UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-21180

 

Name of Fund: BlackRock Municipal Income Investment Quality Trust (BAF)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 08/31/2012

 

Date of reporting period: 05/31/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments May 31, 2012 (Unaudited)

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 1.9%

 

 

 

 

 

 

 

Birmingham Special Care Facilities
Financing Authority, RB, Children’s
Hospital (AGC):

 

 

 

 

 

 

 

6.13%, 6/01/34

 

$

1,000

 

$

1,157,690

 

6.00%, 6/01/39

 

 

1,000

 

 

1,154,430

 

Selma IDB, RB, International Paper Co.
Project, Series A, 5.38%, 12/01/35

 

 

335

 

 

359,197

 

 

 

 

 

 

 

2,671,317

 

Arizona — 2.5%

 

 

 

 

 

 

 

Arizona Board of Regents, Refunding COP,
University of Arizona, Series C (a):

 

 

 

 

 

 

 

5.00%, 6/01/28

 

 

250

 

 

282,312

 

5.00%, 6/01/29

 

 

1,400

 

 

1,570,884

 

Arizona Board of Regents, Refunding
RB, University of Arizona System
Revenue Bonds, Series A, 5.00%,
6/01/42

 

 

500

 

 

562,825

 

Arizona Board of Regents, Tax Exempt
Refunding RB, Arizona State
University System Revenue, Series A,
5.00%, 7/01/30

 

 

925

 

 

1,077,912

 

 

 

 

 

 

 

3,493,933

 

California — 17.9%

 

 

 

 

 

 

 

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

 

 

2,155

 

 

2,501,933

 

California Health Facilities Financing
Authority, RB:

 

 

 

 

 

 

 

Stanford Hospital & Clinics,
Series A, 5.00%, 8/15/42

 

 

1,095

 

 

1,207,194

 

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

 

 

1,120

 

 

1,324,277

 

California State, GO, Tax Exempt,
Refunding Various Purpose,
5.00%, 9/01/41

 

 

3,270

 

 

3,507,467

 

California Statewide Communities
Development Authority, RB, Kaiser
Permanente, Series A, 5.00%, 4/01/42

 

 

925

 

 

999,546

 

County of Sacramento California, RB,
Senior Series A (AGC), 5.50%,
7/01/41

 

 

1,400

 

 

1,557,864

 

Los Angeles Community College District
California, GO:

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,109,490

 

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

 

 

500

 

 

577,795

 

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

 

 

1,175

 

 

1,363,200

 

Los Angeles Municipal Improvement
Corp., Refunding RB, Real Property,
Series B (AGC), 5.50%, 4/01/39

 

 

3,210

 

 

3,559,986

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

Redondo Beach Unified School District,
GO, Election of 2008, Series E,
5.50%, 8/01/34

 

$

1,000

 

$

1,169,300

 

San Bernardino Community College
District, GO, Election of 2002, Series
A, 6.25%, 8/01/33

 

 

925

 

 

1,100,510

 

San Diego Public Facilities Financing
Authority, Refunding RB, Series B
(AGC), 5.38%, 8/01/34

 

 

1,125

 

 

1,303,965

 

San Jacinto Unified School District, GO,
Election of 2006 (AGM), 5.25%,
8/01/32

 

 

1,000

 

 

1,087,920

 

State of California, Refunding RB,
Various Purpose, 5.25%, 2/01/30

 

 

2,500

 

 

2,871,550

 

 

 

 

 

 

 

25,241,997

 

Colorado — 1.2%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, RB,
Hospital, NCMC Inc. Project, Series B
(AGM), 6.00%, 5/15/26

 

 

1,425

 

 

1,672,608

 

Florida — 9.9%

 

 

 

 

 

 

 

City of Jacksonville Florida, RB:

 

 

 

 

 

 

 

Better Jacksonville (NPFGC), 5.00%,
10/01/27

 

 

3,940

 

 

4,121,279

 

Series A, 5.25%, 10/01/31

 

 

4,525

 

 

5,220,764

 

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

 

 

1,070

 

 

1,188,856

 

Palm Beach County Florida School
Board, Refunding COP, Series A,
5.00%, 8/01/28

 

 

3,000

 

 

3,393,000

 

 

 

 

 

 

 

13,923,899

 

Georgia — 2.2%

 

 

 

 

 

 

 

City of Atlanta Georgia, Refunding RB,
General, Series C, 6.00%, 1/01/30

 

 

2,500

 

 

3,051,075

 

Illinois — 12.0%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,714,620

 

Chicago Transit Authority, RB:

 

 

 

 

 

 

 

Federal Transit Administration
Section 5309, Series A (AGC),
6.00%, 6/01/26

 

 

1,300

 

 

1,525,667

 

Sales Tax Receipts Revenue,
5.25%, 12/01/36

 

 

415

 

 

467,194

 

Sales Tax Receipts Revenue,
5.25%, 12/01/40

 

 

1,325

 

 

1,484,861

 

City of Chicago Illinois, RB:

 

 

 

 

 

 

 

General, Third Lien, Series C,
6.50%, 1/01/41

 

 

3,740

 

 

4,525,400

 

Third Lien, O’Hare
International Airport, Series
A, 5.75%, 1/01/39

 

 

825

 

 

956,926

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST

MAY 31, 2012

1


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

City of Chicago Illinois, Refunding RB:

 

 

 

 

 

 

 

General, Third Lien, Series C,
5.25%, 1/01/30

 

$

1,000

 

$

1,116,350

 

Sales Tax Revenue, Series A,
5.25%, 1/01/38

 

 

515

 

 

581,116

 

City of Chicago Illinois, Refunding RB,
Second Lien water Project, 5.00%,
11/01/42

 

 

1,025

 

 

1,144,925

 

Illinois Finance Authority, RB, Carle
Foundation, Series A, 6.00%,
8/15/41

 

 

1,885

 

 

2,094,537

 

Railsplitter Tobacco Settlement
Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

915

 

 

1,054,098

 

6.00%, 6/01/28

 

 

260

 

 

298,345

 

 

 

 

 

 

 

16,964,039

 

Indiana — 3.1%

 

 

 

 

 

 

 

Indiana Finance Authority WasteWater
Utility, RB, First Lien CWA Authority
Project, Series A, 5.00%, 10/01/41

 

 

1,500

 

 

1,643,955

 

Indianapolis Local Public Improvement
Bond Bank, Refunding RB,
Waterworks Project, Series A (AGC),
5.50%, 1/01/38

 

 

2,415

 

 

2,710,306

 

 

 

 

 

 

 

4,354,261

 

Louisiana — 0.4%

 

 

 

 

 

 

 

New Orleans Aviation Board Louisiana,
Refunding RB, GARB, Restructuring:

 

 

 

 

 

 

 

Series A-1, 6.00%, 1/01/23

 

 

375

 

 

447,923

 

Series A-2, (AGC), 6.00%,
1/01/23

 

 

150

 

 

179,169

 

 

 

 

 

 

 

627,092

 

Massachusetts — 0.4%

 

 

 

 

 

 

 

Massachusetts Development Finance
Agency, RB, Wellesley College,
Series J, 5.00%, 7/01/42

 

 

445

 

 

510,664

 

Michigan — 8.2%

 

 

 

 

 

 

 

City of Detroit Michigan, RB:

 

 

 

 

 

 

 

Second Lien, Series B (AGM),
6.25%, 7/01/36

 

 

1,700

 

 

1,964,452

 

Second Lien, Series B (NPFGC),
5.50%, 7/01/29

 

 

1,490

 

 

1,672,227

 

Sewage Disposal System, Senior
Lien, Series B (AGM), 7.50%,
7/01/33

 

 

580

 

 

731,473

 

City of Detroit Michigan, Refunding RB,
Senior Lien, Series C-1 (AGM), 7.00%,
7/01/27

 

 

1,800

 

 

2,194,668

 

Lansing Board of Water & Light Utilities,
RB, Series A, 5.00%, 7/01/37

 

 

2,765

 

 

3,103,547

 

Michigan State Building Authority,
Refunding RB, Facilities Program,
Series I (AGC), 5.25%, 10/15/25

 

 

300

 

 

351,828

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Michigan (concluded)

 

 

 

 

 

 

 

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

 

$

1,205

 

$

1,540,074

 

 

 

 

 

 

 

11,558,269

 

Minnesota — 3.1%

 

 

 

 

 

 

 

City of Minneapolis Minnesota,
Refunding RB, Fairview Health
Services, Series B (AGC), 6.50%,
11/15/38

 

 

3,680

 

 

4,369,006

 

Missouri — 1.9%

 

 

 

 

 

 

 

Missouri Joint Municipal Electric Utility
Commission Power, RB, Prairie State
Project, Series A (BHAC), 5.00%,
1/01/32

 

 

2,500

 

 

2,690,350

 

Nevada — 1.7%

 

 

 

 

 

 

 

Clark County Water Reclamation
District, GO, Series A, 5.25%,
7/01/34

 

 

2,000

 

 

2,338,380

 

New Jersey — 4.6%

 

 

 

 

 

 

 

New Jersey Health Care Facilities
Financing Authority, RB, Virtua Health
(AGC), 5.50%, 7/01/38

 

 

1,300

 

 

1,428,453

 

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

 

 

1,540

 

 

1,681,911

 

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

 

 

 

 

 

 

 

Series A (AGC), 5.50%, 12/15/38

 

 

2,000

 

 

2,250,600

 

Series B, 5.25%, 6/15/36

 

 

1,000

 

 

1,137,080

 

 

 

 

 

 

 

6,498,044

 

New York — 6.4%

 

 

 

 

 

 

 

Metropolitan Transportation Authority,
Refunding RB, Transportation, Series
C, 5.00%, 11/15/28

 

 

1,300

 

 

1,500,278

 

New York City Transitional Finance
Authority, RB:

 

 

 

 

 

 

 

Future Tax Secured, Subseries
E-1, 5.00%, 2/01/42

 

 

2,000

 

 

2,254,640

 

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

 

 

900

 

 

1,005,300

 

Sub-Future Tax Secured,
Series C, 5.00%, 11/01/39

 

 

1,175

 

 

1,313,391

 

New York City Transitional Finance
Authority, RB, Fiscal 2009, Series S-4
(AGC), 5.50%, 1/15/29

 

 

2,465

 

 

2,884,149

 

 

 

 

 

 

 

8,957,758

 

Pennsylvania — 0.5%

 

 

 

 

 

 

 

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

 

 

580

 

 

659,263

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST

MAY 31, 2012

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Puerto Rico — 1.1%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp.,
RB, First Sub-Series A, 6.38%,
8/01/39

 

$

1,350

 

$

1,579,135

 

Texas — 18.9%

 

 

 

 

 

 

 

Austin Community College District, RB,
Educational Facilities Project, Round
Rock Campus, 5.25%, 8/01/33

 

 

2,000

 

 

2,214,740

 

City of Houston Texas, Refunding RB,
Combined, First Lien, Series A (AGC):

 

 

 

 

 

 

 

6.00%, 11/15/35

 

 

2,600

 

 

3,142,568

 

6.00%, 11/15/36

 

 

2,215

 

 

2,667,879

 

5.38%, 11/15/38

 

 

1,000

 

 

1,146,060

 

Frisco ISD Texas, GO, School Building
(AGC), 5.50%, 8/15/41

 

 

3,365

 

 

4,058,257

 

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

 

 

875

 

 

995,671

 

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

 

 

500

 

 

602,625

 

Katy Independent School District,
Refunding RB, School Building, Series
A, 5.00%, 2/15/42 (a)

 

 

745

 

 

850,745

 

Lamar Texas Consolidated Independent
School District, GO, Refunding RB,
School House, Series A, 5.00%,
2/15/45

 

 

1,000

 

 

1,138,370

 

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

 

 

1,000

 

 

1,168,880

 

North Texas Tollway Authority,
Refunding RB:

 

 

 

 

 

 

 

System, First Tier (AGM), 6.00%,
1/01/43

 

 

1,000

 

 

1,181,500

 

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

 

 

1,500

 

 

1,694,985

 

Tarrant County Cultural Education
Facilities Finance Corp., Refunding
RB, Christus Health, Series A (AGC),
6.50%, 7/01/37

 

 

1,000

 

 

1,155,920

 

Texas State Turnpike Authority, RB, First
Tier, Series A (AMBAC), 5.00%,
8/15/42

 

 

1,395

 

 

1,395,112

 

Texas Tech University Revenues,
Refunding RB, Refunding &
Improvement, 14th Series A, 5.00%,
8/15/31

 

 

1,000

 

 

1,159,790

 

University of Texas System, Refunding
RB, Financing System, Series B,
5.00%, 8/15/43

 

 

1,805

 

 

2,082,501

 

 

 

 

 

 

 

26,655,603

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Virginia — 0.8%

 

 

 

 

 

 

 

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

 

$

1,000

 

$

1,180,710

 

Washington — 3.9%

 

 

 

 

 

 

 

City of Seattle Washington, Refunding
RB, Series A, 5.25%, 2/01/36

 

 

1,025

 

 

1,182,061

 

Port of Seattle, Refunding RB,
Intermediate, Series A, 5.00%,
8/01/32

 

 

3,000

 

 

3,428,970

 

State of Washington, GO, Various
Purpose, Series B, 5.25%, 2/01/36

 

 

795

 

 

921,381

 

 

 

 

 

 

 

5,532,412

 

Wisconsin — 0.9%

 

 

 

 

 

 

 

Wisconsin Health & Educational
Facilities Authority, Refunding RB,
Ascension Health, Series D, 5.00%,
11/15/41

 

 

1,230

 

 

1,339,163

 

Total Municipal Bonds – 103.5%

 

 

 

 

 

145,868,978

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Alabama — 1.1%

 

 

 

 

 

 

 

Mobile Board of Water & Sewer
Commissioners, RB (NPFGC), 5.00%,
1/01/31

 

 

1,500

 

 

1,583,910

 

California — 8.7%

 

 

 

 

 

 

 

San Marcos Unified School District, GO,
Election of 2010, Series A, 5.25%,
8/01/31

 

 

10,680

 

 

12,315,322

 

District of Columbia — 0.7%

 

 

 

 

 

 

 

District of Columbia Water & Sewer
Authority, RB, Series A, 6.00%,
10/01/35

 

 

760

 

 

953,977

 

Illinois — 4.6%

 

 

 

 

 

 

 

Chicago Transit Authority, Refunding RB,
Federal Transit Administration Section
5309 (AGM), 5.00%, 6/01/28

 

 

2,999

 

 

3,258,288

 

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

 

 

2,999

 

 

3,291,739

 

 

 

 

 

 

 

6,550,027

 

Kentucky — 0.7%

 

 

 

 

 

 

 

Kentucky State Property & Building
Commission, Refunding RB, Project
No. 93 (AGC), 5.25%, 2/01/27

 

 

898

 

 

1,032,089

 

Massachusetts — 1.6%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,270,380

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST

MAY 31, 2012

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Nevada — 5.1%

 

 

 

 

 

 

 

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

 

$

2,000

 

$

2,474,140

 

Las Vegas Valley Water District, GO,
Refunding, Series C, 5.00%, 6/01/28

 

 

4,100

 

 

4,638,904

 

 

 

 

 

 

 

7,113,044

 

New Jersey — 0.8%

 

 

 

 

 

 

 

New Jersey EDA, RB, School Facilities
Construction, Series Z (AGC), 6.00%,
12/15/34

 

 

1,000

 

 

1,154,440

 

New York — 13.6%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,151,231

 

New York City Municipal Water Finance
Authority, Refunding RB, Second
General Resolution, Fiscal 2012,
Series BB, 5.25%, 6/15/44

 

 

4,993

 

 

5,696,331

 

New York City Transitional Finance
Authority, RB, Future Tax Secured
Revenue, Series E, 5.00%, 2/01/42

 

 

1,160

 

 

1,307,422

 

New York Liberty Development Corp.,
5.25%, 12/15/43

 

 

2,955

 

 

3,360,988

 

New York State Dormitory Authority, RB,
General Purpose Series C, 5.00%,
3/15/41

 

 

4,995

 

 

5,609,635

 

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

 

 

1,740

 

 

2,001,400

 

 

 

 

 

 

 

19,127,007

 

Puerto Rico — 0.9%

 

 

 

 

 

 

 

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

 

 

1,180

 

 

1,305,552

 

Texas — 5.9%

 

 

 

 

 

 

 

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

 

 

2,310

 

 

2,700,113

 

Waco Educational Finance Corporation,
Refunding RB, Baylor University,
5.00%, 3/01/43

 

 

4,995

 

 

5,626,767

 

 

 

 

 

 

 

8,326,880

 

Utah — 0.8%

 

 

 

 

 

 

 

City of Riverton Utah Hospital, RB, IHC
Health Services Inc., 5.00%, 8/15/41

 

 

1,005

 

 

1,084,673

 

 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Washington — 1.5%

 

 

 

 

 

 

 

University of Washington, Refunding RB,
Series A, 5.00%, 7/01/41

 

$

1,860

 

$

2,127,152

 

Total Municipal Bonds Transferred to Tender Option
Bond (TOB) Trusts – 46.0%

 

 

 

 

 

64,944,453

 

Total Long-Term Investments
(Cost – $193,663,075) – 149.5%

 

 

 

 

 

210,813,431

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

Illinois — 0.1%

 

 

 

 

 

 

 

Illinois Finance Authority, RB, VRDN,
University of Chicago Medical Center,
Series B, 0.20%, 6/01/12 (e)

 

 

200

 

 

200,000

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

Money Market Fund — 3.4%

 

 

 

 

 

 

 

FFI Institutional Tax-Exempt Fund,
0.03% (c)(d)

 

 

4,757,056

 

 

4,757,056

 

Total Money Market Funds – 3.5%

 

 

 

 

 

4,957,056

 

Total Short-Term Securities
(Cost – $4,957,056) – 3.5%

 

 

 

 

 

4,957,056

 

Total Investments (Cost - $198,620,131*) – 153.0%

 

 

 

 

 

215,770,487

 

Liabilities in Excess of Other Assets – (0.1)%

 

 

 

 

 

(107,320

)

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable – (23.0)%

 

 

 

 

 

(32,484,222

)

VMTP Shares, at Liquidation Value – (29.9)%

 

 

 

 

 

(42,200,000

)

Net Assets Applicable to Common Shares– 100.0%

 

 

 

 

$

140,978,945

 

 

 

 

 

 

 

 

 

 

 

*

As of May 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

 

 

 

 

Tax Cost

 

$

166,309,414

 

Gross unrealized appreciation

 

$

17,182,168

 

Gross unrealized depreciation

 

 

(189,378

)

Net unrealized appreciation

 

$

16,992,790

 

 

 

(a)

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

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

Citigroup Global Markets, Inc.

 

$

1,853,196

 

$

948

 

 

Piper Jaffray

 

$

850,745

 

$

7,055

 

 

 

(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.

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST

MAY 31, 2012

4


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Quality Trust (BAF)

 

 

(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
August 31, 2011

 

Net
Activity

 

Shares
Held at
May 31, 2012

 

Income

 

FFI Institutional
Tax-Exempt
Fund

 

 

9,230,241

 

 

(4,473,185

)

 

4,757,056

 

$

668

 

 

 

(d)

Represents the current yield as of report date.

 

 

(e)

Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.


 

Portfolio Abbreviations

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

 

 

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

BHAC

Berkshire Hathaway Assurance Corp.

COP

Certificates of Participation

EDA

Economic Development Authority

GARB

General Airport Revenue Bonds

GO

General Obligation Bonds

IDB

Industrial Development Board

ISD

Independent School District

NPFGC

National Public Finance Guarantee Corp.

RB

Revenue Bonds

S/F

Single-Family

VRDN

Variable Rate Demand Notes

 

 

•

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

47

 

10-Year
US
Treasury
Note

 

Chicago
Board
of Trade

 

September
2012

 

$

6,295,063

 

$

(55,167

)

 

 

 

•

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 reporting purposes as follows:

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with 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 the Trust’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the inputs used as of May 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

 

 

—

 

$

210,813,431

 

 

—

 

$

210,813,431

 

Short-Term
Securities

 

$

4,757,056

 

 

200,000

 

 

—

 

 

4,957,056

 

Total

 

$

4,757,056

 

$

211,013,431

 

 

—

 

$

215,770,487

 

 

 

1

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(55,167

)

 

—

 

 

—

 

$

(55,167

)

 

 

2

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

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST

MAY 31, 2012

5


 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Investment Quality Trust (BAF)

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of May 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash pledged
as collateral
for financial
futures
contracts

 

$

125,000

 

 

—

 

 

—

 

$

125,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank Overdraft

 

 

(181

)

 

—

 

 

—

 

 

(181

)

TOB trust
certificates

 

 

—

 

$

(32,468,283

)

 

—

 

 

(32,468,283

)

VMTP Shares

 

 

—

 

 

(42,200,000

)

 

—

 

 

(42,200,000

)

Total

 

$

124,819

 

$

(74,668,283

)

 

—

 

$

(74,543,464

)

There were no transfers between levels during the period ended May 31, 2012.

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST

MAY 31, 2012

6

Item 2 –

Controls and Procedures

 

 

2(a) –

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

 

 

2(b) –

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

 

 

Item 3 –

Exhibits

 

 

 

Certifications – Attached hereto

 

 

 

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

 

 

 

BlackRock Municipal Income Investment Quality Trust

 

 
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Municipal Income Investment Quality Trust
   
  Date: July 25, 2012
   
  Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
   
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Municipal Income Investment Quality Trust
   
  Date: July 25, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Municipal Income Investment Quality Trust
     
  Date: July 25, 2012