BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST

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: 08/31/2017

Date of reporting period: 05/31/2017

Item 1 – Schedule of Investments

Schedule of Investments May 31, 2017 (Unaudited)

   

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Alabama — 1.9%

 

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

     

6.00%, 6/01/19

    $ 1,000     $ 1,098,760  

6.13%, 6/01/19

      1,000       1,101,230  

City of Selma Alabama IDB, RB, Gulf Opportunity Zone, International Paper Co. Project, Series A,
5.38%, 12/01/35

      335       374,208  
    

 

 

  
        2,574,198  

California — 14.7%

 

California Educational Facilities Authority, RB, University of Southern California, Series A, 5.25%, 10/01/18 (a)

      2,005       2,123,335  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 6.00%, 8/15/42

      1,120       1,281,303  

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

      1,175       1,230,824  

County of Sacramento California, ARB, Senior Series A (AGC), 5.50%, 7/01/18 (a)

      1,400       1,471,456  

Kern Community College District, GO, Safety, Repair & Improvement, Series C, 5.50%, 11/01/33

      1,025       1,235,904  

Los Angeles Municipal Improvement Corp., Refunding LRB, Real Property, Series B (AGC), 5.50%, 4/01/19 (a)

      3,210       3,478,773  

Redondo Beach Unified School District, GO, Election of 2008, Series E, 5.50%, 8/01/21 (a)

      1,000       1,178,170  

San Diego Public Facilities Financing Authority Water, Refunding RB, Series B (AGC), 5.38%, 8/01/19 (a)

      1,125       1,232,078  

State of California Public Works Board, LRB, Various Capital Projects, Series I:

     

5.50%, 11/01/30

      1,000       1,215,140  

5.50%, 11/01/31

      1,500       1,818,675  

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 9/01/33

      505       599,980  
Municipal Bonds   

Par  

(000)

     Value  

California (continued)

 

Township of Washington California Health Care District, GO, Election of 2004, Series B, 5.50%, 8/01/40

    $ 380     $ 454,362  

University of California, Refunding RB, The Regents of Medical Center, Series J, 5.25%, 5/15/38

      2,355       2,753,866  
    

 

 

  
        20,073,866  

Colorado — 3.9%

 

City & County of Denver Colorado Airport System, ARB, Sub-System, Series B, 5.25%, 11/15/32

      3,250       3,776,337  

Colorado Health Facilities Authority, RB, Hospital, NCMC, Inc. Project, Series B (AGM), 6.00%, 5/15/19 (a)

      1,425       1,563,382  
    

 

 

  
        5,339,719  

Florida — 9.4%

 

City of Jacksonville Florida, RB, Series A,
5.25%, 10/01/31

      4,525       5,189,677  

City of Jacksonville Florida, Refunding RB, Series A, 5.25%, 10/01/33

      205       239,393  

County of Miami-Dade Florida, RB, Seaport Department, Series A, 6.00%, 10/01/38

      4,215       5,095,935  

County of Orange Florida Health Facilities Authority, Refunding RB, Presbyterian Retirement Communities Project, 5.00%, 8/01/41

      1,305       1,421,341  

Reedy Creek Florida Improvement District, GO, Series A, 5.25%, 6/01/32

      745       877,111  
    

 

 

  
        12,823,457  

Georgia — 2.1%

 

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series C, 6.00%, 1/01/30

      2,500       2,912,925  

Illinois — 20.6%

 

City of Chicago Illinois, GARB, O’Hare International Airport, 3rd Lien, Series A, 5.75%, 1/01/39

      825       932,060  

City of Chicago Illinois, Refunding GARB, O’Hare International Airport, 3rd Lien, Series C (AGC), 5.25%, 1/01/30

      1,000       1,086,160  
 

 

                
   BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2017    1

Schedule of Investments (continued)

   

BlackRock Municipal Income Investment Quality Trust (BAF)

 

Municipal Bonds   

Par  

(000)

     Value  

Illinois (continued)

     

City of Chicago Illinois O’Hare International Airport, GARB, 3rd Lien, Series C, 6.50%, 1/01/21 (a)

    $ 3,740     $ 4,454,938  

City of Chicago Illinois Transit Authority, RB: Federal Transit Administration, Section 5309, Series A (AGC),
6.00%, 12/01/18 (a)

      1,300       1,398,124  

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

      3,185       3,449,674  

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

      3,000       3,236,280  

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

      3,000       3,177,390  

City of Chicago Illinois Wastewater Transmission, RB, 2nd Lien, 5.00%, 1/01/42

      1,480       1,574,498  

County of Cook Illinois Community College District No. 508, GO, City College of Chicago:

     

5.50%, 12/01/38

      855       922,699  

5.25%, 12/01/43

      1,430       1,514,642  

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

      1,885       2,153,217  

Railsplitter Illinois Tobacco Settlement Authority, RB,
5.50%, 6/01/23

      915       1,046,092  

Railsplitter Tobacco Settlement Authority, RB,
6.00%, 6/01/28

      260       297,687  

State of Illinois, GO:

     

5.25%, 2/01/31

      610       630,380  

5.25%, 2/01/32

      1,000       1,031,680  

5.50%, 7/01/33

      1,000       1,046,160  

5.50%, 7/01/38

      270       283,778  
    

 

 

  
        28,235,459  

Indiana — 1.9%

     

Indianapolis Local Public Improvement Bond Bank, Refunding RB, Waterworks Project, Series A (AGC):

     

5.50%, 1/01/19 (a)

      470       503,910  

5.50%, 1/01/38

      1,945       2,065,629  
    

 

 

  
        2,569,539  

Kentucky — 0.7%

     

Kentucky State Property & Building Commission, Refunding RB, Project No. 93, (AGC):

     

5.25%, 2/01/19 (a)

      800       856,592  
Municipal Bonds   

Par  

(000)

     Value  

Kentucky (continued)

     

Kentucky State Property & Building Commission, Refunding RB, Project No. 93, (AGC) (continued):

     

5.25%, 2/01/27

    $ 100     $ 106,595  
    

 

 

  
        963,187  

Louisiana — 1.0%

     

City of New Orleans Louisiana Aviation Board, Refunding GARB, Restructuring (AGC) (a):

     

Series A-1, 6.00%, 1/01/19

      375       404,809  

Series A-2, 6.00%, 1/01/19

      150       161,924  

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A, 5.50%, 5/15/29

      790       832,004  
    

 

 

  
        1,398,737  

Massachusetts — 1.0%

     

Massachusetts Development Finance Agency, RB, Emerson College Issue, Series A, 5.00%, 1/01/47

      695       772,062  

Massachusetts Development Finance Agency, Refunding RB, Emmanuel College Issue, Series A,
5.00%, 10/01/35

      500       562,645  
    

 

 

  
        1,334,707  

Michigan — 2.3%

     

City of Detroit Michigan Water Supply System Revenue, RB, 2nd Lien, Series B (AGM):

     

6.25%, 7/01/19 (a)

      1,695       1,879,111  

6.25%, 7/01/36

      5       5,457  

Royal Oak Michigan Hospital Finance Authority, Refunding RB, William Beaumont Hospital, Series V,
8.25%, 9/01/18 (a)

      1,205       1,314,173  
    

 

 

  
        3,198,741  

Minnesota — 2.9%

     

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC):

     

6.50%, 11/15/18 (a)

      565       610,347  
 

 

                
2    BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Municipal Income Investment Quality Trust (BAF)

 

Municipal Bonds   

Par  

(000)

     Value  

Minnesota (continued)

     

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC) (continued):

     

6.50%, 11/15/38

    $ 3,115     $ 3,334,701  
    

 

 

  
               3,945,048  

Mississippi — 1.8%

     

Mississippi Development Bank, RB, Jackson Water & Sewer System Project (AGM), 6.88%, 12/01/40

      1,000       1,284,440  

Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Improvement Project, 5.25%, 8/01/38

      1,000       1,164,290  
    

 

 

  
               2,448,730  

Nevada — 3.4%

     

County of Clark Nevada, GO, Limited Tax, 5.00%, 6/01/18 (a)

      2,410       2,509,750  

County of Clark Nevada Water Reclamation District, GO, Series A, 5.25%, 7/01/19 (a)

      2,000       2,176,540  
    

 

 

  
               4,686,290  

New Jersey — 4.9%

     

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

      1,300       1,403,740  

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

      1,480       1,537,232  

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

     

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

      2,000       2,102,540  

Series AA, 5.50%, 6/15/39

      1,620       1,717,977  
    

 

 

  
               6,761,489  

New York — 4.4%

     

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

      2,465       2,639,966  

Metropolitan Transportation Authority, RB:

     

Series A, 5.25%, 11/15/38

      1,565       1,786,604  

Series A-1, 5.25%, 11/15/39

      1,000       1,150,770  
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

     

Westchester Tobacco Asset Securitization, Refunding RB, Tobacco Settlement Bonds, Sub-Series C,
4.00%, 6/01/42

    $ 430     $ 434,777  
    

 

 

  
               6,012,117  

North Carolina — 1.0%

     

North Carolina Housing Finance Agency, RB, S/F, Series 38-B, 3.95%, 1/01/41 (b)

      1,310       1,333,619  

Ohio — 0.4%

     

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1, 5.25%, 2/15/31

      470       555,860  

Oklahoma — 1.2%

     

Norman Regional Hospital Authority, Refunding RB, 5.00%, 9/01/37

      490       544,355  

Oklahoma Development Finance Authority, RB, Provident Oklahoma Education Resources, Inc., Cross Village Student Housing Project, Series A, 5.25%, 8/01/57

      990       1,084,169  
    

 

 

  
               1,628,524  

Oregon — 0.1%

     

Clackamas County School District No. 12 North Clackamas, GO, CAB, Series A, 0.00%, 6/15/38 (c)

      510       212,537  

Pennsylvania — 4.0%

     

Pennsylvania HFA, RB, S/F Housing Mortgage, Series 123-B, 4.00%, 10/01/42 (b)

      1,285       1,317,022  

Pennsylvania Turnpike Commission, RB, Series C,
5.00%, 12/01/43

      1,720       1,929,341  

Philadelphia Authority for Industrial Development, Refunding RB, Children’s Hospital of Philadelphia, 4.00%, 7/01/37 (b)

      520       547,628  

Township of Bristol Pennsylvania School District, GO, 5.25%, 6/01/37

      1,500       1,724,010  
    

 

 

  
               5,518,001  

South Carolina — 2.9%

     

County of Charleston South Carolina, RB, Special Source, 5.25%, 12/01/38

      1,525       1,788,139  
 

 

 

                
   BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2017    3

Schedule of Investments (continued)

   

BlackRock Municipal Income Investment Quality Trust (BAF)

 

Municipal Bonds   

Par  

(000)

     Value  

South Carolina (continued)

     

State of South Carolina Public Service Authority, RB, Series E, 5.00%, 12/01/48

    $ 275     $ 296,895  

State of South Carolina Public Service Authority, Refunding RB:

     

Series C, 5.00%, 12/01/46

      375       408,469  

Series E, 5.25%, 12/01/55

      1,275       1,421,395  
    

 

 

  
        3,914,898  

Texas — 13.0%

     

Austin Community College District Public Facility Corp., RB, Educational Facilities Project, Round Rock Campus, 5.25%, 8/01/18 (a)

      1,000       1,050,980  

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 3/01/37

      980       1,132,557  

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

      3,365       3,658,697  

City of Houston Texas Combined Utility System Revenue, Refunding RB, Combined 1st Lien, Series A (AGC):

     

5.38%, 5/15/19 (a)

      945       1,025,741  

6.00%, 5/15/19 (a)

      2,465       2,705,387  

6.00%, 5/15/19 (a)

      2,100       2,304,792  

6.00%, 11/15/35

      135       147,996  

6.00%, 11/15/36

      115       126,071  

5.38%, 11/15/38

      55       59,075  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Christus Health, Series A (AGC):

     

6.50%, 1/01/19 (a)

      205       222,732  

6.50%, 7/01/37

      795       851,501  

Lower Colorado River Authority, Refunding RB,
5.50%, 5/15/33

      1,000       1,181,410  

North Texas Tollway Authority, Refunding RB, 1st Tier:

     

(AGM), 6.00%, 1/01/43

      1,000       1,143,230  

Series K-1 (AGC), 5.75%, 1/01/19 (a)

      1,500       1,612,860  

Red River Texas Education Financing Corp., RB, Texas Christian University Project, 5.25%, 3/15/38

      440       502,524  
    

 

 

  
        17,725,553  

Virginia — 1.1%

     

City of Lexington Virginia IDA, RB, Washington & Lee University, 5.00%, 1/01/43

      370       415,270  
Municipal Bonds   

Par  

(000)

     Value  

Virginia (continued)

     

State of Virginia Public School Authority, RB, Fluvanna County School Financing, 6.50%, 12/01/18 (a)

    $ 1,000     $ 1,083,590  
    

 

 

  
        1,498,860  

Washington — 1.5%

     

City of Seattle Washington Municipal Light & Power, Refunding RB, Series A, 5.25%, 2/01/36

      1,025       1,148,451  

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

      795       896,172  
    

 

 

  
        2,044,623  

Wisconsin — 1.6%

     

Wisconsin Health & Educational Facilities Authority, Refunding RB:

     

Froedtert Health, Inc. Obligated Group, 4.00%, 4/01/39

      710       733,913  

Medical College of Wisconsin, Inc., 5.00%, 12/01/41

      1,250       1,426,200  
    

 

 

  
        2,160,113  
Total Municipal Bonds — 103.7%              141,870,797  
    
                  

Municipal Bonds Transferred to

Tender Option Bond Trusts (d)

         

Alabama — 0.8%

     

Auburn University, Refunding RB, Series A,
4.00%, 6/01/41

      1,000       1,054,920  

California — 11.3%

     

Sacramento Area Flood Control Agency, Refunding RB, Consolidated Capital Assessment District No. 2, Series A, 5.00%, 10/01/43

      2,775       3,243,476  

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

      10,680       12,225,289  
    

 

 

  
        15,468,765  

Connecticut — 1.1%

     

Connecticut State Health & Educational Facility Authority, Refunding RB, Trinity Health Credit Group, 5.00%, 12/01/45

      1,306       1,484,771  
 

 

                
4    BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2017   

Schedule of Investments (continued)

    BlackRock Municipal Income Investment Quality Trust (BAF)
     

 

Municipal Bonds Transferred to

Tender Option Bond Trusts (d)

   

Par  

(000)

     Value  

District of Columbia — 0.6%

     

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A,
6.00%, 10/01/18 (a)(e)

    $ 759     $ 810,871  

Illinois — 7.5%

     

State of Illinois Toll Highway Authority, RB:

     

Senior Priority, Series A, 5.00%, 1/01/40

      825       932,673  

Senior Priority, Series B, 5.50%, 1/01/18 (a)

      2,999       3,081,150  

Senior, Series B, 5.00%, 1/01/40

      3,329       3,777,993  

Series C, 5.00%, 1/01/38

      2,252       2,537,751  
    

 

 

  
               10,329,567  

Michigan — 2.2%

     

Michigan State Building Authority, Refunding RB, Facilities Program, Series I, 5.00%, 10/15/45

      2,650       2,981,250  

Nevada — 4.9%

     

County of Clark Nevada Water Reclamation District, GO, Limited Tax, 6.00%, 7/01/18 (a)

      2,000       2,111,040  

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

      4,100       4,640,011  
    

 

 

  
               6,751,051  

New Jersey — 6.5%

     

New Jersey EDA, RB, School Facilities Construction (AGC) (a):

     

6.00%, 12/15/18

      986       1,063,224  

6.00%, 12/15/18

      14       15,046  

New Jersey State Turnpike Authority, RB, Series A, 5.00%, 1/01/38 (e)

      6,020       6,764,795  

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 6/15/36 (e)

      1,000       1,033,978  
    

 

 

  
               8,877,043  

New York — 14.2%

     

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution:

     

Series BB, 5.25%, 6/15/44

      4,993       5,662,082  

Series FF, 5.00%, 6/15/45

      3,019       3,413,965  

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

      900       956,131  

Municipal Bonds Transferred to

Tender Option Bond Trusts (d)

   

Par  

(000)

     Value  

New York (continued)

     

Hudson Yards Infrastructure Corp., RB, Fiscal 2012, Series A, 5.75%, 2/15/47 (e)

    $ 1,000     $ 1,139,257  

Metropolitan Transportation Authority, Refunding RB, Series C-1, 5.25%, 11/15/56

      2,540       2,954,649  

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

      2,955       3,364,076  

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

      1,740       1,998,494  
    

 

 

  
               19,488,654  

North Carolina — 2.0%

     

North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B,
5.00%, 10/01/55

      2,400       2,749,608  

Pennsylvania — 2.1%

     

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 8/15/38

      1,349       1,538,374  

Pennsylvania Turnpike Commission, RB, Sub-Series A, 5.50%, 12/01/42

      1,094       1,287,367  
    

 

 

  
               2,825,741  

Texas — 5.6%

     

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Baylor Health Care System Project, Series A, 5.00%, 11/15/38

      4,456       4,972,499  

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

      2,310       2,681,748  
    

 

 

  
               7,654,247  

Utah — 0.8%

     

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

      1,005       1,072,790  

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 59.6%

              81,549,278  

Total Long-Term Investments

(Cost — $206,817,905) — 163.3%

              223,420,075  
 

 

                
   BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2017    5

Schedule of Investments (continued)

   

BlackRock Municipal Income Investment Quality Trust (BAF)

 

Short-Term Securities    Shares     Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.60% (f)(g)

      558,732     $ 558,844  
Total Short-Term Securities
(Cost — $558,844) — 0.4%		       558,844  

Total Investments

(Cost — $207,376,749*) — 163.7%

 

 

     223,978,919  
Liabilities in Excess of Other Assets — (0.1)%       (43,102 ) 
Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (32.8)%       (44,915,501 ) 
VMTP Shares, at Liquidation Value — (30.8)%       (42,200,000 ) 
    

 

 

  
Net Assets Applicable to Common Shares — 100.0%     $ 136,820,316  
    

 

 

  

 

*   As of May 31, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income tax purposes were as follows:

 

Tax cost

   $ 162,844,716  
 

 

 

  

Gross unrealized appreciation

   $ 16,775,210  

Gross unrealized depreciation

     (437,620 ) 
 

 

 

  

Net unrealized appreciation

   $ 16,337,590  
 

 

 

  
 
Notes to Schedule of Investments

 

(a)   U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

(b)   When-issued security.

 

(c)   Zero-coupon bond.

 

(d)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing.

 

(e)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between May 07, 2018 to July 01, 2020, is $7,481,044.

 

(f)   During the period ended May 31, 2017, investments in issuers considered to be affiliates of the Trust 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,

2016

      Net
Activity		    

Shares Held
at May 31,

2017

      Value at
May 31, 2017		      Income     

Net

Realized
(Loss)

     Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, MuniCash, Institutional Class

     704,474        (145,742 )      558,732      $ 558,844      $ 2,232      $ (43 )      —  

 

(g)   Current yield as of period end.

 

                
6    BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Municipal Income Investment Quality Trust (BAF)

 

Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.
AGM    Assured Guaranty Municipal Corp.
ARB    Airport Revenue Bonds
BAM    Build America Mutual Assurance Co.
BARB    Building Aid Revenue Bonds
CAB    Capital Appreciation Bonds
EDA    Economic Development Authority
GARB    General Airport Revenue Bonds
GO    General Obligation Bonds
HFA    Housing Finance Agency
IDA    Industrial Development Authority
IDB    Industrial Development Board
ISD    Independent School District
LRB    Lease Revenue Bonds
RB    Revenue Bonds
S/F    Single-Family

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts

Short

   Issue     Expiration      Notional
Value		      Unrealized
Depreciation		  
(39)     5-Year U.S. Treasury Note       September 2017      $ 4,614,187      $ (6,813 ) 
(52)     10-Year U.S. Treasury Note       September 2017      $ 6,567,438        (19,764 ) 
(36)     Long U.S. Treasury Bond       September 2017      $ 5,537,250        (44,613 ) 
(8)     Ultra U.S. Treasury Bond       September 2017      $ 1,321,000        (15,866 ) 
Total           $ (87,056 ) 
         

 

 

  

 

                
   BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2017    7

Schedule of Investments (continued)

   

BlackRock Municipal Income Investment Quality Trust (BAF)

 

Fair Value Hierarchy as of Period End

 

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  •  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  •  

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

 

  •  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value 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 investments 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, refer to the Trust’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  
Assets:                 

Investments:

                 

Long-Term Investments1

    —        $ 223,420,075          —        $ 223,420,075  

Short-Term Securities

   $ 558,844          —          —          558,844  
 

 

 

  

Total

   $ 558,844        $ 223,420,075          —        $ 223,978,919  
 

 

 

  

Derivative Financial Instruments 2

                 
Liabilities:                 

Interest rate contracts

   $ (87,056 )         —          —        $ (87,056 ) 
 

 

 

  
  1   

See above schedule of investments for values in each state or political subdivision.

  2   

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

 

                
8    BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2017   

Schedule of Investments (concluded)

   

BlackRock Municipal Income Investment Quality Trust (BAF)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  
Liabilities:                 

TOB Trust Certificates

     —        $ (44,796,613 )         —        $ (44,796,613 ) 

VMTP Shares at Liquidation Value

     —          (42,200,000 )         —          (42,200,000 ) 
 

 

 

  

Total

     —        $ (86,996,613 )         —        $ (86,996,613 ) 
 

 

 

  

During the period ended May 31, 2017, there were no transfers between levels.

 

                
   BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2017    9

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 24, 2017

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 24, 2017
By:  

/s/ Neal J. Andrews

   
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Municipal Income Investment Quality Trust

Date: July 24, 2017