UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-21036

 

Name of Fund: BlackRock Municipal Bond Trust (BBK)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 08/31/2012

 

Date of reporting period: 05/31/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments May 31, 2012 (Unaudited)

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 4.0%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

6.00%, 6/01/34

 

$

1,150

 

$

1,335,644

 

6.00%, 6/01/39

 

 

450

 

 

519,494

 

Birmingham Water Works Board, RB,
4.75%, 1/01/36

 

 

2,100

 

 

2,240,133

 

Hoover City Board of Education, GO,
Refunding, 4.25%, 2/15/40

 

 

2,750

 

 

2,882,440

 

 

 

 

 

 

 

6,977,711

 

Arizona — 8.5%

 

 

 

 

 

 

 

Apache County Industrial Development
Authority, Refunding RB, Tucson
Electric Power Co., Series A, 4.50%,
3/01/30

 

 

600

 

 

611,646

 

Arizona Sports & Tourism Authority, RB,
Multipurpose Stadium Facilities,
Series A (NPFGC), 5.00%, 7/01/13 (a)

 

 

1,750

 

 

1,838,095

 

Arizona State University, RB, Series D,
5.50%, 7/01/26

 

 

200

 

 

240,982

 

County of Pinal Arizona Election District
No. 3, Refunding RB, 4.75%, 7/01/31

 

 

3,750

 

 

3,979,950

 

Pima County IDA, Refunding IDRB,
Tucson Electric Power, 5.75%,
9/01/29

 

 

900

 

 

956,376

 

Salt Verde Financial Corp., RB, Senior:

 

 

 

 

 

 

 

5.00%, 12/01/32

 

 

1,500

 

 

1,538,865

 

5.00%, 12/01/37

 

 

2,065

 

 

2,110,038

 

San Luis Facility Development Corp.,
RB, Senior Lien, Regional Detention
Center Project:

 

 

 

 

 

 

 

6.25%, 5/01/15

 

 

185

 

 

183,120

 

7.00%, 5/01/20

 

 

300

 

 

303,606

 

7.25%, 5/01/27

 

 

600

 

 

566,364

 

State of Arizona, COP, Department of
Administration, Series A (AGM),
5.00%, 10/01/29

 

 

750

 

 

824,213

 

University Medical Center Corp. Arizona,
RB:

 

 

 

 

 

 

 

6.00%, 7/01/39

 

 

900

 

 

1,008,261

 

6.50%, 7/01/39

 

 

500

 

 

571,455

 

 

 

 

 

 

 

14,732,971

 

Arkansas — 0.3%

 

 

 

 

 

 

 

City of Conway Arkansas, RB,
Wastewater Revenue Improvement,
Series A, 4.20%, 10/01/37

 

 

500

 

 

508,040

 

California — 17.9%

 

 

 

 

 

 

 

California County Tobacco Securitization
Agency, RB, CAB, Stanislaus, Sub-
Series C, 6.30%, 6/01/55 (b)

 

 

4,500

 

 

54,090

 

California Educational Facilities
Authority, RB, Santa Clara University,
5.00%, 2/01/40

 

 

1,000

 

 

1,096,530

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

California Health Facilities Financing
Authority, Refunding RB, Sutter
Health, Series B, 5.88%, 8/15/31

 

$

1,900

 

$

2,277,796

 

California HFA, RB, Home Mortgage,
Series G, AMT, 5.05%, 2/01/29

 

 

2,285

 

 

2,274,398

 

Carlsbad Unified School District, GO,
Election of 2006, Series B, 0.00%,
5/01/34 (c)

 

 

1,000

 

 

765,070

 

City of San Jose California, RB, San Jose
Airport, Series A1, AMT, 5.75%,
3/01/34

 

 

2,000

 

 

2,265,600

 

Dinuba Unified School District, GO,
Election of 2006 (AGM):

 

 

 

 

 

 

 

5.63%, 8/01/31

 

 

250

 

 

287,160

 

5.75%, 8/01/33

 

 

500

 

 

577,590

 

Hartnell Community College District
California, GO, CAB, Election of 2002,
Series D, 0.00%, 8/01/34 (c)

 

 

1,650

 

 

1,130,035

 

Norwalk-La Mirada Unified School
District California, GO, CAB, Election
of 2002, Series E (AGC), 6.47%,
8/01/38 (b)

 

 

8,000

 

 

2,014,720

 

Palomar Community College District,
GO, CAB, Election of 2006, Series B:

 

 

 

 

 

 

 

6.09%, 8/01/30 (b)

 

 

1,500

 

 

633,660

 

6.15%, 8/01/33 (b)

 

 

4,000

 

 

1,131,000

 

0.00%, 8/01/39 (c)

 

 

2,000

 

 

1,136,840

 

San Diego Community College District
California, GO, CAB, Election of 2002,
0.00%, 8/01/19 (c)

 

 

2,800

 

 

2,194,052

 

San Jose Evergreen Community College
District, GO, Election of 2010, Series
B, 3.50%, 8/01/32

 

 

1,200

 

 

1,196,520

 

State of California, GO, Refunding:

 

 

 

 

 

 

 

(NPFGC), 4.50%, 8/01/28

 

 

500

 

 

533,765

 

Veterans, AMT, 5.05%,
12/01/36

 

 

1,000

 

 

1,017,520

 

State of California, GO, Various Purpose:

 

 

 

 

 

 

 

5.75%, 4/01/31

 

 

2,000

 

 

2,333,400

 

6.00%, 3/01/33

 

 

1,000

 

 

1,204,490

 

6.50%, 4/01/33

 

 

1,950

 

 

2,371,434

 

5.50%, 3/01/40

 

 

2,350

 

 

2,652,868

 

Val Verde Unified School District
California, Special Tax Bonds,
Refunding, Junior Lien, 6.25%,
10/01/28

 

 

1,585

 

 

1,631,298

 

 

 

 

 

 

 

30,779,836

 

Colorado — 1.2%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, RB,
Catholic Health Initiatives, Series D,
6.25%, 10/01/33

 

 

1,070

 

 

1,256,362

 

Park Creek Metropolitan District,
Refunding RB, Limited Property Tax
(AGM), 6.00%, 12/01/38

 

 

750

 

 

858,352

 

 

 

 

 

 

 

2,114,714

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL BOND TRUST

MAY 31, 2012

1


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Connecticut — 1.8%

 

 

 

 

 

 

 

Connecticut State Health & Educational
Facilties Authority, Refunding RB:

 

 

 

 

 

 

 

Hartford Healthcare, Series A,
5.00%, 7/01/32

 

$

1,390

 

$

1,512,612

 

Lawrence & Memorial
Hospital, Series F, 5.00%,
7/01/36

 

 

550

 

 

591,525

 

Pomfret School, Series B,
4.00%, 7/01/37 (d)

 

 

490

 

 

486,153

 

Sacred Heart University, Series
G, 5.38%, 7/01/31

 

 

400

 

 

438,656

 

 

 

 

 

 

 

3,028,946

 

Delaware — 0.8%

 

 

 

 

 

 

 

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

 

 

1,200

 

 

1,332,000

 

District of Columbia — 1.5%

 

 

 

 

 

 

 

District of Columbia Tobacco Settlement
Financing Corp., Refunding RB, Asset-
Backed, 6.75%, 5/15/40

 

 

2,500

 

 

2,547,500

 

Florida — 5.9%

 

 

 

 

 

 

 

County of Lee Florida, Refunding RB,
Lee Airport, Series A, AMT (AGM),
5.00%, 10/01/28

 

 

2,000

 

 

2,162,240

 

Orange County Health Facilities
Authority, Refunding RB, Mayflower
Retirement Center, 5.00%, 6/01/36

 

 

125

 

 

124,136

 

Palm Beach County Housing Finance
Authority, HRB, Indian Trace
Apartments, Series A, AMT (AGM),
5.63%, 1/01/44

 

 

7,255

 

 

7,261,167

 

Stevens Plantation Community
Development District, Special
Assessment Bonds, Series A, 7.10%,
5/01/35

 

 

910

 

 

682,564

 

 

 

 

 

 

 

10,230,107

 

Georgia — 1.1%

 

 

 

 

 

 

 

Chatham County Hospital Authority,
Refunding RB, Memorial Health
University Medical Center, Inc., Series
A, 4.00%, 1/01/34

 

 

2,000

 

 

1,982,800

 

Idaho — 1.2%

 

 

 

 

 

 

 

Idaho Health Facilities Authority,
Refunding RB, Trinity Health Group,
Series B, 6.25%, 12/01/33

 

 

1,750

 

 

2,077,933

 

Illinois — 7.5%

 

 

 

 

 

 

 

Chicago Transit Authority, RB, 5.25%,
12/01/40

 

 

665

 

 

745,232

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

MJH Education Assistance IV
LLC, Sub-Series B, 5.38%,
6/01/35 (e)(f)

 

 

425

 

 

42,496

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

Illinois Finance Authority, RB
(concluded):

 

 

 

 

 

 

 

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

 

$

1,285

 

$

1,417,574

 

Roosevelt University Project,
6.50%, 4/01/44

 

 

1,000

 

 

1,094,910

 

Rush University Medical
Center, Series C, 6.63%,
11/01/39

 

 

650

 

 

796,354

 

Illinois Finance Authority, Refunding RB:

 

 

 

 

 

 

 

OSF Healthcare System,
6.00%, 5/15/39

 

 

1,025

 

 

1,159,757

 

Series A, Friendship Village
Schaumburg, 5.63%,
2/15/37

 

 

210

 

 

200,029

 

Railsplitter Tobacco Settlement
Authority, RB:

 

 

 

 

 

 

 

6.25%, 6/01/24

 

 

1,000

 

 

1,124,700

 

6.00%, 6/01/28

 

 

1,150

 

 

1,319,602

 

Village of Bolingbrook Illinois, GO,
Refunding, Series B (NPFGC), 6.23%,
1/01/36 (b)

 

 

21,065

 

 

4,945,219

 

 

 

 

 

 

 

12,845,873

 

Indiana — 0.6%

 

 

 

 

 

 

 

Indiana Finance Authority, Refunding
RB, Improvement, U.S. Steel Corp.,
6.00%, 12/01/26

 

 

1,000

 

 

1,068,670

 

Iowa — 1.5%

 

 

 

 

 

 

 

Iowa Higher Education Loan Authority,
RB, Private College Facility, Buena
Vista University Project, 5.00%,
4/01/31

 

 

875

 

 

956,550

 

Iowa Higher Education Loan Authority,
Refunding RB, Private College Facility:

 

 

 

 

 

 

 

5.75%, 9/01/30

 

 

500

 

 

541,920

 

6.00%, 9/01/39

 

 

1,000

 

 

1,081,080

 

 

 

 

 

 

 

2,579,550

 

Louisiana — 2.2%

 

 

 

 

 

 

 

Jefferson Parish Hospital Service District
No. 1, Refunding RB, West Jefferson
Medical Center, Series A (AGM),
6.00%, 1/01/39

 

 

950

 

 

1,086,107

 

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

 

 

1,050

 

 

1,195,341

 

Louisiana Public Facilities Authority, RB,
Belle Chasse Educational Foundation
Project, 6.50%, 5/01/31

 

 

400

 

 

449,456

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL BOND TRUST

MAY 31, 2012

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Louisiana (concluded)

 

 

 

 

 

 

 

Louisiana Public Facilities Authority,
Refunding RB, Entergy Gulf States
Louisiana LLC Project, Series A,
5.00%, 9/01/28

 

$

1,000

 

$

1,044,080

 

 

 

 

 

 

 

3,774,984

 

Maryland — 1.9%

 

 

 

 

 

 

 

Maryland EDC, Refunding RB, CNX
Marine Terminals, Inc., 5.75%,
9/01/25

 

 

250

 

 

265,390

 

Maryland Health & Higher Educational
Facilities Authority, Refunding RB,
Doctor’s Community Hospital, 5.63%,
7/01/30

 

 

2,900

 

 

3,080,554

 

 

 

 

 

 

 

3,345,944

 

Michigan — 4.1%

 

 

 

 

 

 

 

Board of Control of Michigan
Technological University, Refunding
RB, General, Series A, 4.00%,
10/01/30

 

 

1,290

 

 

1,314,123

 

Michigan State Building Authority,
Refunding RB, Facilities Program,
Series I, 6.25%, 10/15/38

 

 

1,250

 

 

1,449,788

 

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

 

 

1,950

 

 

2,492,236

 

Wayne County Airport Authority,
Refunding RB, Airport Revenue,
Series A (AGM), 4.00%, 12/01/20

 

 

1,750

 

 

1,843,082

 

 

 

 

 

 

 

7,099,229

 

Minnesota — 4.5%

 

 

 

 

 

 

 

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

 

 

4,600

 

 

5,461,258

 

City of Rochester Minnesota, RB, Mayo
Clinic, 4.00%, 11/15/41

 

 

1,450

 

 

1,458,279

 

Tobacco Securitization Authority
Minnesota, Refunding RB, Tobacco
Settlement, Series B, 5.25%,
3/01/31

 

 

800

 

 

890,968

 

 

 

 

 

 

 

7,810,505

 

Mississippi — 3.3%

 

 

 

 

 

 

 

Mississippi Development Bank, RB,
Hinds Community College District,
CAB (AGM), 5.00%, 4/01/36

 

 

845

 

 

924,422

 

Mississippi Development Bank Special
Obligation, RB, Jackson County
Limited Tax Note (AGC), 5.50%,
7/01/32

 

 

1,750

 

 

1,969,012

 

University of Southern Mississippi, RB,
Campus Facilities Improvements
Project, 5.38%, 9/01/36

 

 

2,100

 

 

2,361,534

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Mississippi (concluded)

 

 

 

 

 

 

 

Warren County Mississippi, RB, Gulf
Opportunity Zone Bonds, International
Paper Company Project, Series A,
AMT, 5.38%, 12/01/35

 

$

400

 

$

428,092

 

 

 

 

 

 

 

5,683,060

 

Missouri — 0.7%

 

 

 

 

 

 

 

Missouri State Development Finance
Board, RB, St. Joseph Sewage System
Improvements, 5.25%, 5/01/31

 

 

580

 

 

614,626

 

Missouri State Health & Educational
Facilities Authority, RB, A.T. Still
University Health Sciences, 5.25%,
10/01/31

 

 

500

 

 

555,665

 

 

 

 

 

 

 

1,170,291

 

Montana — 0.8%

 

 

 

 

 

 

 

Montana Facility Finance Authority,
Refunding RB, Sisters of Leavenworth,
Series A, 4.75%, 1/01/40

 

 

1,350

 

 

1,442,948

 

Multi-State — 6.8%

 

 

 

 

 

 

 

Centerline Equity Issuer Trust, 7.20%,
11/15/52 (g)(h)

 

 

10,500

 

 

11,680,305

 

Nebraska — 2.4%

 

 

 

 

 

 

 

Central Plains Energy Project Nebraska,
RB, Gas Project No. 3:

 

 

 

 

 

 

 

5.25%, 9/01/37

 

 

510

 

 

538,963

 

5.00%, 9/01/42

 

 

600

 

 

613,002

 

Nebraska Investment Finance Authority,
Refunding RB, Series A, 6.05%,
9/01/41

 

 

910

 

 

967,121

 

Omaha Nebraska Sanitation Sewer
Revenue, RB, System, 4.25%,
11/15/38

 

 

1,890

 

 

1,992,343

 

 

 

 

 

 

 

4,111,429

 

Nevada — 1.1%

 

 

 

 

 

 

 

City of Las Vegas Nevada, Special
Assessment Bonds, Summerlin Area,
5.65%, 6/01/23

 

 

1,295

 

 

1,245,790

 

County of Clark Nevada, Refunding RB,
Alexander Dawson School Nevada
Project, 5.00%, 5/15/29

 

 

575

 

 

600,754

 

 

 

 

 

 

 

1,846,544

 

New Jersey — 12.0%

 

 

 

 

 

 

 

Middlesex County Improvement
Authority, RB, Subordinate, Heldrich
Center Hotel, Series B, 6.25%,
1/01/37 (e)(f)

 

 

915

 

 

81,334

 

New Jersey EDA, RB, Continental
Airlines Inc. Project, AMT, 7.20%,
11/15/30 (i)

 

 

3,000

 

 

3,011,340

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

First Mortgage, Winchester,
Series A, 5.80%, 11/01/31

 

 

1,500

 

 

1,535,280

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL BOND TRUST

MAY 31, 2012

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey (concluded)

 

 

 

 

 

 

 

New Jersey EDA, Refunding RB
(concluded):

 

 

 

 

 

 

 

Kapkowski Road Landfill
Project, 6.50%, 4/01/28

 

$

7,500

 

$

8,796,750

 

New Jersey Educational Facilities
Authority, Refunding RB, University of
Medicine & Dentistry, Series B:

 

 

 

 

 

 

 

7.13%, 12/01/23

 

 

630

 

 

785,906

 

7.50%, 12/01/32

 

 

800

 

 

992,664

 

New Jersey Health Care Facilities
Financing Authority, Refunding RB
Barnabas Health, Series A:

 

 

 

 

 

 

 

4.63%, 7/01/23

 

 

510

 

 

528,355

 

5.63%, 7/01/37

 

 

1,700

 

 

1,813,798

 

New Jersey State Housing & Mortgage
Finance Agency, RB, Series AA,
6.50%, 10/01/38

 

 

565

 

 

604,488

 

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

 

 

1,900

 

 

2,160,452

 

Union County Utilities Authority,
Refunding RB, County Deficiency
Agreement, Series A:

 

 

 

 

 

 

 

4.00%, 6/15/32

 

 

250

 

 

263,818

 

New Jersey Solid Waste
System, 5.00%, 6/15/41

 

 

95

 

 

107,136

 

 

 

 

 

 

 

20,681,321

 

New York — 5.3%

 

 

 

 

 

 

 

Albany Industrial Development Agency,
RB, New Covenant Charter School
Project, Series A, 7.00%, 5/01/35
(e)(f)

 

 

455

 

 

104,655

 

Hudson New York Yards Infrastructure
Corp., RB, Series A:

 

 

 

 

 

 

 

5.00%, 2/15/47

 

 

250

 

 

261,705

 

(NPFGC), 4.50%, 2/15/47

 

 

750

 

 

757,785

 

(NPFGC), 5.00%, 2/15/47

 

 

1,000

 

 

1,046,820

 

New York City Industrial Development
Agency, RB, American Airlines Inc.,
JFK International Airport, AMT, 7.75%,
8/01/31 (e)(i)

 

 

3,165

 

 

3,252,797

 

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

 

 

800

 

 

899,680

 

New York State Dormitory Authority, RB,
Rochester Institute of Technology,
Series A, 6.00%, 7/01/33

 

 

1,000

 

 

1,169,900

 

Westchester County Healthcare Corp.
New York, Refunding RB, Senior Lien,
Series A, Remarketing, 5.00%,
11/01/30

 

 

1,500

 

 

1,609,380

 

 

 

 

 

 

 

9,102,722

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

North Carolina — 5.9%

 

 

 

 

 

 

 

City of Charlotte North Carolina,
Refunding RB, Series A, 5.50%,
7/01/34

 

$

225

 

$

258,142

 

Gaston County Industrial Facilities &
Pollution Control Financing Authority
North Carolina, RB, Exempt Facilities,
National Gypsum Co. Project, 5.75%,
8/01/35

 

 

2,945

 

 

2,586,535

 

North Carolina Capital Facilities Finance
Agency, RB, Duke Energy Carolinas,
Series B, 4.38%, 10/01/31

 

 

1,000

 

 

1,056,800

 

North Carolina Capital Facilities Finance
Agency, Refunding RB, Duke Energy
Carolinas, Series B, 4.63%, 11/01/40

 

 

5,000

 

 

5,290,950

 

North Carolina Medical Care
Commission, Refunding RB, University
Health System, Series D, 6.25%,
12/01/33

 

 

800

 

 

930,952

 

 

 

 

 

 

 

10,123,379

 

North Dakota — 1.5%

 

 

 

 

 

 

 

City of Fargo North Dakota, Refunding
RB, University Facilities Development
Foundation Project:

 

 

 

 

 

 

 

3.00%, 12/01/30

 

 

400

 

 

385,096

 

4.00%, 12/01/36

 

 

600

 

 

618,312

 

City of Grand Forks North Dakota,
Refunding RB, Healthcare Systems,
5.00%, 12/01/32

 

 

1,415

 

 

1,508,631

 

 

 

 

 

 

 

2,512,039

 

Oregon — 3.5%

 

 

 

 

 

 

 

City of Tigard Washington County
Oregon, Refunding RB, Water System,
5.00%, 8/01/42

 

 

930

 

 

1,050,128

 

Oregon Health & Science University, RB,
Series A, 5.75%, 7/01/39

 

 

750

 

 

858,068

 

Oregon Health & Science University,
Refunding RB, Series A, 3.00%,
7/01/24

 

 

2,000

 

 

1,968,240

 

Oregon State Facilities Authority, RB,
Student Housing, CHF- Ashland LLC,
Southern Oregon University Project
(AGM), 5.00%, 7/01/44

 

 

600

 

 

630,540

 

Oregon State Facilities Authority,
Refunding RB, Limited College
Project, Series A:

 

 

 

 

 

 

 

5.00%, 10/01/34

 

 

850

 

 

923,499

 

5.25%, 10/01/40

 

 

500

 

 

546,860

 

 

 

 

 

 

 

5,977,335

 

Pennsylvania — 2.7%

 

 

 

 

 

 

 

County of Allegheny Pennsylvania IDA,
Refunding RB, U.S. Steel Corp.
Project, 6.55%, 12/01/27

 

 

1,695

 

 

1,876,890

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL BOND TRUST

MAY 31, 2012

4


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Pennsylvania (concluded)

 

 

 

 

 

 

 

Delaware River Port Authority, RB,
Series D (AGM), 5.00%, 1/01/40

 

$

2,600

 

$

2,819,856

 

 

 

 

 

 

 

4,696,746

 

Puerto Rico — 1.4%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp.,
RB:

 

 

 

 

 

 

 

CAB, Series A, 5.71%,
8/01/35 (b)

 

 

1,000

 

 

275,800

 

First Sub-Series A, 5.75%,
8/01/37

 

 

1,000

 

 

1,109,360

 

Puerto Rico Sales Tax Financing Corp.,
Refunding RB, CAB, Series A (NPFGC),
5.73%, 8/01/41 (b)

 

 

5,000

 

 

989,800

 

 

 

 

 

 

 

2,374,960

 

Rhode Island — 2.9%

 

 

 

 

 

 

 

Rhode Island Health & Educational
Building Corp., RB, Hospital Financing,
LifeSpan Obligation, Series A (AGC),
7.00%, 5/15/39

 

 

1,000

 

 

1,195,040

 

Rhode Island Health & Educational
Building Corp., Refunding RB, Rhode
Island School of Design, 3.50%,
6/01/29

 

 

2,805

 

 

2,778,717

 

State of Rhode Island, COP, Series C,
School for the Deaf (AGC), 5.38%,
4/01/28

 

 

900

 

 

1,011,618

 

 

 

 

 

 

 

4,985,375

 

South Dakota — 0.9%

 

 

 

 

 

 

 

State of South Dakota Board of Regents
Housing & Auxiliary Facility System
Revenue, RB, 4.25%, 4/01/33

 

 

1,535

 

 

1,618,658

 

Tennessee — 0.9%

 

 

 

 

 

 

 

Memphis-Shelby County Sports
Authority, Inc., Refunding RB,
Memphis Arena Project, Series A,
5.38%, 11/01/28

 

 

275

 

 

306,518

 

Shelby County Health Educational &
Housing Facilities Board, RB,
Methodist Le Bonheur Healthcare,
5.00%, 5/01/42

 

 

1,200

 

 

1,283,196

 

 

 

 

 

 

 

1,589,714

 

Texas — 13.0%

 

 

 

 

 

 

 

Harris County Health Facilities
Development Corp., Refunding RB,
Memorial Hermann Healthcare
System, Series B:

 

 

 

 

 

 

 

7.13%, 12/01/31

 

 

500

 

 

602,625

 

7.25%, 12/01/35

 

 

1,750

 

 

2,101,540

 

Harris County Metropolitan Transit
Authority Sales and Use Tax, RB,
Series A, 5.00%, 11/01/36

 

 

400

 

 

451,192

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

Harris County-Houston Sports Authority,
Refunding RB, CAB, Senior Lien,
Series G (NPFGC), 6.18%,
11/15/41 (b)

 

$

11,690

 

$

1,916,575

 

Matagorda County Navigation District
No. 1 Texas, Refunding RB, Central
Power & Light Co. Project, Series A,
6.30%, 11/01/29

 

 

1,500

 

 

1,729,560

 

Texas Private Activity Bond Surface
Transportation Corp., RB, Senior Lien,
LBJ Infrastructure Group LLC, LBJ
Freeway Managed Lanes Project,
7.00%, 6/30/40

 

 

2,000

 

 

2,378,880

 

Texas State Turnpike Authority, RB
(AMBAC):

 

 

 

 

 

 

 

CAB, 6.08%, 8/15/35 (b)

 

 

50,000

 

 

12,469,500

 

First Tier, Series A, 5.00%,
8/15/42

 

 

750

 

 

750,060

 

 

 

 

 

 

 

22,399,932

 

Vermont — 1.5%

 

 

 

 

 

 

 

Vermont Educational & Health Buildings
Financing Agency, RB, Hospital,
Fletcher Allen Health, Series A, 4.75%,
12/01/36

 

 

1,600

 

 

1,619,376

 

Vermont Educational & Health Buildings
Financing Agency, Refunding RB, St.
Michaels College, 5.00%, 10/01/42

 

 

900

 

 

969,984

 

 

 

 

 

 

 

2,589,360

 

Virginia — 0.6%

 

 

 

 

 

 

 

Virginia Small Business Financing
Authority, RB, Senior Lien, Elizabeth
River Crossings OpCo LLC Project,
AMT, 5.50%, 1/01/42

 

 

940

 

 

985,176

 

Washington — 1.4%

 

 

 

 

 

 

 

City of Lynnwood, GO (AGM), 4.00%,
12/01/37

 

 

800

 

 

813,056

 

Washington Health Care Facilities
Authority, RB, MultiCare Health
System, Series B (AGC), 6.00%,
8/15/39

 

 

1,400

 

 

1,598,520

 

 

 

 

 

 

 

2,411,576

 

West Virginia — 0.7%

 

 

 

 

 

 

 

West Virginia State University, RB, West
Virginia University Projects, Series B,
5.00%, 10/01/36

 

 

1,100

 

 

1,256,717

 

Wisconsin — 1.5%

 

 

 

 

 

 

 

Wisconsin State Health & Educational
Facilities Authority, RB, Aurora Health
Care, Series A, 4.00%, 7/15/28

 

 

1,215

 

 

1,204,976

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL BOND TRUST

MAY 31, 2012

5


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Wisconsin (concluded)

 

 

 

 

 

 

 

Wisconsin State Health & Educational
Facilities Authority, Refunding RB,
Ministry HealthCare, Series C, 5.00%,
8/15/32

 

$

1,200

 

$

1,301,772

 

 

 

 

 

 

 

2,506,748

 

Wyoming — 0.8%

 

 

 

 

 

 

 

County of Sweetwater Wyoming,
Refunding RB, Idaho Power Co.
Project, 5.25%, 7/15/26

 

 

1,200

 

 

1,358,688

 

Total Municipal Bonds – 138.1%

 

 

 

 

 

237,942,336

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Colorado — 2.3%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, RB,
Series C-7 (AGM), 5.00%, 9/01/36

 

 

3,750

 

 

3,967,988

 

Massachusetts — 0.9%

 

 

 

 

 

 

 

Massachusetts Water Resources
Authority, Refunding RB, General,
Series A, 5.00%, 8/01/41

 

 

1,450

 

 

1,620,303

 

Michigan — 2.4%

 

 

 

 

 

 

 

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

 

 

4,000

 

 

4,096,160

 

New York — 7.2%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,878,076

 

New York City Municipal Water Finance
Authority, RB:

 

 

 

 

 

 

 

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

 

 

450

 

 

543,068

 

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

 

 

405

 

 

466,480

 

New York City Municipal Water Finance
Authority, Refunding RB, Series A,
4.75%, 6/15/30

 

 

3,000

 

 

3,348,750

 

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

 

 

2,505

 

 

2,849,162

 

New York State Dormitory Authority, RB,
New York University, Series A, 5.00%,
7/01/38

 

2,199

 

 

2,391,279

 

 

 

 

 

 

 

12,476,815

 

Ohio — 2.1%

 

 

 

 

 

 

 

County of Montgomery Ohio, RB,
Catholic Health, Series C-1 (AGM),
5.00%, 10/01/41

 

 

1,260

 

 

1,370,281

 

 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Ohio (concluded)

 

 

 

 

 

 

 

Ohio Higher Educational Facility
Commission, Refunding RB, Hospital,
Cleveland Clinic Health, Series A,
5.25%, 1/01/33

 

$

2,000

 

$

2,191,980

 

 

 

 

 

 

 

3,562,261

 

Total Municipal Bonds Transferred to Tender Option
Bond (TOB) Trusts – 14.9%

 

 

 

 

 

25,723,527

 

Total Long-Term Investments
(Cost – $243,285,822) – 153.0%

 

 

 

 

 

263,665,863

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund,
0.03% (k)(l)

 

 

166,410

 

 

166,410

 

Total Short-Term Securities
(Cost – $166,410) – 0.1%

 

 

 

 

 

166,410

 

Total Investments (Cost - $243,452,232*) – 153.1%

 

 

 

 

 

263,832,273

 

Other Assets Less Liabilities – 1.0%

 

 

 

 

 

1,713,581

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable – (7.7)%

 

 

 

 

 

(13,325,422

)

VMTP Shares, at Liquidation Value – (46.4)%

 

 

 

(79,900,000

)

Net Assets Applicable to Common Shares – 100.0%

 

$

172,320,432

 

 

 

 

*

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


 

 

 

 

 

Tax cost

 

$

229,300,253

 

Gross unrealized appreciation

 

$

22,852,550

 

Gross unrealized depreciation

 

 

(1,639,466

)

Net unrealized appreciation

 

$

21,213,084

 

 

 

(a)

US government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

 

(b)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(c)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.

 

 

(d)

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


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

 

Stifel Nicolaus

 

$

486,153

 

 

—

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL BOND TRUST

MAY 31, 2012

6


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Bond Trust (BBK)


 

 

(e)

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

 

 

(f)

Non-income producing security.

 

 

(g)

Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

 

(h)

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.

 

 

(i)

Variable rate security. Rate shown is as of report date.

 

 

(j)

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

 

 

(k)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
August 31,
2011

 

Net
Activity

 

Shares
Held at
May 31,
2012

 

Income

 

FFI Institutional
Tax-Exempt
Fund

 

 

2,247,948

 

 

(2,081,538

)

 

166,410

 

$

557

 

 

 

(l)

Represents the current yield as of report date.

 

 

•

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

47

 

10-Year US
Treasury
Note

 

Chicago
Board
of Trade

 

September
2012

 

$

6,295,063

 

$

(55,167

)

 

Portfolio Abbreviations

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

 

 

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

CAB

Capital Appreciation Bonds

COP

Certificates of Participation

EDA

Economic Development Authority

EDC

Economic Development Corp.

GO

General Obligation Bonds

HFA

Housing Finance Agency

HRB

Housing Revenue Bonds

IDA

Industrial Development Authority

IDRB

Industrial Development Revenue Bonds

NPFGC

National Public Finance Guarantee Corp.

RB

Revenue Bonds

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

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

The following tables summarize the inputs used as of May 31, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

—

 

$

263,665,863

 

 

—

 

$

263,665,863

 

Short-Term
Securities

 

$

166,410

 

 

—

 

 

—

 

 

166,410

 

Total

 

$

166,410

 

$

263,665,863

 

 

—

 

$

263,832,273

 

 

 

1

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(55,167

)

 

—

 

 

—

 

$

(55,167

)

 

 

2

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


 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL BOND TRUST

MAY 31, 2012

7


 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Bond Trust (BBK)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash pledged
as collateral
for financial
futures
contracts

 

$

125,000

 

 

—

 

 

—

 

$

125,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

TOB trust
certificates

 

 

—

 

$

(13,318,936

)

 

—

 

 

(13,318,936

)

VMTP Shares

 

 

—

 

 

(79,900,000

)

 

—

 

 

(79,900,000

)

Total

 

$

125,000

 

$

(93,218,936

)

 

—

 

$

(93,093,936

)

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

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL BOND TRUST

MAY 31, 2012

8

Item 2 –

Controls and Procedures

 

 

2(a) –

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

 

 

2(b) –

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

 

 

Item 3 –

Exhibits

 

 

 

Certifications – Attached hereto

 

 

 

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

 

 

 

BlackRock Municipal Bond Trust

 

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