BlackRock Municipal 2030 Target Term Trust

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 811-22603

Name of Fund: BlackRock Municipal 2030 Target Term Trust (Formerly BlackRock Municipal Target Term Trust (BTT)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Municipal 2030 Target Term Trust (Formerly BlackRock Municipal Target Term 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: 07/31/2016

Date of reporting period: 01/31/2016


Item 1 – Report to Stockholders


JANUARY 31, 2016

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

BlackRock California Municipal Income Trust (BFZ)

BlackRock Florida Municipal 2020 Term Trust (BFO)

BlackRock Municipal Income Investment Trust (BBF)

BlackRock Municipal Target Term Trust (BTT)

BlackRock New Jersey Municipal Income Trust (BNJ)

BlackRock New York Municipal Income Trust (BNY)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents     

 

     Page  

The Markets in Review

    3   

Semi-Annual Report:

 

Municipal Market Overview

    4   

The Benefits and Risks of Leveraging

    5   

Derivative Financial Instruments

    5   

Trust Summaries

    6   
Financial Statements:  

Schedules of Investments

    18   

Statements of Assets and Liabilities

    48   

Statements of Operations

    49   

Statements of Changes in Net Assets

    50   

Statements of Cash Flows

    53   

Financial Highlights

    54   

Notes to Financial Statements

    60   

Officers and Trustees

    71   

Additional Information

    72   

 

                
2    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


The Markets in Review

 

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery while inflationary pressures remained low, investors spent most of 2015 anticipating a short-term rate hike from the Federal Reserve (“Fed”), which ultimately came to fruition in December. In contrast, the European Central Bank and the Bank of Japan moved to a more accommodative stance over the year. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities.

Market volatility broadly increased in the latter part of 2015 and continued into 2016 given a collapse in oil prices and decelerating growth in China, while global growth and inflation failed to pick up. Oil prices were driven lower due to excess supply while the world’s largest oil producers had yet to negotiate a deal that would stabilize oil prices. In China, slower economic growth combined with a depreciating yuan and declining confidence in the country’s policymakers stoked worries about the potential impact to the broader global economy. After a long period in which global central bank policies had significant influence on investor sentiment and hence the direction of financial markets, in recent months, the underperformance of markets in Europe and Japan — where central banks had taken aggressive measures to stimulate growth and stabilize their currencies — highlighted the possibility that central banks could be losing their effectiveness.

In this environment, higher quality assets such as municipal bonds, U.S. Treasuries and investment grade corporate bonds outperformed risk assets including equities and high yield bonds. Large cap U.S. equities fared better than international developed and emerging markets.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of January 31, 2016  
    6-month     12-month  

U.S. large cap equities
(S&P 500® Index)

    (6.77 )%      (0.67 )% 

U.S. small cap equities
(Russell 2000® Index)

    (15.80     (9.92

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

    (14.58     (8.43

Emerging market equities
(MSCI Emerging Markets
Index)

    (16.96     (20.91

3-month Treasury bills
(BofA Merrill Lynch
3-Month U.S. Treasury

Bill Index)

    0.05        0.05   

U.S. Treasury securities
(BofA Merrill Lynch
10-Year U.S. Treasury Index)

    3.36        (0.41

U.S. investment-grade bonds
(Barclays U.S.
Aggregate Bond Index)

    1.33        (0.16

Tax-exempt municipal
bonds (S&P Municipal
Bond Index)

    3.67        2.66   

U.S. high yield bonds
(Barclays U.S. Corporate
High Yield 2% Issuer
Capped Index)

    (7.75     (6.58
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 Reporting Period Ended January 31, 2016

Municipal Market Conditions

Municipal bonds generated positive performance for the period, due to a favorable supply-and-demand environment. Interest rates were volatile in 2015 (bond prices rise as rates fall) leading up to a long-awaited rate hike from the U.S. Federal Reserve (the “Fed”) that ultimately came in December. However, ongoing reassurance from the Fed that rates would be increased gradually and would likely remain low overall resulted in strong demand for fixed income investments, with municipal bonds being one of the strongest-performing sectors. Investors favored the relative stability of municipal bonds amid bouts of volatility resulting from uneven U.S. economic data, falling oil prices, global growth concerns, geopolitical risks, and widening central bank divergence — i.e., policy easing outside the United States while the Fed was posturing to commence policy tightening. During the 12 months ended January 31, 2016, municipal bond funds garnered net inflows of approximately $16 billion (based on data from the Investment Company Institute).

For the same 12-month period, total new issuance remained relatively strong from a historical perspective at $392 billion (considerably higher than the $349 billion issued in the prior 12-month period). A noteworthy portion of new supply during this period was attributable to refinancing activity (roughly 60%) as issuers took advantage of low interest rates and a flatter yield curve to reduce their borrowing costs.

S&P Municipal Bond Index

Total Returns as of January 31, 2016

  6 months:  3.67%

12 months:  2.66%

A Closer Look at Yields

 

LOGO

From January 31, 2015 to January 31, 2016, yields on AAA-rated 30-year municipal bonds increased by 25 basis points (“bps”) from 2.50% to 2.75%, while 10-year rates fell by 1 bp from 1.72% to 1.71% and 5-year rates increased 6 bps from 0.94% to 1.00% (as measured by Thomson Municipal Market Data). The slope of the municipal yield curve remained unchanged over the 12-month period with the spread between 2- and 30-year maturities holding steady at 209 bps as the spread between 2- and 10-year maturities flattened by 26 bps and the spread between 10- and 30-year maturities steepened by 26 bps.

During the same time period, U.S. Treasury rates increased by 50 bps on 30-year bonds, 25 bps on 10-year bonds and 14 bps on 5-year bonds. Accordingly, tax-exempt municipal bonds outperformed Treasuries, most notably in the intermediate and long-end of the curve as a result of manageable supply and robust demand. In absolute terms, the positive performance of municipal bonds was driven largely by a supply/demand imbalance within the municipal market as investors sought income and incremental yield in an environment where opportunities had become scarce. More broadly, municipal bonds benefited from the greater appeal of tax-exempt investing in light of the higher tax rates implemented in 2014. The asset class is known for its lower relative volatility and preservation of principal with an emphasis on income as tax rates rise.

Financial Conditions of Municipal Issuers

The majority of municipal credits remain strong, despite well-publicized distress among a few issuers. Four of the five states with the largest amount of debt outstanding — California, New York, Texas and Florida — have exhibited markedly improved credit fundamentals during the slow national recovery. However, several states with the largest unfunded pension liabilities have seen their bond prices decline noticeably and remain vulnerable to additional price deterioration. On the local level, Chicago’s credit quality downgrade is an outlier relative to other cities due to its larger pension liability and inadequate funding remedies. BlackRock maintains the view that municipal bond defaults will remain minimal and in the periphery while the overall market is fundamentally sound. We continue to advocate careful credit research and believe that a thoughtful approach to structure and security selection remains imperative amid uncertainty in a modestly improving economic environment.

The opinions expressed are those of BlackRock as of January 31, 2016, and are subject to change at any time due to changes in market or economic conditions. The comments should not be construed as a recommendation of any individual holdings or market sectors. Investing involves risk including loss of principal. Bond values fluctuate in price so the value of your investment can go down depending on market conditions. Fixed income risks include interest-rate and credit risk. Typically, when interest rates rise, there is a corresponding decline in bond values. Credit risk refers to the possibility that the bond issuer will not be able to make principal and interest payments. There may be less information on the financial condition of municipal issuers than for public corporations. The market for municipal bonds may be less liquid than for taxable bonds. Some investors may be subject to Alternative Minimum Tax (AMT). Capital gains distributions, if any, are taxable.

The Standard & Poor’s Municipal Bond Index, a broad, market value-weighted index, seeks to measure the performance of the US municipal bond market. All bonds in the index are exempt from US federal income taxes or subject to the alternative minimum tax. Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. It is not possible to invest directly in an index.

 

                
4    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


The Benefits and Risks of Leveraging     

 

 

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

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Trusts (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Trusts’ shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV.

To illustrate these concepts, assume a Trusts’ Common Shares capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on the Trusts’ longer-term investments acquired from leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit Common Shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. 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 value of the Trusts’ obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict

accurately, and there is no assurance that a intended leveraging strategy will be successful.

Leverage also generally causes greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s Common Shares than if the Trusts were not leveraged. In addition, the Trusts 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 the Trusts to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. The Trusts 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. Moreover, to the extent the calculation of the Trusts’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment advisor will be higher than if the Trusts did not use leverage.

To obtain leverage, each Trust has issued Variable Rate Demand Preferred Shares (“VRDP Shares”), Variable Rate Muni Term Preferred Shares (“VMTP Shares”), Remarketable Variable Rate Muni Term Preferred Shares (“RVMTP Shares”) (collectively, “Preferred Shares”) and/or leveraged its assets through the use of tender option bond trusts (“TOB Trusts”) as described in the Notes to Financial Statements.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to issue debt up to 33 1/3% of its total managed assets or equity securities (e.g., Preferred Shares) up to 50% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by the Preferred Shares’ governing instruments or by agencies rating the Preferred Shares, which may be more stringent than those imposed by the 1940 Act.

If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of the Trusts’ obligations under the TOB Trust (including accrued interest), a TOB Trust is not considered a senior security and is not subject to the foregoing limitations and requirements under the 1940 Act.

 

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage. Derivative financial instruments also 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 limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    5


Trust Summary as of January 31, 2016    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 U.S. 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.

 

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, 2016 ($15.94)1

   5.44%

Tax Equivalent Yield2

   11.09%

Current Monthly Distribution per Common Share3

   $0.0722

Current Annualized Distribution per Common Share3

   $0.8664

Economic Leverage as of January 31, 20164

   40%

 

  1   

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

 

  2   

Tax equivalent yield assumes the maximum marginal federal and state tax rate of 50.93%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, 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 5.

 

Performance      

Returns for the six months ended January 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BFZ1,2

    11.86     4.37

Lipper California Municipal Debt Funds3

    10.81     5.97

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall). Municipals also benefited from a general “flight to quality” caused by the elevated volatility in the higher-risk segments of the financial markets.

 

 

California municipal bonds outperformed the national tax-exempt market, reflecting the improvement in state finances that resulted from the combination of austerity measures and steady revenues from a diversified economy. In addition, the market benefited from the robust demand for tax-exempt investments in a state with a high income tax.

 

 

The Trust’s positions in longer-term bonds made a strong contribution to performance at a time in which yields fell. Its investments in AA-rated credits in the school district, transportation and health care sectors also aided performance. AA-rated bonds generally experienced rising valuations as a result of California’s improving credit profile. On a sector basis, investments in health care and utilities made the largest contributions to performance. The Trust was also helped by having a zero-weighting in Puerto Rico credits, which fell in price as the deterioration of the Commonwealth’s finances led it to pursue additional debt restructuring efforts.

 

 

Using TOBs, the Trust continued to employ leverage in order to increase income at a time in which the municipal yield curve was steep and short-term interest rates remained low. Leverage amplifies the effect of interest rate movements, which was a positive for Fund performance during the past six months, given that yields declined.

 

 

The Trust generally kept its position in cash and cash equivalents at a minimum level. To the degree that the Trust held reserves, these securities added little in the form of additional yield and provided no price performance in a generally positive period for the market. As a result, the Trust’s cash position detracted slightly from performance. The Trust utilized ten-year U.S. Treasury futures contracts to manage exposure to a rise in interest rates, which had a slightly negative impact on performance given that the Treasury market finished with positive returns.

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.

 

                
6    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


     BlackRock California Municipal Income Trust

 

 

Market Price and Net Asset Value Per Share Summary                              

 

      1/31/16      7/31/15      Change      High      Low  

Market Price

   $ 15.94       $ 14.65         8.81    $ 16.14       $ 14.55   

Net Asset Value

   $ 16.09       $ 15.84         1.58    $ 16.13       $ 15.64   

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   1/31/16     7/31/15  

County/City/Special District/School District

    38     37

Utilities

    24        27   

Education

    12        12   

Health

    12        10   

Transportation

    7        6   

State

    6        6   

Tobacco

    1        1   

Corporate

    2      1   

Housing

    2         

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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,
2016

    1

2017

    6   

2018

    11   

2019

    28   

2020

    3   

 

  3   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

  *   Excludes short-term securities.
Credit Quality Allocation1   1/31/16     7/31/15  

AAA/Aaa

    7     7

AA/Aa

    76        75   

A

    15        17   

BBB/Baa

    1        2 

B

    1        1   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

Represents less than 1% of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    7


Trust Summary as of January 31, 2016    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.

There is no assurance that the Trust will achieve its investment objective of returning $15.00 per share.

 

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, 2016 ($15.04)1

   2.47%

Tax Equivalent Yield2

   4.36%

Current Monthly Distribution per Common Share3

   $0.031

Current Annualized Distribution per Common Share3

   $0.372

Economic Leverage as of January 31, 20164

  

 

  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 marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

Percentage is less than 1% which represents TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to TOB Trusts, 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 5.

 

Performance      

Returns for the six months ended January 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BFO1,2

    2.80     1.43

Lipper Other States Municipal Debt Funds3

    7.55     5.60

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

The Trust is scheduled to terminate on or about December 31, 2020, and it therefore holds securities that will mature close to that date. Given that longer-term bonds generally delivered the best performance, the Trust’s shorter maturity profile was a disadvantage in comparison to its Lipper category peers.

 

 

Municipal bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall). Municipals also benefited from a general “flight to quality” caused by the elevated volatility in the higher-risk segments of the financial markets.

 

 

Florida’s municipal bond market underperformed the national tax-exempt market due to its lower degree of interest-rate sensitivity, which represented a headwind for relative performance at a time of falling yields. In addition, Florida’s new bond issuance exceeded the levels of the prior year during 2015, and the resulting increase in supply put downward pressure on prices.

 

 

The Trust’s duration exposure (sensitivity to interest rate movements) contributed positively to performance as interest rates declined during the period. On a sector basis, the Trust’s positions in health care issues made the most significant contribution to performance, with utilities and transportation making the second- and third-largest contributions. The Trust’s exposure to zero-coupon bonds, which outperformed current-coupon bonds, also benefited returns. However, the price declines of select distressed securities detracted from performance during the period.

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

 

                
8    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


     BlackRock Florida Municipal 2020 Term Trust

 

 

Market Price and Net Asset Value Per Share Summary                              

 

      1/31/16      7/31/15      Change      High      Low  

Market Price

     $15.04         $14.82         1.48%         $15.10         $14.78   

Net Asset Value

     $15.40         $15.37         0.20%         $15.40         $15.23   

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   1/31/16     7/31/15  

County/City/Special District/School District

    38     38

State

    15        16   

Health

    15        15   

Utilities

    12        11   

Transportation

    11        11   

Education

    4        4   

Corporate

    4        4   

Housing

    1        1   

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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

    3

2017

    12   

2018

    10   

2019

    14   

2020

    52   

 

  3  

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

  *   Excludes short-term securities.
Credit Quality Allocation1   1/31/16     7/31/15  

AAA/Aaa

    1     1

AA/Aa

    54        52   

A

    24        25   

BBB/Baa

    12        13   

N/R2

    9        9   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of January 31, 2016 and July 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade represents 6% and 4%, respectively, of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    9


Trust Summary as of January 31, 2016    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 at least 80% of its assets in municipal bonds, the interest of which is exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Florida intangible personal property tax. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, in September 2008, the Board gave approval to permit the Trust the flexibility to invest in municipal obligations regardless of geographical location since municipal obligations issued by any state or municipality that provides income exempt from regular federal income tax would now satisfy the foregoing objective and policy.

On December 18, 2015, the Boards of the Trust and BlackRock Municipal Bond Investment Trust (“BIE’’) approved the reorganization of BIE with and into the Trust, with the Trust continuing as the surviving trust after the reorganization. At a special shareholder meeting on March 21, 2016, the shareholders of the Trust approved the reorganization of BIE with and into the Trust, which is expected to be completed in May 2016.

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

 

Trust Information      

Symbol on NYSE

   BBF

Initial Offering Date

   July 27, 2001

Yield on Closing Market Price as of January 31, 2016 ($14.55)1

   5.97%

Tax Equivalent Yield2

   10.55%

Current Monthly Distribution per Common Share3

   $0.072375

Current Annualized Distribution per Common Share3

   $0.868500

Economic Leverage as of January 31, 20164

   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 marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, 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 5.

 

Performance      

Returns for the six months ended January 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BBF1,2

    11.65     4.49

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    9.89     5.99

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall). Municipals also benefited from a general “flight to quality” caused by the elevated volatility in the higher-risk segments of the financial markets.

 

 

The Trust’s overweight position in A-rated bonds, which outperformed higher-rated issues amid investors’ continued search for yield, made a positive contribution to performance. Holdings in longer-dated, A-rated bonds in the transportation and health care sectors made particularly strong contributions. The Trust’s positions in long-term bonds, which outpaced their short-term counterparts, aided performance. Income generated in the form of coupon payments also made a meaningful contribution to the Trust’s total return.

 

 

Using TOBs, the Trust continued to employ leverage in order to increase income. Leverage amplifies the effect of interest rate movements, which was a positive for Fund performance during the past six months, given that yields declined.

 

 

The Trust’s positions in shorter-dated holdings, such as pre-refunded issues and bonds with very short call dates, detracted from performance. The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance at a time in which yields fell.

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.

 

                
10    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


     BlackRock Municipal Income Investment Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      1/31/16      7/31/15      Change      High      Low  

Market Price

   $ 14.55       $ 13.44         8.26    $ 14.65       $ 13.28   

Net Asset Value

   $ 15.34       $ 15.14         1.32    $ 15.38       $ 14.92   

 

Market Price and Net Asset Value History For the Past Five Years      

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   1/31/16     7/31/15  

County/City/Special District/School District

    24     25

Transportation

    20        22   

Utilities

    16        15   

Health

    14        14   

State

    10        11   

Education

    11        8   

Tobacco

    3        3   

Corporate

    1        1   

Housing

    1        1   

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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,
2016

    1

2017

    4 

2018

    13   

2019

    21   

2020

    7   

 

  3   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

  4   

Representing less than 1% of the Trust’s total investments.

 

  *   Excludes short-term securities.
Credit Quality Allocation1   1/31/16     7/31/15  

AAA/Aaa

    12     11

AA/Aa

    52        56   

A

    26        24   

BBB/Baa

    6        6   

BB/Ba

    1        1   

B

    1        1   

N/R2

    2        1   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of January 31, 2016, the market value of unrated securities deemed by the investment advisor to be investment grade represents 1% of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    11


Trust Summary as of January 31, 2016    BlackRock Municipal Target Term Trust

 

Trust Overview

BlackRock Municipal Target Term Trust’s (BTT) (the “Trust”) investment objectives are to provide current income exempt from regular federal income tax (but which may be subject to the federal alternative minimum tax in certain circumstances) and to return $25.00 per common share (the initial offering price per share) to holders of common shares on or about December 31, 2030. 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). 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.

On February 25, 2016, the Board approved a proposal to change the name of the Trust from “BlackRock Municipal Target Term Trust” to “BlackRock Municipal 2030 Target Term Trust.” This name change became effective on March 1, 2016.

There is no assurance that the Trust will achieve its investment objective of returning $25.00 per share.

 

Trust Information      

Symbol on NYSE

   BTT

Initial Offering Date

   August 30, 2012

Termination Date (on or about)

   December 31, 2030

Current Distribution Rate on Closing Market Price as of January 31, 2016 ($21.94)1

   4.38%

Tax Equivalent Rate2

   7.74%

Current Monthly Distribution per Common Share3

   $0.080

Current Annualized Distribution per Common Share3

   $0.960

Economic Leverage as of January 31, 20164

   35%

 

  1   

Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. See the financial highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 

  2   

Tax equivalent yield assumes the maximum marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain at fiscal year end.

 

  4   

Represents RVMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to RVMTP Shares and TOB Trusts, 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 5.

 

Performance      

Returns for the six months ended January 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BTT1,2

    7.90     9.09

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    9.89     5.99

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall). Municipals also benefited from a general “flight to quality” caused by the elevated volatility in the higher-risk segments of the financial markets.

 

 

The Trust’s duration exposure (sensitivity to interest rate movements) contributed positively to performance as interest rates declined during the period. On a sector basis, the most significant contribution came from the Trust’s positions in health care and transportation issues. The Trust’s exposure to zero-coupon bonds, which outperformed current-coupon bonds, also benefited returns. The Trust was further helped by having a zero-weighting in Puerto Rico credits, which fell in price as the deterioration of the Commonwealth’s finances led it to pursue additional debt restructuring efforts.

 

 

Using TOBs, the Trust continued to employ leverage in order to increase income at a time in which the municipal yield curve was steep and short-term interest rates remained low. Leverage amplifies the effect of interest rate movements, which was a positive for Fund performance during the past six months, given that yields declined.

 

 

The Trust generally kept its position in cash and cash equivalents at a minimum level. To the degree that the Trust held reserves, these securities added little in the form of additional yield and provided no price performance in a generally positive period for the market. As a result, the Trust’s cash position detracted slightly from performance. The Trust utilized ten-year U.S. Treasury futures contracts to manage exposure to a rise in interest rates, which had a slightly negative impact on performance given that the Treasury market finished with positive returns.

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.

 

                
12    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


     BlackRock Municipal Target Term Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      1/31/16      7/31/15      Change      High      Low  

Market Price

   $ 21.94       $ 20.80         5.48    $ 22.25       $ 20.19   

Net Asset Value

   $ 24.24       $ 22.73         6.64    $ 24.24       $ 22.44   

 

Market Price and Net Asset Value History Since Inception

 

LOGO

 

  1   

Commencement of operations.

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   1/31/16     7/31/15  

Transportation

    23     23

Health

    19        19   

County/City/Special District/School District

    13        13   

Education

    12        11   

State

    9        8   

Corporate

    9        11   

Utilities

    8        8   

Housing

    5        5   

Tobacco

    2        2   

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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

   
Call/Maturity Schedule5       

Calendar Year Ended December 31,
2016

    1

2017

    1   

2018

    1   

2019

      

2020

      

 

  5  

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

  *   Excludes short-term securities.
Credit Quality Allocation2   1/31/16     7/31/15  

AAA/Aaa

    2     3

AA/Aa

    23        25   

A

    47        46   

BBB/Baa

    16        15   

BB/Ba

    6        5   

B3

             

N/R4

    6        6   

 

  2   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  3   

Represents less than 1% of total investments.

 

  4   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of January 31, 2016 and July 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade each represents less than 1% of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    13


Trust Summary as of January 31, 2016    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.

 

Trust Information      

Symbol on NYSE

   BNJ

Initial Offering Date

   July 27, 2001

Yield on Closing Market Price as of January 31, 2016 ($15.13)1

   5.96%

Tax Equivalent Yield2

   11.57%

Current Monthly Distribution per Common Share3

   $0.0751

Current Annualized Distribution per Common Share3

   $0.9012

Economic Leverage as of January 31, 20164

   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 marginal federal and state tax rate of 48.48%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

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

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, 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 5.

 

Performance      

Returns for the six months ended January 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BNJ1,2

    6.77     5.69

Lipper New Jersey Municipal Debt Funds3

    5.99     6.08

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall). Municipals also benefited from a general “flight to quality” caused by the elevated volatility in the higher-risk segments of the financial markets.

 

 

New Jersey municipal bonds outperformed the national tax-exempt market during the period. The slump in the state’s bond market during the first half of 2015 led to a significant widening of yield spreads (the extra yield received when compared to U.S. government securities). Higher yields attracted buying interest in the state during the past six months, which helped boost prices at a time of dwindling supply.

 

 

The Trust’s overweight position in A-rated bonds, which outperformed higher-rated issues amid investors’ continued search for yield, made a positive contribution to performance. Holdings in longer-dated, A-rated bonds in the state and local tax-backed, transportation and education sectors made particularly strong contributions. The Trust’s positions in long-term bonds, which outpaced their short-term counterparts, also aided performance. Income generated in the form of coupon payments also made a meaningful contribution to the Trust’s total return.

 

 

Using TOBs, the Trust continued to employ leverage in order to increase income. Leverage amplifies the effect of interest rate movements, a positive for Fund performance during the past six months, given that yields declined.

 

 

The Trust’s positions in shorter-dated holdings, such as pre-refunded issues and bonds with very short call dates, detracted from performance. The Trust’s use of U.S. Treasury futures contracts to manage interest rate risk had a slightly negative impact on performance at a time in which yields fell.

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.

 

                
14    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


     BlackRock New Jersey Municipal Income Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      1/31/16      7/31/15      Change      High      Low  

Market Price

   $ 15.13       $ 14.61         3.56    $ 15.55       $ 14.00   

Net Asset Value

   $ 15.95       $ 15.55         2.57    $ 16.00       $ 15.23   

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   1/31/16     7/31/15  

Transportation

    33     33

County/City/Special District/School District

    21        16   

Education

    17        17   

State

    12        16   

Health

    7        7   

Corporate

    6        7   

Housing

    3        3   

Utilities

    1        1   

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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

   
Call/Maturity Schedule3       

2016

    5

2017

    1   

2018

    9   

2019

    9   

2020

   
6
  

 

  3   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

  *   Excludes short-term securities.
Credit Quality Allocation1   1/31/16     7/31/15  

AAA/Aaa

    1     2

AA/Aa

    43        42   

A

    35        36   

BBB/Baa

    10        10   

BB/Ba

    9        8   

N/R2

    2        2   

 

  1  

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of January 31, 2016 and July 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade each represents 1%, respectively, of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    15


Trust Summary as of January 31, 2016    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.

 

Trust Information      

Symbol on NYSE

   BNY

Initial Offering Date

   July 27, 2001

Yield on Closing Market Price as of January 31, 2016 ($15.93)1

   5.20%

Tax Equivalent Yield2

   10.52%

Current Monthly Distribution per Common Share3

   $0.069

Current Annualized Distribution per Common Share3

   $0.828

Economic Leverage as of January 31, 20164

   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 marginal federal and state tax rate of 50.59%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The monthly distribution per Common Share, declared on March 1, 2016, was decreased to $0.064 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 VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, 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 5.

 

Performance      

Returns for the six months ended January 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BNY1,2

    12.61     6.22

Lipper New York Municipal Debt Funds3

    7.70     5.45

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

The Trust moved from a discount to NAV to a premium during the period, accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds performed well during the six-month period, as the combination of falling U.S. Treasury yields and improving municipal finances created healthy buying interest in the asset class. (Prices rise as yields fall). Municipals also benefited from a general “flight to quality” caused by the elevated volatility in the higher-risk segments of the financial markets. New York municipal bonds outperformed the national tax-exempt market, as the state’s healthy economy, robust overall financial position and general lack of pension-funding issues contributed to strong investor demand.

 

 

At a time of falling yields, the Trust’s positions in longer-duration and longer-dated bonds generally provided the largest absolute returns. (Duration is a measure of interest-rate sensitivity). The Trust’s positions in tax-backed (state and local), education and transportation sectors made positive contributions to performance. The Trust’s exposure to lower-coupon and zero-coupon bonds, both of which outperformed, also benefited returns. The Trust’s exposure to higher-yielding, lower-rated bonds in the investment grade category aided performance, as this market segment outperformed during the period. Income in the form of coupon payments, made up a meaningful portion of the Trust’s total return for the period. The Trust’s leverage allowed it to increase it’s income.

 

 

Using TOBs, the Trust continued to employ leverage in order to increase income. Leverage amplifies the effect of interest rate movements, a positive for Fund performance during the past six months, given that yields declined.

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.

 

                
16    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


     BlackRock New York Municipal Income Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      1/31/16      7/31/15      Change      High      Low  

Market Price

   $ 15.93       $ 14.54         9.56    $ 16.07       $ 14.10   

Net Asset Value

   $ 15.47       $ 14.97         3.34    $ 15.53       $ 14.80   

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   1/31/16     7/31/15  

County/City/Special District/School District

    25     24

Education

    21        20   

Transportation

    16        15   

Utilities

    13        12   

Health

    9        10   

State

    8        9   

Corporate

    5        8   

Housing

    2        2   

Tobacco

    1          

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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,
2016

    6

2017

    11   

2018

    2   

2019

    6   

2020

    6   

 

  3   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

  *   Excludes short-term securities.
Credit Quality Allocation1   1/31/16     7/31/15  

AAA/Aaa

    15     18

AA/Aa

    43        37   

A

    26        27   

BBB/Baa

    5        6   

BB/Ba

    4        4   

N/R2

    7        8   

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment advisor has deemed certain of these unrated securities as investment grade quality. As of January 31, 2016 and July 31, 2015, the market value of unrated securities deemed by the investment advisor to be investment grade each represents 2%, respectively, of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    17


Schedule of Investments January 31, 2016 (Unaudited)

  

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

California — 92.6%

  

Corporate — 0.7%

  

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

    

Series A, 5.88%, 2/15/34

   $ 685      $ 792,305   

Series D, 5.88%, 1/01/34

     2,500        2,891,625   
    

 

 

 
               3,683,930   

County/City/Special District/School District — 32.3%

  

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

     8,425        9,668,614   

Cerritos Community College District, GO, Election of 2004, Series C, 5.25%, 8/01/19 (a)

     2,000        2,302,040   

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

    

6.13%, 5/01/31

     500        597,430   

6.50%, 5/01/36

     1,210        1,471,554   

6.50%, 5/01/42

     2,225        2,686,265   

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

     2,000        2,287,320   

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

     2,000        2,283,100   

County of Riverside California Public Financing Authority, RB, Capital Facility Project, 5.25%, 11/01/45

     8,990        10,630,945   

County of San Joaquin California Transportation Authority, Refunding RB, Limited Tax, Measure K, Series A:

    

6.00%, 3/01/36

     2,880        3,510,288   

5.50%, 3/01/41

     5,270        6,294,804   

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

     20,000        21,764,000   

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

     2,500        2,818,875   

Grossmont California Healthcare District, GO, Election of 2006, Series B (a):

    

6.00%, 7/15/21

     3,235        4,081,826   

6.13%, 7/15/21

     2,000        2,536,780   

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

     4,145        4,841,153   

Los Alamitos Unified School District California, GO, School Facilities Improvement District No. 1, 5.50%, 2/01/19 (a)

     5,000        5,690,850   

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

     5,065        5,705,773   

Modesto Irrigation District, COP, Capital Improvments, Series A, 5.75%, 10/01/29

     3,035        3,431,310   

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

     6,000        6,855,300   

Oakland Unified School District/Alameda County, GO, Series A, 5.00%, 8/01/40

     1,900        2,143,504   

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

     2,000        2,286,820   
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

  

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

  

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

   $ 2,000      $ 2,219,380   

Sacramento Area Flood Control Agency, Special Assessment Bonds, Consolidated Capital Assessment District, 5.25%, 10/01/32

     4,865        5,706,694   

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

     1,500        1,717,125   

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

     5,520        6,197,414   

San Jose California Financing Authority, Refunding LRB, Civic Center Project, Series A, 5.00%, 6/01/32

     3,375        3,974,569   

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

     3,060        3,662,912   

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

    

5.50%, 8/01/30

     6,525        7,249,797   

5.13%, 8/01/33

     10,000        10,991,400   

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

     2,250        2,581,155   

Torrance Unified School District California, GO, Election of 2008, Measure Z, 6.00%, 8/01/19 (a)

     4,000        4,710,480   

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

     3,445        4,059,864   

West Contra Costa California Unified School District, GO, Series A:

    

Election of 2010 (AGM), 5.25%, 8/01/32

     4,945        5,861,753   

Election of 2012, 5.50%, 8/01/39

     2,500        2,991,450   
    

 

 

 
               165,812,544   

Education — 2.1%

    

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

     6,280        7,687,851   

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

     2,500        2,925,125   
    

 

 

 
               10,612,976   

Health — 15.0%

    

ABAG Finance Authority for Nonprofit Corps., Refunding RB, Sharp Healthcare, Series B, 6.25%, 8/01/39

     4,975        5,797,616   

California Health Facilities Financing Authority, RB:

    

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

     6,710        7,669,731   

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

     8,500        9,681,925   

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

     1,475        1,693,993   

Sutter Health, Series A, 5.00%, 11/15/41 (b)

     7,180        8,382,722   

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

     4,500        4,653,495   

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

     6,015        7,255,594   
 

 

Portfolio Abbreviations      

 

ACA    American Capital Access Holding Ltd.      COP    Certificates of Participation    IDB    Industrial Development Board
AGC    Assured Guarantee Corp.      EDA    Economic Development Authority    ISD    Independent School District
AGM    Assured Guaranty Municipal Corp.      EDC    Economic Development Corp.    LRB    Lease Revenue Bonds
AMBAC    American Municipal Bond Assurance Corp.      ERB    Education Revenue Bonds    M/F    Multi-Family
AMT    Alternative Minimum Tax (subject to)      FHA    Federal Housing Administration    MRB    Mortgage Revenue Bonds
ARB    Airport Revenue Bonds      GARB    General Airport Revenue Bonds    NPFGC    National Public Finance Guarantee Corp.
BARB    Building Aid Revenue Bonds      GO    General Obligation Bonds    PILOT    Payment in Lieu of Taxes
BHAC    Berkshire Hathaway Assurance Corp.      HDA    Housing Development Authority    RB    Revenue Bonds
CAB    Capital Appreciation Bonds      HFA    Housing Finance Agency    S/F    Single-Family
CIFG    CDC IXIS Financial Guaranty      IDA    Industrial Development Authority    SONYMA    State of New York Mortgage Agency

 

See Notes to Financial Statements.

 

                
18    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments (continued)

  

BlackRock California Municipal Income Trust (BFZ)

 

Municipal Bonds   

Par  

(000)

    Value  

California (continued)

  

Health (continued)

    

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

    

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

   $ 5,550      $ 6,380,003   

Dignity Health, 6.00%, 7/01/34

     4,505        5,199,941   

Providence Health and Services, 5.00%, 10/01/38

     3,000        3,484,890   

California Statewide Communities Development Authority, RB, Kaiser Permanente, Series B, 5.25%, 3/01/45

     2,000        2,007,660   

California Statewide Communities Development Authority, Refunding RB:

    

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

     2,900        3,083,367   

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

     5,065        5,384,551   

Trinity Health Credit Group Composite Issue, 5.00%, 12/01/41

     4,000        4,493,760   

Township of Washington Health Care District, GO, Election of 2004, Series B, 5.50%, 8/01/38

     1,625        1,971,466   
    

 

 

 
               77,140,714   

State — 9.8%

    

Orange County Community Facilities District, Special Tax Bonds, Village of Esencia, Series A, 5.25%, 8/15/45

     2,500        2,877,275   

State of California, GO, Various Purposes:

    

6.00%, 3/01/33

     2,000        2,396,080   

6.00%, 4/01/38

     15,875        18,325,465   

State of California Public Works Board, LRB:

    

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

     9,000        10,611,540   

Various Capital Projects, Series I, 5.50%, 11/01/33

     4,940        6,120,166   

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

     5,025        6,040,603   

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

     3,335        4,013,872   
    

 

 

 
               50,385,001   

Tobacco — 1.9%

    

Golden State Tobacco Securitization Corp., Refunding RB, Asset-Backed, Senior, Series A-1, 5.75%, 6/01/47

     10,250        9,788,853   

Transportation — 10.9%

    

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

     6,750        7,809,615   

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Senior Series A:

    

5.00%, 5/15/34

     6,650        7,499,138   

5.00%, 5/15/40

     4,760        5,400,268   

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

    

5.75%, 3/01/34

     3,820        4,506,760   

6.25%, 3/01/34

     2,650        3,190,176   

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

     8,000        8,559,440   

County of Sacramento California, ARB:

    

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

     3,000        3,339,300   

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

     1,850        2,047,783   

Senior Series B, AMT (AGM), 5.25%, 7/01/33

     2,275        2,470,650   

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

     5,580        6,329,896   
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

  

Transportation (continued)

    

Port of Los Angeles California Harbor Department, Refunding RB, Series A, AMT, 5.00%, 8/01/44

   $ 4,135      $ 4,668,994   
    

 

 

 
               55,822,020   

Utilities — 19.9%

    

Anaheim Public Financing Authority, RB, Electric System Distribution Facilities, Series A, 5.38%, 10/01/36

     7,690        9,051,130   

City of Chula Vista California, Refunding RB, San Diego Gas & Electric, Series D, 5.88%, 1/01/34

     6,555        7,581,841   

City of Los Angeles California Department of Water & Power, RB:

    

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

     9,000        9,884,610   

Series A, 5.38%, 7/01/34

     3,250        3,635,482   

City of Los Angeles California Department of Water & Power, Refunding RB, Series A, 5.25%, 7/01/39

     4,000        4,620,680   

City of Los Angeles California Wastewater System, Refunding RB, Series A, 5.00%, 6/01/39

     2,000        2,233,700   

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

     5,625        6,785,662   

City of San Francisco California Public Utilities Commission Water Revenue, RB:

    

Series A, 5.00%, 11/01/35

     10,625        12,006,781   

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

     5,000        5,845,600   

Cucamonga Valley Water District, Refunding RB, Series A (AGM), 5.25%, 9/01/31

     4,320        5,146,978   

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

     2,425        2,896,008   

East Bay California Municipal Utility District Water System Revenue, Refunding RB, Series A, 5.00%, 6/01/36

     6,745        7,735,301   

El Dorado Irrigation District / El Dorado County Water Agency, Refunding RB, Series A (AGM), 5.25%, 3/01/39

     10,000        11,841,600   

San Diego Public Facilities Financing Authority Sewer, Refunding RB, Senior Series A, 5.25%, 5/15/34

     11,020        12,519,932   
    

 

 

 
               101,785,305   
Total Municipal Bonds in California              475,031,343   
    

Multi-State — 0.5%

                

Housing — 0.5%

    

Centerline Equity Issuer Trust (c)(d):

    

Series A-4-2, 6.00%, 5/15/19

     1,000        1,125,230   

Series B-3-2, 6.30%, 5/15/19

     1,000        1,133,640   
Total Municipal Bonds in Multi-State              2,258,870   
Total Municipal Bonds — 93.1%              477,290,213   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
            

California — 72.1%

                

County/City/Special District/School District — 30.1%

  

California Health Facilities Financing Authority, RB, Sutter Health, Series A, 5.00%, 8/15/52

     9,695        10,885,238   

City of Los Angeles Department of Airports, Series D, AMT, 5.00%, 5/15/41

     18,632        21,293,065   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    19


Schedule of Investments (continued)

  

BlackRock California Municipal Income Trust (BFZ)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
  

Par  

(000)

    Value  

California (continued)

                

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

  

Los Angeles Community College District California, GO:

    

Election of 2001, Series A (AGM), 5.00%, 8/01/17 (a)

   $ 8,000      $ 8,539,680   

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

     12,900        15,044,689   

Los Angeles Community College District California, GO, Refunding, 6.00%, 8/01/19 (a)

     20,131        23,706,915   

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

     5,000        5,642,400   

Palomar California Community College District, GO, Election of 2006, Series C, 5.00%, 8/01/44

     15,140        17,778,599   

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

     10,484        12,002,042   

San Joaquin California Delta Community College District, GO, Election of 2004, Series C, 5.00%, 8/01/39

     14,505        16,929,180   

San Jose Unified School District Santa Clara County California, GO:

    

Election of 2002, Series D, 5.00%, 8/01/18 (a)

     14,625        16,162,171   

Series C, 4.00%, 8/01/39

     6,100        6,507,724   
    

 

 

 
               154,491,703   

Education — 18.2%

    

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

     10,395        11,601,548   

Grossmont Union High School District, GO, Election of 2004, 5.00%, 8/01/18 (a)

     13,095        14,471,347   

University of California, RB:

    

Series AM, 5.25%, 5/15/44

     5,000        5,909,000   

Series O, 5.75%, 5/15/19 (a)

     12,300        14,261,891   

University of California, Refunding RB:

    

Series A, 5.00%, 11/01/43

     11,792        13,881,953   

Series AI, 5.00%, 5/15/38

     14,225        16,633,995   

Series I, 5.00%, 5/15/40

     14,065        16,455,702   
    

 

 

 
               93,215,436   

Health — 4.2%

    

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

     18,960        21,480,922   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
  

Par  

(000)

    Value  

California (continued)

                

Utilities — 19.6%

    

City of Los Angeles California Department of Water & Power, RB, Power System, Sub-Series A-1 (AMBAC), 5.00%, 7/01/37

   $ 15,998      $ 16,950,744   

County of Orange California Sanitation District, COP, Series B (AGM), 5.00%, 2/01/17 (a)

     14,700        15,375,024   

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

     10,480        11,825,946   

County of San Diego Water Authority Financing Corp., COP, Refunding, Series A (AGM):

    

5.00%, 5/01/18 (a)

     1,670        1,837,659   

5.00%, 5/01/33

     8,370        9,088,672   

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

     18,002        19,678,717   

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

     11,180        11,841,856   

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

     12,460        14,156,242   
    

 

 

 
               100,754,860   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 72.1%
             369,942,921   
Total Long-Term Investments
(Cost — $771,565,047) — 165.2%
             847,233,134   
    
                  
Short-Term Securities    Shares         

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

     4,602,910        4,602,910   
Total Short-Term Securities
(Cost — $4,602,910) — 0.9%
        4,602,910   
Total Investments (Cost — $776,167,957) — 166.1%        851,836,044   
Other Assets Less Liabilities — 0.3%        1,875,747   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (33.0)%

   

    (169,478,523
VMTP Shares, at Liquidation Value — (33.4)%        (171,300,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 512,933,268   
    

 

 

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

 

(d)   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)   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. See Note 4 of the Notes to Financial Statements for details.

 

(f)   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 October 1, 2016 to August 1, 2018, is $14,013,480. See Note 4 of the Notes to Financial Statements for details.

 

(g)   During the six months ended January 31, 2016, investments in issuers considered to be an affiliate 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 July 31,
2015
       Net
Activity
       Shares Held
at January 31,
2016
       Income  

BIF California Municipal Money Fund

       6,380,903           (1,777,993        4,602,910         $ 2   

 

See Notes to Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments (continued)

  

BlackRock California Municipal Income Trust (BFZ)

 

 

(h)   Current yield as of period end.

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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Derivative Financial Instruments Outstanding as of Period End

 

Financial Futures Contracts          
Contracts
Short
    Issue      Expiration      Notional
Value
     Unrealized
Depreciation
           
  (74   5-Year U.S. Treasury Note      March 2016      8,929,719      $ (109,755    
  (59   10-Year U.S. Treasury Note      March 2016      7,645,109        (139,978    
  (30   Long U.S. Treasury Bond      March 2016      4,830,938        (158,671        
  Total                     $ (408,404    
                

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure      

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

           Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  
Liabilities — Derivative Financial Instruments                                                  

Financial futures contracts

  Net unrealized depreciation1      —           —           —           —         $ 408,404         —         $ 408,404   

1    Includes cumulative depreciation on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

        

For the six months ended January 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  
Net Realized Gain (Loss) From:                    

Financial futures contracts

    —           —           —           —         $ (86,462      —         $ (86,462

Net Change in Unrealized Appreciation (Depreciation) on:

                   

Financial futures contracts

    —           —           —           —         $ (365,290      —         $ (365,290

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:        

Average notional value of contracts — short

   $ 17,251,129   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    21


Schedule of Investments (concluded)

  

BlackRock California Municipal Income Trust (BFZ)

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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

            $ 847,233,134                   $ 847,233,134   

Short-Term Securities

  $ 4,602,910                               4,602,910   
 

 

 

 

Total

  $ 4,602,910         $ 847,233,134                   $ 851,836,044   
 

 

 

 

1    See above Schedule of Investments for values in each sector.

       

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments2                 

Liabilities:

                

Interest Rate Contracts

  $ (408,404                          $ (408,404

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

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement 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  

Assets:

                

Cash pledged for financial futures contracts

  $ 267,000                             $ 267,000   

Liabilities:

                

TOB Trust Certificates

            $ (169,448,780                  (169,448,780

VMTP Shares

              (171,300,000                  (171,300,000
 

 

 

 

Total

  $ 267,000         $ (340,748,780                $ (340,481,780
 

 

 

 

During the six months ended January 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments January 31, 2016 (Unaudited)

  

BlackRock Florida Municipal 2020 Term Trust (BFO)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Florida — 95.9%

                

Corporate — 4.0%

  

County of Hillsborough Florida IDA, Refunding RB, Tampa Electric Co. Project, Series A, 5.65%, 5/15/18

   $ 1,000      $ 1,099,150   

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

     2,000        2,343,520   
    

 

 

 
               3,442,670   

County/City/Special District/School District — 37.3%

  

City of Jacksonville Florida, Refunding RB:

    

Better Jacksonville Sales Tax, 5.00%, 10/01/20

     4,000        4,684,080   

Brooks Rehabilitation Project, 5.00%, 11/01/20

     400        457,612   

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

     2,500        2,744,150   

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

     2,000        2,323,540   

County of Hillsborough Florida, RB (AMBAC), 5.00%, 11/01/17 (a)

     5,545        5,964,590   

County of Miami-Dade Florida School Board, COP, Refunding, Series B (AGC), 5.25%, 5/01/18 (a)

     4,000        4,404,320   

County of Northern Palm Beach Florida Improvement District, Refunding, Special Assessment Bonds, Water Control & Improvement District No. 43, Series B (ACA), 4.50%, 8/01/22

     1,000        1,011,020   

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

     485        557,207   

Indian River County School Board, COP, Refunding, Series A, 5.00%, 7/01/20

     1,000        1,157,560   

Miami-Dade County School Board Foundation, Inc., COP, Refunding, Series A, 5.00%, 5/01/20

     1,250        1,433,775   

Palm Beach County School District, COP, Refunding Series B, 5.00%, 8/01/20

     3,000        3,493,620   

Sterling Hill Community Development District, Refunding, Special Assessment Bonds, Series A, 6.10%, 5/01/23 (b)(c)

     2,910        2,036,563   

Stevens Plantation Florida Imports Project Dependent Special District, RB, 6.38%, 5/01/13 (b)(c)

     2,425        1,697,355   
    

 

 

 
               31,965,392   

Education — 4.3%

  

City of Tampa Florida, Refunding RB, Florida Revenue The University of Tampa Project, 5.00%, 4/01/20

     795        908,494   

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

     725        784,740   

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

     400        436,076   

Florida State Higher Educational Facilities Financial Authority, Refunding RB, University of Tampa Project, Series A, 5.00%, 4/01/20

     1,000        1,123,750   

Volusia County School Board, COP, Refunding Series A, 5.00%, 8/01/20 (d)

     350        407,540   
    

 

 

 
               3,660,600   

Health — 14.6%

  

County of Brevard Florida Health Facilities Authority, Refunding RB, 5.00%, 4/01/20

     500        570,620   

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

     2,155        2,476,548   

County of Marion Florida Hospital District, Refunding RB, Health System, Munroe Regional, 5.00%, 10/01/17 (a)

     1,500        1,608,585   

County of Orange Florida Health Facilities Authority, Refunding RB, Mayflower Retirement Center:

    

3.00%, 6/01/16

     140        140,610   

3.00%, 6/01/17

     190        193,422   

3.25%, 6/01/18

     195        201,293   

3.50%, 6/01/19

     200        209,804   
Municipal Bonds   

Par  

(000)

    Value  

Florida (continued)

                

Health (continued)

  

County of Palm Beach Florida Health Facilities Authority, Refunding RB:

    

Acts Retirement-Life Communities, Inc., 5.00%, 11/15/22

   $ 4,735      $ 5,412,200   

Bethesda Healthcare System Project, Series A (AGM), 5.00%, 7/01/20

     1,285        1,477,917   

Miami Beach Health Facilities Authority, Refunding RB, 5.00%, 11/15/20

     150        172,192   
    

 

 

 
               12,463,191   

Housing — 1.0%

  

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

     175        175,359   

County of Manatee Florida Housing Finance Authority, RB, S/F Housing, Series A, AMT (Ginnie Mae, Fannie Mae & Freddie Mac), 5.90%, 9/01/40

     165        167,833   

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

     425        434,711   

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

     110        112,872   
    

 

 

 
               890,775   

State — 12.6%

  

Florida Municipal Loan Council, RB, Series D (AGM):

    

5.00%, 10/01/19

     1,050        1,193,913   

4.00%, 10/01/20

     1,105        1,222,727   

4.00%, 10/01/21

     500        559,550   

Florida Municipal Loan Council, Refunding RB:

    

CAB, Series A (NPFGC), 0.00%, 4/01/20 (e)

     4,000        3,602,800   

Series B-2 (AGM), 4.00%, 10/01/20

     655        726,886   

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

     3,000        3,504,360   
    

 

 

 
               10,810,236   

Transportation — 10.9%

  

City of Jacksonville Florida Port Authority, Refunding RB, AMT, 4.00%, 11/01/20

     865        936,795   

County of Broward Florida Fuel System, RB, Lauderdale Fuel Facilities, Series A (AGM), AMT, 5.00%, 4/01/20

     160        182,093   

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

     2,500        2,881,350   

County of Miami-Dade Florida, Refunding RB, Series A, AMT, 5.00%, 10/01/20

     1,375        1,596,732   

County of Miami-Dade Florida Expressway Authority, Refunding RB, Toll System, Series A, 5.00%, 7/01/20

     1,500        1,746,180   

County of Miami-Dade Florida Transit System Sales Surtax, Refunding RB, 5.00%, 7/01/20

     550        639,876   

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

     1,130        1,321,569   
    

 

 

 
               9,304,595   

Utilities — 11.2%

  

City of Miami Beach Florida, RB, 5.00%, 9/01/20

     500        584,005   

City of North Miami Florida Beach Water Revenue, RB, 5.00%, 8/01/20

     1,200        1,380,384   

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

     4,000        4,609,040   

Florida Governmental Utility Authority, RB, Golden Gate Utility System (AGM), 5.00%, 7/01/19

     510        574,602   

Florida Governmental Utility Authority, Refunding RB:

    

4.00%, 10/01/20

     500        558,105   

Lehigh Utility (AGM), 5.00%, 10/01/20

     635        737,400   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    23


Schedule of Investments (concluded)

  

BlackRock Florida Municipal 2020 Term Trust (BFO)

 

Municipal Bonds   

Par  

(000)

    Value  

Florida (continued)

                

Utilities (continued)

  

Florida Municipal Power Agency, RB,
5.00%, 10/01/20

   $ 500      $ 581,425   

Town of Davie Florida, Refunding RB, Nova Southeastern University Project, Series B,
5.00%, 4/01/20

     530        601,290   
    

 

 

 
               9,626,251   
Total Municipal Bonds in Florida              82,163,710   
    

Guam — 0.6%

                

Utilities — 0.6%

  

Guam Government Waterworks Authority, RB,
5.25%, 7/01/20

     100        114,417   

Guam Power Authority, Refunding RB, Series A (AGM), 5.00%, 10/01/20

     310        361,785   
Total Municipal Bonds in Guam              476,202   
Municipal Bonds   

Par  

(000)

    Value  

U.S. Virgin Islands — 2.3%

                

State — 2.3%

  

 

Virgin Islands Public Finance Authority, RB, Series A, 5.00%, 10/01/19

   $ 1,810      $ 2,012,467   
Total Municipal Bonds
(Cost — $81,112,737) — 98.8%
        84,652,379   
    
                  
Short-Term Securities    Shares         

BlackRock Liquidity Funds, MuniCash, 0.02% (f)(g)

     760,989        760,989   
Total Short-Term Securities
(Cost — $760,989) — 0.9%
        760,989   
Total Investments (Cost — $81,873,726) — 99.7%        85,413,368   
Other Assets Less Liabilities — 0.3%        232,737   
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 85,646,105   
    

 

 

 
 
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)   Issuer filed for bankruptcy and/or is in default of interest payments.

 

(c)   Non-income producing security.

 

(d)   When-issued security.

 

(e)   Zero-coupon bond.

 

(f)   During the six months ended January 31, 2016, 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 July 31,
2015
       Net
Activity
       Shares Held
at January 31,
2016
       Income  

BlackRock Liquidity Funds, MuniCash

                 760,989           760,989             

FFI Institutional Tax-Exempt Fund

       550,062           (550,062                $ 40   

 

(g)   Current yield as of period end.

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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about the Trust’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s investments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 84,652,379                   $ 84,652,379   

Short- Term Securities

  $ 760,989                               760,989   
 

 

 

 

Total

  $ 760,989         $ 84,652,379                   $ 85,413,368   
 

 

 

 

1    See above Schedule of Investments for values in each sector.

       

Duringthe six months ended January 31, 2016, there were no transfers between levels.

  

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments January 31, 2016 (Unaudited)

  

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 0.3%

  

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

   $ 275      $ 306,303   

Alaska — 0.3%

  

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

     330        278,880   

California — 14.6%

  

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

     1,315        1,467,632   

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

     890        1,023,100   

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

     1,300        1,427,777   

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

     775        949,592   

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

     1,600        1,796,352   

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

     1,275        1,527,501   

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

    

5.50%, 11/01/31

     1,600        1,986,112   

5.50%, 11/01/33

     1,500        1,858,350   

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

     400        481,424   

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

     300        362,190   

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

     1,780        2,117,844   
    

 

 

 
               14,997,874   

Colorado — 2.4%

  

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

     1,000        1,198,110   

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

     1,095        1,235,499   
    

 

 

 
               2,433,609   

Florida — 9.0%

  

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

     265        319,068   

City of Miami Beach Florida Parking Revenue, RB, 5.00%, 9/01/45

     645        736,764   

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

     3,800        4,651,770   

County of Miami-Dade Florida Educational Facilities Authority, Refunding RB, University of Miami, Series A, 5.00%, 4/01/45

     2,555        2,881,146   

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

     570        676,590   
    

 

 

 
               9,265,338   

Georgia — 1.7%

  

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

     1,565        1,761,642   

Illinois — 20.7%

  

City of Chicago Illinois, GARB, O’Hare International Airport, 3rd Lien, Series C, 6.50%, 1/01/41

     2,955        3,566,094   

City of Chicago Illinois Transit Authority, RB:

    

5.25%, 12/01/31

     1,060        1,181,423   

Sales Tax Receipts, 5.25%, 12/01/36

     1,000        1,102,190   

Sales Tax Receipts, 5.25%, 12/01/40

     1,000        1,093,300   
Municipal Bonds   

Par  

(000)

    Value  

Illinois (continued)

  

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

    

5.50%, 12/01/38

   $ 1,000      $ 1,160,560   

5.25%, 12/01/43

     3,500        3,944,675   

Illinois Finance Authority, RB:

    

Carle Foundation, Series A, 6.00%, 8/15/41

     1,000        1,186,980   

Rush University Medical Center, Series B, 7.25%, 11/01/18 (a)

     1,600        1,878,576   

Illinois Finance Authority, Refunding RB, Northwestern Memorial Hospital, Series A, 6.00%, 8/15/39

     1,900        2,212,664   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     690        816,532   

6.00%, 6/01/28

     195        234,688   

State of Illinois, GO:

    

5.25%, 2/01/31

     475        520,785   

5.25%, 2/01/32

     1,000        1,090,630   

5.50%, 7/01/33

     1,000        1,122,070   

5.50%, 7/01/38

     210        232,752   
    

 

 

 
               21,343,919   

Indiana — 2.4%

  

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

     2,210        2,508,903   

Kansas — 1.8%

  

Kansas Development Finance Authority, Refunding RB, Adventist Health System/Sunbelt Obligated Group, Series C, 5.50%, 11/15/29

     1,600        1,844,128   

Kentucky — 0.6%

  

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

     500        582,940   

Louisiana — 1.5%

  

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

     715        847,740   

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

     600        660,822   
    

 

 

 
               1,508,562   

Maine — 1.5%

  

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

     1,270        1,524,419   

Massachusetts — 1.1%

  

Massachusetts Health & Educational Facilities Authority, RB, Tufts University, Series O, 5.38%, 8/15/18 (a)

     1,000        1,116,620   

Michigan — 3.3%

  

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

     915        1,082,646   

Michigan State Building Authority, Refunding RB, Facilities Program Series:

    

6.00%, 10/15/18 (a)

     605        688,762   

6.00%, 10/15/38

     395        444,731   

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

     995        1,183,692   
    

 

 

 
               3,399,831   

Mississippi — 1.3%

  

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

     1,000        1,342,710   

Nevada — 3.9%

  

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

     1,600        1,856,000   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    25


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Trust (BBF)

 

Municipal Bonds   

Par  

(000)

    Value  

Nevada (continued)

  

County of Clark Nevada Airport System, ARB, Series B, 5.75%, 7/01/42

   $ 1,825      $ 2,119,336   
    

 

 

 
               3,975,336   

New Jersey — 4.1%

  

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

     1,140        1,214,522   

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

    

Series A, 5.88%, 12/15/38

     1,295        1,417,973   

Series AA, 5.50%, 6/15/39

     1,485        1,636,990   
    

 

 

 
               4,269,485   

New York — 6.4%

  

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (b)

     600        626,718   

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

     1,000        1,164,260   

New York Liberty Development Corp., Refunding RB, 2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

     980        1,106,753   

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

     3,250        3,656,445   
    

 

 

 
               6,554,176   

Ohio — 2.7%

  

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

     1,565        1,757,996   

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

     885        1,060,248   
    

 

 

 
               2,818,244   

Pennsylvania — 4.6%

  

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

     500        570,610   

Pennsylvania Turnpike Commission, RB, Sub-Series A:

    

6.00%, 12/01/16 (a)

     1,500        1,570,365   

5.63%, 12/01/31

     1,250        1,459,837   

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

     1,000        1,157,880   
    

 

 

 
               4,758,692   

Rhode Island — 1.8%

  

Tobacco Settlement Financing Corp., Refunding RB, Series B, 4.50%, 6/01/45

     1,880        1,905,681   

South Carolina — 3.6%

  

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

     1,190        1,416,005   

South Carolina State Public Service Authority, Refunding RB, Obligations, Series C, 5.00%, 12/01/46

     1,000        1,125,290   

State of South Carolina Public Service Authority, Refunding RB, Series E, 5.25%, 12/01/55

     1,000        1,134,750   
    

 

 

 
               3,676,045   

Texas — 12.4%

  

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

     1,670        1,914,905   

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

     745        864,721   

Conroe Texas ISD, GO, School Building, Series A, 5.75%, 2/15/18 (a)

     890        980,691   

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Scott & White Healthcare:

    

6.00%, 8/15/20 (a)

     140        169,929   

6.00%, 8/15/45

     1,765        2,110,922   
Municipal Bonds   

Par  

(000)

    Value  

Texas (continued)

  

Lower Colorado River Authority, Refunding RB:

    

5.50%, 5/15/19 (a)

   $ 5      $ 5,729   

5.50%, 5/15/19 (a)

     80        91,658   

5.50%, 5/15/19 (a)

     5        5,729   

5.50%, 5/15/33

     1,910        2,147,012   

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

     1,000        1,184,180   

North Texas Tollway Authority, Refunding RB, 1st Tier, Series K-1 (AGC), 5.75%, 1/01/38

     1,000        1,120,140   

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

     340        395,145   

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        1,772,755   
    

 

 

 
               12,763,516   

Virginia — 1.4%

  

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

     280        319,463   

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

     1,000        1,159,660   
    

 

 

 
               1,479,123   

Wisconsin — 1.8%

  

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

     1,675        1,821,529   
Total Municipal Bonds — 105.2%        108,237,505   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
        

California — 19.1%

  

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

     1,995        2,226,560   

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

     2,400        2,751,384   

Los Angeles Community College District California, GO, Election of 2008, Series C, 5.25%, 8/01/39 (d)

     2,630        3,067,251   

Los Angeles Community College District California, GO, Refunding, Election of 2008, Series A, 6.00%, 8/01/19 (a)

     3,898        4,590,713   

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

     400        451,392   

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

     4,214        4,825,235   

University of California, RB, Series O, 5.75%, 5/15/19 (a)

     1,500        1,739,255   
    

 

 

 
               19,651,790   

District of Columbia — 3.5%

  

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

     1,395        1,631,434   

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 5.50%, 10/01/18 (a)

     1,799        2,019,971   
    

 

 

 
               3,651,405   

Illinois — 3.1%

  

State of Illinois Finance Authority, RB, University of Chicago, Series B, 6.25%, 7/01/18 (a)

     2,800        3,166,044   

Nevada — 5.0%

  

County of Clark Nevada Water Reclamation District, GO:

    

Limited Tax, 6.00%, 7/01/18 (a)

     2,500        2,813,150   

Series B, 5.50%, 7/01/29

     1,994        2,281,950   
    

 

 

 
               5,095,100   
 

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Trust (BBF)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
  

Par  

(000)

    Value  

New Hampshire — 1.2%

  

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

   $ 1,094      $ 1,241,635   

New Jersey — 3.8%

  

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

    

Series A (AMBAC), 5.00%, 12/15/32

     2,000        2,104,520   

Series B, 5.25%, 6/15/36 (d)

     1,640        1,755,006   
    

 

 

 
               3,859,526   

New York — 13.2%

  

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A, 5.75%, 6/15/40

     1,410        1,569,060   

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

    

Series FF, 5.00%, 6/15/45

     1,500        1,715,414   

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

     1,995        2,276,261   

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

     1,500        1,668,101   

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

     2,205        2,563,229   

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

     1,300        1,520,505   

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

     2,000        2,250,120   
    

 

 

 
               13,562,690   
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
  

Par  

(000)

    Value  

Texas — 5.2%

  

City of San Antonio Texas Public Service Board, Refunding RB, Series A, 5.25%, 2/01/31 (d)

   $ 2,025      $ 2,261,242   

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

     2,750        3,128,317   
    

 

 

 
               5,389,559   

Virginia — 1.0%

  

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

     899        1,019,872   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 55.1%
        56,637,621   
Total Long-Term Investments
(Cost — $146,419,184) — 160.3%
        164,875,126   
    
                  
Short-Term Securities    Shares         

BlackRock Liquidity Funds, MuniCash, 0.02% (e)(f)

     339,390        339,390   
Total Short-Term Securities
(Cost — $339,390) — 0.3%
        339,390   
Total Investments (Cost — $146,758,574) — 160.6%        165,214,516   
Other Assets Less Liabilities — 1.5%        1,546,555   

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (28.9)%

   

    (29,686,069

VRDP Shares, at Redemption Value — (33.2)%

  

    (34,200,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 102,875,002   
    

 

 

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

 

(c)   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. See Note 4 of the Notes to Financial Statements for details.

 

(d)  

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 October 1, 2016 and November 15, 2019, is $7,891,026. See Note 4 of the Notes to Financial Statements for details.

 

(e)   During the six months ended January 31, 2016, 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 July 31,
2015
       Net
Activity
       Shares Held
at January 31,
2016
       Income  

BlackRock Liquidity Funds, MuniCash

                 339,390           339,390             

FFI Institutional Tax-Exempt Fund

       478,351           (478,351                $ 78   

 

(f)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End      

 

Financial Futures Contracts
Contracts
Short
    Issue      Expiration      Notional
Value
    Unrealized
Depreciation
      
  (22   5-Year U.S. Treasury Note      March 2016      $ 2,654,781      $ (42,029  
  (17   10-Year U.S. Treasury Note      March 2016      $ 2,202,828        (51,017  
  (7   Long U.S. Treasury Bond      March 2016      $ 1,127,219        (50,790  
  (1   Ultra U.S. Treasury Bond      March 2016      $ 166,188        (8,595    
  Total                  $ (152,431  
             

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    27


Schedule of Investments (concluded)

  

BlackRock Municipal Income Investment Trust (BBF)

 

 

Derivative Financial Instruments Categorized by Risk Exposure      

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

            Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  
Liabilities — Derivative Financial Instruments                                                  

Financial futures contracts

   Net unrealized depreciation1                                    $ 152,431               $ 152,431   

1    Includes cumulative depreciation on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

        

For the six months ended January 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
   Credit
Contracts
   Equity
Contracts
   Foreign
Currency
Exchange
Contracts
   Interest
Rate
Contracts
     Other
Contracts
   Total  
Net Realized Gain (Loss) From:                     

Financial futures contracts

               $ (57,411       $ (57,411

Net Change in Unrealized Appreciation (Depreciation) on:

  

Financial futures contracts

               $ (141,234       $ (141,234

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments      

 

Financial futures contracts:        

Average notional value of contracts — short

  $ 4,499,656   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End      

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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

            $ 164,875,126              $ 164,875,126   

Short-Term Securities

  $ 339,390                          339,390   
 

 

 

 

Total

  $ 339,390         $ 164,875,126              $ 165,214,516   
 

 

 

 

1    See above Schedule of Investments for values in each sector.

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2                 

Liabilities:

                

Interest Rate Contracts

  $ (152,431                     $ (152,431

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement 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  

Assets:

                

Cash pledged for financial futures contracts

  $ 75,850                        $ 75,850   

Liabilities:

                

TOB Trust Certificates

            $ (29,682,285             (29,682,285

VRDP Shares

              (34,200,000             (34,200,000
 

 

 

 

Total

  $ 75,850         $ (63,882,285           $ (63,806,435
 

 

 

 

During the six months ended January 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments January 31, 2016 (Unaudited)

  

BlackRock Municipal Target Term Trust (BTT)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 1.0%

  

City of Phenix Alabama IDB, Refunding RB, Meadwestvaco Coated Board Project, Series A, 3.63%, 5/15/30

   $ 5,850      $ 5,502,978   

County of Jefferson Alabama, RB, Limited Obligation School, Series A:

    

5.25%, 1/01/19

     1,000        1,009,800   

5.25%, 1/01/20

     1,000        1,009,800   

5.50%, 1/01/21

     1,200        1,211,760   

5.50%, 1/01/22

     1,105        1,115,829   

County of Jefferson Alabama Sewer Revenue, Refunding RB, Senior Lien-Warrants, Series B (a):

    

0.00%, 10/01/31

     7,375        3,477,239   

0.00%, 10/01/32

     6,295        2,755,196   

0.00%, 10/01/33

     1,275        521,500   
    

 

 

 
               16,604,102   

Alaska — 0.4%

  

Northern Tobacco Securitization Corp., Refunding RB, Tobacco Settlement, Asset-Backed, Series A, 4.63%, 6/01/23

     7,235        7,237,749   

Arizona — 1.1%

  

Arizona Health Facilities Authority, Refunding RB, Phoenix Children’s Hospital:

    

Series A, 5.00%, 2/01/34

     6,340        6,951,747   

Series B, 5.00%, 2/01/33

     1,810        2,023,851   

City of Phoenix Arizona IDA, RB, Facility:

    

Candeo Schools, Inc. Project, 6.00%, 7/01/23

     640        717,549   

Eagle College Preparatory Project, Series A, 4.50%, 7/01/22

     660        696,095   

Eagle College Preparatory Project, Series A, 5.00%, 7/01/33

     1,000        1,032,090   

Legacy Traditional Schools Project, Series A, 5.75%, 7/01/24 (b)

     750        820,035   

County of Pima Arizona IDA, Refunding RB, Tucson Electric Power Co. Project, Series A, 4.00%, 9/01/29

     6,000        6,304,080   
    

 

 

 
               18,545,447   

California — 16.3%

  

Alameda Corridor Transportation Authority, Refunding RB, CAB, Sub-Lien, Series A (AMBAC), 0.00%, 10/01/30 (a)

     10,530        5,931,760   

Anaheim California Public Financing Authority, Refunding RB, Electric Distribution System, Series A, 4.00%, 10/01/31

     17,080        18,351,264   

California Health Facilities Financing Authority, Refunding RB:

    

Adventist Health System/West, Series A, 4.00%, 3/01/28

     8,490        9,128,533   

Adventist Health System/West, Series A, 4.00%, 3/01/33

     61,485        64,302,858   

Cedars-Sinai Medical Center, 5.00%, 11/15/30

     3,000        3,709,590   

California HFA, RB, S/F Housing, Home Mortgage, Series I, AMT, 4.70%, 8/01/26

     10,000        10,016,700   

California Municipal Finance Authority, RB:

    

Biola University, 4.00%, 10/01/27

     750        800,370   

Biola University, 5.00%, 10/01/29

     660        748,869   

Biola University, 5.00%, 10/01/30

     500        564,495   

Biola University, 4.00%, 10/01/33

     2,500        2,601,550   

Senior, S/F Housing, Caritas Affordable Housing, Inc. Project, Series A, 5.00%, 8/15/30

     1,000        1,147,310   

California Pollution Control Financing Authority, RB, Poseidon Resources Desalination Project, AMT, 5.00%, 7/01/30 (b)

     13,845        15,442,713   
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

  

California State Public Works Board, RB:, RB, Judicial Council Projects, Series A:

    

5.00%, 3/01/32

   $ 5,000      $ 5,864,050   

5.00%, 3/01/33

     5,220        6,103,485   

California Statewide Communities Development Authority, RB, American Baptist Homes of the West, Series A, 5.00%, 10/01/23

     1,500        1,757,490   

California Statewide Communities Development Authority, Refunding RB:

    

Episcopal Communities & Services, 5.00%, 5/15/27

     500        569,915   

Episcopal Communities & Services, 5.00%, 5/15/32

     1,000        1,103,640   

Eskaton Properties, Inc., 5.25%, 11/15/34

     2,500        2,735,500   

Loma Linda University Medical center, 5.25%, 12/01/29

     5,000        5,664,100   

City & County of San Francisco California Redevelopment Agency, Refunding, Special Tax Bonds, No. 6 Mission Bay South Public Improvements, Series A:

    

5.00%, 8/01/28

     1,000        1,130,700   

5.00%, 8/01/29

     1,300        1,460,043   

5.00%, 8/01/33

     1,335        1,482,638   

El Camino Community College District, GO, CAB, Election of 2002, Series C (a):

    

0.00%, 8/01/30

     9,090        5,768,332   

0.00%, 8/01/31

     12,465        7,469,651   

0.00%, 8/01/32

     17,435        10,059,298   

Los Angeles Regional Airports Improvement Corp., Refunding RB, LAXFuel Corp., Los Angeles International, AMT:

    

4.50%, 1/01/27

     5,000        5,558,850   

5.00%, 1/01/32

     4,110        4,590,706   

M-S-R Energy Authority, RB, Series C, 6.13%, 11/01/29

     2,500        3,262,700   

Oakland Unified School District/Alameda County, GO, Series A:

    

5.00%, 8/01/30

     1,000        1,181,960   

5.00%, 8/01/32

     1,100        1,284,745   

5.00%, 8/01/33

     1,000        1,162,550   

Poway Unified School District, GO, CAB, Election of 2008, Series A (a):

    

0.00%, 8/01/27

     10,000        7,059,800   

0.00%, 8/01/30

     10,000        6,255,800   

0.00%, 8/01/32

     12,500        7,212,000   

Poway Unified School District Public Financing Authority, Refunding, Special Tax Bonds:

    

5.00%, 9/15/26

     935        1,094,511   

5.00%, 9/15/29

     1,205        1,386,063   

5.00%, 9/15/32

     990        1,122,620   

Riverside Public Financing Authority, Tax Allocation Bonds, University Corridor/Sycamore Canyon Merged Redevelopment Project, Series C (NPFGC), 4.50%, 8/01/30

     10,000        10,421,200   

San Bernardino Community College District, GO, Refunding, Series A:

    

4.00%, 8/01/31

     10,660        11,702,122   

4.00%, 8/01/32

     12,010        13,098,466   

4.00%, 8/01/33

     5,665        6,162,330   

San Diego Community College District, GO, CAB, Election of 2006, 0.00%, 8/01/30 (a)

     5,000        2,794,700   

Union City Community Redevelopment Agency, Community Redevelopment Agency Projects, Series A:

    

5.00%, 10/01/30

     1,000        1,216,700   

5.00%, 10/01/31

     1,815        2,195,696   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    29


Schedule of Investments (continued)

  

BlackRock Municipal Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

California (continued)

  

Union City Community Redevelopment Agency, Community Redevelopment Agency Projects, Series A (continued):

    

5.00%, 10/01/32

   $ 1,355      $ 1,631,474   

5.00%, 10/01/33

     3,000        3,600,780   
    

 

 

 
               277,910,627   

Colorado — 3.8%

    

Central Platte Valley Metropolitan District, GO, Series A:

    

5.13%, 12/01/29

     700        804,160   

5.50%, 12/01/29

     750        882,563   

5.38%, 12/01/33

     1,500        1,734,105   

City of Lakewood Colorado Plaza Metropolitan District No. 1, Refunding, Tax Allocation Bonds, 4.00%, 12/01/23 (b)

     1,000        1,024,020   

Colorado Educational & Cultural Facilities Authority, Refunding RB, Peak to Peak Charter School Project, 5.00%, 8/15/30

     1,000        1,139,540   

Colorado Health Facilities Authority, Refunding RB, Series A:

    

Covenant Retirement Communities, 4.50%, 12/01/33

     4,595        4,656,205   

Covenant Retirement Communities, 5.00%, 12/01/33

     3,000        3,248,670   

The Evangelical Lutheran Good Samaritan Society Project, 5.00%, 6/01/29

     3,455        3,902,837   

The Evangelical Lutheran Good Samaritan Society Project, 5.00%, 6/01/30

     3,140        3,533,630   

The Evangelical Lutheran Good Samaritan Society Project, 5.00%, 6/01/31

     2,250        2,532,060   

The Evangelical Lutheran Good Samaritan Society Project, 5.00%, 6/01/32

     1,500        1,672,785   

Copperleaf Metropolitan District No 2, GO, Refunding, 5.25%, 12/01/30

     500        523,835   

Park Creek Metropolitan District, Refunding, Senior Limited Property, Series A:

    

5.00%, 12/01/26

     1,000        1,209,070   

5.00%, 12/01/27

     1,500        1,790,580   

5.00%, 12/01/28

     1,500        1,777,770   

5.00%, 12/01/30

     1,350        1,578,515   

5.00%, 12/01/31

     1,500        1,748,340   

5.00%, 12/01/33

     1,000        1,153,600   

Plaza Metropolitan District No. 1, Refunding, Tax Allocation Bonds (b):

    

4.10%, 12/01/24

     5,080        5,201,564   

4.20%, 12/01/25

     5,280        5,421,927   

4.50%, 12/01/30

     4,305        4,445,472   

State of Colorado, COP, Refunding, Fitzsimons Academic Projects, 4.00%, 11/01/30

     12,675        13,757,445   

Tallyns Reach Metropolitan District No. 3, GO, Refunding, 5.00%, 12/01/33

     505        537,966   
    

 

 

 
               64,276,659   

Connecticut — 1.5%

    

City of Hartford Connecticut, GO, Refunding, Series A:

    

4.00%, 4/01/29

     8,390        9,022,941   

4.00%, 4/01/32

     1,500        1,585,185   

Connecticut HFA, Refunding RB, M/F Housing, Mortgage Finance Program, Sub-Series F-1, 3.00%, 11/15/32

     12,020        11,941,149   

State of Connecticut, Special Tax Revenue, RB, Series A, 5.00%, 8/01/31

     3,000        3,633,870   
    

 

 

 
               26,183,145   
Municipal Bonds   

Par  

(000)

    Value  

District of Columbia — 0.1%

  

District of Columbia, Refunding RB, Kipp Charter School, Series A, 6.00%, 7/01/33

   $ 1,700      $ 1,988,949   

Florida — 11.3%

  

City of North Miami Beach Florida, Refunding RB:

    

4.00%, 8/01/27

     3,325        3,625,015   

5.00%, 8/01/29

     3,650        4,205,786   

5.00%, 8/01/30

     4,020        4,613,231   

5.00%, 8/01/31

     4,235        4,839,716   

5.00%, 8/01/32

     4,445        5,059,743   

City of Tampa Florida, Refunding RB, Series A:

    

County of Hillsborough Florida Expressway Authority, 4.00%, 7/01/30

     6,395        6,935,122   

H. Lee Moffitt Cancer Center Project, 4.00%, 9/01/33

     10,000        10,544,600   

County of Alachua Florida Health Facilities Authority, RB, East Ridge Retirement Village, Inc. Project, 6.00%, 11/15/29

     5,000        5,632,200   

County of Brevard Florida Health Facilities Authority, Refunding RB, Health First, Inc. Project, 5.00%, 4/01/33

     3,760        4,257,598   

County of Broward Florida, RB, Fort Lauderdale Fuel Facilities, Series A, AMT:

    

5.00%, 4/01/30

     600        679,278   

5.00%, 4/01/33

     740        824,730   

County of Martin Florida IDA, Refunding RB, Indiantown Cogeneration, L.P. Project, AMT, 4.20%, 12/15/25

     5,250        5,372,062   

County of Miami-Dade Florida Educational Facilities Authority, RB, University of Miami, Series A:

    

4.00%, 4/01/31

     2,930        3,119,659   

4.00%, 4/01/32

     1,000        1,059,430   

County of Miami-Dade Florida Educational Facilities Authority, Refunding RB, Sub-Series B, 5.00%, 10/01/32

     5,000        5,806,950   

County of Miami-Dade Florida School Board, COP, Refunding:

    

Series A, 5.00%, 5/01/32

     10,000        11,294,900   

Series A, 5.00%, 5/01/32

     9,000        10,620,630   

Series D, 5.00%, 2/01/29

     14,550        17,363,679   

County of St. Johns Florida Water & Sewer Revenue, Refunding RB, CAB, Series B (a):

    

0.00%, 6/01/29

     2,295        1,617,768   

0.00%, 6/01/30

     2,000        1,363,280   

0.00%, 6/01/31

     1,295        849,455   

0.00%, 6/01/32

     2,495        1,578,936   

Double Branch Community Development District, Refunding, Special Assessment Bonds, Senior Lien, Series A-1, 4.13%, 5/01/31

     1,200        1,258,368   

Greater Orlando Aviation Authority, Refunding RB, Jet Blue Airways Corp. Project, AMT, 5.00%, 11/15/26

     2,000        2,101,440   

Jacksonville Florida Port Authority, Refunding RB, AMT:

    

4.50%, 11/01/30

     2,895        3,179,376   

4.50%, 11/01/31

     3,200        3,501,664   

4.50%, 11/01/32

     2,300        2,502,124   

Miami Beach Health Facilities Authority, Refunding RB, Mont Sinai Medical Center:

    

5.00%, 11/15/25

     650        770,159   

5.00%, 11/15/26

     250        292,603   

5.00%, 11/15/27

     375        435,296   

5.00%, 11/15/28

     500        576,410   

5.00%, 11/15/30

     1,000        1,136,160   

Miami Beach Redevelopment Agency, Refunding, Tax Increment Revenue:

    

5.00%, 2/01/28

     1,000        1,191,950   

5.00%, 2/01/29

     1,650        1,956,356   
 

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Florida (continued)

  

Miami Beach Redevelopment Agency, Refunding, Tax Increment Revenue (continued):

    

5.00%, 2/01/30

   $ 3,305      $ 3,893,026   

5.00%, 2/01/31

     3,500        4,120,165   

5.00%, 2/01/32

     4,000        4,664,640   

5.00%, 2/01/33

     4,770        5,532,771   

Miami-Dade County Educational Facilities Authority, Refunding RB, Series A:

    

5.00%, 4/01/30

     3,720        4,370,442   

5.00%, 4/01/31

     2,000        2,339,560   

5.00%, 4/01/33

     5,000        5,796,450   

Miami-Dade County Industrial Development Authority, RB, Series A, 5.00%, 6/01/30

     2,385        2,573,081   

Reedy Creek Improvement District, GO, Series A, 5.25%, 6/01/30

     3,825        4,561,733   

Village Community Development District No. 6, Refunding, Special Assessment Bonds, Sumter County, 4.00%, 5/01/29

     6,180        6,292,785   

Village Community Development District No. 10, Special Assessment Bonds, Sumter County:

    

4.50%, 5/01/23

     3,070        3,367,452   

5.00%, 5/01/32

     5,765        6,393,616   

Village Community Development District No. 5, Refunding, Special Assessment Bonds:

    

Phase I, 3.50%, 5/01/28

     2,055        2,070,803   

Phase I, 3.50%, 5/01/28

     3,885        3,909,670   

Phase II, 4.00%, 5/01/33

     1,195        1,218,338   

Phase II, 4.00%, 5/01/34

     2,480        2,520,523   
    

 

 

 
               193,790,729   

Idaho — 0.6%

  

Idaho Housing & Finance Association, RB, Series A, 4.00%, 7/15/30

     10,000        10,713,600   

Illinois — 16.0%

  

Chicago Midway International Airport, Refunding ARB, 2nd Lien, Series A, AMT, 5.00%, 1/01/33

     5,000        5,606,700   

Chicago O’Hare International Airport, Refunding RB:

    

5.00%, 1/01/33

     6,940        8,048,734   

5.00%, 1/01/34

     7,850        9,084,099   

City of Chicago Illinois, GO, Series A:

    

CAB (NPFGC), 0.00%, 1/01/27 (a)

     5,000        2,978,350   

Project, 5.00%, 1/01/33

     10,000        9,688,800   

City of Chicago Illinois, GO, Refunding, 5.25%, 1/01/30

     6,000        6,081,240   

City of Chicago Illinois, RB, Wastewater Transmission, 2nd Lien:

    

4.00%, 1/01/31

     10,375        10,461,942   

4.00%, 1/01/32

     10,790        10,840,605   

4.00%, 1/01/33

     11,220        11,249,060   

4.00%, 1/01/35

     9,135        9,122,759   

City of Chicago Illinois, Refunding ARB, O’Hare International Airport Passenger Facility Charge, Series B, AMT:

    

4.00%, 1/01/27

     5,000        5,284,850   

4.00%, 1/01/29

     28,425        29,258,421   

City of Chicago Illinois Motor Fuel Tax Revenue, Refunding RB, (AGM), 5.00%, 1/01/30

     730        805,168   

City of St. Charles Illinois, GO, Refunding, Corporate Purpose:

    

4.00%, 12/01/30

     1,620        1,751,884   

4.00%, 12/01/31

     1,715        1,847,775   

4.00%, 12/01/32

     1,800        1,931,220   

County of Cook Illinois, GO, Refunding, Series C, 4.00%, 11/15/29

     19,750        20,013,267   

County of Will Illinois Community High School District No. 210 Lincoln-Way, GO, Refunding:

    

CAB, Series B, 0.00%, 1/01/29 (a)

     6,920        4,075,119   

CAB, Series B, 0.00%, 1/01/30 (a)

     5,680        3,188,752   
Municipal Bonds   

Par  

(000)

    Value  

Illinois (continued)

  

County of Will Illinois Community High School District No. 210 Lincoln-Way, GO, Refunding (continued):

    

CAB, Series B, 0.00%, 1/01/31 (a)

   $ 13,330      $ 7,116,887   

CAB, Series B, 0.00%, 1/01/32 (a)

     16,500        8,407,080   

Series A, Charter School Project-Noble Network, 5.00%, 1/01/31

     16,300        18,530,981   

Illinois Finance Authority, Refunding RB:

    

Lutheran Home & Services Obligated Group, 5.00%, 5/15/22

     4,660        4,956,749   

Lutheran Home & Services Obligated Group, 5.50%, 5/15/27

     4,350        4,707,135   

Lutheran Home & Services Obligated Group, 5.50%, 5/15/30

     4,900        5,251,624   

Rush University Medical Center, Series A, 5.00%, 11/15/31

     8,415        9,897,807   

Rush University Medical Center, Series A, 5.00%, 11/15/32

     2,075        2,416,670   

Rush University Medical Center, Series A, 5.00%, 11/15/33

     2,125        2,467,401   

The Peoples Gas Light & Coke Company Project, 4.00%, 2/01/33

     11,000        11,495,000   

Illinois State Toll Highway Authority, Refunding RB, Senior, Series A:

    

4.00%, 12/01/31

     20,000        21,776,600   

5.00%, 12/01/32

     4,550        5,437,978   

Winnebago & Boone Counties School District No. 205 Rockford, GO:

    

4.00%, 2/01/29

     9,305        9,935,414   

4.00%, 2/01/30

     9,835        10,451,655   
    

 

 

 
               274,167,726   

Indiana — 3.5%

    

City of Valparaiso Indiana, RB, Exempt Facilities, Pratt Paper LLC Project, AMT, 5.88%, 1/01/24

     2,250        2,611,800   

Indiana Finance Authority, Refunding RB:

    

Community Health Network Project, Series A, 4.00%, 5/01/35

     23,565        24,025,224   

Earlham College Project, 5.00%, 10/01/32

     11,255        12,357,990   

Indiana Health Facility Financing Authority, RB, Ascension Health Credit Group, 5.00%, 11/15/34

     10,000        11,824,000   

Indiana Municipal Power Agency, Refunding RB, Series A, 5.00%, 1/01/31

     8,000        9,484,960   
    

 

 

 
               60,303,974   

Iowa — 2.1%

    

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project:

    

5.50%, 12/01/22

     18,500        19,454,970   

5.25%, 12/01/25

     14,345        15,655,559   
    

 

 

 
               35,110,529   

Kansas — 0.2%

    

Wyandotte County-Kansas City Unified Government Utility System Revenue, RB, Series A (c):

    

5.00%, 9/01/30

     1,175        1,403,808   

5.00%, 9/01/31

     1,000        1,186,080   

5.00%, 9/01/33

     1,370        1,608,585   
    

 

 

 
               4,198,473   

Kentucky — 0.1%

    

Kentucky Public Transportation Infrastructure Authority, RB, CAB, 1st Tier-DownTown Crossing Project:

    

Convertible Series C, 0.00%, 7/01/33 (d)

     1,500        1,187,490   

Series B, 0.00%, 7/01/30 (a)

     1,230        626,476   
    

 

 

 
               1,813,966   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    31


Schedule of Investments (continued)

  

BlackRock Municipal Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Louisiana — 2.5%

    

City of New Orleans Louisiana, Refunding RB:

    

5.00%, 12/01/27

   $ 1,500      $ 1,785,960   

5.00%, 12/01/29

     1,000        1,174,020   

Louisiana Stadium & Exposition District, Refunding RB, Senior, Series A:

    

5.00%, 7/01/28

     4,420        5,167,555   

5.00%, 7/01/29

     3,000        3,491,910   

5.00%, 7/01/30

     5,000        5,792,350   

5.00%, 7/01/32

     3,000        3,432,990   

Port New Orleans Board of Commissioners, Refunding RB, Series B, AMT:

    

5.00%, 4/01/31

     300        334,554   

5.00%, 4/01/32

     1,000        1,109,760   

5.00%, 4/01/33

     1,575        1,744,691   

Terrebonne Levee & Conservation District, RB, Sales Tax, 5.00%, 7/01/29

     1,925        2,202,854   

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A:

    

5.25%, 5/15/31

     3,425        3,843,158   

5.25%, 5/15/32

     4,375        4,965,669   

5.25%, 5/15/33

     4,750        5,302,377   

5.25%, 5/15/35

     1,500        1,680,120   
    

 

 

 
               42,027,968   

Maine — 1.3%

    

Maine Health & Higher Educational Facilities Authority, RB, Eastern Maine Medical Center Obligation:

    

5.00%, 7/01/25

     1,250        1,429,088   

5.00%, 7/01/26

     1,000        1,135,030   

5.00%, 7/01/27

     1,000        1,126,860   

5.00%, 7/01/33

     5,000        5,507,000   

Maine State Housing Authority, Refunding RB, S/F Housing, Series B, 3.45%, 11/15/32

     12,000        12,233,040   
    

 

 

 
               21,431,018   

Maryland — 1.0%

    

Anne Arundel County Consolidated, Special Taxing District, Special Tax Bonds, Villages At Two Rivers Project:

    

4.20%, 7/01/24

     700        722,043   

4.90%, 7/01/30

     1,315        1,355,212   

Maryland EDC, Refunding RB:

    

CNX Marine Terminals, Inc., 5.75%, 9/01/25

     3,225        3,084,487   

Salisbury University Project, 5.00%, 6/01/34

     500        538,420   

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

Meritus Medical Center, 5.00%, 7/01/29

     2,200        2,539,240   

Meritus Medical Center, 5.00%, 7/01/31

     1,400        1,601,110   

Meritus Medical Center, 5.00%, 7/01/33

     1,200        1,367,148   

Peninsula Regional Medical Center, 5.00%, 7/01/30

     1,185        1,386,154   

Peninsula Regional Medical Center, 5.00%, 7/01/31

     2,200        2,560,844   

Peninsula Regional Medical Center, 5.00%, 7/01/32

     1,635        1,895,194   
    

 

 

 
               17,049,852   

Massachusetts — 0.5%

    

Massachusetts Educational Financing Authority, Refunding RB, Series K, AMT, 5.25%, 7/01/29

     8,435        9,284,320   

Michigan — 1.0%

    

Michigan Finance Authority, Refunding RB:

    

Holland Community Hospital, Series A, 5.00%, 1/01/33

     750        831,735   

MidMichigan Health, 5.00%, 6/01/33

     2,750        3,113,963   

Oakwood Obligation Group, 5.00%, 8/15/30

     4,105        4,742,465   
Municipal Bonds   

Par  

(000)

    Value  

Michigan (continued)

    

Michigan State Hospital Finance Authority, Refunding RB, Trinity Health Credit Group, Series C, 4.00%, 12/01/32

   $ 8,195      $ 8,688,913   
    

 

 

 
               17,377,076   

Mississippi — 1.3%

    

Mississippi Development Bank, Refunding RB, Municipal Energy Agency of Mississippi, Series A:

    

5.00%, 3/01/30

     2,280        2,684,882   

5.00%, 3/01/31

     1,595        1,867,857   

5.00%, 3/01/32

     2,000        2,327,000   

5.00%, 3/01/33

     1,275        1,478,669   

State of Mississippi, RB, Series E, 5.00%, 10/15/33

     12,225        14,282,223   
    

 

 

 
               22,640,631   

Missouri — 0.3%

    

Missouri State Health & Educational Facilities Authority, Refunding RB:

    

CoxHealth, Series A, 4.00%, 11/15/33

     2,010        2,117,234   

St. Louis College of Pharmacy, 5.00%, 5/01/30

     3,000        3,331,980   
    

 

 

 
               5,449,214   

Nebraska — 2.2%

    

Central Plains Nebraska Energy Project, RB:

    

Energy Project No. 3, 5.00%, 9/01/27

     7,010        8,095,989   

Gas Project No. 3, 5.00%, 9/01/32

     4,500        5,097,555   

Nebraska Public Power District, Refunding RB, General (c):

    

Series A, 5.00%, 1/01/29

     1,660        2,034,795   

Series A, 5.00%, 1/01/31

     1,120        1,354,237   

Series A, 5.00%, 1/01/32

     1,000        1,202,370   

Series A, 5.00%, 1/01/33

     1,620        1,936,937   

Series B, 5.00%, 1/01/29

     3,250        3,983,785   

Series B, 5.00%, 1/01/30

     3,000        3,650,820   

Series B, 5.00%, 1/01/31

     4,660        5,634,592   

Series B, 5.00%, 1/01/32

     3,500        4,208,295   
    

 

 

 
               37,199,375   

New Hampshire — 0.9%

    

New Hampshire Health & Education Facilities Authority, Refunding RB, Concord Hospital, Series A:

    

5.00%, 10/01/26

     1,075        1,229,230   

5.00%, 10/01/27

     1,180        1,343,300   

4.00%, 10/01/33

     3,500        3,651,935   

New Hampshire State Turnpike System, RB, Series C:

    

4.00%, 8/01/33

     4,350        4,669,203   

4.00%, 8/01/35

     4,745        5,052,429   
    

 

 

 
               15,946,097   

New Jersey — 11.2%

    

Casino Reinvestment Development Authority, Refunding RB, 5.00%, 11/01/21

     2,465        2,701,837   

County of Gloucester New Jersey Pollution Control Financing Authority, Refunding RB, Logan Project, Series A, AMT, 5.00%, 12/01/24

     1,500        1,701,435   

New Jersey EDA, RB, AMT:

    

Continental Airlines, Inc. Project, Series B, 5.63%, 11/15/30

     1,315        1,490,618   

Continental Airlines, Inc. Project, 5.25%, 9/15/29

     12,230        13,428,295   

Continental Airlines, Inc. Project, Series A, 5.63%, 11/15/30

     1,740        1,972,116   

Private Activity Bond, The Goethals Bridge
Replacement Project, 5.00%, 1/01/28

     4,705        5,258,496   
 

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

  

New Jersey EDA, Refunding RB:

    

Cigarette Tax, 5.00%, 6/15/26

   $ 10,610      $ 11,501,983   

Cigarette Tax, 4.25%, 6/15/27

     16,500        17,028,165   

Continental Airlines, Inc. Project, AMT, 5.75%, 9/15/27

     6,200        6,890,680   

New Jersey EDA, Refunding, Special Assessment Bonds, Kapkowski Road Landfill Project, 5.75%, 4/01/31

     5,000        5,841,250   

New Jersey Health Care Facilities Financing Authority, Refunding RB:

    

Princeton HealthCare System, 5.00%, 7/01/28

     2,000        2,390,320   

Princeton HealthCare System, 5.00%, 7/01/29

     2,900        3,444,330   

Princeton HealthCare System, 5.00%, 7/01/30

     2,400        2,833,896   

St. Barnabas Health, Series A, 4.00%, 7/01/26

     3,000        3,234,030   

New Jersey Housing & Mortgage Finance Agency, Refunding RB, M/F Housing, Series 2, AMT, 4.35%, 11/01/33

     6,685        7,023,929   

New Jersey Transportation Trust Fund Authority, RB:

    

5.25%, 6/15/27

     4,225        4,780,081   

Transportation Program, Series AA, 5.25%, 6/15/28

     4,500        5,056,875   

Transportation System, CAB, Series A, 0.00%, 12/15/28 (a)

     66,000        37,453,680   

Transportation System, CAB, Series A, 0.00%, 12/15/29 (a)

     18,000        9,732,780   

Transportation System, Series AA, 4.00%, 6/15/30

     13,315        13,423,118   

Transportation System, Series C, 5.25%, 6/15/32

     10,000        11,043,900   

Transportation System, Series D, 5.00%, 6/15/32

     5,000        5,401,350   

Newark Housing Authority, Refunding RB, Newark Redevelopment Project (NPFGC), 5.25%, 1/01/27

     5,000        6,093,150   

South Jersey Transportation Authority, Refunding RB, Transportation System, Series A:

    

5.00%, 11/01/33

     500        561,325   

5.00%, 11/01/34

     500        560,115   

Tobacco Settlement Financing Corp. New Jersey, Refunding RB, Series 1A, 4.50%, 6/01/23

     3,210        3,254,330   

Township of Irvington New Jersey, GO, Refunding, Series A (AGM):

    

5.00%, 7/15/29

     1,750        2,042,338   

5.00%, 7/15/30

     2,000        2,322,000   

5.00%, 7/15/31

     1,450        1,676,998   

5.00%, 7/15/32

     835        960,985   
    

 

 

 
               191,104,405   

New Mexico — 1.1%

  

New Mexico Educational Assistance Foundation, RB, AMT:

    

Education Loan Series A-1, 3.75%, 9/01/31

     6,250        6,544,250   

Education Loan Series A-2, 3.80%, 11/01/32

     5,850        6,122,844   

Education Loan Series A-2, 3.80%, 9/01/33

     5,000        5,240,550   
    

 

 

 
               17,907,644   

New York — 5.2%

  

Build NYC Resource Corp., RB, South Bronx Charter School for International Cultures & The Arts Project, Series A, 5.00%, 4/15/33

     3,530        3,655,032   

Build NYC Resource Corp., Refunding RB, Prat Paper, Inc. Project, AMT, 4.50%, 1/01/25 (b)

     900        979,452   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

  

Housing Development Corp., Refunding RB, M/F Housing, Series L-1:

    

3.40%, 11/01/30

   $ 1,580      $ 1,615,898   

3.50%, 11/01/32

     1,160        1,179,546   

New York Convention Center Development Corp., Refunding RB, 5.00%, 11/15/33

     9,115        10,951,855   

New York Liberty Development Corp., Refunding RB, Goldman Sachs Headquarters, 5.25%, 10/01/35

     8,110        10,010,416   

New York Mortgage Agency, Refunding RB, Series 48, 3.45%, 10/01/33

     3,500        3,568,985   

New York State HFA, RB, M/F Affordable Housing (SONYMA):

    

3.05%, 11/01/27

     2,020        2,085,690   

3.45%, 11/01/32

     5,235        5,362,263   

Niagara Area Development Corp., Refunding RB, Solid Waste Disposal Facility, Covanta Energy Project, Series B, 4.00%, 11/01/24 (b)

     3,000        3,032,850   

Onondaga Civic Development Corp., Refunding RB, St. Joseph’s Hospital Health Center Project, 4.50%, 7/01/22 (e)

     9,115        10,922,322   

Triborough Bridge & Tunnel Authority, Refunding RB, CAB, Series A (a):

    

0.00%, 11/15/29

     17,810        11,962,443   

0.00%, 11/15/30

     25,215        16,290,403   

0.00%, 11/15/31

     5,000        3,096,750   

TSASC, Inc., Refunding RB, Series 1, 5.00%, 6/01/26

     4,000        4,032,640   
    

 

 

 
               88,746,545   

North Carolina — 0.1%

  

North Carolina Medical Care Commission, Refunding RB, 1st Mortgage, Retirement Facilities Whitestone Project, Series A, 7.75%, 3/01/31

     1,665        1,916,332   

Ohio — 0.6%

  

County of Franklin Ohio, RB, Health Care Facilities Improvement, OPRS Communities, Series A:

    

5.25%, 7/01/28

     500        524,025   

5.63%, 7/01/32

     1,000        1,051,780   

Ohio State University, RB, General Receipts Special Purpose, Series A, 4.00%, 6/01/31

     4,220        4,624,107   

State of Ohio, RB, Portsmouth Bypass Project, AMT:

    

5.00%, 12/31/29

     1,625        1,901,559   

5.00%, 12/31/30

     2,400        2,789,136   
    

 

 

 
               10,890,607   

Oklahoma — 0.2%

  

County of Oklahoma, Oklahoma Finance Authority, Refunding RB, Epworth Villa Project, Series A:

    

5.00%, 4/01/23

     1,050        983,157   

5.00%, 4/01/29

     1,500        1,405,905   

5.00%, 4/01/33

     1,050        985,404   
    

 

 

 
               3,374,466   

Pennsylvania — 11.0%

  

Allentown Neighborhood Improvement Zone Development Authority, Refunding RB, Series A:

    

5.00%, 5/01/27

     6,750        7,506,337   

5.00%, 5/01/28

     5,000        5,533,200   

5.00%, 5/01/29

     3,745        4,126,466   

5.00%, 5/01/30

     5,300        5,814,683   

Chester County Health & Education Facilities Authority, Refunding RB, Simpson Senior Services Project, Series A, 5.00%, 12/01/30

     2,180        2,276,334   

County of Beaver Pennsylvania IDA, Refunding RB, First Energy Nuclear Energy Project, Series B, 3.50%, 12/01/35 (f)

     4,540        4,638,246   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    33


Schedule of Investments (continued)

  

BlackRock Municipal Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Pennsylvania (continued)

  

County of Cumberland Pennsylvania Municipal Authority, Refunding RB:

    

Asbury Pennsylvania Obligated Group, 5.00%, 1/01/22

   $ 750      $ 814,695   

Asbury Pennsylvania Obligated Group, 5.25%, 1/01/27

     1,275        1,363,804   

Asbury Pennsylvania Obligated Group, 5.25%, 1/01/32

     3,350        3,535,322   

Diakon Lutheran Social Ministries Project, 5.00%, 1/01/29

     1,300        1,464,216   

Diakon Lutheran Social Ministries Project, 5.00%, 1/01/30

     2,675        3,001,939   

County of Lehigh Pennsylvania, Refunding RB, Lehigh Valley Health Network, 4.00%, 7/01/33

     27,535        28,625,661   

County of Montgomery Pennsylvania Higher Education & Health Authority, Refunding RB, Abington Memorial Hospital Obligated Group, 5.00%, 6/01/31

     5,000        5,619,200   

County of Montgomery Pennsylvania IDA, Refunding RB:

    

Acts Retirement-Life Communities, Inc. Obligated Group, 5.00%, 11/15/26

     2,500        2,760,600   

Albert Einstein Healthcare Network, Series A, 5.25%, 1/15/29

     3,250        3,662,880   

Albert Einstein Healthcare Network, Series A, 5.25%, 1/15/30

     6,185        6,940,498   

Whitemarsh Continuing Care Retirement Community Project, 5.00%, 1/01/30

     2,000        2,031,580   

County of Northampton Pennsylvania General Purpose Authority, RB, St. Luke’s Hospital of Bethlehem, Series A, 5.00%, 8/15/33

     13,250        14,659,402   

Pennsylvania Economic Development Financing Authority, RB, Pennsylvania Rapid Bridge Replacement Project, AMT:

    

5.00%, 12/31/34

     5,000        5,594,350   

The, 5.00%, 12/31/29

     5,000        5,748,950   

The, 5.00%, 12/31/30

     13,100        14,975,134   

Pennsylvania HFA, RB, S/F Housing, Series 114C, 3.30%, 10/01/32

     20,500        20,668,715   

Pennsylvania Higher Educational Facilities Authority, RB, Shippensburg University Student Services, 5.00%, 10/01/30

     5,250        5,659,657   

Pennsylvania Higher Educational Facilities Authority, Refunding RB, La Salle University, 4.00%, 5/01/32

     3,000        3,081,630   

State Public School Building Authority, RB, School District of Philadelphia Project:

    

5.00%, 4/01/27

     4,130        4,517,229   

5.00%, 4/01/28

     8,000        8,705,760   

5.00%, 4/01/29

     6,000        6,502,380   

5.00%, 4/01/30

     5,500        5,931,200   

Township of East Hempfield Pennsylvania IDA, RB, Student Services, Inc. Student Housing Project:

    

5.00%, 7/01/30

     825        897,320   

5.00%, 7/01/30

     1,280        1,386,240   
    

 

 

 
               188,043,628   

Rhode Island — 0.8%

  

Tobacco Settlement Financing Corp., Refunding RB, Series A:

    

5.00%, 6/01/28

     2,750        3,171,355   

5.00%, 6/01/29

     4,500        5,150,565   

5.00%, 6/01/30

     4,215        4,785,163   
    

 

 

 
               13,107,083   
Municipal Bonds   

Par  

(000)

    Value  

South Carolina — 0.1%

  

South Carolina Jobs EDA, Refunding RB, The Lutheran Homes of South Carolina, Inc., 5.00%, 5/01/28

   $ 2,000      $ 2,127,340   

South Dakota — 0.0%

  

Educational Enhancement Funding Corp., Refunding RB, Series B, 5.00%, 6/01/27

     650        744,952   

Tennessee — 0.5%

  

Chattanooga Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.00%, 1/01/33

     1,500        1,671,345   

Chattanooga-Hamilton County Hospital Authority, Refunding RB, Erlanger Health System, Series A, 5.00%, 10/01/31

     6,210        7,050,399   
    

 

 

 
               8,721,744   

Texas — 18.3%

  

Central Texas Regional Mobility Authority, RB, Senior Lien, Series A:

    

5.00%, 1/01/30

     1,600        1,850,528   

5.00%, 1/01/31

     1,175        1,353,071   

5.00%, 1/01/33

     1,500        1,716,780   

Central Texas Turnpike System, Refunding RB, Series C:

    

5.00%, 8/15/32

     12,500        14,382,000   

5.00%, 8/15/33

     14,000        16,062,340   

City of Brownsville Texas Utilities System Revenue, Refunding RB, Series A:

    

4.00%, 9/01/30

     11,170        12,091,078   

4.00%, 9/01/31

     11,220        12,070,925   

City of Houston Texas Airport System, Refunding ARB, United Airlines, Inc. Terminal E Project, AMT, 5.00%, 7/01/29

     2,665        2,899,573   

Clifton Higher Education Finance Corp., RB, Idea Public Schools, 6.00%, 8/15/33

     1,650        1,978,268   

Clifton Higher Education Finance Corp., Refunding RB, Uplift Education, Series A:

    

3.10%, 12/01/22

     1,050        1,038,482   

3.95%, 12/01/32

     1,800        1,748,106   

County of Harris Texas Cultural Education Facilities Finance Corp., RB, 1st Mortgage, Brazos Presbyterian Homes, Inc. Project, Series B:

    

5.75%, 1/01/28

     500        566,315   

6.38%, 1/01/33

     460        535,440   

County of Harris Texas Cultural Education Facilities Finance Corp., Refunding RB, Series A:

    

Brazos Presbyterian Homes, Inc. Project, 5.00%, 1/01/33

     1,090        1,116,204   

Memorial Hermann Health System, 4.00%, 12/01/31

     20,000        20,837,600   

YMCA of the Greater Houston Area, 5.00%, 6/01/28

     1,500        1,684,950   

5.00%, 6/01/33

     3,000        3,292,950   

County of Harris Texas, Refunding RB, Toll Road, Senior Lien, Series C, 4.00%, 8/15/33

     12,325        13,120,209   

County of Matagorda Texas Navigation District No. 1, Refunding RB:

    

Series A (AMBAC), 4.40%, 5/01/30

     31,120        35,216,637   

Series B (AMBAC), AMT, 4.55%, 5/01/30

     10,000        11,182,900   

Series B-2, 4.00%, 6/01/30

     12,895        13,735,238   

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A (a):

    

0.00%, 9/15/31

     6,235        3,628,147   

0.00%, 9/15/32

     15,135        8,320,012   
 

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Texas (continued)

  

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Baylor Health Care System Project, Series A:

    

4.00%, 11/15/31

   $ 5,500      $ 5,791,335   

4.00%, 11/15/32

     15,420        16,185,603   

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB:

    

Scott & White Healthcare Project, Series A, 5.00%, 8/15/33

     5,000        5,790,350   

Trinity Terrace Project, Series A-1, 5.00%, 10/01/29

     1,000        1,121,650   

Leander ISD, GO, Refunding, Series D (a):

    

0.00%, 8/15/31

     1,200        690,888   

0.00%, 8/15/32

     2,000        1,080,080   

0.00%, 8/15/33

     4,485        2,299,818   

Love Field Airport Modernization Corp., RB, Southwest Airlines Co. Project, AMT, 5.00%, 11/01/28

     5,750        6,350,128   

Lower Colorado River Authority, Refunding RB, LCRA Transmission Services:

    

4.00%, 5/15/31

     9,970        10,643,872   

4.00%, 5/15/32

     5,635        5,975,748   

New Hope Cultural Education Facilities Corp., RB, Series A:

    

Station 1 LLC Texas A&M University Project, 5.00%, 4/01/29

     2,290        2,504,939   

Stephenville LLC Tarleton State University Project, 5.38%, 4/01/28

     1,150        1,274,890   

Stephenville LLC Tarleton State University Project, 5.00%, 4/01/24

     420        476,876   

Stephenville LLC Tarleton State University Project, 5.00%, 4/01/25

     240        273,684   

Stephenville LLC Tarleton State University Project, 5.00%, 4/01/29

     725        795,195   

New Hope Cultural Education Facilities Corp., Refunding RB, 1st Mortgage, Morningside Ministries Project, 6.25%, 1/01/33

     1,600        1,799,280   

North Texas Tollway Authority, Refunding RB, Series A, 5.00%, 1/01/33

     15,900        18,589,803   

Red River Health Facilities Development Corp., RB, Wichita Falls Retirement Foundation Project:

    

4.70%, 1/01/22

     745        788,910   

5.50%, 1/01/32

     1,000        1,065,880   

Texas Municipal Gas Acquisition & Supply Corp. III, RB, Natural Gas Utility Improvements:

    

5.00%, 12/15/30

     18,000        20,425,140   

5.00%, 12/15/31

     25,000        28,284,750   
    

 

 

 
               312,636,572   

U.S. Virgin Islands — 0.7%

  

Virgin Islands Public Finance Authority, Refunding RB, Gross Receipts Taxes Loan Note, Series C, 5.00%, 10/01/30

     10,000        11,290,700   

Vermont — 0.2%

  

Vermont EDA, Refunding, MRB, Wake Robin Corp. Project, 5.40%, 5/01/33

     2,400        2,533,056   

Virginia — 2.8%

  

County of Fairfax Virginia EDA, RB, Vinson Hall LLC, Series A, 5.00%, 12/01/32

     2,000        2,103,080   

County of Fairfax Virginia IDA, Refunding RB, Inova Health System, Series D, 4.00%, 5/15/29

     5,325        5,761,544   

County of Hanover Virginia EDA, Refunding RB, Covenant Woods, Series A:

    

4.50%, 7/01/30

     3,000        3,075,570   

4.50%, 7/01/32

     1,100        1,121,472   
Municipal Bonds   

Par  

(000)

    Value  

Virginia (continued)

  

County of Prince William Virginia IDA, Refunding RB, Novant Health Obligation Group, Series B, 4.00%, 11/01/33

   $ 5,445      $ 5,734,620   

Dulles Town Center Community Development Authority, Refunding, Special Assessment, Dulles Town Center Project, 4.25%, 3/01/26

     500        514,580   

Virginia College Building Authority, RB, Green Bonds, Marymount University Project, Series B, 5.25%, 7/01/30 (b)

     2,000        2,176,560   

Virginia HDA, RB, Remarketing, M/F Housing, Sub-Series C-2, 3.00%, 4/01/31

     23,175        23,034,559   

Virginia Small Business Financing Authority, RB, Senior Lien, Express Lanes LLC, AMT, 5.00%, 7/01/34

     3,940        4,262,292   
    

 

 

 
               47,784,277   

Washington — 4.0%

  

Greater Wenatchee Regional Events Center Public Facilities District, Refunding RB, Series A:

    

3.50%, 9/01/18

     1,025        1,048,585   

5.00%, 9/01/27

     1,000        1,070,240   

5.25%, 9/01/32

     1,850        1,951,473   

Port of Seattle Washington Industrial Development Corp., Refunding RB, Special Facilities, Delta Airline, Inc. Project, AMT, 5.00%, 4/01/30

     5,000        5,280,100   

Spokane Public Facilities District, Refunding RB, Series B:

    

4.50%, 12/01/30

     5,370        5,860,227   

5.00%, 12/01/32

     5,895        6,633,172   

5.00%, 9/01/33

     4,665        5,236,089   

State of Washington, COP, State & Local Agency Real and Personal Property, Series B:

    

4.00%, 7/01/29

     3,605        3,903,927   

4.00%, 7/01/30

     4,290        4,624,620   

4.00%, 7/01/31

     4,470        4,791,348   

4.00%, 7/01/32

     4,590        4,908,822   

State of Washington, GO, Series B, 5.00%, 2/01/25

     5,825        7,331,403   

Washington State Housing Finance Commission, RB, Herons Key Senior Living, Series B-2, 4.88%, 1/01/22 (b)

     600        603,744   

Washington State Housing Finance Commission, Refunding RB:

    

Emerald Heights Project, 5.00%, 7/01/28

     1,000        1,119,810   

Emerald Heights Project, 5.00%, 7/01/33

     1,100        1,216,842   

S/F Housing, Series 1N (Ginnie Mae, Fannie Mae, Freddie Mac), 3.50%, 12/01/33

     4,035        4,121,147   

WBRP 3.2, RB, Series A:

    

5.00%, 1/01/30

     1,000        1,215,250   

5.00%, 1/01/31

     1,000        1,206,830   

5.00%, 1/01/32

     1,140        1,369,425   

5.00%, 1/01/33

     3,345        4,002,727   
    

 

 

 
               67,495,781   

Wisconsin — 1.3%

  

Public Finance Authority, Refunding RB, AMT:

    

National Gypsum Co., 5.25%, 4/01/30

     6,690        6,982,353   

Wisconsin Airport Facilities, Senior Obligated Group, Series B, 5.25%, 7/01/28

     2,250        2,451,690   

Wisconsin Health & Educational Facilities Authority, Refunding RB:

    

Aspirus, Inc., Obligated Group, 5.00%, 8/15/28

     3,510        4,063,843   

Aspirus, Inc., Obligated Group, 5.00%, 8/15/29

     3,685        4,232,849   

Marquette University, 4.00%, 10/01/32

     4,520        4,819,495   
    

 

 

 
               22,550,230   
Total Municipal Bonds — 127.1%        2,172,226,588   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    35


Schedule of Investments (continued)

  

BlackRock Municipal Target Term Trust (BTT)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (g)
  

Par  

(000)

    Value  

Colorado — 5.0%

  

City & County of Denver Colorado, Refunding ARB, Department of Aviation, Series A, AMT:

    

4.25%, 11/15/29

   $ 33,820      $ 36,510,599   

4.25%, 11/15/30 (h)

     35,210        37,786,941   

4.25%, 11/15/31

     8,085        8,625,637   

City & County of Denver Colorado, Refunding ARB, Department of Aviation, Series A, AMT:

    

4.25%, 11/15/32

     2,230        2,365,139   
    

 

 

 
               85,288,316   

Florida — 5.8%

  

County of Broward Florida, ARB, Series Q-1:

    

4.00%, 10/01/29 (h)

     17,200        18,289,121   

4.00%, 10/01/30

     18,095        19,206,924   

4.00%, 10/01/31

     18,820        19,918,137   

4.00%, 10/01/32

     19,575        20,632,280   

4.00%, 10/01/33

     20,355        21,391,716   
    

 

 

 
               99,438,178   

Iowa — 2.6%

  

Iowa State Board of Regents, RB, University of Iowa Hospitals and Clinics:

    

4.00%, 9/01/28

     3,375        3,725,575   

4.00%, 9/01/29

     6,525        7,115,305   

4.00%, 9/01/30

     6,325        6,849,275   

4.00%, 9/01/31

     8,650        9,312,780   

4.00%, 9/01/32

     7,750        8,286,014   

4.00%, 9/01/33

     9,375        9,994,401   
    

 

 

 
               45,283,350   

Texas — 9.8%

  

City of San Antonio Texas Public Facilities Corp., Refunding LRB, Convention Center Refinancing and Expansion Project:

    

4.00%, 9/15/30

     15,000        16,252,176   

4.00%, 9/15/31

     19,475        21,002,447   
Municipal Bonds Transferred to
Tender Option Bond Trusts (g)
 

Par  

(000)

    Value  

Texas (continued)

  

City of San Antonio Texas Public Facilities Corp., Refunding LRB, Convention Center Refinancing and Expansion Project:

   

4.00%, 9/15/32

  $ 18,075      $ 19,401,960   

4.00%, 9/15/33

    11,000        11,773,271   

4.00%, 9/15/34

    11,885        12,683,441   

4.00%, 9/15/35

    4,500        4,774,487   

Dallas/Fort Worth International Airport, Refunding RB, AMT:

   

Series E, 4.00%, 11/01/32

    6,915        7,345,311   

Series E, 4.13%, 11/01/35

    10,435        11,041,659   

Series F, 5.00%, 11/01/29

    12,820        14,516,556   

Series F, 5.00%, 11/01/30

    15,565        17,579,617   

Series F, 5.00%, 11/01/31

    10,000        11,246,223   

Series F, 5.00%, 11/01/32 (h)

    17,170        19,203,011   
   

 

 

 
              166,820,159   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 23.2%
        396,830,003   
Total Long-Term Investments
(Cost — $2,465,199,442) — 150.3%
        2,569,056,591   
   
                 
Short-Term Securities — 6.3%   Shares         

BlackRock Liquidity Funds, MuniCash, 0.02% (i)(j)

    106,418,611        106,418,611   
Total Short-Term Securities
(Cost — $106,418,611) — 6.3%
        106,418,611   
Total Investments (Cost — $2,571,618,053) — 156.6%        2,675,475,202   
Liabilities in Excess of Other Assets — (1.9)%        (32,388,691

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (10.8)%

   

    (184,176,479
RVMTP Shares, at Liquidation Value — (43.9)%        (750,000,000
   

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 1,708,910,032   
   

 

 

 
 
Notes to Schedule of Investments

 

(a)   Zero-coupon bond.

 

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

 

(c)   When-issued security.

 

(d)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(e)   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.

 

(f)   Variable rate security. Rate as of period end.

 

(g)   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. See Note 4 of the Notes to Financial Statements for details.

 

(h)   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 November 1, 2018 to November 15, 2020, is $128,606,860. See Note 4 of the Notes to Financial Statements for details.

 

(i)   Current yield as of period end.

 

(j)   During the six months ended January 31, 2016, 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 July 31,
2015
       Net
Activity
       Shares Held
at January 31,
2016
       Income  

BlackRock Liquidity Funds, MuniCash

                 106,418,611           106,418,611             

FFI Institutional Tax-Exempt Fund

       79,878,725           (79,878,725                $ 9,274   

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments (concluded)

  

BlackRock Municipal Target Term Trust (BTT)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

For the six months ended January 31, 2016, the effect of the derivative financial instruments in the Statements of Operations was as follows:

 

     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) From:

                   

Financial futures contracts

                                  $ (304,681            $ (304,681

Net Change in Unrealized Appreciation (Depreciation) on:

                   

Financial futures contracts

                                  $ 330,635               $ 330,635   

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:     

Average notional value of contracts — short

   $63,843,750

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about the Trust’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s investments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 2,569,056,591                   $ 2,569,056,591   

Short-Term Securities

  $ 106,418,611                               106,418,611   
 

 

 

 

Total

  $ 106,418,611         $ 2,569,056,591                   $ 2,675,475,202   
 

 

 

 

1    See above Schedule of Investments for values in each sector.

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement 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  

Assets:

  

Cash

  $ 1,287                             $ 1,287   

Liabilities:

  

RVMTP Shares

            $ (750,000,000                  (750,000,000

TOB Trust Certificates

              (184,119,974                  (184,119,974
 

 

 

 

Total

  $ 1,287         $ (934,119,974                $ (934,118,687
 

 

 

 

During the six months ended January 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    37


Schedule of Investments January 31, 2016 (Unaudited)

  

BlackRock New Jersey Municipal Income Trust (BNJ)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New Jersey — 135.5%

                

Corporate — 9.6%

    

County of Middlesex New Jersey Improvement Authority, RB, Heldrich Center Hotel, Sub-Series B, 6.25%, 1/01/37 (a)(b)

   $ 1,790      $ 71,135   

County of Salem New Jersey Pollution Control Financing Authority, Refunding RB, Atlantic City Electric, Series A, 4.88%, 6/01/29

     2,400        2,663,712   

New Jersey EDA, RB, AMT Continental Airlines, Inc. Project, Series B, 5.63%, 11/15/30

     5,160        5,849,118   

New Jersey EDA, Refunding RB, New Jersey American Water Co., Inc. Project, AMT:

    

Series A, 5.70%, 10/01/39

     1,500        1,704,105   

Series B, 5.60%, 11/01/34

     1,275        1,439,411   
    

 

 

 
               11,727,481   

County/City/Special District/School District — 28.8%

  

Casino Reinvestment Development Authority, Refunding RB, 5.25%, 11/01/44

     5,630        5,821,138   

City of Margate New Jersey, GO, Refunding, Improvement, 5.00%, 1/15/28

     1,085        1,224,737   

County of Essex New Jersey Improvement Authority, RB, AMT, 5.25%, 7/01/45 (c)

     1,990        2,067,769   

County of Essex New Jersey Improvement Authority, Refunding RB, Project Consolidation (NPFGC):

    

5.50%, 10/01/28

     1,440        1,926,144   

5.50%, 10/01/29

     2,630        3,547,949   

County of Hudson New Jersey Improvement Authority, RB, Harrison Parking Facility Project, Series C (AGC):

    

5.25%, 1/01/39

     2,000        2,213,620   

5.38%, 1/01/44

     2,400        2,644,584   

County of Mercer New Jersey Improvement Authority, RB, Courthouse Annex Project, 5.00%, 9/01/40

     775        900,504   

County of Middlesex New Jersey, COP, Refunding, Civic Square IV Redevelopment, 5.00%, 10/15/31

     1,000        1,251,030   

County of Union New Jersey Improvement Authority, LRB, Guaranteed Lease, Family Court Building Project, 5.00%, 5/01/42

     890        1,000,520   

County of Union New Jersey Utilities Authority, Refunding RB, Solid Waste System, County Deficiency Agreement, Series A, 5.00%, 6/15/41

     2,185        2,445,365   

Monroe Township Board of Education Middlesex County, GO, Refunding, 5.00%, 3/01/38

     860        1,001,874   

New Jersey EDA, RB, Kapkowski Road Landfill Project, Series B, AMT, 6.50%, 4/01/31

     5,000        6,008,800   

New Jersey EDA, Refunding RB, Special Assessment, Kapkowski Road Landfill Project, 6.50%, 4/01/28

     2,500        3,095,300   
    

 

 

 
               35,149,334   

Education — 25.7%

    

New Jersey EDA, RB:

    

Leap Academy Charter School, Series A, 6.00%, 10/01/34

     185        190,909   

Leap Academy Charter School, Series A, 6.20%, 10/01/44

     140        143,569   

MSU Student Housing Project Provide, 5.88%, 6/01/42

     1,500        1,673,835   

Team Academy Charter School Project, 6.00%, 10/01/33

     1,490        1,707,361   

New Jersey EDA, Refunding RB, Greater Brunswick Charter School, Inc. Project, Series A (c):

    

5.63%, 8/01/34

     415        433,082   

5.88%, 8/01/44

     290        301,800   

New Jersey Educational Facilities Authority, RB:

    

Higher Educational Capital Improvement Fund, Series A, 5.00%, 9/01/32

     2,070        2,231,626   

Montclair State University, Series J, 5.25%, 7/01/38

     580        632,194   
Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

                

Education (continued)

  

New Jersey Educational Facilities Authority, Refunding RB:

    

College of New Jersey, Series D (AGM), 5.00%, 7/01/18 (d)

   $ 785      $ 863,932   

College of New Jersey, Series D (AGM), 5.00%, 7/01/35

     2,445        2,654,805   

Georgian Court University, Series D, 5.00%, 7/01/33

     250        261,273   

Kean University, Series A, 5.50%, 9/01/36

     2,060        2,325,225   

Montclair State University, Series A, 5.00%, 7/01/44

     4,570        5,133,527   

New Jersey Institute of Technology, Series H, 5.00%, 7/01/31

     660        743,992   

Ramapo College, Series B, 5.00%, 7/01/42

     265        291,277   

University of Medicine & Dentistry, Series B, 7.50%, 6/01/19 (d)

     1,450        1,755,239   

New Jersey Higher Education Student Assistance Authority, Refunding RB:

    

Series 1, AMT, 5.75%, 12/01/29

     1,870        2,101,207   

Series 1A, 5.00%, 12/01/25

     380        400,182   

Series 1A, 5.00%, 12/01/26

     245        257,475   

Series 1A, 5.25%, 12/01/32

     500        543,515   

New Jersey Institute of Technology, RB, Series A:

    

5.00%, 7/01/40

     1,000        1,142,780   

5.00%, 7/01/42

     500        558,630   

5.00%, 7/01/45

     1,345        1,510,300   

Rutgers — The State University of New Jersey, Refunding RB, Series L, 5.00%, 5/01/43

     3,145        3,587,470   
    

 

 

 
               31,445,205   

Health — 10.4%

    

New Jersey EDA, Refunding RB:

    

Lions Gate Project, 5.25%, 1/01/44

     430        445,910   

Seabrook Village, Inc. Facility, 5.25%, 11/15/16 (d)

     1,790        1,857,465   

New Jersey Health Care Facilities Financing Authority, RB:

    

Meridian Health System Obligated Group, Series I (AGC), 5.00%, 7/01/38

     710        762,029   

Robert Wood Johnson University Hospital, Series A, 5.50%, 7/01/43

     750        878,265   

Virtua Health, Series A (AGC), 5.50%, 7/01/38

     1,250        1,409,475   

New Jersey Health Care Facilities Financing Authority, Refunding RB:

    

AHS Hospital Corp., 6.00%, 7/01/37

     900        1,086,156   

AHS Hospital Corp., 6.00%, 7/01/41

     1,045        1,254,000   

Princeton Healthcare System, 5.00%, 7/01/39

     635        726,516   

St. Barnabas Health Care System, Series A, 5.00%, 7/01/29

     1,740        1,801,265   

St. Barnabas Health Care System, Series A, 5.63%, 7/01/32

     580        683,600   

St. Barnabas Health Care System, Series A, 5.63%, 7/01/37

     1,605        1,867,546   
    

 

 

 
               12,772,227   

Housing — 5.3%

    

County of Middlesex New Jersey Improvement Authority, RB, Administration Building Residential Project, AMT (Fannie Mae), 5.35%, 7/01/34

     1,400        1,418,984   

New Jersey Housing & Mortgage Finance Agency, RB:

    

M/F Housing, Series A, 4.75%, 11/01/29

     1,185        1,260,970   

S/F Housing, Series AA, 6.38%, 10/01/28

     345        357,769   

S/F Housing, Series AA, 6.50%, 10/01/38

     245        253,744   

S/F Housing, Series CC, 5.00%, 10/01/34

     870        914,161   

Newark Housing Authority, RB, M/F Housing, Series A, 5.00%, 12/01/30

     2,000        2,291,140   
    

 

 

 
               6,496,768   
 

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments (continued)

  

BlackRock New Jersey Municipal Income Trust (BNJ)

 

Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

                

State — 14.0%

    

Garden State Preservation Trust, RB, CAB, Series B (AGM), 0.00%, 11/01/26 (e)

   $ 6,000      $ 4,642,020   

New Jersey EDA, RB:

    

Motor Vehicle Surcharge, Series A (NPFGC), 5.25%, 7/01/25

     1,365        1,628,431   

School Facilities Construction (AGC), 5.50%, 12/15/18 (d)

     1,935        2,191,736   

School Facilities Construction (AGC), 5.50%, 12/15/34

     1,065        1,172,927   

New Jersey EDA, Refunding RB, Cigarette Tax:

    

5.00%, 6/15/26

     810        878,097   

(AGM), 5.00%, 6/15/22

     2,940        3,425,394   

New Jersey Health Care Facilities Financing Authority, RB, Hospital Asset Transformation Program, Series A, 5.25%, 10/01/38

     2,350        2,469,991   

State of New Jersey, COP, Equipment Lease Purchase, Series A, 5.25%, 6/15/28

     600        643,278   
    

 

 

 
               17,051,874   

Transportation — 40.8%

    

City of Perth Amboy New Jersey, GO, CAB, Refunding (AGM), 5.00%, 7/01/35

     85        87,901   

Delaware River Port Authority of Pennsylvania &
New Jersey, RB:

    

5.00%, 1/01/40

     1,380        1,574,345   

Series D, 5.00%, 1/01/40

     800        891,688   

New Jersey EDA, RB, Private Activity Bond, The Goethals Bridge Replacement Project, AMT, 5.38%, 1/01/43

     5,000        5,574,050   

New Jersey State Turnpike Authority, RB:

    

Series A, 5.00%, 1/01/38

     4,075        4,619,012   

Series A, 5.00%, 1/01/43

     500        563,295   

Series E, 5.25%, 1/01/40

     1,970        2,170,310   

New Jersey Transportation Trust Fund Authority, RB:

    

CAB, Transportation System, Series C (AGM), 0.00%, 12/15/32 (e)

     4,000        1,963,760   

Transportation Program, Series AA, 5.00%, 6/15/38

     2,850        3,026,045   

Transportation Program, Series AA, 5.25%, 6/15/41

     1,560        1,684,550   

Transportation System, 6.00%, 12/15/38

     945        1,042,155   

Transportation System, Series A, 6.00%, 6/15/35

     4,135        4,694,135   

Transportation System, Series A, 5.88%, 12/15/38

     1,770        1,938,079   

Transportation System, Series A, 5.50%, 6/15/41

     2,000        2,163,980   

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

     1,000        1,093,090   

Transportation System, Series AA, 5.50%, 6/15/39

     2,260        2,491,311   

Port Authority of New York & New Jersey, RB, JFK International Air Terminal, Special Project:

    

Series 6, AMT (NPFGC), 5.75%, 12/01/22

     6,000        6,133,800   

Series 8, 6.00%, 12/01/42

     1,430        1,667,223   

Port Authority of New York & New Jersey, Refunding ARB, Consolidated:

    

152nd Series, AMT, 5.75%, 11/01/30

     1,750        1,923,758   

166th Series, 5.25%, 7/15/36

     4,000        4,610,800   
    

 

 

 
               49,913,287   

Utilities — 0.9%

    

Rahway Valley Sewerage Authority, RB, CAB, Series A (NPFGC), 0.00%, 9/01/33 (e)

     2,000        1,132,440   
Total Municipal Bonds — 135.5%              165,688,616   
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
  

Par  

(000)

    Value  

New Jersey — 25.1%

                

County/City/Special District/School District — 5.2%

  

 

County of Union New Jersey Utilities Authority, Refunding LRB, Resource Recovery Facility, Covanta Union, Inc., Series A, AMT, 5.25%, 12/01/31

   $ 5,710      $ 6,354,374   

Education — 1.4%

    

Rutgers — The State University of New Jersey, RB, Series F, 5.00%, 5/01/39

     1,499        1,670,940   

State — 5.3%

    

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

    

6.00%, 12/15/18 (d)

     987        1,131,879   

6.00%, 12/15/34

     2,013        2,308,146   

New Jersey EDA, Refunding RB, School Facilities Construction, 5.00%, 3/01/29 (g)

     2,787        3,019,045   
    

 

 

 
               6,459,070   

Transportation — 13.2%

    

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

     4,700        5,327,450   

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

    

Series A (AMBAC), 5.00%, 12/15/32

     2,000        2,104,520   

Series B, 5.25%, 6/15/36 (g)

     2,501        2,675,314   

Port Authority of New York & New Jersey, RB, Consolidated, 169th Series, AMT, 5.00%, 10/15/41

     3,495        3,849,568   

Port Authority of New York & New Jersey, Refunding RB, Consolidated, 152nd Series, AMT, 5.25%, 11/01/35

     2,039        2,208,718   
    

 

 

 
               16,165,570   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 25.1%
        30,649,954   

Total Long-Term Investments

(Cost — $180,778,663) — 160.6%

  

  

    196,338,570   
 
                  
Short-Term Securities    Shares         

BIF New Jersey Municipal Money Fund, 0.01% (h)(i)

     1,329,875        1,329,875   

Total Short-Term Securities

(Cost — $1,329,875) — 1.1%

  

  

    1,329,875   
Total Investments (Cost — $182,108,538) — 161.7%        197,668,445   
Other Assets Less Liabilities — 0.9%        967,830   

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (14.2)%

   

    (17,303,981
VMTP Shares, at Liquidation Value — (48.4)%        (59,100,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 122,232,294   
    

 

 

 
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    39


Schedule of Investments (continued)

  

BlackRock New Jersey Municipal Income Trust (BNJ)

 

Notes to Schedule of Investments

 

(a)   Issuer filed for bankruptcy and/or is in default of interest payments.

 

(b)   Non-income producing security.

 

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

 

(d)   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.

 

(e)   Zero-coupon bond.

 

(f)   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. See Note 4 of the Notes to Financial Statements for details.

 

(g)   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 from June 15, 2019 to September 1, 2020, is $7,519,842. See Note 4 of the Notes to Financial Statements for details.

 

(h)   During the six months ended January 31, 2016, investments in issuers considered to be an affiliate 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 July 31,
2015
       Net
Activity
       Shares Held
at January 31,
2016
       Income  

BIF New Jersey Municipal Money Fund

       1,096,513           233,362           1,329,875         $ 108   

 

(i)   Current yield as of period end.

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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Derivative Financial Instruments Outstanding as of Period End

 

Financial Futures Contracts          
Contracts
Short
    Issue      Expiration      Notional
Value
       Unrealized
Depreciation
           
  (17   5-Year U.S. Treasury Note      March 2016        2,051,422         $ (32,624    
  (30   10-Year U.S. Treasury Note      March 2016        3,887,344           (89,103    
  (12   Long U.S. Treasury Bond      March 2016        1,932,375           (75,671    
  (2   Ultra U.S. Treasury Bond      March 2016        332,375           (14,502        
  Total                     $ (211,900    
                

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

          Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  
Liabilities — Derivative Financial Instruments                                                 

Financial futures contracts

  Net unrealized depreciation1                               $ 211,900             $ 211,900   

1    Includes cumulative depreciation on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

        

For the six months ended January 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

     Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  
Net Realized Gain (Loss) From:              

Financial futures contracts

                              $ (94,497          $ (94,497

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments (concluded)

  

BlackRock New Jersey Municipal Income Trust (BNJ)

 

     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Change in Unrealized Appreciation (Depreciation) on:

                   

Financial futures contracts

                                  $ (195,341            $ (195,341

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:       

Average notional value of contracts — short

  $ 5,963,965   

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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 Investments 1

            $ 196,338,570              $ 196,338,570   

Short-Term Securities

  $ 1,329,875                          1,329,875   
 

 

 

 

Total

  $ 1,329,875         $ 196,338,570              $ 197,668,445   
 

 

 

 

1    See above Schedule of Investments for values in each sector.

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments 2   

Liabilities:

                

Interest Rate Contracts

  $ (211,900                     $ (211,900

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement 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  

Assets:

  

Cash pledged for financial futures contracts

  $ 113,750                        $ 113,750   

Liabilities:

  

TOB Trust Certificates

            $ (17,301,282             (17,301,282

VMTP Shares

              (59,100,000             (59,100,000
 

 

 

 

Total

  $ 113,750         $ (76,401,282           $ (76,287,532
 

 

 

 

During the six months ended January 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    41


Schedule of Investments January 31, 2016 (Unaudited)

  

BlackRock New York Municipal Income Trust (BNY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New York — 129.7%

                

Corporate — 7.7%

  

City of New York New York Build Resource Corp., Refunding RB, Pratt Paper, Inc. Project, AMT, 5.00%, 1/01/35 (a)

   $ 280      $ 302,333   

City of New York New York Industrial Development Agency, ARB, American Airlines, Inc., JFK International Airport Project, AMT (b):

    

7.63%, 8/01/25

     3,200        3,334,624   

7.75%, 8/01/31

     4,000        4,170,800   

City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/28

     795        861,327   

County of Essex New York Industrial Development Agency, RB, International Paper Co. Project, Series A, AMT, 6.63%, 9/01/32

     550        608,267   

County of Onondaga New York Industrial Development Agency, RB, AMT, 5.75%, 3/01/24

     1,000        1,272,510   

New York Liberty Development Corp., Refunding RB, Goldman Sachs Headquarters, 5.25%, 10/01/35

     2,605        3,215,429   

Niagara Area Development Corp., Refunding RB, Solid Waste Disposal Facility, Covanta Energy Project, Series A, AMT, 5.25%, 11/01/42 (a)

     1,500        1,513,980   
    

 

 

 
               15,279,270   

County/City/Special District/School District — 35.0%

  

City of New York New York Convention Center Development Corp., Refunding RB, Hotel Unit Fee Secured:

    

5.00%, 11/15/40

     2,500        2,916,875   

4.00%, 11/15/45

     540        572,773   

5.00%, 11/15/45

     3,700        4,289,780   

City of New York New York, GO:

    

Series A-1, 4.75%, 8/15/25

     750        819,337   

Series A-1, 5.00%, 8/01/35

     1,000        1,164,880   

Series D, 5.38%, 6/01/32

     25        25,106   

Series G-1, 6.25%, 12/15/31

     15        17,305   

Sub-Series G-1, 6.25%, 12/15/18 (c)

     485        560,175   

Sub-Series G-1, 5.00%, 4/01/28

     630        752,548   

Sub-Series G-1, 5.00%, 4/01/29

     750        892,980   

Sub-Series I-1, 5.38%, 4/01/36

     1,750        1,983,485   

City of New York New York, GO, Fiscal 2014, Sub-Series D-1, 5.00%, 8/01/31

     690        829,870   

City of New York New York, GO, Refunding:

    

Series E, 5.50%, 8/01/25

     1,280        1,644,006   

Series E, 5.00%, 8/01/30

     1,000        1,196,220   

Series I, 5.00%, 8/01/30

     1,000        1,185,230   

City of New York New York Housing Development Corp., RB, M/F Housing, Fund Grant Program, New York City Housing Authority Program, Series B1:

    

5.25%, 7/01/32

     1,140        1,341,860   

5.00%, 7/01/33

     500        573,610   

City of New York New York Industrial Development Agency, ARB, American Airlines, Inc., JFK International Airport Project, AMT, Series B, 2.00%, 8/01/28 (b)

     4,170        4,178,674   

City of New York New York Industrial Development Agency, RB, PILOT:

    

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/42 (d)

     1,960        697,192   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/45 (d)

     1,500        473,640   

Queens Baseball Stadium (AGC), 6.38%, 1/01/39

     150        170,459   

Queens Baseball Stadium (AMBAC), 5.00%, 1/01/39

     3,000        3,074,280   

Queens Baseball Stadium (AMBAC), 5.00%, 1/01/46

     250        255,685   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

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

  

City of New York New York Industrial Development Agency, RB, PILOT (continued):

    

Yankee Stadium Project (NPFGC), 5.00%, 3/01/46

   $ 500      $ 508,435   

Yankee Stadium Project (NPFGC), 4.75%, 3/01/46

     350        356,969   

City of New York New York Industrial Development Agency, Refunding ARB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/22

     650        736,365   

City of New York New York Transitional Finance Authority, RB, Fiscal 2012, Sub-Series E-1, 5.00%, 2/01/42

     2,500        2,855,500   

Haverstraw-Stony Point Central School District, GO, Refunding:

    

3.00%, 10/15/34

     465        465,307   

5.00%, 10/15/35

     240        282,386   

Hudson Yards Infrastructure Corp., RB, Series A:

    

5.00%, 2/15/47

     5,485        5,697,379   

5.75%, 2/15/47

     200        232,852   

(AGC), 5.00%, 2/15/47

     1,000        1,039,680   

(AGM), 5.00%, 2/15/47

     1,000        1,039,680   

(NPFGC), 4.50%, 2/15/47

     4,500        4,641,435   

Metropolitan Transportation Authority, Refunding RB, Transportation, Series D, 5.00%, 11/15/34

     800        933,440   

New York Liberty Development Corp., Refunding RB:

    

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 2, 5.63%, 7/15/47

     2,000        2,278,860   

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

     1,200        1,355,208   

3 World Trade Center Project, Class 2, 5.38%, 11/15/40 (a)

     480        512,347   

4 World Trade Center Project, 5.00%, 11/15/31

     860        996,387   

4 World Trade Center Project, 5.00%, 11/15/44

     7,655        8,602,000   

4 World Trade Center Project, 5.75%, 11/15/51

     1,340        1,567,210   

7 World Trade Center Project, Class 1, 4.00%, 9/15/35

     1,935        2,133,608   

7 World Trade Center Project, Class 2, 5.00%, 9/15/43

     1,670        1,867,528   

7 World Trade Center Project, Class 3, 5.00%, 3/15/44

     2,070        2,284,245   
    

 

 

 
               70,002,791   

Education — 31.1%

  

Amherst Development Corp., Refunding RB, University at Buffalo Foundation Faculty-Student Housing Corp., Series A (AGM), 4.63%, 10/01/40

     1,100        1,175,119   

Build New York City Resource Corp., Refunding RB:

    

5.00%, 7/01/41

     400        447,072   

4.00%, 7/01/45

     735        737,374   

Build NYC Resource Corp., RB, South Bronx Charter School for International Cultures & The Arts Project, Series A, 5.00%, 4/15/33

     900        931,878   

Build NYC Resource Corp., Refunding RB, City University New York-Queens College Student Residences, LLC Project, Series A, 5.00%, 6/01/38

     250        286,240   

City of New York New York Trust for Cultural Resources, RB, Juilliard School, Series A, 5.00%, 1/01/39

     750        830,910   

City of New York New York Trust for Cultural Resources, Refunding RB:

    

American Museum of Natural History, Series A, 5.00%, 7/01/37

     225        263,009   

Carnegie Hall, Series A, 4.75%, 12/01/39

     2,000        2,218,240   

Museum of Modern Art, Series 1A, 5.00%, 4/01/31

     1,000        1,096,570   

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project:

    

Series A, 5.13%, 9/01/40

     3,135        3,546,249   

Series B, 4.00%, 8/01/35

     470        497,415   
 

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Education (continued)

  

City of Yonkers New York Industrial Development Agency, RB, Sarah Lawrence College Project, Series A, 6.00%, 6/01/41

   $ 625      $ 707,400   

County of Cattaraugus New York, RB, St. Bonaventure University Project, 5.00%, 5/01/34

     170        188,267   

County of Dutchess New York Industrial Development Agency, RB, Bard College Civic Facility, Series A-2, 4.50%, 8/01/36

     4,155        3,810,509   

County of Madison New York Industrial Development Agency, RB, Commons II LLC, Student Housing, Series A (CIFG), 5.00%, 6/01/18 (c)

     275        300,721   

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series A, 5.00%, 7/01/31

     1,900        2,178,350   

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 7/01/38

     320        368,499   

County of Nassau New York Industrial Development Agency, Refunding RB, New York Institute of Technology Project, Series A, 4.75%, 3/01/26

     1,165        1,250,464   

County of Orange New York Funding Corp., Refunding RB, Mount St. Mary College Project, Series A:

    

5.00%, 7/01/37

     360        389,516   

5.00%, 7/01/42

     220        234,010   

County of St. Lawrence New York Industrial Development Agency, RB, Clarkson University Project, 5.38%, 9/01/41

     750        843,675   

County of Tompkins New York Development Corp., RB, Ithaca College Project (AGM), 5.50%, 7/01/33

     700        811,797   

Geneva Development Corp., Refunding RB, Hobart and William Smith Colleges, 5.25%, 9/01/44

     500        575,835   

State of New York Dormitory Authority, Refunding RB, Barnard College, Series A, 5.00%, 7/01/33

     530        630,801   

State of New York Dormitory Authority, RB:

    

Convent of the Sacred Heart (AGM), 5.75%, 11/01/40

     210        246,460   

Convent of the Sacred Heart (AGM), 5.25%, 11/01/24

     155        182,959   

Convent of the Sacred Heart (AGM), 5.63%, 11/01/32

     750        893,227   

New York University Mount Sinai School of Medicine, 5.13%, 7/01/19 (c)

     2,000        2,273,960   

New York University, Series 1 (AMBAC), 5.50%, 7/01/40

     1,440        1,985,371   

New York University, Series A (AMBAC), 5.00%, 7/01/17 (c)

     1,000        1,062,950   

New York University, Series B, 5.00%, 7/01/37

     1,250        1,469,175   

Series B, 5.75%, 3/15/36

     600        688,416   

State University Dormitory Facilities, Series A, 5.00%, 7/01/39

     750        834,863   

State University Dormitory Facilities, Series A, 5.00%, 7/01/41

     2,000        2,299,780   

Teachers College, Series B, 5.00%, 7/01/42

     2,175        2,457,163   

Touro College & University System, Series A, 5.25%, 1/01/34

     800        895,760   

Touro College & University System, Series A, 5.50%, 1/01/39

     2,000        2,206,640   

University of Rochester, Series A, 5.13%, 7/01/39

     850        956,054   

University of Rochester, Series A, 5.75%, 7/01/39 (e)

     650        741,117   

University of Rochester, Series B, 5.00%, 1/01/17 (c)

     500        520,815   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Education (continued)

  

State of New York Dormitory Authority, Refunding RB:

    

3rd General Resolution, State University Educational Facilities Issue, Series A, 5.00%, 5/15/29

   $ 2,000      $ 2,395,060   

Barnard College, Series A, 4.00%, 7/01/36

     410        439,598   

Brooklyn Law School, 5.75%, 7/01/33

     475        533,131   

Cornell University, Series A, 5.00%, 7/01/40

     1,000        1,141,610   

Culinary Institute of America, 5.00%, 7/01/42

     300        321,573   

Fordham University, 5.00%, 7/01/44

     850        966,858   

Icahn School of Medicine at Mount Sinai, Series A, 5.00%, 7/01/35

     1,600        1,855,216   

New York University, Series A, 5.00%, 7/01/37

     1,790        2,103,859   

Rochester Institute of Technology, 5.00%, 7/01/42

     1,790        2,015,486   

Skidmore College, Series A, 5.00%, 7/01/28

     75        87,072   

Skidmore College, Series A, 5.25%, 7/01/29

     85        100,446   

St. John’s University, Series A, 5.00%, 7/01/37

     1,000        1,157,740   

State University Dormitory Facilities, Series A, 5.25%, 7/01/30

     2,355        2,854,236   

State University Dormitory Facilities, Series A, 5.25%, 7/01/32

     445        533,422   

State University Dormitory Facilities, Series B, 3.50%, 7/01/34

     415        424,711   

Teachers College, 5.50%, 3/01/39

     450        504,576   

St. John’s Univerisity, Series A, 5.00%, 7/01/34

     250        294,588   

Town of Hempstead New York Local Development Corp., Refunding RB, Adelphi University Project, 5.00%, 10/01/35

     415        483,114   
    

 

 

 
               62,246,926   

Health — 14.2%

  

County of Dutchess New York Local Development Corp., Refunding RB, Health Quest System, Inc., Series A, 5.75%, 7/01/40

     300        340,707   

County of Genesee New York Industrial Development Agency, Refunding RB, United Memorial Medical Center Project, 5.00%, 12/01/27

     465        465,507   

County of Monroe New York Industrial Development Corp., RB, Rochester General Hospital Project, Series A, 5.00%, 12/01/32

     240        271,212   

County of Monroe New York Industrial Development Corp., Refunding RB, Unity Hospital of Rochester Project (FHA), 5.50%, 8/15/40

     1,650        1,933,239   

County of Nassau New York Local Economic Assistance Corp., Refunding RB, Winthrop University Hospital Association Project, 5.00%, 7/01/42

     2,800        3,032,932   

County of Suffolk New York Economic Development Corp., RB, Catholic Health Services, Series C, 5.00%, 7/01/32

     230        261,620   

County of Suffolk New York Industrial Development Agency, Refunding RB, Jefferson’s Ferry Project, 5.00%, 11/01/28

     1,175        1,196,115   

County of Westchester New York Healthcare Corp., Refunding RB, Senior Lien:

    

Remarketing, Series A, 5.00%, 11/01/30

     3,130        3,531,109   

Series B, 6.00%, 11/01/30

     500        578,025   

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project:

    

5.00%, 1/01/28

     675        762,406   

5.00%, 1/01/34

     1,250        1,372,400   

State of New York Dormitory Authority, RB:

    

Hudson Valley Hospital (BHAC) (FHA), 5.00%, 8/15/36

     750        794,062   

New York State Association for Retarded Children, Inc., Series A, 6.00%, 7/01/32

     500        576,405   

New York State Association for Retarded Children, Inc., Series B (AMBAC), 6.00%, 7/01/32

     200        230,562   
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    43


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Health (continued)

  

State of New York Dormitory Authority, RB (continued):

    

New York University Hospitals Center, Series A, 6.00%, 7/01/40

   $ 500      $ 575,535   

North Shore-Long Island Jewish Obligated Group, Series D, 4.25%, 5/01/39

     1,000        1,058,480   

State of New York Dormitory Authority, Refunding RB:

    

Miriam Osborn Memorial Home Association, 5.00%, 7/01/29

     290        310,970   

Mount Sinai Hospital, Series A, 5.00%, 7/01/26

     1,385        1,583,997   

New York University Hospitals Center, Series A, 5.00%, 7/01/17 (c)

     3,390        3,604,892   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/32

     1,750        1,954,085   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/41

     1,000        1,105,240   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/43

     1,430        1,616,372   

North Shore-Long Island Jewish Obligated Group, Series E, 5.50%, 5/01/33

     1,100        1,224,410   
    

 

 

 
               28,380,282   

Housing — 2.0%

  

City of New York New York Housing Development Corp., Refunding RB, M/F Housing:

    

8 Spruce Street, Class F, 4.50%, 2/15/48

     925        995,513   

Sustainable Neighborhood, Series G, 3.85%, 11/01/45

     1,515        1,530,665   

State of New York HFA, RB, M/F Housing, Highland Avenue Senior Apartments, Series A, AMT (SONYMA), 5.00%, 2/15/39

     1,500        1,517,310   
    

 

 

 
               4,043,488   

State — 11.1%

  

City of New York New York Transitional Finance Authority, BARB:

    

Fiscal 2015, Series S-1, 5.00%, 7/15/43

     500        571,305   

Series S-2 (NPFGC), 4.25%, 1/15/34

     1,015        1,042,760   

City of New York New York Transitional Finance Authority, RB, Future Tax Secured, 5.00%, 2/01/32

     5,000        5,957,800   

Sales Tax Asset Receivable Corp., Refunding RB, Series A, 4.00%, 10/15/32

     1,000        1,121,730   

State of New York Dormitory Authority, RB, General Purpose:

    

Series B, 5.00%, 3/15/42

     4,380        5,014,487   

Series C, 5.00%, 3/15/34

     2,185        2,529,924   

State of New York Dormitory Authority, Refunding RB, School Districts Financing Program, Series A (AGM), 5.00%, 10/01/35

     395        432,845   

State of New York Thruway Authority, RB, Transportation, Series A, 5.00%, 3/15/32

     320        377,414   

State of New York Thruway Authority, Refunding RB, 2nd General Highway & Bridge Trust, Series A, 5.00%, 4/01/32

     2,500        2,936,550   

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C:

    

5.00%, 3/15/30

     885        1,057,159   

5.00%, 3/15/32

     1,000        1,179,420   
    

 

 

 
               22,221,394   

Tobacco — 0.8%

  

Chautauqua New York Tobacco Asset Securitization Corp., Refunding RB, 4.75%, 6/01/39

     150        148,737   

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (a)

     1,000        1,044,530   
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Tobacco (continued)

  

Niagara Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed:

    

5.25%, 5/15/34

   $ 250      $ 288,048   

5.25%, 5/15/40

     110        124,510   
    

 

 

 
               1,605,825   

Transportation — 19.2%

  

Metropolitan Transportation Authority, RB:

    

Series A-1, 5.25%, 11/15/33

     540        651,775   

Series C, 6.50%, 11/15/28

     1,000        1,157,660   

Series D, 5.25%, 11/15/41

     1,000        1,185,000   

Series E, 5.00%, 11/15/38

     4,000        4,621,320   

Metropolitan Transportation Authority, Refunding RB:

    

5.00%, 11/15/35

     575        681,059   

Series D, 5.25%, 11/15/30

     910        1,110,054   

Series F, 5.00%, 11/15/30

     2,000        2,386,900   

Port Authority of New York & New Jersey, ARB, JFK International Air Terminal LLC, Special Project, AMT (NPFGC):

    

Series 6, 5.75%, 12/01/22

     6,000        6,133,800   

Series 8, 6.00%, 12/01/42

     1,000        1,165,890   

Port Authority of New York & New Jersey, Refunding ARB:

    

178th Series, AMT, 5.00%, 12/01/33

     750        867,097   

179th Series, 5.00%, 12/01/38

     575        675,844   

Consolidated, 146th Series, AMT (AGM), 4.50%, 12/01/34

     500        510,040   

Consolidated, 147th Series, AMT, 4.75%, 4/15/37

     1,330        1,365,750   

Consolidated, 177th Series, AMT, 4.00%, 1/15/43

     640        654,445   

Consolidated, 178th Series, AMT, 5.00%, 12/01/43

     500        560,100   

Consolidated, 189th Series, 5.00%, 5/01/45

     1,150        1,332,608   

State of New York Thruway Authority, Refunding RB:

    

General, Series I, 5.00%, 1/01/27

     1,000        1,190,120   

General, Series I, 5.00%, 1/01/37

     1,760        2,027,978   

General, Series I, 5.00%, 1/01/42

     280        319,298   

General, Series K, 5.00%, 1/01/32

     2,850        3,411,535   

Series J, 5.00%, 1/01/41

     2,000        2,266,580   

Triborough Bridge & Tunnel Authority, RB, Series B:

    

5.00%, 11/15/40

     350        413,245   

5.00%, 11/15/45

     310        363,128   

Triborough Bridge & Tunnel Authority, Refunding RB:

    

CAB, Sub-Series A, 0.00%, 11/15/32 (d)

     845        505,834   

General, CAB, Series B, 0.00%, 11/15/32 (d)

     2,500        1,462,975   

General, Series A, 5.25%, 11/15/45

     590        704,348   

General, Series A, 5.00%, 11/15/50

     500        579,245   
    

 

 

 
               38,303,628   

Utilities — 8.6%

  

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Series B, 5.00%, 6/15/36

     750        762,983   

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System:

    

2nd General Resolution, Fiscal 2011, Series BB, 5.00%, 6/15/31

     1,000        1,148,450   

2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 6/15/39

     1,000        1,174,900   

Series A, 4.75%, 6/15/30

     1,500        1,580,085   

Long Island Power Authority, RB, General, Electric Systems:

    

Series A (AGM), 5.00%, 5/01/36

     500        570,710   

Series C (CIFG), 5.25%, 9/01/29

     2,000        2,525,560   

Long Island Power Authority, Refunding RB, Electric System, Series A, 5.75%, 4/01/39

     4,000        4,497,520   
 

 

See Notes to Financial Statements.

 

                
44    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

                

Utilities (continued)

  

State of New York Environmental Facilities Corp., Refunding RB, Series B, Revolving Funds, New York City Municipal Water, 5.00%, 6/15/36

   $ 350      $ 407,673   

Utility Debt Securitization Authority, Refunding RB, Restructuring:

    

3.00%, 12/15/32

     2,215        2,273,941   

Series E, 5.00%, 12/15/41

     2,000        2,329,040   
    

 

 

 
               17,270,862   
Total Municipal Bonds in New York              259,354,466   
    

Puerto Rico — 2.5%

                

Housing — 1.4%

  

Puerto Rico Housing Finance Authority, Refunding RB, M/F Housing, Subordinate, Capital Fund Modernization, 5.13%, 12/01/27

     2,605        2,822,491   

Utilities — 1.1%

  

Children’s Trust Fund, Refunding RB, Asset-Backed, 5.63%, 5/15/43

     2,220        2,223,730   
Total Municipal Bonds in Puerto Rico              5,046,221   
Total Municipal Bonds — 132.2%              264,400,687   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
            

New York — 28.6%

                

County/City/Special District/School District — 5.4%

  

City of New York New York, GO:

    

Sub-Series G-1, 5.00%, 4/01/29

     4,370        5,203,097   

Sub-Series I-1, 5.00%, 3/01/36

     1,500        1,749,150   

City of New York New York Transitional Finance Authority, RB, Future Tax Secured, Sub-Series D-1, 5.00%, 11/01/38

     825        935,368   

New York Liberty Development Corp., Refunding RB, 7 World Trade Center Project, Class 1, 5.00%, 9/15/40

     2,610        3,034,856   
    

 

 

 
               10,922,471   

Education — 2.1%

  

City of New York New York Trust for Cultural Resources, Refunding RB, Wildlife Conservation Society, Series A, 5.00%, 8/01/33

     3,527        4,166,933   

State — 2.4%

  

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

     660        733,964   

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

     1,250        1,455,196   

Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A, 5.00%, 10/15/31

     750        918,953   

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

     1,500        1,720,125   
    

 

 

 
               4,828,238   

Transportation — 7.1%

  

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

     6,495        7,550,191   

Port Authority of New York & New Jersey, ARB, Consolidated, 169th Series, AMT, 5.00%, 10/15/26

     1,500        1,768,530   

Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55

     1,455        1,722,080   
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
  

Par  

(000)

    Value  

New York (continued)

                

Transportation (continued)

  

State of New York Thruway Authority, Refunding RB, Transportation, Personal Income Tax, Series A, 5.00%, 3/15/31

   $ 1,180      $ 1,389,426   

Triborough Bridge & Tunnel Authority, Series A, 5.00%, 11/15/46

     1,500        1,768,305   
    

 

 

 
               14,198,532   

Utilities — 11.6%

  

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A, 5.75%, 6/15/40

     1,200        1,335,370   

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System:

    

2nd General Resolution, Fiscal 2011, Series HH, 5.00%, 6/15/32

     5,310        6,199,797   

2nd General Resolution, Fiscal 2012, Series BB, 5.00%, 6/15/44

     3,511        4,038,046   

2nd General Resolution, Series FF-2, 5.50%, 6/15/40

     810        924,196   

Series A, 4.75%, 6/15/30

     2,500        2,633,475   

Utility Debt Securitization Authority, Refunding RB, 5.00%, 12/15/41

     6,868        7,997,837   
    

 

 

 
               23,128,721   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts
— 28.6%
        57,244,895   
Total Long-Term Investments
(Cost — $294,035,203) — 160.8%
        321,645,582   
    
                  
Short-Term Securities    Shares         

BIF New York Municipal Money Fund, 0.00% (h)(i)

     1        1   
Total Short-Term Securities
(Cost — $1) — 0.0%
        1   
Total Investments (Cost — $294,035,204) — 160.8%        321,645,583   
Other Assets Less Liabilities — 1.8%        3,514,494   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (15.3)%

   

    (30,683,904
VMTP Shares, at Liquidation Value — (47.3)%        (94,500,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 199,976,173   
    

 

 

 
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    45


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

 

Notes to Schedule of Investments

 

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

 

(b)   Variable rate security. Rate as of period end.

 

(c)   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.

 

(d)   Zero-coupon bond.

 

(e)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(f)   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. See Note 4 of the Notes to Financial Statements for details.

 

(g)   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 agreement, which expires on February 15, 2019, is $661,933. See Note 4 of the Notes to Financial Statements for details.

 

(h)   During the six months ended January 31, 2016, investments in issuers considered to be an affiliate 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 July 31,
2015
      

Net

Activity

       Shares Held
at January 31,
2016
       Income  

BIF New York Municipal Money Fund

       4,552,128           (4,552,127        1         $ 789   

 

(i)   Current yield as of period end.

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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Derivative Financial Instruments Outstanding as of Period End

 

Financial Futures Contracts          
Contracts
Short
    Issue      Expiration      Notional
Value
    Unrealized
Depreciation
           
  (24   5-Year U.S. Treasury Note      March 2016        2,896,125      $ (43,188    
  (44   10-Year U.S. Treasury Note      March 2016        5,701,438        (130,120    
  (20   Long U.S. Treasury Bond      March 2016        3,220,625        (125,557    
  (4   Ultra U.S. Treasury Bond      March 2016        664,750        (28,099        
  Total                  $ (326,964    
             

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

            Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  
Liabilities — Derivative Financial Instruments                                                        

Financial futures contracts

   Net unrealized depreciation1                                    $ 326,964               $ 326,964   

1   Includes cumulative depreciation on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

       

For the six months ended January 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
   Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  
Net Realized Gain (Loss) From:                     

Financial futures contracts

                              $ (170,233            $ (170,233

Net Change in Unrealized Appreciation (Depreciation) on:

  

Financial futures contracts

                              $ (264,346            $ (264,346

 

See Notes to Financial Statements.

 

                
46    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Schedule of Investments (concluded)

  

BlackRock New York Municipal Income Trust (BNY)

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Financial futures contracts:        

Average notional value of contracts — short

  $ 8,980,930   

For more information about the Trust’s risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of period end      

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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

            $ 321,645,582              $ 321,645,582   

Short-Term Securities

  $ 1                          1   
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 1         $ 321,645,582              $ 321,645,583   
 

 

 

      

 

 

      

 

    

 

 

 

1    See above Schedule of Investments for values in each sector.

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2                 

Liabilities:

                

Interest Rate Contracts

  $ (326,964                     $ (326,964

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement 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  

Assets:

                

Cash pledged for financial futures contracts

  $ 180,250                        $ 180,250   

Liabilities:

                

Bank overdraft

            $ (638,530             (638,530

TOB Trust Certificates

              (30,680,387             (30,680,387

VMTP Shares

              (94,500,000             (94,500,000
 

 

 

 

Total

  $ 180,250         $ (125,818,917           $ (125,638,667
 

 

 

 

During the six months ended January 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    47


Statements of Assets and Liabilities     

 

January 31, 2016 (Unaudited)  

BlackRock
California
Municipal

Income Trust
(BFZ)

   

BlackRock
Florida
Municipal 2020

Term Trust
(BFO)

    BlackRock
Municipal
Income
Investment Trust
(BBF)
    BlackRock
Municipal
Target
Term Trust
(BTT)
    BlackRock
New Jersey
Municipal
Income Trust
(BNJ)
    BlackRock
New York
Municipal
Income Trust
(BNY)
 
           
Assets                                                

Investments at value — unaffiliated1

  $ 847,233,134      $ 84,652,379      $ 164,875,126      $ 2,569,056,591      $ 196,338,570      $ 321,645,582   

Investments at value — affiliated2

    4,602,910        760,989        339,390        106,418,611        1,329,875        1   

Cash

                         1,287                 

Cash pledged for financial futures contracts

    267,000               75,850               113,750        180,250   
Receivables:            

Interest

    12,380,886        902,781        1,997,297        23,176,161        1,638,778        3,586,360   

Investments sold

    568,888               661,968        1,030,495               846,105   

TOB trust

                                       750,000   

Deferred offering costs

                  117,383        466,753                 

Prepaid expenses

    20,185       1,594       46,663       55,273       7,101       9,642  
 

 

 

 

Total assets

    865,073,003       86,317,743       168,113,677       2,700,205,171       199,428,074       327,017,940  
 

 

 

 
           
Accrued Liabilities                                                

Bank overdraft

                                       638,530   
Payables:            

Investments purchased

    8,376,116        405,458        660,936        50,449,198        14        480   

Income dividends — Common Shares

    2,301,310        172,426        485,240        5,640,446        575,372        891,707   

Investment advisory fees

    418,347        36,139        84,645        767,961        100,773        164,600   

Reorganization costs

                  56,841                        

Officer’s and Trustees’ fees

    65,234        8,663        14,840        12,158        17,713        27,083   

Interest expense and fees

    30,112               3,820        56,505        2,693        3,721   

Other accrued expenses

    114,804        48,952        26,005        248,897        62,581        80,384   

Variation margin payable on financial futures contracts

    85,032             24,063             35,352       54,875  
 

 

 

 

Total accrued liabilities

    11,390,955       671,638       1,356,390       57,175,165       794,498       1,861,380  
 

 

 

 
           
Other Liabilities                                                

TOB Trust Certificates

    169,448,780               29,682,285        184,119,974        17,301,282        30,680,387   

RVMTP Shares, at liquidation value of $5,000,000 per share3

                         750,000,000                 

VMTP Shares, at liquidation value of $100,000 per share3

    171,300,000                             59,100,000       94,500,000  

VRDP Shares, at liquidation value of $100,000 per share3

                34,200,000                       
 

 

 

 

Total other liabilities

    340,748,780             63,882,285       934,119,974       76,401,282       125,180,387  
 

 

 

 

Total liabilities

    352,139,735       671,638       65,238,675       991,295,139       77,195,780       127,041,767  
 

 

 

 

Net Assets

  $ 512,933,268      $ 85,646,105      $ 102,875,002      $ 1,708,910,032     $ 122,232,294     $ 199,976,173  
 

 

 

 
           
Net Assets Applicable to Common Shareholders Consist of                                           

Paid-in capital4

  $ 446,519,215      $ 80,604,532      $ 95,032,487      $ 1,671,252,100      $ 108,793,950      $ 183,240,014   

Undistributed net investment income

    2,423,053        1,942,547        645,483        9,526,066        1,154,256        2,183,257   

Accumulated net realized loss

    (11,268,683     (440,616     (11,106,479     (75,725,283     (3,063,919     (12,730,513

Net unrealized appreciation (depreciation)

    75,259,683       3,539,642       18,303,511       103,857,149       15,348,007       27,283,415  
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 512,933,268      $ 85,646,105      $ 102,875,002      $ 1,708,910,032     $ 122,232,294     $ 199,976,173  
 

 

 

 

Net asset value, per Common Share

  $ 16.09      $ 15.40      $ 15.34      $ 24.24     $ 15.95     $ 15.47  
 

 

 

 

1    Investments at cost — unaffiliated

  $ 771,565,047      $ 81,112,737      $ 146,419,184      $ 2,465,199,442     $ 180,778,663     $ 294,035,203  

2    Investments at cost — affiliated

  $ 4,602,910      $ 760,989      $ 339,390      $ 106,418,611     $ 1,329,875     $ 1  

3    Preferred Shares outstanding, unlimited number of shares authorized, par value $0.001 per share

    1,713               342        150       591       945  

4    Common Shares outstanding, unlimited number of shares authorized, par value $0.001 per share

    31,874,095        5,562,128        6,704,527        70,505,571       7,661,414       12,923,290  

 

 

See Notes to Financial Statements.      
                
48    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Statements of Operations     

 

Six Months Ended January 31, 2016 (Unaudited)   BlackRock
California
Municipal
Income Trust
(BFZ)
    BlackRock
Florida
Municipal 2020
Term Trust
(BFO)
    BlackRock
Municipal
Income
Investment Trust
(BBF)
    BlackRock
Municipal
Target
Term Trust
(BTT)
    BlackRock
New Jersey
Municipal
Income Trust
(BNJ)
    BlackRock
New York
Municipal
Income Trust
(BNY)
 
           
Investment Income                                                

Interest — unaffiliated

  $ 17,339,247      $ 1,312,000      $ 3,807,521      $ 45,998,897      $ 4,391,903      $ 6,602,439   

Dividends — affiliated

    2       40       78       9,274       108        789   
 

 

 

 

Total income

    17,339,249       1,312,040       3,807,599       46,008,171       4,392,011        6,603,228   
 

 

 

 
           
Expenses                                                

Investment advisory

    2,441,619        214,208        498,763        5,161,667        589,925        962,712   

Professional

    62,236        24,482        27,660        97,573        28,724        35,692   

Officer and Trustees

    21,744        3,687        4,210        72,119        4,942        8,115   

Accounting services

    18,793        7,929        15,111        120,107        17,155        25,011   

Rating agency

    18,050               20,459        18,486        17,966        17,992   

Custodian

    17,518        3,636        5,342        48,582        6,099        9,177   

Transfer agent

    14,489        6,449        7,343        39,883        7,925        9,927   

Printing

    5,165        2,559        2,789        12,511        2,981        3,535   

Registration

    4,997        3,774        3,774        11,208        3,768        3,759   

Liquidity fees

                  67,440                        

Reorganization costs

                  63,343                        

Remarketing fees on Preferred Shares

                  7,790                        

Miscellaneous

    19,412       4,452       11,592       55,748       11,486        17,829   
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    2,624,023       271,176       735,616       5,637,884       690,971        1,093,749   

Interest expense, fees and amortization of offering costs1

    1,345,880       53       203,973       3,488,814       351,477        548,525   
 

 

 

 

Total expenses

    3,969,903       271,229       939,589       9,126,698       1,042,448        1,642,274   

Less fees waived by the Manager

    (1 )     (4 )            (645,742 )     (40     (371
 

 

 

 

Total expenses after fees waived

    3,969,902       271,225       939,589       8,480,956       1,042,408        1,641,903   
 

 

 

 

Net investment income

    13,369,347       1,040,815       2,868,010       37,527,215       3,349,603        4,961,325   
 

 

 

 
           
Realized and Unrealized Gain (Loss)                                                
Net realized gain (loss) from:            

Investments

    1,613,352        2,643        50,467        7,107,812        (315,676     728,718   

Financial futures contracts

    (86,462 )            (57,411 )     (304,681 )     (94,497     (170,233
 

 

 

 
    1,526,890       2,643       (6,944 )     6,803,131       (410,173     558,485   
 

 

 

 
Net change in unrealized appreciation (depreciation) on:            

Investments

    7,242,996        167,954        1,558,101        95,781,874        3,806,359        6,632,309   

Financial futures contracts

    (365,290 )            (141,234 )     330,635       (195,341     (264,346
 

 

 

 
    6,877,706       167,954        1,416,867       96,112,509       3,611,018        6,367,963   
 

 

 

 

Net realized and unrealized gain

    8,404,596       170,597       1,409,923       102,915,640       3,200,845        6,926,448   
 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 21,773,943      $ 1,211,412      $ 4,277,933      $ 140,442,855      $ 6,550,448      $ 11,887,773   
 

 

 

 

1    Related to TOB Trusts, VMTP Shares, RVMTP Shares and/or VRDP Shares.

       

   

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    49


Statements of Changes in Net Assets     

 

    BlackRock California
Municipal Income Trust (BFZ)
        BlackRock Florida Municipal
2020 Term Trust (BFO)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
January 31, 2016
(Unaudited)
    Year Ended
July 31,
2015
        Six Months Ended
January 31, 2016
(Unaudited)
    Year Ended
July 31,
2015
 
         
Operations                                    

Net investment income

  $ 13,369,347      $ 26,545,088        $ 1,040,815      $ 2,311,006   

Net realized gain

    1,526,890        5,579,813          2,643        307,666   

Net change in unrealized appreciation (depreciation)

    6,877,706        (4,073,134       167,954        (429,218

Distributions to AMPS Shareholders from net investment income

                           (175
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    21,773,943        28,051,767          1,211,412        2,189,279   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                    

From net investment income

    (13,807,858     (27,615,716       (1,075,716     (2,427,313
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase (decrease) in net assets applicable to Common Shareholders

    7,966,085        436,051          135,696        (238,034

Beginning of period

    504,967,183        504,531,132          85,510,409        85,748,443   
 

 

 

     

 

 

 

End of period

  $ 512,933,268      $ 504,967,183        $ 85,646,105      $ 85,510,409   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 2,423,053      $ 2,861,564        $ 1,942,547      $ 1,977,448   
 

 

 

     

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
50    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Statements of Changes in Net Assets     

 

    BlackRock Municipal Income
Investment Trust (BBF)
        BlackRock Municipal Target
Term Trust (BTT)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
January 31, 2016
(Unaudited)
    Year Ended
July 31,
2015
        Six Months Ended
January 31, 2016
(Unaudited)
    Year Ended
July 31
2015
 
         
Operations                                    

Net investment income

  $ 2,868,010      $ 5,823,129        $ 37,527,215      $ 77,156,182   

Net realized gain (loss)

    (6,944     (3,848       6,803,131        4,957,993   

Net change in unrealized appreciation (depreciation)

    1,416,867        349,346          96,112,509        37,609,616   
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    4,277,933        6,168,627          140,442,855        119,723,791   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                    

From net investment income

    (2,911,441     (5,822,882       (33,946,881     (67,685,348
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase in net assets applicable to Common Shareholders

    1,366,492        345,745          106,495,974        52,038,443   

Beginning of period

    101,508,510        101,162,765          1,602,414,058        1,550,375,615   
 

 

 

     

 

 

 

End of period

  $ 102,875,002      $ 101,508,510        $ 1,708,910,032      $ 1,602,414,058   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 645,483      $ 688,914        $ 9,526,066      $ 5,945,732   
 

 

 

     

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    51


Statements of Changes in Net Assets     

 

    BlackRock New Jersey
Municipal Income Trust (BNJ)
        BlackRock New York
Municipal Income Trust (BNY)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
January 31,
2016
(Unaudited)
    Year Ended
July 31,
2015
        Six Months Ended
January 31, 2016
(Unaudited)
    Year Ended
July 31,
2015
 
         
Operations                                    

Net investment income

  $ 3,349,603      $ 6,617,670        $ 4,961,325      $ 10,214,239   

Net realized gain (loss)

    (410,173     (85,555       558,485        (1,160,623

Net change in unrealized appreciation (depreciation)

    3,611,018        49,567          6,367,963        5,390,669   
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    6,550,448        6,581,682          11,887,773        14,444,285   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                    

From net investment income

    (3,489,215     (6,997,412       (5,347,773     (10,693,019
 

 

 

     

 

 

 
         
Capital Share Transactions                                    

Reinvestment of common distributions

           77,990          136,996          
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase (decrease) in net assets applicable to Common Shareholders

    3,061,233        (337,740       6,676,996        3,751,266   

Beginning of period

    119,171,061        119,508,801          193,299,177        189,547,911   
 

 

 

     

 

 

 

End of period

  $ 122,232,294      $ 119,171,061        $ 199,976,173      $ 193,299,177   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 1,154,256      $ 1,293,868        $ 2,183,257      $ 2,569,705   
 

 

 

     

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
52    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Statements of Cash Flows     

 

Six Months Ended January 31, 2016 (Unaudited)   BlackRock
California
Municipal
Income Trust
(BFZ)
    BlackRock
Municipal
Income
Investment
Trust
(BBF)
    BlackRock
Municipal
Target
Term Trust
(BTT)
    BlackRock
New Jersey
Municipal
Income Trust
(BNJ)
    BlackRock
New York
Municipal
Income Trust
(BNY)
 
         
Cash Provided by (Used for) Operating Activities                                        

Net increase in net assets resulting from operations

  $ 21,773,943      $ 4,277,933      $ 140,442,855      $ 6,550,448      $ 11,887,773   

Adjustments to reconcile net increase in net assets resulting from
operations to net cash provided by (used for) operating activities:

         

Proceeds from sales of long-term investments

    97,889,628        10,239,122        299,206,936        15,661,265        28,616,665   

Purchases of long-term investments

    (114,267,616     (10,346,753     (279,964,947     (15,174,646     (34,588,205

Net proceeds from sales (purchases) of short-term securities

    1,777,993        138,961        (26,539,886     (233,362     4,552,127   

Amortization of premium and accretion of discount on investments

    2,078,303        213,242        1,980,023        144,890        564,049   

Net realized gain (loss) on investments

    (1,613,352     (50,467     (7,107,812     315,676        (728,718

Net unrealized gain on investments

    (7,242,996     (1,558,101     (95,781,874     (3,806,359     (6,632,309

(Increase) decrease in assets:

         

Cash pledged for financial futures contracts

    (132,000     20,000        850,502        28,000        29,000   

Interest receivable

    (404,643     (61,969     1,272,277        21,373        (72,678

Prepaid expenses

    11,671        22,056        (4,280     19,174        17,516   

Increase (decrease) in liabilities:

         

Payables:

         

Investment advisory fees

    9,854        634        18,617        1,559        4,290   

Interest expense and fees

    (4,970     (2,741     (49,997     (2,008     (3,414

Officer’s and Trustees’ fees

    (5,912     (2,493     (7,221     (2,517     (4,357

Other accrued expenses

    (3,938     (19,812     (8,725     (7,286     (2,764

Variation margin on financial futures contracts

    25,657        (18,093     (374,063     (26,992     (37,156
 

 

 

 

Net cash provided by (used for) operating activities

    (108,378     2,851,519        33,932,405        3,489,215        3,601,819   
 

 

 

 
         
Cash Provided by (Used for) Financing Activities                                        

Cash distributions paid to Common Shareholders

    (13,807,858     (2,911,441     (33,946,881     (3,489,215     (5,210,155

Cash payments for offering costs

           56,841                        

Proceeds from TOB Trust Certificates

    15,216,236                             969,806   

Repayments of TOB Trust Certificates

    (1,300,000                            

Increase in bank overdraft

                                638,530   

Amortization of deferred offering costs

           3,081        15,763                 
 

 

 

 

Net cash provided by (used for) financing activities

    108,378        (2,851,519     (33,931,118     (3,489,215     (3,601,819
 

 

 

 
         
Cash                                        

Net increase (decrease) in cash

                  1,287                 

Cash at beginning of period

                                  
 

 

 

 

Cash at end of period

                $ 1,287                 
 

 

 

 
         
Supplemental Disclosure of Cash Flow Information                                        

Cash paid during the period for interest expense

  $ 1,350,850      $ 203,633      $ 3,523,048      $ 353,485      $ 551,939   
 

 

 

 
         
Non-Cash Financing Activities                                        

Capital shares issued in reinvestment of distributions paid to Common
Shareholders

                                136,996   
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    53


Financial Highlights    BlackRock California Municipal Income Trust (BFZ)

 

    Six Months Ended
January 31,
2016
(Unaudited)
    Year Ended July 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.84      $ 15.83      $ 14.50      $ 16.32      $ 13.88      $ 14.28   
 

 

 

 

Net investment income1

    0.42        0.83        0.87        0.89        0.95        0.98   

Net realized and unrealized gain (loss)

    0.26        0.05        1.39        (1.78     2.42        (0.45

Distributions to AMPS Shareholders from net investment income

                                (0.01     (0.02
 

 

 

 

Net increase (decrease) from investment operations

    0.68        0.88        2.26        (0.89     3.36        0.51   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.43     (0.87     (0.93     (0.93     (0.92     (0.91
 

 

 

 

Net asset value, end of period

  $ 16.09      $ 15.84      $ 15.83      $ 14.50      $ 16.32      $ 13.88   
 

 

 

 

Market price, end of period

  $ 15.94      $ 14.65      $ 14.41      $ 13.63      $ 16.64      $ 13.16   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                                

Based on net asset value

    4.37% 4      5.96%        16.48%        (5.81)%        24.98%        4.05%   
 

 

 

 

Based on market price

    11.86% 4      7.66%        12.80%        (13.17)%        34.40%        (0.86)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.56% 6      1.53%        1.59%        1.63%        1.49% 5      1.46% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.56% 6      1.53%        1.59%        1.63%        1.46% 5      1.39% 5 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    1.03% 6      1.00%        1.03%        1.01%        1.07% 5,8      1.12% 5 
 

 

 

 

Net investment income

    5.26% 6      5.20%        5.78%        5.49%        6.28% 5      7.19% 5 
 

 

 

 

Distributions to AMPS Shareholders

                                0.05%        0.15%   
 

 

 

 

Net investment income to Common Shareholders

    5.26% 6      5.20%        5.78%        5.49%        6.23%        7.04%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable Common Shareholders, end of period (000)

  $ 512,933      $ 504,967      $ 504,531      $ 462,273      $ 519,578      $ 441,745   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 171,325   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period (000)

                                     $ 89,460   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 171,300      $ 171,300      $ 171,300      $ 171,300      $ 171,300          
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 399,436      $ 394,785      $ 394,531      $ 369,862      $ 403,314          
 

 

 

 

Borrowings outstanding, end of period (000)

  $  169,449      $  155,533      $  106,698      $  158,655      $  162,234      $  143,713   
 

 

 

 

Portfolio turnover rate

    12%        37%        25%        22%        30%        36%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Aggregate total return.

 

  5   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  6   

Annualized.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

For the year ended July 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs and remarketing fees was 1.04%.

 

 

See Notes to Financial Statements.      
                
54    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Financial Highlights    BlackRock Florida Municipal 2020 Term Trust (BFO)

 

    Six Months Ended
January 31,
2016
(Unaudited)
    Year Ended July 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.37      $ 15.42      $ 15.31      $ 16.05      $ 14.94      $ 14.91   
 

 

 

 

Net investment income1

    0.19        0.42        0.47        0.68        0.85        0.92   

Net realized and unrealized gain (loss)

    0.03        (0.03     0.25        (0.65     0.98        (0.19

Distributions to AMPS Shareholders from net investment income

           (0.00 )2      (0.00 )2      (0.01     (0.02     (0.03
 

 

 

 

Net increase from investment operations

    0.22        0.39        0.72        0.02        1.81        0.70   
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.19     (0.44     (0.61     (0.76     (0.70     (0.67
 

 

 

 

Net asset value, end of period

  $ 15.40      $ 15.37      $ 15.42      $ 15.31      $ 16.05      $ 14.94   
 

 

 

 

Market price, end of period

  $ 15.04      $ 14.82      $ 15.16      $ 15.12      $ 15.60      $ 13.91   
 

 

 

 
           
Total Return Applicable to Common Shareholders4                                                

Based on net asset value

    1.43% 5      2.59%        4.84%        0.12%        12.44%        5.07%   
 

 

 

 

Based on market price

    2.80% 5      0.62%        4.36%        1.73%        17.38%        2.00%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    0.63% 7      0.68% 6      0.74% 6      0.92% 6      1.06% 6      1.13% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    0.63% 7      0.68% 6      0.74% 6      0.92% 6      1.06% 6      1.13% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    0.63% 7      0.68% 6,9      0.74% 6,9      0.92% 6,9      1.06% 6,9      1.09% 6 
 

 

 

 

Net investment income

    2.43% 7      2.69% 6      3.05% 6      4.23% 6      5.48% 6      6.29% 6 
 

 

 

 

Distributions to AMPS Shareholders

           0.00%        0.01%        0.09%        0.12%        0.19%   
 

 

 

 

Net investment income to Common Shareholders

    2.43% 7      2.69%        3.04%        4.14%        5.36%        6.10%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable Common Shareholders, end of period (000)

  $      85,646      $      85,510      $ 85,748      $ 85,139      $      89,251      $      83,111   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                $ 625      $ 19,100      $ 42,900      $ 42,900   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period (000)

                $  3,454,938      $     136,438      $ 77,011      $ 73,433   
 

 

 

 

Borrowings outstanding, end of period (000)

         $ 134      $ 190      $ 280      $ 470      $ 500   
 

 

 

 

Portfolio turnover rate

    1%        14%        1%        9%        32%        6%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Annualized.

 

  8   

Interest expense and fees relate to TOB Trusts. See Note 4 of the Notes to Financial Statements for details.

 

  9   

For the years ended July 31, 2015, July 31, 2014, July 31, 2013 and July 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees and remarketing fees was 0.67%, 0.73%, 0.87% and 0.97%, respectively.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    55


Financial Highlights    BlackRock Municipal Income Investment Trust (BBF)

 

   

Six Months Ended
January 31,
2016

(Unaudited)

    Year Ended July 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.14      $ 15.09      $ 13.89      $ 15.91      $ 13.40      $ 13.91   
 

 

 

 

Net investment income1

    0.43        0.87        0.87        0.85        0.86        0.97   

Net realized and unrealized gain (loss)

    0.20        0.05        1.20        (2.00     2.55        (0.56

Distributions to AMPS Shareholders from net investment income

                                (0.00 )2      (0.02
 

 

 

 

Net increase (decrease) from investment operations

    0.63        0.92        2.07        (1.15     3.41        0.39   
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.43     (0.87     (0.87     (0.87     (0.90     (0.90
 

 

 

 

Net asset value, end of period

  $ 15.34      $ 15.14      $ 15.09      $ 13.89      $ 15.91      $ 13.40   
 

 

 

 

Market price, end of period

  $ 14.55      $ 13.44      $ 13.48      $ 12.47      $ 16.25      $ 12.74   
 

 

 

 
           
Total Return Applicable to Common Shareholders4                                                

Based on net asset value

    4.49% 5      6.76%        16.06%        (7.56 )%      26.21%        3.15%   
 

 

 

 

Based on market price

    11.65% 5      6.09%        15.49%        (18.75 )%      35.59%        (1.86)%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.84% 6,7      1.76%        1.85%        1.83%        1.99% 8      1.60% 8 
 

 

 

 

Total expenses after fees waived

    1.84% 6,7      1.76%        1.85%        1.83%        1.99% 8      1.60% 8 
 

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs9

    1.44% 6,7,10      1.50% 10      1.56% 10      1.49% 10      1.61% 8,10      1.33% 8 
 

 

 

 

Net investment income

    5.62% 7      5.65%        6.09%        5.41%        5.89% 8      7.35% 8 
 

 

 

 

Distributions to AMPS Shareholders

                                0.02%        0.14%   
 

 

 

 

Net investment income to Common Shareholders

    5.62% 7      5.65%        6.09%        5.41%        5.87%        7.21%   
 

 

 

 
           
Supplemental Data                                           

Net assets applicable Common Shareholders, end of period (000)

  $ 102,875      $ 101,509      $ 101,163      $ 93,145      $ 106,627      $ 89,726   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 34,250   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 90,493   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 34,200      $ 34,200      $ 34,200      $ 34,200      $ 34,200          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $  400,804      $  396,809      $  395,798      $  372,353      $  411,775          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 29,682      $ 29,682      $ 29,682      $ 34,096      $ 33,466      $  30,617   
 

 

 

 

Portfolio turnover rate

    7%        11%        22%        33%        39%        24%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Includes reorganization costs associated with the Trust’s reorganization. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense would have been 1.72%, 1.72% and 1.32%, respectively, for the six months ended January 31, 2016.

 

  7   

Annualized.

 

  8   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  9   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  10  

For the six months ended January 31, 2016 and the years ended July 31, 2015, July 31, 2014, July 31, 2013 and July 31, 2012, the total expense ratio after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.29%, 1.17%, 1.19%, 1.17% and 1.31%, respectively.

 

 

See Notes to Financial Statements.      
                
56    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Financial Highlights    BlackRock Municipal Target Term Trust (BTT)

 

   

Six Months Ended
January 31,
2016

(Unaudited)

    Year Ended July 31,     Period
August 30, 20121
to July 31,
2013
 
      2015     2014    
       
Per Share Operating Performance                                

Net asset value, beginning of period

  $ 22.73      $ 21.99      $ 18.75      $ 23.88 2 
 

 

 

 

Net investment income3

    0.53        1.09        1.12        0.80   

Net realized and unrealized gain (loss)

    1.46        0.61        3.23        (4.95
 

 

 

 

Net increase (decrease) from investment operations

    1.99        1.70        4.35        (4.15
 

 

 

 
Distributions to Common Shareholders:4        

From net investment income

    (0.48     (0.96     (1.09     (0.87

From return of capital

                  (0.02     (0.11
 

 

 

 

Total distributions to Common Shareholders

    (0.48     (0.96     (1.11     (0.98
 

 

 

 

Net asset value, end of period

  $ 24.24      $ 22.73      $ 21.99      $ 18.75   
 

 

 

 

Market price, end of period

  $ 21.94      $ 20.80      $ 19.57      $ 18.42   
 

 

 

 
       
Total Return Applicable to Common Shareholders5                                

Based on net asset value

    9.09% 6      8.32%        24.50%        (18.00)% 6 
 

 

 

 

Based on market price

    7.90% 6      11.37%        12.78%        (23.05)% 6 
 

 

 

 
       
Ratios to Average Net Assets Applicable to Common Shareholders                                

Total expenses

    1.11% 7      1.14%        1.22%        0.99% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.03% 7      1.06%        1.21%        0.99% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    0.61% 7      0.62%        0.72%        0.64% 7 
 

 

 

 

Net investment income to Common Shareholders

    4.57% 7      4.77%        5.61%        3.78% 7 
 

 

 

 
       
Supplemental Data                                

Net assets, end of period (000)

  $ 1,708,910      $ 1,602,414      $ 1,550,376      $ 1,321,835   
 

 

 

 

RVMTP Shares outstanding at $5,000,000 liquidation value, end of period (000)

  $ 750,000      $ 750,000      $ 750,000      $ 750,000   
 

 

 

 

Asset coverage per RVMTP Shares at $5,000,000 liquidation value, end of period

  $  16,392,739      $  15,682,760      $  15,335,837      $  13,812,236   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 184,120      $ 184,120      $ 184,120      $ 238,705   
 

 

 

 

Portfolio turnover rate

    12%        12%        6%        39%   
 

 

 

 

 

  1   

Commencement of operations.

 

  2   

Net asset value, beginning of period, reflects a deduction of $1.125 per share sales charge from the initial offering price of $25.00 per share.

 

  3   

Based on average Common Shares outstanding.

 

  4   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  5   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  6   

Aggregate total return.

 

  7   

Annualized.

 

  8   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or RVMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    57


Financial Highlights    BlackRock New Jersey Municipal Income Trust (BNJ)

 

   

Six Months Ended
January 31,
2016

(Unaudited)

    Year Ended July 31  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 15.55      $ 15.61      $ 14.36      $ 16.17      $ 14.07      $ 14.38   
 

 

 

 

Net investment income1

    0.44        0.86        0.88        0.88        0.95        0.98   

Net realized and unrealized gain (loss)

    0.42        (0.01     1.27        (1.75     2.11        (0.32

Distributions to AMPS Shareholders from net investment income

                                (0.01     (0.03
 

 

 

 

Net increase (decrease) from investment operations

    0.86        0.85        2.15        (0.87     3.05        0.63   
 

 

 

 

Distributions to Common Shareholders from net investment income:2

    (0.46     (0.91     (0.90     (0.94     (0.95     (0.94
 

 

 

 

Net asset value, end of period

  $ 15.95      $ 15.55      $ 15.61      $ 14.36      $ 16.17      $ 14.07   
 

 

 

 

Market price, end of period

  $ 15.13      $ 14.61      $ 14.68      $ 13.67      $ 17.67      $ 14.10   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                                

Based on net asset value

    5.69% 4      5.79%        16.01%        (5.82)%        22.25%        4.74%   
 

 

 

 

Based on market price

    6.77% 4      5.69%        14.60%        (17.95)%        33.30%        1.85%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.74% 5      1.80%        1.89%        1.81%        1.47% 6      1.25% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.74% 5      1.79%        1.89%        1.81%        1.46% 6      1.24% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    1.15% 5      1.15%        1.18%        1.13%        1.18% 6,8      1.22% 6 
 

 

 

 

Net investment income

    5.59% 5      5.43%        5.96%        5.51%        6.28% 6      7.09% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.08%        0.21%   
 

 

 

 

Net investment income to Common Shareholders

    5.59% 5      5.43%        5.96%        5.51%        6.20%        6.88%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable Common Shareholders, end of period (000)

  $  122,232      $  119,171      $  119,509      $  109,950      $  123,497      $  107,226   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 59,100   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 70,358   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 59,100      $ 59,100      $ 59,100      $ 59,100      $ 59,100          
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 306,823      $ 301,643      $ 302,215      $ 286,040      $ 308,962          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 17,301      $ 17,301      $ 17,301      $ 17,302      $ 10,634      $ 3,859   
 

 

 

 

Portfolio turnover rate

    8%        12%        20%        9%        20%        20%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

For the year ended July 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.14%.

 

 

See Notes to Financial Statements.      
                
58    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Financial Highlights    BlackRock New York Municipal Income Trust (BNY)

 

    Six Months Ended
January 31,
2016
(Unaudited)
    Year Ended July 31,  
      2015     2014     2013     2012     2011  
           
Per Share Operating Performance                                                

Net asset value, beginning of period

  $ 14.97      $ 14.68      $ 13.47      $ 15.53      $ 13.87      $ 14.27   
 

 

 

 

Net investment income1

    0.38        0.79        0.81        0.87        0.93        1.01   

Net realized and unrealized gain (loss)

    0.53        0.33        1.23        (2.06     1.73        (0.39

Distributions to AMPS Shareholders from net investment income

                                (0.01     (0.03
 

 

 

 

Net increase (decrease) from investment operations

    0.91        1.12        2.04        (1.19     2.65        0.59   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.41     (0.83     (0.83     (0.87     (0.99 )     (0.99
 

 

 

 

Net asset value, end of period

  $ 15.47      $ 14.97      $ 14.68      $ 13.47      $ 15.53      $ 13.87   
 

 

 

 

Market price, end of period

  $ 15.93      $ 14.54      $ 13.79      $ 13.16      $ 16.73      $ 14.20   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                                

Based on net asset value

    6.22% 4      8.00%        15.98%        (8.18)%        19.62%        4.39%   
 

 

 

 

Based on market price

    12.61% 4      11.67%        11.51%        (16.73)%        25.87%        0.94%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                                

Total expenses

    1.67% 5      1.73%        1.82%        1.85%        1.49% 6      1.27% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.67% 5      1.73%        1.82%        1.84%        1.49% 6      1.27% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs7

    1.11% 5      1.12%        1.13%        1.14%        1.18% 6,8      1.22% 6 
 

 

 

 

Net investment income

    5.06% 5      5.24%        5.89%        5.71%        6.34% 6      7.35% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.08%        0.20%   
 

 

 

 

Net investment income to Common Shareholders

    5.06% 5      5.24%        5.89%        5.71%        6.26%        7.15%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 199,976      $ 193,299      $ 189,548      $ 173,976      $ 200,020      $  177,993   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 94,500   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period (000)

                                     $ 72,089   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 94,500      $ 94,500      $ 94,500      $ 94,500      $ 94,500          
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $  311,615      $  304,549      $  300,580      $  284,102      $  311,661          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 30,680      $ 28,961      $ 28,461      $ 31,620      $ 32,847      $ 11,089   
 

 

 

 

Portfolio turnover rate

    9%        11%        26%        23%        24%        17%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

For the year ended July 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.13%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    59


Notes to Financial Statements (Unaudited)     

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies. BlackRock California Municipal Income Trust, BlackRock Municipal Income Investment Trust, BlackRock Municipal Target Term Trust, BlackRock New, Jersey Municipal Income Trust, BlackRock New York Municipal Income Trust (collectively, the “Income Trusts”) and together with BlackRock Florida Municipal 2020 Term Trust are referred to herein collectively as the “Trusts”, or individually, a “Trust”:

 

Fund Name   Herein
Referred To As
   Organized      Diversification
Classification
 

BlackRock California Municipal Income Trust

  BFZ      Delaware         Non-diversified   

BlackRock Florida Municipal 2020 Term Trust

  BFO      Delaware         Non-diversified   

BlackRock Municipal Income Investment Trust

  BBF      Delaware         Non-diversified   

BlackRock Municipal Target Term Trust

  BTT      Delaware         Non-diversified   

BlackRock New Jersey Municipal Income Trust

  BNJ      Delaware         Non-diversified   

BlackRock New York Municipal Income Trust

  BNY      Delaware         Non-diversified   

The Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the trustees thereof are collectively referred to throughout this report as “Trustees.” The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., financial futures contracts), or certain borrowings (e.g., TOB transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Distributions to Preferred Shareholders are accrued and determined as described in Note 10.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in officer’s and trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standard: In April 2015, the Financial Accounting Standards Board issued guidance to simplify the presentation of debt issuance costs in financial statements. Under the new guidance, a Trust is required to present such costs in the Statements of Assets and Liabilities as a direct deduction from the carrying value of the related debt liability rather than as an asset.

The standard is effective for financial statements with fiscal years beginning after December 15, 2015 and interim periods within those fiscal years. Although still evaluating the potential impacts of this new guidance, management expects that the effects of the Trusts’ adoption will be limited to the reclassification of any unamortized debt issuance costs on the Statements of Assets and Liabilities and the modification of related accounting policy disclosures in the Notes to Financial Statements.

 

                
60    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Notes to Financial Statements (continued)     

 

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the report date). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Trusts for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

 

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

 

 

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

 

Financial futures contracts traded on exchanges are valued at their last sale price.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair Value Hierarchy: 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 statement purposes as follows:

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each 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 each 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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each Trust’s investments and derivative financial instruments have been included in the Schedules of Investments.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    61


Notes to Financial Statements (continued)     

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each 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.

4. Securities and Other Investments:

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Trust may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Trust may be required to pay more at settlement than the security is worth. In addition, a Trust is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Trust assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a Trust’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Municipal Bonds Transferred to TOB Trusts: Certain Trusts leverage their assets through the use of TOB transactions. The Trusts transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust generally issues two classes of beneficial interests: short-term floating rate interests (“TOB Trust Certificates”), which are sold to third party investors, and residual inverse floating rate interests (“TOB Residuals”), which are generally issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that generally reset weekly and their holders have the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a Trust generally provide the Trust with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The Trusts may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment advisor may also contribute municipal bonds to a TOB Trust into which each Trust has contributed bonds. If multiple BlackRock advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residual will be shared among the funds ratably in proportion to their participation in the TOB Trust.

TOB Trusts are generally supported by a liquidity facility provided by a third party bank or other financial institution (the “Liquidity Provider”) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment of par plus accrued interest on any business day. The tendered TOB Trust Certificates may be purchased by the Liquidity Provider and are usually remarketed by a Remarketing Agent, which is typically an affiliated entity of the Liquidity Provider. The Remarketing Agent may also purchase the tendered TOB Trust Certificates for its own account in the event of a failed remarketing.

The TOB Trust may be collapsed without the consent of a Trust, upon the occurrence of tender option termination events (“TOTEs”) or mandatory termination events (“MTEs”), as defined in the TOB Trust agreements. TOTEs include the bankruptcy or default of the issuer of the municipal bonds held in the TOB Trust, a substantial downgrade in the credit quality of the issuer of the municipal bonds held in the TOB Trust, failure of any scheduled payment of principal or interest on the municipal bonds, and/or a judgment or ruling that interest on the municipal bond is subject to federal income taxation. MTEs may include, among other things, a failed remarketing of the TOB Trust Certificates, the inability of the TOB Trust to obtain renewal of the liquidity support agreement and a substantial decline in the market value of the municipal bonds held in the TOB Trust. Upon the occurrence of a TOTE or an MTE, the TOB Trust would be liquidated with the proceeds applied first to any accrued fees owed to the trustee of the TOB Trust, the Remarketing Agent and the Liquidity Provider (defined below). In the case of an MTE, after the payment of fees, the TOB Trust Certificate holders would be paid before the TOB Residual holders (i.e., the Trusts). In contrast, in the case of a TOTE, after payment of fees, the TOB Trust Certificate holders and the TOB Residual holders would be paid pro rata in proportion to the respective face values of their certificates. During the six months ended January 31, 2016, no TOB Trusts in which a Trust participated were terminated without the consent of a Trust.

While a Trust’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they generally do not allow a Trust to borrow money for purposes of making investments. The Trusts’ management believes that a Trust’s restrictions on borrowings do not apply to the secured borrowings. Each Trust’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less certain transaction expenses, is paid to a Trust. A Trust typically invests the cash received in additional municipal bonds. The municipal bonds deposited into a TOB Trust are presented in a Trust’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust to purchase tendered TOB Trust Certificates would be shown as Loan for TOB Trust Certificates.

Volcker Rule Impact: On December 10, 2013, regulators published final rules implementing section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Volcker Rule”), which precludes banking entities and their affiliates from sponsoring and investing in TOB Trusts. Banking entities subject to the Volcker Rule were required to fully comply by July 21, 2015, with respect to investments in and relationships with TOB Trusts

 

                
62    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Notes to Financial Statements (continued)     

 

established after December 31, 2013 (“Non-Legacy TOB Trusts”), and by July 21, 2016, with respect to investments in and relationships with TOB Trusts established prior to December 31, 2013 (“Legacy TOB Trusts”).

As a result, a new structure for TOB Trusts has been designed to ensure that no banking entity is sponsoring the TOB Trust. Specifically, a Trust will establish, structure and “sponsor” the TOB Trusts in which it holds TOB Residuals. In such a structure, certain responsibilities that previously belonged to a third party bank will be performed by, or on behalf of, the Trusts. The Trusts have restructured any Non-Legacy TOB Trusts and are in the process of restructuring Legacy TOB Trusts in conformity with regulatory guidelines. Until all restructurings are completed, a Trust may, for a period of time, hold TOB Residuals in both Legacy TOB Trusts and non-bank sponsored restructured TOB Trusts.

Under the new TOB Trust structure, the Liquidity Provider or Remarketing Agent will no longer purchase the tendered TOB Trust Certificates even in the event of failed remarketing. This may increase the likelihood that a TOB Trust will need to be collapsed and liquidated in order to purchase the tendered TOB Trust Certificates. The TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on the number of days the loan is outstanding.

Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a Trust’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a Trust’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a Trust on an accrual basis. Interest expense incurred on the TOB transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to comply with the Volcker Rule, a Trust incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of deferred offering costs in the Statements of Operations.

For the six months ended January 31, 2016, the following table is a summary of the Trusts’ TOB Trusts:

 

     Underlying
Municipal
Bonds
Transferred to
TOB Trusts1
     Liability for
TOB Trust
Certificates2
     Range of
Interest Rates
     Average TOB
Trust
Certificates
Outstanding
     Daily
Weighted
Average
Interest Rate
 

BFZ

  $ 369,942,921       $ 169,448,780         0.01% - 0.23%       $ 160,473,242         0.62%   

BBF

  $ 56,637,621       $ 29,682,285         0.01% - 0.26%       $ 29,682,278         0.64%   

BTT

  $ 396,830,003       $ 184,119,974         0.01% - 0.16%       $ 184,119,974         0.98%   

BNJ

  $ 30,649,954       $ 17,301,282         0.01% - 0.26%       $ 17,301,282         0.78%   

BNY

  $ 57,244,895       $ 30,680,387         0.01% - 0.16%       $ 29,530,315         0.63%   

 

  1   

The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB transaction may include a credit enhancement feature that provides for the timely payment of principal and interest on the bonds to the TOB Trust by a credit enhancement provider in the event of default of the municipal bond. The TOB Trust would be responsible for the payment of the credit enhancement fee and the Trusts, as TOB Residual holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The municipal bonds transferred to TOB Trusts with a credit enhancement are identified in the Schedules of Investments including the maximum potential amounts owed by the Trusts.

 

  2   

The Trusts may invest in TOB Trusts on either a non-recourse or recourse basis. When a Trust invests in TOB Trusts on a non-recourse basis, and the Liquidity Provider is required to make a payment under the liquidity facility, the Liquidity Provider will typically liquidate all or a portion of the municipal bonds held in the TOB Trust and then Trust the balance, if any, of the amount owed under the liquidity facility over the liquidation proceeds (the “Liquidation Shortfall”). If a Trust invests in a TOB Trust on a recourse basis, a Trust will usually enter into a reimbursement agreement with the Liquidity Provider where a Trust is required to reimburse the Liquidity Provider the amount of any Liquidation Shortfall. As a result, if a Trust invests in a recourse TOB Trust, a Trust will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a Trust at January 31, 2016, in proportion to its participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a Trust at January 31, 2016.

5. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage economically their exposure to certain risks such as interest rate risk. These contracts may be transacted on an exchange or over-the-counter (“OTC”).

Financial Futures Contracts: Certain Trusts invest in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), Financial futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    63


Notes to Financial Statements (continued)     

 

Upon entering into a financial futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Trusts as unrealized appreciation (depreciation) and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

When the contract is closed, the Trusts record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

6. Investment Advisor Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory Fees

Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust. For such services, each Trust, except BTT, pays the Manager a monthly fee based on a percentage of each Trust’s average weekly managed assets at the following annual rates:

 

     BFZ      BFO      BBF      BNJ      BNY  

Investment advisory fee

    0.58%         0.50%         0.60%         0.60%         0.60%   

BTT pays the Manager a monthly fee based on a percentage of BTT’s average daily managed assets at an annual rate of 0.40%.

“Managed assets” and “net assets” each mean the total assets of the Trust minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred stock).

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. These amounts are included in fees waived by the Manager in the Statements of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investments in other affiliated investment companies, if any. For the six months ended January 31, 2016, the amounts waived were as follows:

 

     BFZ      BFO      BBF      BTT      BNJ      BNY  

Amounts waived

  $ 1       $ 4               $ 534       $ 40       $ 371   

The Manager, for BTT, voluntarily agreed to waive its investment advisory fee by 0.05% of the daily managed assets. The amount waived is included in fees waived by the Manager in the Statements of Operations. For the six months ended January 31, 2016, the amount waived was $645,208. This waiver may be reduced or discontinued at any time without notice.

Officers and Trustees Fees

Certain officers and/or trustees of the Trusts are officers and/or trustees of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

7. Purchases and Sales:

For the six months ended January 31, 2016, purchases and sales of investments, excluding short-term securities, were as follows:

 

     BFZ      BFO      BBF      BTT      BNJ      BNY  

Purchases

  $ 116,890,622       $ 1,438,422       $ 11,007,689       $ 329,814,145       $ 15,174,660       $ 30,918,685   

Sales

  $ 98,458,516       $ 890,175       $ 10,901,090       $ 298,526,419       $ 15,661,265       $ 29,316,205   

8. Income Tax Information:

It is the Trusts’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required.

 

                
64    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Notes to Financial Statements (continued)     

 

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns remains open for each of the four years ended July 31, 2015. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of January 31, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

As of period end, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires July 31,   BFZ      BFO      BBF      BTT      BNJ      BNY  

No expiration date1

                  $ 3,422,119       $ 69,873,864       $ 1,370,878       $ 6,598,100   

2017

          $ 389,104                                 2,408,109   

2018

  $ 11,710,510         62,100         6,208,886                 842,367         1,480,575   

2019

                    651,464                 27,464         1,982,931   
 

 

 

 

Total

  $ 11,710,510       $ 451,204       $ 10,282,469       $ 69,873,864       $ 2,240,709       $ 12,469,715   
 

 

 

 

 

  1   

Must be utilized prior to losses subject to expiration.

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

 

     BFZ      BFO      BBF      BTT      BNJ      BNY  

Tax cost

  $ 607,092,192       $ 81,871,924       $ 117,500,265       $ 2,397,284,449       $ 165,001,934       $ 263,955,974   
 

 

 

 

Gross unrealized appreciation

  $ 75,762,763       $ 5,149,181       $ 18,464,338       $ 111,391,540       $ 17,421,689       $ 27,960,288   

Gross unrealized depreciation

    (467,691      (1,607,737      (432,372      (17,320,761      (2,056,460      (951,066
 

 

 

 

Net unrealized appreciation

  $ 75,295,072       $ 3,541,444       $ 18,031,966       $ 94,070,779       $ 15,365,229       $ 27,009,222   
 

 

 

 

9. Principal Risks:

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Trust’s ability to buy or sell bonds. As a result, a Trust may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Trust needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.

In the normal course of business, certain Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers of securities owned by the Trusts. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

The Trusts may hold a significant amount of bonds subject to calls by the issuers at defined dates and prices. When bonds are called by issuers and the Trusts reinvest the proceeds received, such investments may be in securities with lower yields than the bonds originally held, and correspondingly, could adversely impact the yield and total return performance of a Trust.

There is no assurance that BFO will achieve its investment objective and BFO may return less than $15.00 per share. As BFO approaches its scheduled termination date, it is expected that the maturity of BFO’s portfolio securities will shorten, which is likely to reduce BFO’s income and distributions to shareholders.

The new TOB Trust structure resulting from the compliance with Volcker Rule remains untested. It is possible that regulators could take positions that could limit the market for such newly structured TOB Trust transactions or the Trusts’ ability to hold TOB Residuals. Under the new TOB Trust structure, the Trusts will have certain additional duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.

There can be no assurance that the Trusts can successfully enter into restructured TOB Trust transactions in order to refinance their existing TOB Residual holdings prior to the compliance date for the Volcker Rule, which may require that the Trusts unwind existing TOB Trusts. There can be no assurance that

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    65


Notes to Financial Statements (continued)     

 

alternative forms of leverage will be available to the Trusts and any alternative forms of leverage may be more or less advantageous to the Trusts than existing TOB leverage.

Should short-term interest rates rise, the Trusts’ investments in TOB transactions may adversely affect the Trusts’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect the Trusts’ NAVs per share.

The SEC and various federal banking and housing agencies recently adopted credit risk retention rules for securitizations (the “Risk Retention Rules”), which take effect in December 2016. The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s Municipal Bonds. The Risk Retention Rules may adversely affect the Trusts’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

TOB Trust transactions constitute an important component of the municipal bond market. Accordingly, implementation of the Volcker Rule may adversely impact the municipal market, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. Any such developments could adversely affect the Trusts. The ultimate impact of these rules on the TOB market and the overall municipal market is not yet certain.

Counterparty Credit Risk: Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

With exchange-traded futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

Concentration Risk: BFZ, BFO, BNJ and BNY invest a substantial amount of their assets in issuers located in a single state or limited number of states. This may subject each Trust to the risk that economic, political or social issues impacting a particular state or group of states could have an adverse and disproportionate impact on the income from, or the value or liquidity of, the Trusts’ respective portfolios. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investment.

As of period end, BFZ, BFO and BNY invested a significant portion of their assets in securities in the county, city, special district and school district sector. BNJ invested a significant portion of its assets in securities in the transportation sector. Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

The Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

10. Capital Share Transactions:

Each Trust is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. The par value for each Trust’s Common Shares is $0.001. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without approval of Common Shareholders.

 

                
66    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Notes to Financial Statements (continued)     

 

Common Shares

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

     BNJ      BNY  

Six Months Ended January 31, 2016

            9,016   

Year Ended July 31, 2015

    4,837           

Preferred Shares

Each Trust’s Preferred Shares rank prior to the Trust’s Common Shares as to the payment of dividends by the Trust and distribution of assets upon dissolution or liquidation of a Trust. The 1940 Act prohibits the declaration of any dividend on a Trust’s Common Shares or the repurchase of a Trust’s Common Shares if a Trust fails to maintain the asset coverage of at least 200% of the liquidation preference of the outstanding Preferred Shares. In addition, pursuant to the Preferred Shares’ governing instruments, a Trust is restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with the Preferred Shares or repurchasing such shares if a Trust fails to declare and pay dividends on the Preferred Shares, redeem any Preferred Shares required to be redeemed under the Preferred Shares’ governing instruments or comply with the basic maintenance amount requirement of the agencies rating the Preferred Shares.

The holders of Preferred Shares have voting rights equal to the holders of Common Shares (one vote per share) and will vote together with holders of Common Shares (one vote per share) as a single class. However, the holders of Preferred Shares, voting as a separate class, are also entitled to elect two Trustees for each Trust. In addition, the 1940 Act requires that along with approval by shareholders that might otherwise be required, the approval of the holders of a majority of any outstanding Preferred Shares, voting separately as a class would be required to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Trust’s sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.

VRDP Shares

BBF has issued Series W-7 VRDP Shares, $100,000 liquidation value per share, in a privately negotiated offering. The VRDP Shares were offered to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act of 1933, as amended, (the “Securities Act”). The VRDP Shares include a liquidity feature and are currently in a special rate period, each as described below.

As of the period end, the VRDP Shares outstanding were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Maturity Date  

BBF

    9/15/11         342       $ 34,200,000         10/01/41   

Redemption Terms: BBF is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, BBF is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, BBF is required to redeem certain of its outstanding VRDP Shares if it fails to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, the VRDP Shares may also be redeemed, in whole or in part, at any time at the option of BBF. The redemption price per VRDP Share is equal to the liquidation value per share plus any outstanding unpaid dividends.

Liquidity Feature: The BBF entered into a fee agreement with the liquidity provider that requires a per annum liquidity fee payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations.

The fee agreement between BBF and the liquidity provider was scheduled to expire on December 4, 2015. In October 2015, in connection with the commencement of a special rate period (as described below), BBF extended the fee agreement to October 22, 2018 unless renewed or terminated in advance.

In the event the fee agreement is not renewed or is terminated in advance, and BBF does not enter into a fee agreement with an alternate liquidity provider, the VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the fee agreement. In the event of such mandatory purchase, BBF is required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, BBF is required to begin to segregate liquid assets with its custodian to fund the redemption. There is no assurance BBF will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Remarketing: BBF may incur remarketing fees of 0.10% on the aggregate principal amount of all the VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. No remarketing fees are incurred during any special rate period (as described below).

Dividends: Dividends on the VRDP Shares are payable monthly at a variable rate set weekly by the remarketing agent. Such dividend rates are generally based upon a spread over a base rate and cannot exceed a maximum rate. In the event of a failed remarketing, the dividend rate of the VRDP Shares will be reset to a maximum rate. The maximum rate is determined based on, among other things, the long-term preferred share rating assigned to the VRDP Shares and the length of time that the VRDP Shares fail to be remarketed.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    67


Notes to Financial Statements (continued)     

 

For the six months ended January 31, 2016, the annualized dividend rate for the BBF’s VRDP Shares was 0.56%

Financial Reporting: The VRDP Shares are considered debt of the issuer; therefore, the liquidation value, which approximates fair value, of the VRDP Shares is recorded as a liability in the Statements of Assets and Liabilities. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends accrued and paid on the VRDP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP Shares are generally classified as tax-exempt income for tax-reporting purposes.

Ratings: The short-term ratings on the VRDP Shares are directly related to the short-term ratings of the liquidity provider for such VRDP Shares. Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares as rated by Moody’s, Fitch and/or S&P. A change in the short-term credit rating of the liquidity provider or the VRDP Shares may adversely affect the dividend rate paid on such shares, although the dividend rate paid on the VRDP Shares is not directly related based upon either short-term rating.

Special Rate Period: On October 22, 2015, BBF commenced a three-year term ending April 18, 2018 (the “special rate period”), with respect to the VRDP Shares. The implementation of the special rate period resulted in a mandatory tender of the VRDP Shares prior to the commencement of the special rate period. The mandatory tender event was not the result of a failed remarketing. The short-term ratings on the VRDP Shares for BBF were withdrawn by Moody’s, Fitch and/or S&P at the commencement of the special rate period.

If BBF redeems the VRDP Shares on a date that is one year or more before the end of the special rate period and the VRDP Shares are rated above A1/A by Moody’s and Fitch, respectively, then such redemption is subject to a redemption premium payable to the holder of the VRDP Shares based on the time remaining in the special rate period, subject to certain exceptions for redemptions that are required to maintain minimum asset coverage requirements. Prior to April 18, 2018, the holder of the VRDP Shares and BBF may mutually agree to extend the special rate period. If the special rate period is not extended, the VRDP Shares will revert back to remarketable securities and will be remarketed and available for purchase by qualified institutional investors.

VMTP Shares

BFZ, BNJ and BNY define collectively, the “VMTP Trusts, have issued Series W-7 VMTP Shares, $100,000 liquidation value per share, in a privately negotiated offering and sale of VMTP Shares exempt from registration under the Securities Act.

As of period end, the VMTP Shares outstanding of each Trust were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Term Date  

BFZ

    3/22/12         1,713       $ 171,300,000         3/30/19   

BNJ

    3/22/12         591       $ 59,100,000         3/30/19   

BNY

    3/22/12         945       $ 94,500,000         3/30/19   

Redemption Terms: Each VMTP Trust is required to redeem its VMTP Shares on the term date, unless earlier redeemed or repurchased or unless extended. There is no assurance that the term of a Trust’s VMTP Shares will be extended further or that a Trust’s VMTP Shares will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the VMTP Shares. Six months prior to term date, each VMTP Trust is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, each VMTP Trust is required to redeem certain of its outstanding VMTP Shares if it fails to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, a Trust’s VMTP Shares may be redeemed, in whole or in part, at any time at the option of the Trust. The redemption price per VMTP Share is equal to the liquidation value per share plus any outstanding unpaid dividends and applicable redemption premium. If the Trusts redeem the VMTP Shares on a date that is one year or more prior to the term date and the VMTP Shares are rated above A1/A+ by Moody’s and Fitch, respectively, then such redemption is subject to a prescribed redemption premium (up to 3% of the liquidation preference) payable to the holder of the VMTP Shares based on the time remaining to the term date, subject to certain exceptions for redemptions that are required to maintain minimum asset coverage requirements. The VMTP Shares are subject to certain restrictions on transfer, and a Trust may also be required to register the VMTP Shares for sale under the Securities Act under certain circumstances. In addition, amendments to the VMTP governing document generally require the consent of the holders of VMTP Shares.

Dividends: Dividends on the VMTP Shares are declared daily and payable monthly at a variable rate set weekly at a fixed rate spread to the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index. The fixed spread is determined based on the long-term preferred share rating assigned to the VMTP Shares by Moody’s and Fitch. At the date of issuance, the VMTP Shares were assigned long-term ratings of Aaa from Moody’s and AAA from Fitch. Subsequent to the issuance of the VMTP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of period end, the VMTP Shares were assigned a long-term rating of Aa2 from Moody’s under its new rating methodology. The VMTP Shares continue to be assigned a long-term rating of AAA from Fitch. The dividend rate on the VMTP Shares is subject to a step-up spread if the Trusts fail to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and maintaining certain asset coverage and leverage requirements.

 

                
68    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Notes to Financial Statements (continued)     

 

For the six months ended January 31, 2016 the average annualized dividend rates for the VMTP Shares were as follows:

 

BFZ    BNJ    BNY
0.93%    0.93%    0.93%

Financial Reporting: The VMTP Shares are considered debt of the issuer; therefore the liquidation value, which approximates fair value, of the VMTP Shares is recorded as a liability in the Statements of Assets and Liabilities. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends accrued and paid on the VMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VMTP Shares are treated as equity for tax purposes. Dividends paid to holders of the VMTP Shares are generally classified as tax-exempt income for tax-reporting purposes.

For the six months end January 31, 2016, VMTP Shares issued and outstanding of each Trust remained constant.

RVMTP Shares

BTT has issued Series W-7 RVMTP Shares, $5,000,000 liquidation value per share, in a privately negotiated offering and sale of RVMTP Shares exempt from registration under the Securities Act.

As of period end, the RVMTP Shares outstanding were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Term Date  

BTT

    1/10/2013         50       $ 250,000,000         12/31/2030   
    1/30/2013         50       $ 250,000,000         12/31/2030   
      2/20/2013         50       $ 250,000,000         12/31/2030   

Redemption Terms: BTT is required to redeem its RVMTP Shares on the term date or within six months of an unsuccessful remarketing, unless earlier redeemed or repurchased. There is no assurance that BTT’s RVMTP Shares will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the RVMTP Shares. In addition, BTT is required to redeem certain of its outstanding RVMTP Shares if it fails to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, BTT’s RVMTP Shares may be redeemed, in whole or in part, at any time at the option of BTT. The redemption price per RVMTP Share is equal to the liquidation value per share plus any outstanding unpaid dividends. The RVMTP Shares are subject to certain restrictions on transfer outside of a remarketing. The RVMTP Shares are subject to remarketing upon 90 days’ notice by holders of the RVMTP Shares and 30 days’ notice by BTT. Each remarketing must be at least six months apart from the last remarketing. A holder of RVMTP Shares may submit notice of remarketing only if such holder requests a remarketing of at least the lesser of (i) $100,000,000 of RVMTP Shares or (ii) all of the RVMTP Shares held by such holder. Amendments to the RVMTP governing document generally require the consent of the holders of RVMTP Shares.

Dividends: Dividends on the RVMTP Shares are declared daily and payable monthly at a variable rate set weekly at a fixed rate spread to the SIFMA Municipal Swap Index. The initial fixed rate spread was agreed upon by the Purchaser and BTT on the initial date of issuance for the Series W-7 RVMTP Shares. The initial fixed rate spread may be adjusted at each remarketing or upon the agreement between BTT and all of the holders of the RVMTP Shares. In the event all of the RVMTP Shares submitted for remarketing are not successfully remarketed, a failed remarketing will occur, and all holders would retain their RVMTP Shares. In the event of a failed remarketing, the fixed rate spread would be set at the fixed rate spread applicable to such failed remarketing. BTT has the right to reject any fixed spread determined at a remarketing, and such rejection would result in a failed remarketing and the fixed rate spread being set at the fixed rate spread applicable to such failed remarketing. The fixed rate spread applicable due to a failed remarketing depends on whether the remarketing was pursuant to a mandatory or non-mandatory tender. In the case of a failed remarketing following a mandatory tender, the failed remarketing spread would be the sum of the last applicable spread in effect immediately prior to the failed remarketing date for such failed remarketing plus 0.75%. In the case of a failed remarketing not associated with a mandatory tender, the failed remarketing spread would be the sum of the last applicable spread in effect immediately prior to the failed remarketing date for such failed remarketing plus 0.25%.

For six months ended January 31, 2016, the average annualized dividend rate for BTT’s RVMTP Shares was 0.66%.

Remarketing: In the event of a failed remarketing that is not subsequently cured, BTT will be required to redeem the RVMTP Shares subject to such failed remarketing on a date that is approximately 6 months from the remarketing date for such failed remarketing, provided that no redemption of any RVMTP Share may occur within 1 year of the date of issuance of such RVMTP Share. At the date of issuance, the RVMTP Shares were assigned long-term ratings of Aa1 from Moody’s and AAA from Fitch. The dividend rate on the RVMTP Shares is subject to a step-up spread if BTT fails to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and maintaining certain asset coverage and leverage requirements.

During the six months ended January 31, 2016, there were no RVMTP Shares that were tendered for remarketing.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    69


Notes to Financial Statements (concluded)     

 

Financial Reporting: The RVMTP Shares are considered debt of the issuer; therefore the liquidation value, which approximates fair value, of the RVMTP Shares is recorded as a liability in the Statements of Assets and Liabilities. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends accrued and paid on the RVMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The RVMTP Shares are treated as equity for tax purposes. Dividends paid to holders of the RVMTP Shares are generally classified as tax-exempt income for tax-reporting purposes.

For the six months ended January 31, 2016, BTT’s RVMTP Shares issued and outstanding remained constant.

Offering Costs: The Trusts incurred costs in connection with the issuance of VRDP Shares, VMTP Shares and/or RVMTP Shares. For VRDP Shares, these costs were recorded as a deferred charge and will be amortized over the 30-year life of the VRDP Shares, with the exception of upfront fees paid to the liquidity provider which were amortized over the life of the liquidity agreement. For VMTP Shares, these costs were recorded as a deferred charge and will be amortized over the 3-year life of the VMTP Shares. For RVMTP Shares, these costs were recorded as a deferred charge and will be amortized over the 18-year life of the RVMTP Shares. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.

AMPS

As of the period end, BFO did not have any AMPS outstanding.

11. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

On February 25, 2016, the Board approved a proposal to change the name of the Trust from “BlackRock Municipal Target Term Trust” to “BlackRock Municipal 2030 Target Term Trust.” This name change became effective on March 1, 2016.

The Trusts paid a net investment income dividend in the following amounts per share on March 1, 2016 to shareholders of record on February 16, 2016:

 

    

Common

Dividend

Per Share

 

BFZ

  $ 0.072200   

BFO

  $ 0.031000   

BBF

  $ 0.072375   

BTT

  $ 0.080000   

BNJ

  $ 0.075100   

BNY

  $ 0.069000   

Additionally, the Trusts declared a net investment income dividend on March 1, 2016 payable to Common Shareholders of record on March 15, 2016:

 

    

Common

Dividend

Per Share

 

BFZ

  $ 0.072200   

BFO

  $ 0.031000   

BBF

  $ 0.072375   

BTT

  $ 0.080000   

BNJ

  $ 0.075100   

BNY

  $ 0.064000   

The dividends declared on Preferred Shares for the period February 1, 2016 to February 29, 2016 for the Trusts were as follows:

 

    

Preferred

Shares

    Series    

Dividends

Declared

 

BFZ

    VMTP        W-7      $ 126,228   

BBF

    VRDP        W-7      $ 24,660   

BTT

    RVMTP        W-7      $ 392,213   

BNJ

    VMTP        W-7      $ 45,550   

BNY

    VMTP        W-7      $ 69,636   

At a special shareholder meeting on March 21, 2016, shareholders of BBF and BlackRock Municipal Bond Investment Trust (“BIE”) approved the reorganization of BIE with and into BBF, which is expected to be completed in May 2016.

Reorganization costs incurred by BBF and BIE in connection with the reorganization were expensed by each respective Trust. The Manager reimbursed a portion of the reorganization costs for each Trust, which is shown as reorganization costs reimbursed by Manager in the Statements of Operations.

 

                
70    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Officers and Trustees     

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chairperson of the Board, Chairperson of the Audit Committee and Trustee

Michael J. Castellano, Trustee and Member of the Audit Committee

Frank J. Fabozzi, Trustee and Member of the Audit Committee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee and Member of the Audit Committee

Barbara G. Novick, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Effective September 18, 2015, Robert W. Crothers resigned as a Vice President of the Trusts and Jonathan Diorio became a Vice President of the Trusts.

Effective December 31, 2015, Kathleen F. Feldstein and James T. Flynn retired as Trustees of the Trusts.

Effective January 11, 2016, Michael Perilli became co-portfolio manager of BBF. The other portfolio managers of BBF are Ted Jaeckel, Walter O’Connor and Robert Sneeden.

Effective March 1, 2016, Catherine A. Lynch was appointed to serve as a Trustee and a member of the Audit Committee of the Trusts.

 

       
Investment Advisor BlackRock Advisors, LLC Wilmington, DE 19809  

Transfer Agent

Common Shares:

Computershare Trust Company, N.A.

Canton, MA 02021

 

VRDP Liquidity Provider

Barclays Bank PLC

New York, NY 10019

  Independent Registered Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116

Custodian and Accounting Agent

State Street Bank and Trust Company

Boston, MA 02110

 

VRDP Tender and Paying Agent, RVMTP Tender and Paying Agent and VMTP Redemption and Paying Agent

The Bank of New York Mellon

New York, NY 10289

 

VRDP Remarketing Agent

Barclays Capital, Inc.

New York, NY 10019

 

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

Boston, MA 02116

 

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    71


Additional Information     

 

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 882-0052; and (2) on the SEC’s website at http://www.sec.gov.

 

                
72    SEMI-ANNUAL REPORT    JANUARY 31, 2016   


Additional Information (concluded)     

 

 

General Information (concluded)

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2016    73


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

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CEF-BK6-1/16-SAR    LOGO


Item 2 – Code of Ethics – Not Applicable to this semi-annual report

 

Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report

 

Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report

 

Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

 

Item 6 – Investments
  (a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
  (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

Item 8 – Portfolio Managers of Closed-End Management Investment Companies
  (a) Not Applicable to this semi-annual report
  (b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

 

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

Item 11 – Controls and Procedures

 

  (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.

 

  (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 second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12 – Exhibits attached hereto

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) – Certifications – Attached hereto

 

2


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 Target Term Trust

 

By: /s/ John M. Perlowski                        
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Municipal 2030 Target Term Trust (Formerly BlackRock Municipal Target Term Trust)

Date: April 1, 2016

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 2030 Target Term Trust (Formerly BlackRock Municipal Target Term Trust)

Date: April 1, 2016

 

By: /s/ Neal J. Andrews                        
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Municipal 2030 Target Term Trust (Formerly BlackRock Municipal Target Term Trust)

Date: April 1, 2016

 

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