 

 

 

 

 

 

 

CAB, Series A (NPFGC), 5.23%, 4/01/20 (a)

 

 

4,000

 

 

2,893,000

 

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

 

 

1,050

 

 

1,257,984

 

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

 

 

1,105

 

 

1,244,142

 

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

 

 

500

 

 

562,530

 

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

 

 

6,150

 

 

6,519,492

 

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

 

 

500

 

 

532,715

 

Florida State Department of Environmental Protection,
Refunding RB, Series A, 5.00%, 7/01/20

 

 

3,000

 

 

3,640,860

 

 

 

 

 

 

 

16,650,723

 

Transportation — 11.2%

 

 

 

 

 

 

 

Broward County Florida Port Facilities Revenue,
Refunding RB, Series B, AMT, 5.00%, 9/01/20

 

 

2,500

 

 

2,794,950

 

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

 

 

 

 

 

 

 

5.00%, 10/01/20

 

 

2,250

 

 

2,419,335

 

5.00%, 10/01/22

 

 

3,000

 

 

3,200,850

 

Greater Orlando Aviation Authority, Refunding RB,
Series C, 5.00%, 10/01/20

 

 

1,130

 

 

1,378,080

 

 

 

 

 

 

 

9,793,215

 

Utilities — 21.7%

 

 

 

 

 

 

 

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

 

 

1,095

 

 

1,138,647

 

City of Lakeland Florida, Refunding RB, 5.00%,
10/01/12 (b)

 

 

1,000

 

 

1,031,960

 

City of Marco Island Florida, RB (NPFGC):

 

 

 

 

 

 

 

5.25%, 10/01/13 (b)

 

 

1,000

 

 

1,081,180

 

5.00%, 10/01/22

 

 

2,000

 

 

2,134,280

 

5.00%, 10/01/23

 

 

1,375

 

 

1,456,001

 

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

 

 

4,000

 

 

4,961,360

 

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

 

 

 

 

 

 

 

5.00%, 10/01/22

 

 

1,975

 

 

2,111,018

 

5.00%, 10/01/23

 

 

1,180

 

 

1,260,240

 

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

 

 

3,630

 

 

3,876,840

 

 

 

 

 

 

 

19,051,526

 

Total Municipal Bonds in Florida

 

 

 

 

 

125,863,715

 


See Notes to Financial Statements.

 

 

 

 

 

 

18

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (concluded)

BlackRock Florida Municipal 2020 Term Trust (BFO)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Puerto Rico — 1.9%

 

 

 

 

 

 

 

State — 1.9%

 

 

 

 

 

 

 

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

 

$

1,000

 

$

1,181,870

 

Puerto Rico Sales Tax Financing Corp., RB, Sales Tax
Revenue, Series C, 5.00%, 8/01/22

 

 

415

 

 

500,262

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

1,682,132

 

 

 

 

 

 

 

 

 

US Virgin Islands — 1.1%

 

 

 

 

 

 

 

Corporate — 1.1%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,000,220

 

Total Municipal Bonds — 146.5%

 

 

 

 

 

128,546,067

 

 


Municipal Bonds Transferred to
Tender Option Bond Trusts (c)

 

 

 

 

 

 

 

Florida — 0.9%

 

 

 

 

 

 

 

Housing — 0.9%

 

 

 

 

 

 

 

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

 

 

720

 

 

769,586

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 0.9%

 

 

 

 

 

769,586

 

Total Long-Term Investments
(Cost — $124,823,952) — 147.4%

 

 

 

 

 

129,315,653

 

 

 


Short-Term Securities

 

Shares

 

 

 

 

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

 

 

774,142

 

 

774,142

 

Total Short-Term Securities
(Cost — $774,142) — 0.9%

 

 

 

 

 

774,142

 

Total Investments (Cost — $125,598,094) — 148.3%

 

 

 

 

 

130,089,795

 

Other Assets Less Liabilities — 1.1%

 

 

 

 

 

1,000,415

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (0.5)%

 

 

 

 

 

(480,453

)

AMPS, at Redemption Value — (48.9)%

 

 

 

 

 

(42,900,310

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

87,709,447

 

 

 

 

 

 

 

 

 


 

 

(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 period, 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,
2011

 

Net
Activity

 

Shares Held
at January 31,
2012

 

Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BIF Florida Municipal
Money Fund

 

 

1,843,816

 

 

(1,069,674

)

 

774,142

 

 

 


 

 

(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 into a disclosure hierarchy consisting of three broad levels for financial statement 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 Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of January 31, 2012 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

129,315,653

 

 

 

$

129,315,653

 

Short-Term
Securities

 

$

774,142

 

 

 

 

 

 

774,142

 

Total

 

$

774,142

 

$

129,315,653

 

 

 

$

130,089,795

 


 

 

1

See above Schedule of Investments for values in each sector.


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

19




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock Investment Quality Municipal Income Trust (RFA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 0.3%

 

 

 

 

 

 

 

Selma Industrial Development Board, RB, International
Paper Co., Series A, 5.38%, 12/01/35

 

$

40

 

$

41,815

 

Alaska — 0.3%

 

 

 

 

 

 

 

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

 

 

50

 

 

36,804

 

California — 8.3%

 

 

 

 

 

 

 

California Health Facilities Financing Authority, RB:

 

 

 

 

 

 

 

Series A, 5.00%, 11/15/40 (a)

 

 

25

 

 

26,860

 

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

 

 

120

 

 

138,245

 

California Health Facilities Financing Authority,
Refunding RB, Catholic Healthcare West, Series A,
6.00%, 7/01/39

 

 

130

 

 

147,879

 

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

 

 

200

 

 

224,942

 

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

 

 

200

 

 

221,772

 

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

 

 

240

 

 

267,331

 

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

 

 

185

 

 

219,747

 

 

 

 

 

 

 

1,246,776

 

Colorado — 1.1%

 

 

 

 

 

 

 

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

 

 

155

 

 

171,570

 

Delaware — 1.2%

 

 

 

 

 

 

 

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

 

 

175

 

 

181,429

 

Florida — 6.8%

 

 

 

 

 

 

 

County of Lee Florida, Refunding ARB, Series A, AMT,
5.38%, 10/01/32

 

 

150

 

 

162,018

 

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

 

 

145

 

 

162,796

 

Orange County Health Facilities Authority, RB, 5.00%,
1/01/29

 

 

115

 

 

126,328

 

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

 

 

450

 

 

438,620

 

Village Community Development District No. 9, RB,
5.25%, 5/01/31 (a)

 

 

130

 

 

131,427

 

 

 

 

 

 

 

1,021,189

 

Illinois — 11.1%

 

 

 

 

 

 

 

City of Chicago Illinois, Board of Education, GO,
Series A, 5.50%, 12/01/39

 

 

200

 

 

226,616

 

City of Chicago Illinois, RB, Series A, 5.25%, 1/01/38

 

 

55

 

 

62,021

 

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

 

 

445

 

 

537,756

 

City of Chicago Illinois Transit Authority, RB, Sales Tax
Receipts, 5.25%, 12/01/36

 

 

45

 

 

50,310

 

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

 

 

75

 

 

79,583

 

Illinois Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

Carle Foundation, 6.00%, 8/15/41

 

 

250

 

 

272,540

 

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

 

 

250

 

 

287,522

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

100

 

 

114,092

 

6.00%, 6/01/28

 

 

30

 

 

33,640

 

 

 

 

 

 

 

1,664,080

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Indiana — 5.4%

 

 

 

 

 

 

 

Indiana Finance Authority WasteWater Utility, RB, First
Lien, Series A, 5.25%, 10/01/31

 

$

200

 

$

230,792

 

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

 

 

335

 

 

382,067

 

Indianapolis Local Public Improvement Bond Bank, RB,
5.00%, 6/01/25

 

 

170

 

 

195,789

 

 

 

 

 

 

 

808,648

 

Iowa — 0.2%

 

 

 

 

 

 

 

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

 

 

40

 

 

30,022

 

Kansas — 1.9%

 

 

 

 

 

 

 

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

 

 

250

 

 

289,350

 

Kentucky — 4.0%

 

 

 

 

 

 

 

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

 

 

100

 

 

110,416

 

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

 

 

215

 

 

230,740

 

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

 

 

220

 

 

256,597

 

 

 

 

 

 

 

597,753

 

Louisiana — 0.7%

 

 

 

 

 

 

 

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

 

 

100

 

 

109,212

 

Maine — 1.5%

 

 

 

 

 

 

 

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

 

 

190

 

 

217,628

 

Massachusetts — 7.0%

 

 

 

 

 

 

 

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

 

 

125

 

 

143,846

 

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

 

 

220

 

 

229,691

 

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

 

 

250

 

 

262,365

 

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

 

 

120

 

 

126,138

 

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

 

 

250

 

 

281,418

 

 

 

 

 

 

 

1,043,458

 

Michigan — 5.6%

 

 

 

 

 

 

 

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

 

 

130

 

 

150,927

 

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

 

 

250

 

 

285,928

 

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

 

 

325

 

 

401,901

 

 

 

 

 

 

 

838,756

 

Nevada — 5.2%

 

 

 

 

 

 

 

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

 

 

250

 

 

291,712

 

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

 

 

440

 

 

493,698

 

 

 

 

 

 

 

785,410

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

20

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

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 — 6.6%

 

 

 

 

 

 

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

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

 

$

175

 

$

192,549

 

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

 

 

250

 

 

284,845

 

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

 

 

165

 

 

176,989

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System:

 

 

 

 

 

 

 

5.25%, 6/15/36

 

 

100

 

 

112,515

 

Series A, 5.88%, 12/15/38

 

 

190

 

 

218,093

 

 

 

 

 

 

 

984,991

 

New York — 7.0%

 

 

 

 

 

 

 

Hudson New York Yards Infrastructure Corp., RB,
5.75%, 2/15/47

 

 

40

 

 

45,200

 

New York City Transitional Finance Authority, RB:

 

 

 

 

 

 

 

Building Aid, Sub-Series 1A, 5.25%, 7/15/37

 

 

150

 

 

169,941

 

Fiscal 2009, Series S-3, 5.25%, 1/15/39

 

 

250

 

 

276,472

 

Sub-Series S-2A, 5.00%, 7/15/30

 

 

185

 

 

213,697

 

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

 

 

85

 

 

92,013

 

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

 

 

225

 

 

256,849

 

 

 

 

 

 

 

1,054,172

 

Pennsylvania — 8.1%

 

 

 

 

 

 

 

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

 

 

300

 

 

348,456

 

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

 

 

200

 

 

217,266

 

Pennsylvania Turnpike Commission, RB:

 

 

 

 

 

 

 

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

 

 

350

 

 

390,457

 

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

 

 

215

 

 

255,867

 

 

 

 

 

 

 

1,212,046

 

Texas — 10.6%

 

 

 

 

 

 

 

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

 

 

240

 

 

257,086

 

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

 

 

140

 

 

170,423

 

Harris County Cultural Education Facilities Finance
Corp., RB, 5.25%, 10/01/29

 

 

100

 

 

114,347

 

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

 

 

250

 

 

300,597

 

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

 

 

250

 

 

289,080

 

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

 

 

280

 

 

318,212

 

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

 

 

125

 

 

139,039

 

 

 

 

 

 

 

1,588,784

 

Virginia — 2.0%

 

 

 

 

 

 

 

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

 

 

250

 

 

295,717

 

Total Municipal Bonds — 94.9%

 

 

 

 

 

14,219,610

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

California — 19.8%

 

 

 

 

 

 

 

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

 

$

300

 

$

336,453

 

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

 

 

300

 

 

327,993

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

390

 

 

446,901

 

Series A, 6.00%, 8/01/33

 

 

700

 

 

841,293

 

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

 

 

60

 

 

65,997

 

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

 

 

615

 

 

707,543

 

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

 

 

210

 

 

247,096

 

 

 

 

 

 

 

2,973,276

 

District of Columbia — 3.8%

 

 

 

 

 

 

 

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

 

 

195

 

 

235,759

 

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

 

 

300

 

 

339,746

 

 

 

 

 

 

 

575,505

 

Florida — 3.6%

 

 

 

 

 

 

 

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

 

 

280

 

 

296,038

 

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

 

 

225

 

 

240,496

 

 

 

 

 

 

 

536,534

 

Illinois — 5.0%

 

 

 

 

 

 

 

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

 

 

400

 

 

476,128

 

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

 

 

250

 

 

275,199

 

 

 

 

 

 

 

751,327

 

Massachusetts — 1.7%

 

 

 

 

 

 

 

Massachusetts School Building Authority, RB, Senior,
Series B, 5.00%, 10/15/41

 

 

220

 

 

249,465

 

Nevada — 3.9%

 

 

 

 

 

 

 

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

 

 

500

 

 

585,040

 

New Hampshire — 1.2%

 

 

 

 

 

 

 

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

 

 

165

 

 

188,719

 

New Jersey — 2.2%

 

 

 

 

 

 

 

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

 

 

300

 

 

325,677

 

New York — 9.9%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

240

 

 

280,377

 

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

 

 

255

 

 

293,526

 

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

 

 

315

 

 

357,850

 

New York Liberty Development Corp., Refunding RB,
4 World Trade Center Project, 5.75%, 11/15/51

 

 

190

 

 

216,207

 

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

 

 

300

 

 

335,841

 

 

 

 

 

 

 

1,483,801

 

Ohio — 1.6%

 

 

 

 

 

 

 

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

 

 

230

 

 

244,821

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

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

 

Puerto Rico — 1.0%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Series C,
5.25%, 8/01/40

 

$

130

 

$

144,366

 

South Carolina — 3.9%

 

 

 

 

 

 

 

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

 

 

510

 

 

579,880

 

Texas — 5.3%

 

 

 

 

 

 

 

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

 

 

300

 

 

347,185

 

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

 

 

400

 

 

447,092

 

 

 

 

 

 

 

794,277

 

Virginia — 1.0%

 

 

 

 

 

 

 

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

 

 

130

 

 

145,347

 

Wisconsin — 1.7%

 

 

 

 

 

 

 

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

 

 

240

 

 

255,386

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 65.6%

 

 

 

 

 

9,833,421

 

Total Long-Term Investments
(Cost — $21,565,570) — 160.5%

 

 

 

 

 

24,053,031

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

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

 

 

390,265

 

 

390,265

 

Total Short-Term Securities
(Cost — $390,265) — 2.6%

 

 

 

 

 

390,265

 

Total Investments (Cost — $21,955,835) — 163.1%

 

 

 

 

 

24,443,296

 

Other Assets Less Liabilities — 0.3%

 

 

 

 

 

47,801

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (32.9)%

 

 

 

 

 

(4,930,802

)

AMPS, at Redemption Value — (30.5)%

 

 

 

 

 

(4,575,076

)

Net Assets Applicable to Common Stocks — 100.0%

 

 

 

 

$

14,985,219

 


 

 

 

(a)

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


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

JPMorgan Chase Bank NA

 

$

26,860

 

 

$

270

 

 

Citigroup Global Markets, Inc.

 

$

131,427

 

 

$

1,427

 

 


 

 

(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 period, 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,
2011

 

Net
Activity

 

Shares Held
at January 31,
2011

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

 

302,911

 

 

 

 

87,354

 

 

 

 

390,265

 

 

 

$

17

 

 


 

 

(d)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

 

Notional
Value

 

 

Unrealized
Depreciation

5

 

10-Year US
Treasury
Note

 

Chicago
Board of
Trade

 

March 2012

 

$

661,250

 

$

(8,760)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement 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 and derivative financial instruments)

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 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 January 31, 2012 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

 

 

 

$

24,053,031

 

 

 

$

24,053,031

 

Short-Term
Securities

 

$

390,265

 

 

 

 

 

 

390,265

 

Total

 

$

390,265

 

$

24,053,031

 

 

 

$

24,443,296

 


 

 

 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(8,760

)

 

 

 

 

$

(8,760

)


 

 

 

 

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

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 0.3%

 

 

 

 

 

 

 

Selma Industrial Development Board, RB, International
Paper Company Project, 5.38%, 12/01/35

 

$

275

 

$

287,480

 

Alaska — 0.2%

 

 

 

 

 

 

 

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

 

 

330

 

 

242,903

 

California — 9.8%

 

 

 

 

 

 

 

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

 

 

1,315

 

 

1,478,994

 

California Health Facilities Financing Authority, RB,
Scripps Health, Series A, 5.00%, 11/15/40 (a)

 

 

170

 

 

182,650

 

California Health Facilities Financing Authority,
Refunding RB, Catholic Healthcare West, Series A,
6.00%, 7/01/39

 

 

890

 

 

1,012,402

 

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

 

 

1,910

 

 

2,046,488

 

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

 

 

1,750

 

 

1,940,505

 

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

 

 

1,600

 

 

1,782,208

 

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

 

 

1,275

 

 

1,514,470

 

 

 

 

 

 

 

9,957,717

 

Colorado — 1.2%

 

 

 

 

 

 

 

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

 

 

1,095

 

 

1,212,056

 

Delaware — 1.2%

 

 

 

 

 

 

 

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

 

 

1,230

 

 

1,275,190

 

District of Columbia — 1.1%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,171,140

 

Florida — 4.1%

 

 

 

 

 

 

 

Orange County Health Facilities Authority, RB, The
Nemours Foundation Project, Series A, 5.00%,
1/01/29

 

 

780

 

 

856,830

 

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

 

 

1,795

 

 

1,749,605

 

Village Community Development District No. 9, RB,
Special Assessment, Series 2012, 5.25%, 5/01/31 (a)

 

 

895

 

 

904,827

 

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

 

 

980

 

 

683,148

 

 

 

 

 

 

 

4,194,410

 

Georgia — 1.9%

 

 

 

 

 

 

 

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

 

 

1,565

 

 

1,899,206

 

Illinois — 16.2%

 

 

 

 

 

 

 

Chicago Board of Education, GO, Series A:

 

 

 

 

 

 

 

5.50%, 12/01/39

 

 

1,000

 

 

1,133,080

 

5.00%, 12/01/41

 

 

1,640

 

 

1,755,768

 

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

 

 

975

 

 

1,075,620

 

Chicago Transit Authority, RB:

 

 

 

 

 

 

 

Sales Tax Receipts, Series 2011, 5.25%, 12/01/31

 

 

1,060

 

 

1,213,160

 

Sales Tax Revenue, Series 2011, 5.25%, 12/01/36

 

 

310

 

 

346,580

 

City of Chicago Illinois, RB, Sales Tax Receipts, Series
2011 A, 5.25%, 1/01/38

 

 

385

 

 

434,149

 

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

 

 

2,955

 

 

3,570,940

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

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

 

$

510

 

$

541,161

 

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

 

 

1,600

 

 

1,993,776

 

Illinois Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

Carle Foundation, 6.00%, 8/15/41

 

 

1,000

 

 

1,090,160

 

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

 

 

1,900

 

 

2,185,171

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

690

 

 

787,235

 

6.00%, 6/01/28

 

 

195

 

 

218,657

 

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

 

 

125

 

 

138,416

 

 

 

 

 

 

 

16,483,873

 

Indiana — 5.4%

 

 

 

 

 

 

 

Indiana Finance Authority Waste Water Utility, RB, First
Lien, CWA Authority Project, Series A, 5.25%, 10/01/31

 

 

1,445

 

 

1,667,472

 

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

 

 

2,210

 

 

2,520,505

 

Indianapolis Local Public Improvement Bond Bank, RB,
Series K (AGM), 5.00%, 6/01/25

 

 

1,140

 

 

1,312,938

 

 

 

 

 

 

 

5,500,915

 

Iowa — 0.2%

 

 

 

 

 

 

 

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

 

 

270

 

 

202,646

 

Kansas — 1.8%

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,851,840

 

Kentucky — 4.0%

 

 

 

 

 

 

 

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

 

 

660

 

 

728,746

 

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

 

 

1,500

 

 

1,749,525

 

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

 

 

1,450

 

 

1,556,154

 

 

 

 

 

 

 

4,034,425

 

Louisiana — 0.8%

 

 

 

 

 

 

 

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

 

 

715

 

 

780,866

 

Maine — 1.4%

 

 

 

 

 

 

 

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

 

 

1,270

 

 

1,454,671

 

Massachusetts — 2.0%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,174,430

 

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

 

 

750

 

 

844,252

 

 

 

 

 

 

 

2,018,682

 

Michigan — 3.4%

 

 

 

 

 

 

 

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

 

 

915

 

 

1,062,297

 

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

 

 

1,000

 

 

1,143,710

 

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

 

 

995

 

 

1,230,437

 

 

 

 

 

 

 

3,436,444

 


See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

23




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Nevada — 5.2%

 

 

 

 

 

 

 

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

 

$

1,600

 

$

1,866,960

 

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

 

 

3,075

 

 

3,450,273

 

 

 

 

 

 

 

5,317,233

 

New Jersey — 5.6%

 

 

 

 

 

 

 

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

 

 

1,165

 

 

1,249,649

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System:

 

 

 

 

 

 

 

Series A, 5.88%, 12/15/38

 

 

1,295

 

 

1,486,479

 

Series A, 5.50%, 6/15/41

 

 

1,000

 

 

1,147,390

 

Series B, 5.25%, 6/15/36

 

 

1,650

 

 

1,856,497

 

 

 

 

 

 

 

5,740,015

 

New York — 10.9%

 

 

 

 

 

 

 

Hudson New York Yards Infrastructure Corp., RB, Series A,
5.75%, 2/15/47

 

 

1,000

 

 

1,130,010

 

New York City Transitional Finance Authority, RB,
Building Aid:

 

 

 

 

 

 

 

Fiscal 2009, Series S-3, 5.25%, 1/15/39

 

 

1,500

 

 

1,658,835

 

Fiscal 2012, Sub-Series S-1A, 5.25%, 7/15/37

 

 

2,000

 

 

2,265,880

 

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

 

 

605

 

 

654,913

 

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

 

 

3,250

 

 

3,638,277

 

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

 

 

1,510

 

 

1,723,740

 

 

 

 

 

 

 

11,071,655

 

Pennsylvania — 5.4%

 

 

 

 

 

 

 

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

 

 

500

 

 

580,760

 

Pennsylvania Turnpike Commission, RB, Sub-Series A:

 

 

 

 

 

 

 

5.63%, 12/01/31

 

 

1,500

 

 

1,717,020

 

6.00%, 12/01/41

 

 

1,500

 

 

1,673,385

 

Philadelphia Hospitals & Higher Education Facilities
Authority, RB, Children’s Hospital of Philadelphia
Project, Series D, 5.00%, 7/01/32

 

 

1,375

 

 

1,522,922

 

 

 

 

 

 

 

5,494,087

 

Puerto Rico — 2.9%

 

 

 

 

 

 

 

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

 

 

2,605

 

 

2,915,776

 

Texas — 13.1%

 

 

 

 

 

 

 

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

 

 

1,670

 

 

1,788,887

 

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

 

 

890

 

 

1,083,406

 

Harris County Cultural Education Facilities Finance
Corp., RB, Texas Children’s Hospital Project, 5.25%,
10/01/29

 

 

640

 

 

731,821

 

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

 

 

500

 

 

601,195

 

Lower Colorado River Authority, RB:

 

 

 

 

 

 

 

5.50%, 5/15/19 (b)

 

 

5

 

 

6,489

 

5.50%, 5/15/19 (b)

 

 

80

 

 

103,370

 

5.50%, 5/15/33

 

 

1,915

 

 

2,171,265

 

North Texas Tollway Authority, RB:

 

 

 

 

 

 

 

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

 

 

1,670

 

 

1,931,054

 

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

 

 

1,000

 

 

1,123,410

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

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

 

$

1,905

 

$

2,164,975

 

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

 

 

1,505

 

 

1,674,027

 

 

 

 

 

 

 

13,379,899

 

Virginia — 1.2%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,182,870

 

Total Municipal Bonds — 99.3%

 

 

 

 

 

101,105,999

 

 


Municipal Bonds Transferred to
Tender Option Bond Trusts (c)

 

 

 

 

 

 

 

California — 19.3%

 

 

 

 

 

 

 

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

 

 

1,995

 

 

2,237,412

 

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

 

 

2,400

 

 

2,623,944

 

Los Angeles Community College District California, GO,
Election of 2008:

 

 

 

 

 

 

 

Series A, 6.00%, 8/01/33

 

 

3,898

 

 

4,687,201

 

Series C, 5.25%, 8/01/39

 

 

2,630

 

 

3,013,717

 

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

 

 

400

 

 

439,980

 

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

 

 

4,214

 

 

4,849,261

 

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

 

 

1,500

 

 

1,764,975

 

 

 

 

 

 

 

19,616,490

 

District of Columbia — 3.7%

 

 

 

 

 

 

 

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

 

 

1,395

 

 

1,686,583

 

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

 

 

1,799

 

 

2,038,475

 

 

 

 

 

 

 

3,725,058

 

Illinois — 3.3%

 

 

 

 

 

 

 

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

 

 

2,800

 

 

3,332,896

 

Massachusetts — 1.6%

 

 

 

 

 

 

 

Massachusetts State School Building Authority, RB,
Dedicated Sales Tax, Senior, Series B, 5.00%,
10/15/41

 

 

1,490

 

 

1,689,556

 

Nevada — 5.2%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO:

 

 

 

 

 

 

 

Limited Tax, 6.00%, 7/01/38

 

 

2,500

 

 

2,925,200

 

Series B, 5.50%, 7/01/29

 

 

1,994

 

 

2,345,510

 

 

 

 

 

 

 

5,270,710

 

New Hampshire — 1.2%

 

 

 

 

 

 

 

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

 

 

1,094

 

 

1,252,406

 

New Jersey — 2.1%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,171,180

 

New York — 10.0%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

1,410

 

 

1,647,217

 

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

 

 

1,994

 

 

2,296,410

 

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

 

 

2,205

 

 

2,504,946

 


See Notes to Financial Statements.

 

 

 

 

 

 

24

SEMI-ANNUAL REPORT

JANUARY 31, 2012




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)

 

Par
(000)

 

Value

 

New York (concluded)

 

 

 

 

 

 

 

New York Liberty Development Corp., Refunding RB,
4 World Trade Center Project, 5.75%, 11/15/51

 

$

1,300

 

$

1,479,309

 

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

 

 

2,000

 

 

2,238,940

 

 

 

 

 

 

 

10,166,822

 

Ohio — 1.6%

 

 

 

 

 

 

 

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

 

 

1,560

 

 

1,660,526

 

Puerto Rico — 1.0%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, Sales Tax,
Senior Series 2011 C, 5.25%, 8/01/40

 

 

880

 

 

977,249

 

South Carolina — 2.0%

 

 

 

 

 

 

 

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

 

 

1,755

 

 

1,995,470

 

Texas — 5.3%

 

 

 

 

 

 

 

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

 

 

2,025

 

 

2,343,497

 

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

 

 

2,750

 

 

3,073,758

 

 

 

 

 

 

 

5,417,255

 

Virginia — 1.0%

 

 

 

 

 

 

 

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

 

 

899

 

 

1,006,246

 

Wisconsin — 1.7%

 

 

 

 

 

 

 

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

 

 

1,680

 

 

1,787,702

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 59.0%

 

 

 

 

 

60,069,566

 

Total Long-Term Investments
(Cost — $144,789,003) — 158.3%

 

 

 

 

 

161,175,565

 

 


Short-Term Securities

 

Shares

 

 

 

 

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

 

 

3,319,178

 

 

3,319,178

 

Total Short-Term Securities
(Cost — $3,319,178) — 3.3%

 

 

 

 

 

3,319,178

 

Total Investments (Cost — $148,108,131) — 161.6%

 

 

 

 

 

164,494,743

 

Other Assets Less Liabilities — 1.6%

 

 

 

 

 

1,655,272

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (29.7)%

 

 

 

 

 

(30,189,135

)

VRDP Shares, at Liquidation Value — (33.6)%

 

 

 

 

 

(34,200,000

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

101,760,880

 


 

 


(a)


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


 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

JPMorgan Securities

 

$

182,650

 

$

1,838

 

Citigroup Global Markets

 

$

904,827

 

$

9,827

 


 

 

(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 period, 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,
2011

 

Net
Activity

 

Shares Held
at January 31,
2011

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

2,119,108

 

 

1,200,070

 

 

3,319,178

 

$

431

 


 

 

(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.

 

 

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

34

 

10-Year US
Treasury
Note

 

Chicago
Board of
Trade

 

March
2012

 

$

4,496,500

 

$

(59,565

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement 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 and derivative financial instruments)

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 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.

See Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

SEMI-ANNUAL REPORT

JANUARY 31, 2012

25




 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Investment Trust (BBF)

The following tables summarize the inputs used as of January 31, 2012 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

 

 

 

$

161,175,565

 

 

 

$

161,175,565

 

Short-Term
Securities

 

$

3,319,178

 

 

 

 

 

 

3,319,178

 

Total

 

$

3,319,178

 

$

161,175,565

 

 

 

$

164,494,743

 


 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1