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 811-10331

 

Name of Fund: BlackRock California Municipal Income Trust (BFZ)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 07/31/2011

 

Date of reporting period: 07/31/2011

 

Item 1 – Report to Stockholders

 


 

 

(BLACKROCK LOGO)

July 31, 2011


 

 

 

Annual Report

 

 

 

BlackRock California Municipal Income Trust (BFZ)

 

 

 

BlackRock Florida Municipal 2020 Term Trust (BFO)

 

 

 

BlackRock Investment Quality Municipal Income Trust (RFA)

 

 

 

BlackRock Municipal Income Investment Trust (BBF)

 

 

 

BlackRock New Jersey Investment Quality Municipal Trust Inc. (RNJ)

 

 

 

BlackRock New Jersey Municipal Income Trust (BNJ)

 

 

 

BlackRock New York Investment Quality Municipal Trust Inc. (RNY)

 

 

 

BlackRock New York Municipal Income Trust (BNY)


 

Not FDIC Insured § No Bank Guarantee § May Lose Value




 

 

 

 

 

Table of Contents

 

 

 

 

 

 

 

Page

 

 

 

Dear Shareholder

 

3

Annual Report:

 

 

Municipal Market Overview

 

4

Trust Summaries

 

5

The Benefits and Risks of Leveraging

 

13

Derivative Financial Instruments

 

13

Financial Statements:

 

 

Schedules of Investments

 

14

Statements of Assets and Liabilities

 

40

Statements of Operations

 

42

Statements of Changes in Net Assets

 

44

Statements of Cash Flows

 

46

Financial Highlights

 

47

Notes to Financial Statements

 

55

Report of Independent Registered Public Accounting Firm

 

63

Important Tax Information

 

64

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

 

65

Automatic Dividend Reinvestment Plan

 

69

Officers and Trustees

 

70

Additional Information

 

73


 

 

 

 

 

 

 

2

ANNUAL REPORT

JULY 31, 2011




 

 

 

Dear Shareholder

Financial markets have been extremely volatile in the wake of the Standard & Poor’s downgrade of US Treasury debt. While the August 5 announcement was the catalyst for the market turmoil, weaker-than-expected economic data and Europe’s deepening financial crisis further compounded investor uncertainty as the future direction of the global economy became increasingly questionable. Although markets remain highly volatile and conditions are highly uncertain, BlackRock remains focused on finding opportunities in this environment.

The pages that follow reflect your mutual fund’s reporting period ended July 31, 2011. Accordingly, the below discussion is intended to provide you with additional perspective on the performance of your investments during that period.

During the summer of 2010, investors were in “risk-off” mode as the global economy was sputtering and the sovereign debt crisis was spreading across Europe. But markets were revived toward the end of the summer on positive economic news and robust corporate earnings. The global economy had finally gained traction and fear turned to optimism with the anticipation of a second round of quantitative easing (“QE2”) from the US Federal Reserve (the “Fed”). Stock markets rallied even though the European debt crisis continued and inflationary pressures loomed over emerging markets. Fixed income markets, however, saw yields move sharply upward (pushing prices down) especially on the long end of the historically steep yield curve. While high yield bonds benefited from the risk rally, most fixed income sectors declined in the fourth quarter. The tax-exempt municipal market faced additional headwinds as it became evident that the Build America Bond program would not be extended and municipal finance troubles abounded.

The new year brought spikes of volatility as political turmoil swept across the Middle East/North Africa region and as prices of oil and other commodities soared. Natural disasters in Japan disrupted industrial supply chains and concerns mounted over US debt and deficit issues. Equities quickly rebounded as investors chose to focus on the continuing stream of strong corporate earnings and positive economic data. Credit markets were surprisingly resilient in this environment and yields regained relative stability in 2011. The tax-exempt market saw relief from its headwinds and steadily recovered from its fourth-quarter lows. Equities, commodities and high yield bonds outpaced higher-quality assets as investors increased their risk tolerance.

However, longer-term headwinds had been brewing. Inflationary pressures intensified in emerging economies, many of which were overheating, and the European debt crisis continued to escalate. Markets were met with a sharp reversal in May when political unrest in Greece pushed the nation closer to defaulting on its debt. This development rekindled fears about the broader debt crisis and its further contagion among peripheral European countries. Concurrently, it became evident that the pace of global economic growth had slowed. Higher oil prices and supply chain disruptions finally showed up in economic data. In the final month of the reporting period, the prolonged debt ceiling debate in Washington, DC led to a loss of confidence in policymakers. Stocks generally declined from May through the end of the period, but 6- and 12-month returns through the end of July remained in positive territory. In bond markets, yields were volatile but generally moved lower for the period as a whole (pushing prices up). Continued low short-term interest rates kept yields on money market securities near their all-time lows.

Sincerely,

 

-s- Rob Kapito

 

Rob Kapito

President, BlackRock Advisors, LLC

 

(PHOTO OF ROB KAPITO)

 

“Although markets remain highly volatile and conditions are highly uncertain, BlackRock remains focused on finding opportunities in this environment.”

 

Rob Kapito

President, BlackRock Advisors, LLC

 

 

Total Returns as of July 31, 2011

 

 

 

 

 

 

 

 

 

 

6-month

 

12-month

 

US large cap equities
(S&P 500® Index)

 

1.46

%

 

19.65

%

 

US small cap equities
(Russell 2000® Index)

 

2.63

 

 

23.92

 

 

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

 

0.93

 

 

17.17

 

 

Emerging market
equities (MSCI Emerging
Markets Index)

 

3.23

 

 

17.45

 

 

3-month Treasury
bill (BofA Merrill Lynch
3-Month Treasury
Bill Index)

 

0.07

 

 

0.14

 

 

US Treasury securities
(BofA Merrill Lynch 10-
Year US Treasury Index)

 

6.93

 

 

4.53

 

 

US investment grade
bonds (Barclays
Capital US Aggregate
Bond Index)

 

4.23

 

 

4.44

 

 

Tax-exempt municipal
bonds (Barclays Capital
Municipal Bond Index)

 

6.27

 

 

3.24

 

 

US high yield bonds
(Barclays Capital US
Corporate High Yield 2%
Issuer Capped Index)

 

3.90

 

 

12.89

 

 


 

Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 


 

 

 

 

 

 

 

 

 

 

THIS PAGE NOT PART OF YOUR FUND REPORT

 

3




 

 

 

Municipal Market Overview

 

For the 12-Month Period Ended July 31, 2011

At the outset of the 12-month period, investor concerns were focused on the possibility of deflation and a double-dip in the US economy thus leading to a flatter municipal yield curve at that time as compared to July 31, 2011. From July through September 2010, rates moved lower (and prices higher) across the curve, reaching historic lows in August when the yield on 5-year issues touched 1.06%, the 10-year reached 2.18%, and the 30-year closed at 3.67%. However, the market took a turn in October amid a “perfect storm” of events that ultimately resulted in the worst quarterly performance for municipals since the Fed tightening cycle of 1994. Treasury yields lost support due to concerns over the US deficit and municipal valuations suffered a quick and severe setback as it became evident that the Build America Bond (“BAB”) program would expire at the end of 2010. The BAB program opened the taxable market to municipal issuers, which had successfully alleviated supply pressure in the traditional tax-exempt marketplace, bringing down yields in that space.

(LINE GRAPH)

Towards the end of the fourth quarter 2010, news about municipal finance troubles mounted and damaged confidence among retail investors. From mid-November through year end, weekly outflows from municipal mutual funds averaged over $2.5 billion. Political uncertainty surrounding the midterm elections and tax policies along with the expiration of the BAB program exacerbated the situation. These conditions combined with seasonal illiquidity sapped willful market participation from the trading community. December brought declining demand with no comparable reduction in supply as issuers rushed their deals to market before the BAB program was retired. This supply-demand imbalance led to wider quality spreads and higher yields.

Demand is usually strong at the beginning of a new year, but retail investors continued to move away from municipal mutual funds in 2011. From mid-November, outflows persisted for 29 consecutive weeks, totaling $35.1 billion before the trend finally broke in June. Weak demand has been counterbalanced by lower supply in 2011. According to Thomson Reuters, year-to-date through July, new issuance was down 40% compared to the same period last year. Issuers have been reluctant to bring new deals to the market due to higher interest rates, fiscal policy changes and a reduced need for municipal borrowing. In this positive technical environment, the S&P/Investortools Main Municipal Bond Index gained 4.22% for the second quarter of 2011, its best second-quarter performance since 1992, and municipals outperformed most other fixed income asset classes for the quarter.

Municipals displayed an impressive degree of resiliency throughout the month of July as Moody’s Investors Service signaled that its potential downgrade of US government debt could also result in downgrades of a number of triple A-rated states and nearly 200 local general obligation issues. July also brought weaker US economic data. The housing market remained sluggish, fewer jobs were created and consumer confidence declined. US Treasury yields moved lower, dragging municipal yields down, which pushed bond prices up.

Overall, the municipal yield curve steepened during the period from July 31, 2010 to July 31, 2011. As measured by Thomson Municipal Market Data, yields on AAA quality-rated 30-year municipals rose 38 basis points (“bps”) to 4.35%, while yields for 5-year maturities rallied by 13 bps to 1.16%, and 10-year maturities increased by 10 bps to 2.67%. With the exception of the 2- to 5-year range, the yield spread between maturities increased over the past year, with the greatest increase seen in the 5- to 30-year range, where the spread widened by 51 bps, while overall the slope between 2- and 30-year maturities increased by 35 bps to 3.95%.

The fundamental picture for municipalities is improving as most states began their new fiscal year with a balanced budget. Austerity is the general theme across the country, while a small number of states continue to rely on the “kick the can” approach, using aggressive revenue projections and accounting gimmicks to close their shortfalls. As long as economic growth stays positive, tax receipts for states should continue to rise and lead to better credit fundamentals. BlackRock maintains a constructive view of the municipal market, recognizing that careful credit research and security selection remain imperative amid uncertainty in the economic environment.

     Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

 

 

 

 

4

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock California Municipal Income Trust


 

Trust Overview

BlackRock California Municipal Income Trust’s (BFZ) (the “Trust”) investment objective is to provide current income exempt from regular US federal income and California income taxes. The Trust seeks to achieve its investment objective by investing primarily in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and California income taxes. The Trust invests, under normal market conditions, at least 80% of its assets in municipal obligations that are investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned (0.86)% based on market price and 4.05% based on net asset value (“NAV”). For the same period, the closed-end Lipper California Municipal Debt Funds category posted an average return of (1.84)% based on market price and 3.16% based on NAV. All returns reflect reinvestment of dividends. 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. The following discussion relates to performance based on NAV. The Trust’s slightly long duration posture benefited performance as bonds with longer maturities experienced the greatest price appreciation as the yield curve flattened amid the investor flight-to-quality in the latter half of the period. Increased exposure to inverse floating rate instruments (tender option bonds) while the municipal yield curve was historically steep boosted the Trust’s income accrual. Holdings of higher quality essential service revenue bonds had a positive impact on performance as investors favored these securities versus general obligation bonds and school district credits, which lagged due to budget concerns in California. Conversely, some widening of credit spreads, especially among California school district and health care issues, had a negative impact on returns. In addition, the Trust’s cash reserves detracted as cash underperformed longer maturity, coupon bonds as yields fell and spreads tightened.

 

 

 

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


 

 

 

 

 

Trust Information

 

 

 

 

 

Symbol on New York Stock Exchange (“NYSE”)

 

 

BFZ

 

Initial Offering Date

 

 

July 27, 2001

 

Yield on Closing Market Price as of July 31, 2011 ($13.16)1

 

 

6.90%

 

Tax Equivalent Yield2

 

 

10.62%

 

Current Monthly Distribution per Common Share3

 

 

$0.0757

 

Current Annualized Distribution per Common Share3

 

 

$0.9084

 

Leverage as of July 31, 20114

 

 

42%

 


 

 

 

 

1

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

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

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

 

 

 

 

4

Represents Auction Market Preferred Shares (“AMPS”) and tender option bond trusts (“TOBs”) as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$13.16

 

 

$14.21

 

 

(7.39)%

 

 

$14.99

 

 

$12.02

 

Net Asset Value

 

 

$13.88

 

 

$14.28

 

 

(2.80)%

 

 

$14.88

 

 

$12.17

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

County/City/Special District/School District

 

39

%

 

37

%

 

Utilities

 

29

 

 

27

 

 

Health

 

11

 

 

9

 

 

Education

 

7

 

 

10

 

 

Transportation

 

7

 

 

6

 

 

State

 

5

 

 

7

 

 

Housing

 

2

 

 

3

 

 

Corporate

 

5

 

1

 

 


 

 

 

 

5

Amount rounds to less than 1%.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

11

%

 

24

%

 

AA/Aa

 

67

 

 

46

 

 

A

 

20

 

 

26

 

 

BBB/Baa

 

2

 

 

3

 

 

Not Rated

 

 

 

17

 

 


 

 

 

 

6

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

 

 

 

 

7

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2010, the market value of these securities was $5,717,100, representing 1% of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

5




 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock Florida Municipal 2020 Term Trust


 

Trust Overview

BlackRock Florida Municipal 2020 Term Trust’s (BFO) (the “Trust”) investment objectives are to provide current income exempt from regular federal income tax and Florida intangible personal property tax and to return $15.00 per Common Share (the initial offering price per share) to holders of Common Shares on or about December 31, 2020. The Trust seeks to achieve its investment objectives by investing at least 80% of its assets in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Florida intangible personal property tax. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust actively manages the maturity of its bonds to seek to have a dollar weighted average effective maturity approximately equal to the Trust’s maturity date. The Trust may invest directly in such securities or synthetically through the use of derivatives. Effective January 1, 2007, the Florida intangible personal property tax was repealed.

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned 2.00% based on market price and 5.07% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of (3.65)% based on market price and 3.25% based on NAV. All returns reflect reinvestment of dividends. 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. The following discussion relates to performance based on NAV. The Trust benefited from its exposure to pre-refunded bonds and escrow bonds, which performed well due to their shorter maturities when long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s holdings in health care bonds detracted from performance due to the sector’s underperformance versus the broader municipal market in the first half of the reporting 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.


 

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 July 31, 2011 ($13.91)1

 

 

4.83%

 

Tax Equivalent Yield2

 

 

7.43%

 

Current Monthly Distribution per Common Share3

 

 

$0.056

 

Current Annualized Distribution per Common Share3

 

 

$0.672

 

Leverage as of July 31, 20114

 

 

34%

 


 

 

 

 

1

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

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

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

 

 

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$13.91

 

 

$14.30

 

 

(2.73)%

 

 

$14.87

 

 

$13.01

 

Net Asset Value

 

 

$14.94

 

 

$14.91

 

 

0.20%

 

 

$15.40

 

 

$13.86

 

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

 

Sector Allocations


 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

County/City/Special District/School District

 

46

%

 

45

%

 

Utilities

 

18

 

 

20

 

 

Health

 

12

 

 

12

 

 

State

 

11

 

 

10

 

 

Corporate

 

6

 

 

7

 

 

Transportation

 

4

 

 

2

 

 

Housing

 

2

 

 

3

 

 

Education

 

1

 

 

1

 

 


 

Credit Quality Allocations5


 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

7

%

 

32

%

 

AA/Aa

 

40

 

 

19

 

 

A

 

23

 

 

23

 

 

BBB/Baa

 

12

 

 

7

 

 

BB/Ba

 

1

 

 

 

 

Not Rated6

 

17

 

 

19

 

 


 

 

 

 

5

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

 

 

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011 and July 31, 2010, the market value of these securities was $10,771,005, representing 8%, and $15,832,064, representing 13%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

6

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock Investment Quality Municipal Income Trust


 

Trust Overview


BlackRock Investment Quality Municipal Income Trust’s (RFA) (the “Trust”) investment objective is to provide high current income exempt from regular federal income tax and to provide an exemption from Florida intangible personal property taxes consistent with preservation of capital. The Trust seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Florida intangible personal property tax. Under normal market conditions, the Trust invests at least 80% of its assets in municipal bonds rated investment grade at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, the Board approved an amended policy in September 2008 allowing the Trust the flexibility to invest in municipal obligations regardless of geographical location.

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned (0.66)% based on market price and 2.90% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of (2.24)% based on market price and 4.19% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s holdings in spread sectors, including housing and health care bonds, enhanced performance as these sectors provided a relatively high degree of incremental income in the low interest rate environment. In addition, the Trust’s holdings of premium coupon bonds (6% or higher) and shorter-duration bonds (bonds with lower sensitivity to interest rate movements) performed well as long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s exposure to bonds with longer duration (greater sensitivity to interest rate movements) and bonds with longer-dated maturities detracted from performance as the municipal yield curve steepened over the 12-month period. The surprise non-extension of the BAB program at the end of 2010 put additional upward pressure on the long end of the yield curve, where most of the BAB supply was issued.

 

 

 

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


 

Trust Information


 

 

 

 

 

Symbol on NYSE Amex

 

 

RFA

 

Initial Offering Date

 

 

May 28, 1993

 

Yield on Closing Market Price as of July 31, 2011 ($11.65)1

 

 

7.21%

 

Tax Equivalent Yield2

 

 

11.09%

 

Current Monthly Distribution per Common Share3

 

 

$0.07

 

Current Annualized Distribution per Common Share3

 

 

$0.84

 

Leverage as of July 31, 20114

 

 

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 federal tax rate of 35%.

 

 

 

 

3

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

 

 

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$11.65

 

 

$12.60

 

 

(7.54)%

 

 

$13.20

 

 

$10.40

 

Net Asset Value

 

 

$11.77

 

 

$12.29

 

 

(4.23)%

 

 

$12.76

 

 

$10.54

 

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

 

Sector Allocations


 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

Transportation

 

20

%

 

19

%

 

Utilities

 

20

 

 

19

 

 

County/City/Special District/School District

 

19

 

 

19

 

 

Health

 

17

 

 

17

 

 

State

 

8

 

 

10

 

 

Education

 

7

 

 

7

 

 

Housing

 

6

 

 

6

 

 

Corporate

 

2

 

 

2

 

 

Tobacco

 

1

 

 

1

 

 


 

Credit Quality Allocations5


 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

8

%

 

16

%

 

AA/Aa

 

57

 

 

57

 

 

A

 

25

 

 

22

 

 

BBB/Baa

 

8

 

 

4

 

 

BB/Ba

 

1

 

 

 

 

Not Rated

 

1

 

 

1

 

 


 

 

 

 

5

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


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

7




 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock Municipal Income Investment Trust


 

Trust Overview

BlackRock Municipal Income Investment Trust’s (BBF) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and Florida intangible personal property tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) 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, the Board approved an amended policy in September 2008 allowing the Trust the flexibility to invest in municipal obligations regardless of geographical location.

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned (1.86)% based on market price and 3.15% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of (2.24)% based on market price and 4.19% based on NAV. All returns reflect reinvestment of dividends. 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. The following discussion relates to performance based on NAV. The Trust’s holdings in spread sectors, including corporate-backed municipal and health care bonds, enhanced performance as these sectors provided a relatively high degree of incremental income in the low interest rate environment. In addition, the Trust’s holdings of premium coupon bonds (6% or higher) and shorter-duration bonds (bonds with lower sensitivity to interest rate movements) performed well as long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s exposure to bonds with longer duration (greater sensitivity to interest rate movements) and bonds with longer-dated maturities detracted from performance as the municipal yield curve steepened over the 12-month period. The surprise non-extension of the BAB program at the end of 2010 put additional upward pressure on the long end of the yield curve, where most of the BAB supply was issued. US Treasury financial futures contracts used to hedge interest rate risk in the portfolio had a negative impact on performance.

 

 

 

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


 

Trust Information


 

 

 

 

 

Symbol on NYSE

 

 

BBF

 

Initial Offering Date

 

 

July 27, 2001

 

Yield on Closing Market Price as of July 31, 2011 ($12.74)1

 

 

7.10%

 

Tax Equivalent Yield2

 

 

10.92%

 

Current Monthly Distribution per Common Share3

 

 

$0.075375

 

Current Annualized Distribution per Common Share3

 

 

$0.904500

 

Leverage as of July 31, 20114

 

 

42%

 


 

 

 

 

1

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

 

 

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

 

 

3

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

 

 

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$12.74

 

 

$13.90

 

 

(8.35)%

 

 

$14.60

 

 

$11.13

 

Net Asset Value

 

 

$13.40

 

 

$13.91

 

 

(3.67)%

 

 

$14.47

 

 

$11.82

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

Sector Allocations


 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

Health

 

21

%

 

24

%

 

County/City/Special District/School District

 

19

 

 

19

 

 

Utilities

 

18

 

 

20

 

 

Transportation

 

16

 

 

17

 

 

State

 

9

 

 

9

 

 

Corporate

 

8

 

 

1

 

 

Education

 

7

 

 

9

 

 

Housing

 

1

 

 

1

 

 

Tobacco

 

1

 

 

 

 


 

Credit Quality Allocations5


 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

10

%

 

11

%

 

AA/Aa

 

55

 

 

58

 

 

A

 

26

 

 

25

 

 

BBB/Baa

 

7

 

 

4

 

 

BB/Ba

 

1

 

 

 

 

Not Rated

 

1

 

 

2

 

 


 

 

 

 

5

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


 

 

 

 

 

 

 

8

ANNUAL REPORT

JULY 31, 2011



 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock New Jersey Investment Quality Municipal Trust Inc.


 

Trust Overview

BlackRock New Jersey Investment Quality Municipal Trust Inc.’s (RNJ) (the “Trust”) investment objective is to provide high current income exempt from regular federal income tax and New Jersey gross income tax consistent with preservation of capital. The Trust seeks to achieve its investment objective by investing at least 80% of its assets in a portfolio of investment grade New Jersey municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New Jersey gross income taxes. Under normal market conditions, the Trust invests at least 80% of its assets in securities rated investment grade at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned (0.99)% based on market price and 4.63% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of (3.20)% based on market price and 3.20% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s holdings in spread sectors, including housing, health care and corporate-backed municipal bonds, enhanced performance as these sectors provided a relatively high degree of incremental income in the low interest rate environment. In addition, the Trust’s holdings of premium coupon bonds (6% or higher) and shorter-duration bonds (bonds with lower sensitivity to interest rate movements) performed well as long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s exposure to bonds with longer duration (greater sensitivity to interest rate movements) and bonds with longer-dated maturities detracted from performance as the municipal yield curve steepened over the 12-month period. The surprise non-extension of the BAB program at the end of 2010 put additional upward pressure on the long end of the yield curve, where most of the BAB supply was issued.

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

 

Trust Information

 

 

 

 

 

Symbol on NYSE Amex

 

 

RNJ

 

Initial Offering Date

 

 

May 28, 1993

 

Yield on Closing Market Price as of July 31, 2011 ($12.02)1

 

 

6.54%

 

Tax Equivalent Yield2

 

 

10.06%

 

Current Monthly Distribution per Common Share3

 

 

$0.0655

 

Current Annualized Distribution per Common Share3

 

 

$0.7860

 

Leverage as of July 31, 20114

 

 

36%

 

 

 

 

 

 


 

 

1

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

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

3

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

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$12.02

 

 

$12.96

 

 

(7.25)%

 

 

$14.39

 

 

$10.94

 

Net Asset Value

 

 

$12.32

 

 

$12.57

 

 

(1.99)%

 

 

$13.01

 

 

$11.09

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

Education

 

19

%

 

15

%

 

Transportation

 

18

 

 

14

 

 

State

 

17

 

 

18

 

 

County/City/Special District/School District

 

13

 

 

8

 

 

Health

 

11

 

 

16

 

 

Corporate

 

10

 

 

10

 

 

Housing

 

9

 

 

11

 

 

Utilities

 

2

 

 

7

 

 

Tobacco

 

1

 

 

1

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

 

 

12

%

 

AA/Aa

 

39

%

 

28

 

 

A

 

42

 

 

27

 

 

BBB/Baa

 

10

 

 

21

 

 

BB/Ba

 

 

 

3

 

 

B

 

5

 

 

4

 

 

Not Rated6

 

4

 

 

5

 

 


 

 

5

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

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011 and July 31, 2010, the market value of these securities was $884,636, representing 4%, and $500,505, representing 3%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

9



 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock New Jersey Municipal Income Trust


 

Trust Overview

BlackRock New Jersey Municipal Income Trust’s (BNJ) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and New Jersey gross income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New Jersey gross income taxes. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned 1.85% based on market price and 4.74% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of (3.20)% based on market price and 3.20% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. The Trust’s holdings in spread sectors, including housing, health care and corporate-backed municipal bonds, enhanced performance as these sectors provided a relatively high degree of incremental income in the low interest rate environment. In addition, the Trust’s holdings of premium coupon bonds (6% or higher) and shorter-duration bonds (bonds with lower sensitivity to interest rate movements) performed well as long-term interest rates climbed toward the end of 2010 and into the early part of 2011. Conversely, the Trust’s exposure to bonds with longer duration (greater sensitivity to interest rate movements) and bonds with longer-dated maturities detracted from performance as the municipal yield curve steepened over the 12-month period. The surprise non-extension of the BAB program at the end of 2010 put additional upward pressure on the long end of the yield curve, where most of the BAB supply was issued.

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

 

Trust Information

 

 

 

 

 

Symbol on NYSE

 

 

BNJ

 

Initial Offering Date

 

 

July 27, 2001

 

Yield on Closing Market Price as of July 31, 2011 ($14.10)1

 

 

6.73%

 

Tax Equivalent Yield2

 

 

10.35%

 

Current Monthly Distribution per Common Share3

 

 

$0.0791

 

Current Annualized Distribution per Common Share3

 

 

$0.9492

 

Leverage as of July 31, 20114

 

 

37%

 


 

 

1

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

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

3

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

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$14.10

 

 

$14.82

 

 

(4.86)%

 

 

$16.02

 

 

$12.50

 

Net Asset Value

 

 

$14.07

 

 

$14.38

 

 

(2.16)%

 

 

$14.86

 

 

$12.72

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

State

 

22

%

 

23

%

 

Transportation

 

18

 

 

13

 

 

Health

 

15

 

 

18

 

 

Housing

 

13

 

 

19

 

 

County/City/Special District/School District

 

12

 

 

9

 

 

Education

 

11

 

 

8

 

 

Corporate

 

7

 

 

7

 

 

Utilities

 

1

 

 

2

 

 

Tobacco

 

1

 

 

1

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

5

%

 

25

%

 

AA/Aa

 

33

 

 

25

 

 

A

 

33

 

 

28

 

 

BBB/Baa

 

12

 

 

11

 

 

BB/Ba

 

5

 

 

2

 

 

B

 

3

 

 

3

 

 

Not Rated6

 

9

 

 

6

 

 


 

 

5

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

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011 and July 31, 2010, the market value of these securities was $13,046,133, representing 8%, and $4,086,005, representing 2%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

10

ANNUAL REPORT

JULY 31, 2011



 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock New York Investment Quality Municipal Trust Inc.


 

Trust Overview

BlackRock New York Investment Quality Municipal Trust Inc.’s (RNY) (the “Trust”) investment objective is to provide high current income exempt from regular federal, New York State and New York City income tax consistent with the preservation of capital. The Trust seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New York State and New York City income taxes. Under normal market conditions, the Trust invests at least 80% of its assets in securities rated investment grade at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned (2.14)% based on market price and 3.63% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of (0.55)% based on market price and 3.05% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period-end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. Yields on the long end of the municipal yield curve were ultimately higher at the close of the period than where they started. Therefore, positive performance came mostly from the Trust’s exposure to higher-yielding sectors including housing, health care and corporate/industrial development bonds, which provided incremental income. The Trust also benefited from its exposure to lower-quality bonds, which, in addition to offering higher embedded yields, experienced some price appreciation due to spread compression during the period. The Trust was most heavily invested in tax-backed credits, where performance was moderately positive during the period. Low exposure to the short end of the yield curve and high-quality pre-refunded bonds proved beneficial as performance was weak in those issues. Detracting from performance was the Trust’s allocation to Puerto Rico credits, which underperformed New York issues during the period. Low exposure to tobacco, the strongest performing sector, was a disadvantage. The Trust’s holdings of higher education bonds hindered returns; however, we increased exposure to the sector despite its recent under-performance as these holdings help diversify the portfolio and we believe they will benefit the Trust during periods of scarce new-issue supply. For most of the period, the Trust maintained a slightly long duration bias and exposure to the long end of the yield curve, which also detracted from performance.

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

 

Trust Information

 

 

 

 

 

Symbol on NYSE Amex

 

 

RNY

 

Initial Offering Date

 

 

May 28, 1993

 

Yield on Closing Market Price as of July 31, 2011 ($13.49)1

 

 

6.49%

 

Tax Equivalent Yield2

 

 

9.98%

 

Current Monthly Distribution per Common Share3

 

 

$0.073

 

Current Annualized Distribution per Common Share3

 

 

$0.876

 

Leverage as of July 31, 20114

 

 

36%

 


 

 

1

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

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

3

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

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$13.49

 

 

$14.70

 

 

(8.23)%

 

 

$15.05

 

 

$12.39

 

Net Asset Value

 

 

$13.75

 

 

$14.15

 

 

(2.83)%

 

 

$14.66

 

 

$12.37

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

County/City/Special District/School District

 

25

%

 

28

%

 

Utilities

 

16

 

 

16

 

 

Health

 

14

 

 

10

 

 

Education

 

13

 

 

12

 

 

Corporate

 

11

 

 

12

 

 

State

 

9

 

 

10

 

 

Housing

 

7

 

 

7

 

 

Transportation

 

3

 

 

3

 

 

Tobacco

 

2

 

 

2

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

17

%

 

24

%

 

AA/Aa

 

26

 

 

19

 

 

A

 

28

 

 

38

 

 

BBB/Baa

 

14

 

 

6

 

 

BB/Ba

 

6

 

 

4

 

 

B

 

4

 

 

7

 

 

Not Rated

 

5

6

 

2

 

 


 

 

5

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

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011, the market value of these securities was $1,312,653, representing 5% of the Trust’s long-term investments.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

11



 

 

 

 

 

Trust Summary as of July 31, 2011

BlackRock New York Municipal Income Trust


 

Trust Overview

BlackRock New York Municipal Income Trust’s (BNY) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and New York State and New York City personal income taxes. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New York State and New York City personal income taxes. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance

For the 12 months ended July 31, 2011, the Trust returned 0.94% based on market price and 4.39% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of (0.55)% based on market price and 3.05% based on NAV. All returns reflect reinvestment of dividends. The Trust’s premium to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. Yields on the long end of the municipal yield curve were ultimately higher at the close of the period than where they started. Therefore, positive performance came mostly from the Trust’s exposure to higher-yielding sectors including housing, health care and corporate/industrial development bonds, which provided incremental income. The Trust also benefited from its exposure to lower-quality bonds, which, in addition to offering higher embedded yields, experienced some price appreciation due to spread compression during the period. The Trust was most heavily invested in tax-backed credits, where performance was moderately positive during the period. Low exposure to the short end of the yield curve and high-quality pre-refunded bonds proved beneficial as performance was weak in those issues. Detracting from performance was the Trust’s allocation to Puerto Rico credits, which underperformed New York issues during the period. Low exposure to tobacco, the strongest performing sector, was a disadvantage. The Trust’s holdings of higher education bonds hindered returns; however, we increased exposure to the sector despite its recent underperformance as these holdings help diversify the portfolio and we believe they will benefit the Trust during periods of scarce new-issue supply. For most of the period, the Trust maintained a slightly long duration bias and exposure to the long end of the yield curve, which also detracted from performance.

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

 

Trust Information

 

 

 

 

 

Symbol on NYSE

 

 

BNY

 

Initial Offering Date

 

 

July 27, 2001

 

Yield on Closing Market Price as of July 31, 2011 ($14.20)1

 

 

6.97%

 

Tax Equivalent Yield2

 

 

10.72%

 

Current Monthly Distribution per Common Share3

 

 

$0.0825

 

Current Annualized Distribution per Common Share3

 

 

$0.9900

 

Leverage as of July 31, 20114

 

 

37%

 


 

 

1

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

 

 

2

Tax equivalent yield assumes the maximum federal tax rate of 35%.

 

 

3

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

 

 

4

Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 13.

The table below summarizes the changes in the Trust’s market price and NAV per share:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

 

7/31/10

 

 

Change

 

 

High

 

 

Low

 

Market Price

 

 

$14.20

 

 

$15.11

 

 

(6.02)%

 

 

$15.74

 

 

$12.97

 

Net Asset Value

 

 

$13.87

 

 

$14.27

 

 

(2.80)%

 

 

$14.67

 

 

$12.53

 

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

 

 

 

 

 

 

 

 

Sector Allocations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

County/City/Special District/School District

 

18

%

 

16

%

 

Education

 

17

 

 

15

 

 

Transportation

 

17

 

 

14

 

 

Corporate

 

11

 

 

12

 

 

Housing

 

10

 

 

14

 

 

Utilities

 

10

 

 

12

 

 

State

 

7

 

 

8

 

 

Health

 

6

 

 

4

 

 

Tobacco

 

4

 

 

5

 

 

 

 

 

 

 

 

 

 

Credit Quality Allocations5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7/31/11

 

7/31/10

 

AAA/Aaa

 

11

%

 

23

%

 

AA/Aa

 

33

 

 

19

 

 

A

 

27

 

 

29

 

 

BBB/Baa

 

20

 

 

16

 

 

BB/Ba

 

2

 

 

3

 

 

B

 

3

 

 

6

 

 

Not Rated6

 

4

 

 

4

 

 

 

 

 

 

 

 

 

 


 

 

5

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

 

 

6

The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2011 and July 31, 2010, the market value of these securities was $11,121,550, representing 4%, and $2,474,600, representing 1%, respectively, of the Trust’s long-term investments.


 

 

 

 

 

 

 

12

ANNUAL REPORT

JULY 31, 2011



 

 

 

The Benefits and Risks of Leveraging

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

To leverage, the Trusts issue AMPS, which pay dividends at prevailing short-term interest rates, and invest the proceeds in long-term municipal bonds. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s holders of Common Shares (“Common Shareholders”) will benefit from the incremental net income.

To illustrate these concepts, assume a Trust’s Common Shares capitalization is $100 million and it issues AMPS for an additional $50 million, creating a total value of $150 million available for investment in long-term municipal bonds. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Trust pays dividends on the $50 million of AMPS based on the lower short-term interest rates. At the same time, the securities purchased by the Trust with assets received from the AMPS issuance earn income based on long-term interest rates. In this case, the dividends paid to holders of AMPS (“AMPS Shareholders”) are significantly lower than the income earned on the Trust’s long-term investments, and therefore the Common Shareholders are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup on the Common Shares will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Trust pays dividends to AMPS Shareholders on the higher short-term interest rate whereas the Trust’s total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts’ AMPS does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAV positively or negatively in addition to the impact on Trust performance from leverage from AMPS discussed above.

The Trusts may also leverage their assets through the use of TOBs, as described in Note 1 of the Notes to Financial Statements. TOB investments generally will provide the Trusts with economic benefits in periods of declining short-term interest rates, but expose the Trusts to risks during periods of rising short-term interest rates similar to those associated with AMPS issued by the Trusts, as described above. Additionally, fluctuations in the market value of municipal bonds deposited into the TOB trust may adversely affect each Trust’s NAV per share.

The use of leverage may enhance opportunities for increased income to the Trusts and Common Shareholders, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, each Trust’s net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Trust’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to Common Shareholders will be reduced. Each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trust’s ability to invest in certain types of securities or use certain types of hedging strategies, such as in the case of certain restrictions imposed by ratings agencies that rate AMPS issued by the Trusts. Each Trust will incur expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares.

Under the Investment Company Act of 1940, the Trusts are permitted to issue AMPS in an amount of up to 50% of their total managed assets at the time of issuance. Under normal circumstances, each Trust anticipates that the total economic leverage from AMPS and/or TOBs will not exceed 50% of its total managed assets at the time such leverage is incurred. As of July 31, 2011, the Trusts had economic leverage from AMPS and/or TOBs as a percentage of their total managed assets as follows:

 

 

 

 

 

 

 

Percent of
Leverage

 

BFZ

 

42

%

 

BFO

 

34

%

 

RFA

 

40

%

 

BBF

 

42

%

 

RNJ

 

36

%

 

BNJ

 

37

%

 

RNY

 

36

%

 

BNY

 

37

%

 


 

 

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments, including financial futures contracts as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market and/or interest rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in lower dividends paid to shareholders or may cause a Trust to hold an investment that it might otherwise sell. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

13



 

 

 

 

Schedule of Investments July 31, 2011

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California — 105.3%

 

 

 

 

 

 

 

Corporate — 0.2%

 

 

 

 

 

 

 

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

 

$

680

 

$

732,761

 

County/City/Special District/School District — 40.8%

 

 

 

 

 

 

 

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

 

 

8,425

 

 

9,271,291

 

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

 

 

8,000

 

 

8,661,600

 

Central Unified School District, GO, Election of 2008,
Series A (AGC), 5.63%, 8/01/33

 

 

400

 

 

420,636

 

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

 

 

3,000

 

 

3,158,070

 

City & County of San Francisco California, COP,
Refunding, Series A, 5.00%, 10/01/31

 

 

7,730

 

 

7,814,489

 

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

 

 

2,000

 

 

2,034,900

 

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

 

 

 

 

 

 

 

6.13%, 5/01/31

 

 

500

 

 

519,090

 

6.50%, 5/01/36

 

 

1,210

 

 

1,256,767

 

6.50%, 5/01/42

 

 

2,225

 

 

2,299,359

 

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

 

 

2,000

 

 

2,164,160

 

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

 

 

5,020

 

 

5,238,169

 

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

 

 

2,500

 

 

2,561,825

 

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

 

 

2,000

 

 

2,173,980

 

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

 

 

4,135

 

 

4,485,028

 

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

 

 

5,675

 

 

6,014,535

 

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

 

 

4,975

 

 

5,222,009

 

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

 

 

 

 

 

 

 

5.75%, 10/01/29

 

 

3,000

 

 

3,194,760

 

5.75%, 10/01/34

 

 

180

 

 

185,953

 

Murrieta Valley Unified School District Public Financing
Authority, Special Tax Bonds, Refunding, Series A
(AGC), 5.13%, 9/01/26

 

 

1,000

 

 

1,029,940

 

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

 

 

6,000

 

 

6,395,460

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (continued)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

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

 

$

3,600

 

$

3,630,708

 

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

 

 

2,000

 

 

2,105,840

 

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

 

 

2,000

 

 

2,030,880

 

Pittsburg Redevelopment Agency, Tax Allocation Bonds,
Refunding, Subordinate, Los Medanos Community
Project, Series A, 6.50%, 9/01/28

 

 

5,500

 

 

5,454,845

 

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

 

 

2,000

 

 

2,105,540

 

Port of Oakland, Refunding RB, Series M (FGIC),
5.38%, 11/01/27

 

 

4,800

 

 

4,808,496

 

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

 

 

1,500

 

 

1,580,070

 

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

 

 

6,500

 

 

6,745,635

 

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

 

 

6,000

 

 

5,888,640

 

San Leandro Unified School District California, GO:

 

 

 

 

 

 

 

Election of 2006, Series B (AGM), 6.25%, 8/01/29

 

 

1,150

 

 

1,279,260

 

Election of 2010, Series A, 5.75%, 8/01/41

 

 

3,060

 

 

3,236,470

 

San Marcos Unified School District, GO, Election of 2010,
Series A:

 

 

 

 

 

 

 

5.00%, 8/01/34

 

 

3,735

 

 

3,758,381

 

5.00%, 8/01/38

 

 

3,520

 

 

3,499,338

 

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

 

 

 

 

 

 

 

5.50%, 8/01/30

 

 

6,455

 

 

6,807,443

 

5.13%, 8/01/33

 

 

10,000

 

 

10,227,200

 

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

 

 

21,000

 

 

21,177,240

 

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

 

 

 

 

 

 

 

6.63%, 9/01/29

 

 

1,000

 

 

1,093,750

 

7.00%, 9/01/36

 

 

1,700

 

 

1,846,098

 

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

 

 

2,250

 

 

2,427,750

 

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

 

 

4,000

 

 

4,368,680

 

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

 

 

3,445

 

 

3,634,268

 


 

Portfolio Abbreviations

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

 

 

ACA

ACA Financial Guaranty Corp.

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

BHAC

Berkshire Hathaway Assurance Corp.

CAB

Capital Appreciation Bonds

CIFG

CDC IXIS Financial Guaranty

COP

Certificates of Participation

EDA

Economic Development Authority

EDC

Economic Development Corp.

ERB

Education Revenue Bonds

FGIC

Financial Guaranty Insurance Co.

FHA

Federal Housing Administration

FSA

Financial Security Assurance, Inc.

GO

General Obligation Bonds

HFA

Housing Finance Agency

HRB

Housing Revenue Bonds

IDA

Industrial Development Authority

ISD

Independent School District

LRB

Lease Revenue Bonds

MRB

Mortgage Revenue Bonds

NPFGC

National Public Finance Guarantee Corp.

PILOT

Payment in Lieu of Taxes

RB

Revenue Bonds

S/F

Single-Family

SONYMA

State of New York Mortgage Agency

VHA

Veterans Health Administration


 

 

 

See Notes to Financial Statements.

 

 

 

 

14

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

Schedule of Investments (continued)

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (continued)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

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

 

$

7,750

 

$

8,617,767

 

 

 

 

 

 

 

180,426,320

 

Education — 1.6%

 

 

 

 

 

 

 

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

 

 

6,280

 

 

6,708,296

 

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

 

 

460

 

 

482,485

 

 

 

 

 

 

 

7,190,781

 

Health — 18.7%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

6.38%, 8/01/34

 

 

3,055

 

 

3,168,279

 

6.25%, 8/01/39

 

 

3,760

 

 

3,923,334

 

Series A, 6.00%, 8/01/30

 

 

2,250

 

 

2,376,450

 

California Health Facilities Financing Authority, RB:

 

 

 

 

 

 

 

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

 

 

6,000

 

 

6,092,640

 

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

 

 

8,300

 

 

8,388,146

 

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

 

 

25

 

 

32,510

 

California Health Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,061,350

 

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

 

 

4,400

 

 

4,628,888

 

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

 

 

2,500

 

 

2,620,125

 

Providence Health, 6.50%, 10/01/38

 

 

4,090

 

 

4,478,796

 

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

 

 

6,015

 

 

6,407,659

 

California Infrastructure & Economic Development Bank,
RB, Kaiser Hospital Assistance I-LLC, Series A,
5.55%, 8/01/31

 

 

10,000

 

 

10,003,000

 

California Statewide Communities Development
Authority, RB, Series A:

 

 

 

 

 

 

 

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

 

 

8,310

 

 

8,371,245

 

Kaiser Permanente, 5.50%, 11/01/32

 

 

11,090

 

 

11,112,956

 

California Statewide Communities Development Authority,
Catholic Healthcare West, Refunding RB:

 

 

 

 

 

 

 

Series B, 5.50%, 7/01/30

 

 

2,980

 

 

3,023,419

 

Series E, 5.50%, 7/01/31

 

 

4,255

 

 

4,304,018

 

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

 

 

2,250

 

 

2,452,455

 

 

 

 

 

 

 

82,445,270

 

Housing — 0.9%

 

 

 

 

 

 

 

California Statewide Communities Development
Authority, Multifamily Housing Revenue Bond
Pass-Through Certificates, RB, Series 3, Westgate
Courtyards Apartments, Mandatory Put Bonds, AMT,
5.80%, 11/01/34 (b)

 

 

2,180

 

 

2,122,819

 

City of Los Angeles, Multifamily Housing Revenue Bond
Pass-Through Certificates, RB, Series 5, San Lucas
Apartments, AMT, 5.95%, 11/01/34 (b)

 

 

2,035

 

 

1,992,163

 

 

 

 

 

 

 

4,114,982

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (continued)

 

 

 

 

 

 

 

State — 8.9%

 

 

 

 

 

 

 

California State Public Works Board, RB:

 

 

 

 

 

 

 

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

 

$

9,000

 

$

9,608,490

 

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

 

 

2,475

 

 

2,627,856

 

State of California, GO, Various Purpose,
6.50%, 4/01/33

 

 

20,500

 

 

22,950,160

 

University of California, RB, Limited Project, Series D
(NPFGC), 5.00%, 5/15/41

 

 

4,315

 

 

4,261,969

 

 

 

 

 

 

 

39,448,475

 

Transportation — 12.0%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.75%, 3/01/34

 

 

895

 

 

887,124

 

6.25%, 3/01/34

 

 

1,650

 

 

1,713,756

 

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

 

 

8,000

 

 

8,531,600

 

County of Sacramento California, RB, Senior Series B,
5.75%, 7/01/39

 

 

1,850

 

 

1,906,259

 

Los Angeles Department of Airports, RB, Series A,
5.00%, 5/15/34

 

 

6,000

 

 

6,119,820

 

Los Angeles Department of Airports, Refunding RB,
Los Angeles International Airport, Sub-Series C,
5.25%, 5/15/38

 

 

400

 

 

405,440

 

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

 

 

5,530

 

 

5,719,790

 

Palm Springs Unified School District, GO, Election of
2004, Series A (AGM), 5.00%, 8/01/31

 

 

11,625

 

 

11,935,271

 

Port of Oakland, RB, Series K, AMT (FGIC),
5.75%, 11/01/29

 

 

5,300

 

 

5,301,060

 

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

 

 

6,750

 

 

7,259,760

 

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

 

 

2,880

 

 

3,154,550

 

 

 

 

 

 

 

52,934,430

 

Utilities — 22.2%

 

 

 

 

 

 

 

Anaheim Public Financing Authority, RB:

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,540,860

 

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

 

 

7,690

 

 

8,004,214

 

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

 

 

5,500

 

 

5,845,565

 

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

 

 

5,475

 

 

5,617,076

 

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

 

 

 

 

 

 

 

Series D, 5.88%, 1/01/34

 

 

1,000

 

 

1,077,590

 

Series E, 5.88%, 1/01/34

 

 

6,500

 

 

7,004,335

 

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

 

 

4,000

 

 

4,153,160

 

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

 

 

5,625

 

 

6,159,206

 

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

 

 

2,425

 

 

2,582,140

 

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

 

 

4,660

 

 

4,863,269

 

Los Angeles Department of Water & Power, RB:

 

 

 

 

 

 

 

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

 

 

11,215

 

 

11,582,179

 

Series A, 5.38%, 7/01/34

 

 

3,050

 

 

3,210,796

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

15




 

 

 

 

 

Schedule of Investments (continued)

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

Utilities (concluded)

 

 

 

 

 

 

 

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

 

$

2,200

 

$

2,237,400

 

San Diego Public Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

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

 

 

9,500

 

 

9,906,315

 

Series A, 5.25%, 8/01/38

 

 

3,255

 

 

3,372,603

 

San Francisco City & County Public Utilities
Commission, RB:

 

 

 

 

 

 

 

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

 

 

4,000

 

 

4,025,800

 

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

 

 

5,695

 

 

5,809,128

 

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

 

 

10,625

 

 

10,832,931

 

 

 

 

 

 

 

97,824,567

 

Total Municipal Bonds in California

 

 

 

 

 

465,117,586

 

 

 

 

 

 

 

 

 

 

Multi-State — 1.9%

 

 

 

 

 

 

 

Housing — 1.9%

 

 

 

 

 

 

 

Centerline Equity Issuer Trust (d)(e):

 

 

 

 

 

 

 

5.75%, 5/15/15

 

 

500

 

 

537,870

 

6.00%, 5/15/15

 

 

1,500

 

 

1,630,845

 

6.00%, 5/15/19

 

 

1,000

 

 

1,091,540

 

6.30%, 5/15/19

 

 

1,000

 

 

1,095,270

 

7.20%, 11/15/52

 

 

3,500

 

 

3,847,865

 

Total Municipal Bonds in Multi-State

 

 

 

 

 

8,203,390

 

 

 

 

 

 

 

 

 

 

Puerto Rico — 0.7%

 

 

 

 

 

 

 

County/City/Special District/School District — 0.7%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 6.50%, 8/01/44

 

 

3,000

 

 

3,242,550

 

Total Municipal Bonds — 107.9%

 

 

 

 

 

476,563,526

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (f)

 

 

 

 

 

 

 

 

California — 63.2%

 

 

 

 

 

 

 

County/City/Special District/School District — 25.0%

 

 

 

 

 

 

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

8,000

 

 

8,200,000

 

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

 

 

20,131

 

 

22,428,136

 

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

 

 

12,900

 

 

13,561,125

 

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

 

 

5,000

 

 

5,038,850

 

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

 

 

10,770

 

 

11,012,110

 

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

 

 

12,499

 

 

12,688,787

 

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

 

 

2,000

 

 

2,023,820

 

San Diego Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

10,484

 

 

11,043,880

 

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

 

 

9,000

 

 

9,277,470

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (f)

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

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

 

$

14,625

 

$

14,998,354

 

 

 

 

 

 

 

110,272,532

 

Education — 11.1%

 

 

 

 

 

 

 

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

 

 

10,395

 

 

10,887,203

 

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

 

 

13,095

 

 

13,241,388

 

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

 

 

8,630

 

 

8,863,442

 

University of California, RB:

 

 

 

 

 

 

 

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

 

 

2,600

 

 

2,568,046

 

Series O, 5.75%, 5/15/34

 

 

12,300

 

 

13,300,482

 

 

 

 

 

 

 

48,860,561

 

Utilities — 27.1%

 

 

 

 

 

 

 

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

 

 

7,000

 

 

7,488,320

 

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

 

 

3,000

 

 

3,041,700

 

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

 

 

3,000

 

 

3,058,710

 

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

 

 

18,002

 

 

18,200,996

 

Los Angeles Department of Water & Power, RB:

 

 

 

 

 

 

 

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

 

 

15,998

 

 

16,168,584

 

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

 

 

2,000

 

 

2,025,140

 

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

 

 

11,180

 

 

11,467,438

 

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

 

 

14,700

 

 

14,983,122

 

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

 

 

10,480

 

 

10,686,037

 

San Diego County Water Authority, COP, Refunding:

 

 

 

 

 

 

 

Series 2002-A (NPFGC), 5.00%, 5/01/32

 

 

5,292

 

 

5,331,206

 

Series 2008-A (AGM), 5.00%, 5/01/33

 

 

14,290

 

 

14,592,662

 

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

 

 

12,457

 

 

12,842,161

 

 

 

 

 

 

 

119,886,076

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 63.2%

 

 

 

 

 

279,019,169

 

Total Long-Term Investments
(Cost — $736,064,449) — 171.1%

 

 

 

 

 

755,582,695

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

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

 

 

2,720,243

 

 

2,720,243

 

Total Short-Term Securities
(Cost — $2,720,243) — 0.6%

 

 

 

 

 

2,720,243

 

Total Investments (Cost — $738,784,692*) — 171.7%

 

 

 

 

 

758,302,938

 

Liabilities in Excess of Other Assets — (0.3)%

 

 

 

 

 

(1,396,156

)

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (32.6)%

 

 

 

 

 

(143,834,366

)

AMPS, at Redemption Value — (38.8)%

 

 

 

 

 

(171,327,730

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

441,744,686

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

16

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

 

Schedule of Investments (concluded)

BlackRock California Municipal Income Trust (BFZ)


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

595,568,946

 

Gross unrealized appreciation

 

$

22,075,580

 

Gross unrealized depreciation

 

 

(3,054,525

)

Net unrealized appreciation

 

$

19,021,055

 


 

 

(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)

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

 

 

(c)

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


 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Bank of America Merrill Lynch

 

$

5,809,128

 

$

171

 


 

 

(d)

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

 

 

(e)

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.

 

 

(f)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(g)

Investments in companies considered to be an affiliate of the Trust during the year, 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,
2010

 

Net
Activity

 

Shares Held
at July 31,
2011

 

Income

 

BIF California Municipal
Money Fund

 

 

26,178,133

 

 

(23,457,890

)

 

2,720,243

 

 

$3,543

 


 

 

 

(h)

Represents the current yield as of report date.

 

 

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments. These inputs are categorized in three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — 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)

The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of July 31, 2011 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

755,582,695

 

 

 

$

755,582,695

 

Short-Term
Securities

 

$

2,720,243

 

 

 

 

 

 

2,720,243

 

Total

 

$

2,720,243

 

$

755,582,695

 

 

 

$

758,302,938

 


 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

17




 

 

 

 

 

Schedule of Investments July 31, 2011

BlackRock Florida Municipal 2020 Term Trust (BFO)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida — 149.0%

 

 

 

 

 

 

 

Corporate — 8.6%

 

 

 

 

 

 

 

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

 

$

4,000

 

$

4,022,240

 

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

 

 

 

 

 

 

 

5.50%, 10/01/23

 

 

1,955

 

 

1,986,339

 

Series A, 5.65%, 5/15/18

 

 

1,000

 

 

1,144,100

 

 

 

 

 

 

 

7,152,679

 

County/City/Special District/School District — 69.5%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,172,220

 

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

 

 

2,500

 

 

2,671,650

 

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

 

 

5,545

 

 

6,006,122

 

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

 

 

7,560

 

 

1,794,215

 

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

 

 

 

 

 

 

 

5.33%, 10/01/19

 

 

5,365

 

 

3,480,919

 

5.31%, 10/01/20

 

 

10,000

 

 

5,989,100

 

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

 

 

2,200

 

 

2,290,838

 

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

 

 

485

 

 

564,108

 

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

 

 

1,000

 

 

1,012,380

 

Miami-Dade County Educational Facilities Authority
Florida, RB, University of Miami, Series A (AMBAC),
5.00%, 4/01/24 (b)

 

 

1,000

 

 

1,111,370

 

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

 

 

4,000

 

 

4,388,440

 

Northern Palm Beach County Improvement District, RB,
Water Control & Improvement:

 

 

 

 

 

 

 

Series 43, 6.10%, 8/01/21

 

 

195

 

 

192,990

 

Unit of Development No. 43, 6.10%, 8/01/11 (b)

 

 

2,735

 

 

2,763,198

 

Northern Palm Beach County Improvement District,
Special Assessment Bonds, Refunding, Water Control
& Improvement District No. 43, Series B (ACA):

 

 

 

 

 

 

 

4.50%, 8/01/22

 

 

1,000

 

 

860,080

 

5.00%, 8/01/31

 

 

1,000

 

 

820,820

 

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

 

 

6,500

 

 

6,596,915

 

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

 

 

3,705

 

 

3,423,568

 

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

 

 

2,425

 

 

2,176,971

 

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

 

 

1,150

 

 

817,558

 

Village Center Community Development District, RB:

 

 

 

 

 

 

 

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

 

 

5,000

 

 

4,843,200

 

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

 

 

2,000

 

 

2,008,300

 

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

 

 

1,100

 

 

1,115,180

 

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

 

 

1,000

 

 

652,890

 

 

 

 

 

 

 

57,753,032

 

Education — 0.9%

 

 

 

 

 

 

 

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

 

 

725

 

 

784,406

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida (continued)

 

 

 

 

 

 

 

Health — 17.6%

 

 

 

 

 

 

 

Escambia County Health Facilities Authority, RB, Florida
Health Care Facility Loan, VHA Program (AMBAC),
5.95%, 7/01/20

 

$

416

 

$

429,874

 

Halifax Hospital Medical Center, Refunding RB, Series A,
5.25%, 6/01/26

 

 

2,500

 

 

2,474,425

 

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

 

 

2,155

 

 

2,398,989

 

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

 

 

1,500

 

 

1,550,775

 

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

 

 

1,500

 

 

1,536,285

 

Orange County Health Facilities Authority, RB, Hospital,
Adventist Health System, 5.63%, 11/15/32 (b)

 

 

4,450

 

 

4,785,664

 

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

 

 

1,285

 

 

1,428,470

 

 

 

 

 

 

 

14,604,482

 

Housing — 2.8%

 

 

 

 

 

 

 

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

 

 

1,065

 

 

1,076,747

 

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

 

 

570

 

 

611,553

 

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

 

 

575

 

 

624,341

 

 

 

 

 

 

 

2,312,641

 

State — 15.0%

 

 

 

 

 

 

 

Florida Municipal Loan Council, RB:

 

 

 

 

 

 

 

CAB, Series A (NPFGC), 5.22%, 4/01/20 (a)

 

 

4,000

 

 

2,595,080

 

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

 

 

1,050

 

 

1,179,538

 

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

 

 

1,105

 

 

1,147,985

 

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

 

 

500

 

 

514,180

 

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

 

 

6,150

 

 

6,465,433

 

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

 

 

500

 

 

539,660

 

 

 

 

 

 

 

12,441,876

 

Transportation — 6.5%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.00%, 10/01/20

 

 

2,250

 

 

2,336,670

 

5.00%, 10/01/22

 

 

3,000

 

 

3,082,080

 

 

 

 

 

 

 

5,418,750

 

Utilities — 28.1%

 

 

 

 

 

 

 

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

 

 

1,095

 

 

1,123,240

 

City of Lakeland Florida, Refunding RB,
5.00%, 10/01/27

 

 

1,000

 

 

1,011,010

 

City of Marco Island Florida, RB (NPFGC):

 

 

 

 

 

 

 

5.25%, 10/01/21

 

 

1,000

 

 

1,067,350

 

5.00%, 10/01/22

 

 

2,000

 

 

2,094,100

 

5.00%, 10/01/23

 

 

1,375

 

 

1,424,445

 

City of Palm Coast Florida, RB (NPFGC):

 

 

 

 

 

 

 

5.00%, 10/01/22

 

 

1,770

 

 

1,807,860

 

5.00%, 10/01/23

 

 

1,485

 

 

1,512,116

 

5.00%, 10/01/24

 

 

1,500

 

 

1,523,490

 

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

 

 

4,000

 

 

4,683,560

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

18

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

 

Schedule of Investments (concluded)

BlackRock Florida Municipal 2020 Term Trust (BFO)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida (concluded)

 

 

 

 

 

 

 

Utilities (concluded)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.00%, 10/01/22

 

$

1,975

 

$

2,106,812

 

5.00%, 10/01/23

 

 

1,180

 

 

1,258,753

 

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

 

 

3,630

 

 

3,776,543

 

 

 

 

 

 

 

23,389,279

 

Total Municipal Bonds in Florida

 

 

 

 

 

123,857,145

 

 

 

 

 

 

 

 

 

 

Puerto Rico — 1.4%

 

 

 

 

 

 

 

State — 1.4%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,109,550

 

 

 

 

 

 

 

 

 

 

U.S. Virgin Islands — 1.2%

 

 

 

 

 

 

 

Corporate — 1.2%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

987,660

 

Total Municipal Bonds — 151.6%

 

 

 

 

 

125,954,355

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)

 

 

 

 

 

 

 

Florida — 1.0%

 

 

 

 

 

 

 

Housing — 1.0%

 

 

 

 

 

 

 

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

 

 

750

 

 

826,770

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 1.0%

 

 

 

 

 

826,770

 

Total Long-Term Investments
(Cost — $126,160,555) — 152.6%

 

 

 

 

 

126,781,125

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

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

 

 

1,843,816

 

 

1,843,816

 

Total Short-Term Securities
(Cost — $1,843,816) — 2.2%

 

 

 

 

 

1,843,816

 

Total Investments (Cost — $128,004,371*) — 154.8%

 

 

 

 

 

128,624,941

 

Liabilities in Excess of Other Assets — (2.5)%

 

 

 

 

 

(2,111,706

)

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (0.6)%

 

 

 

 

 

(500,874

)

AMPS, at Redemption Value — (51.6)%

 

 

 

 

 

(42,900,915

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

83,111,446

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

127,480,901

 

Gross unrealized appreciation

 

$

3,298,277

 

Gross unrealized depreciation

 

 

(2,654,237

)

Net unrealized appreciation

 

$

644,040

 


 

 

(a)

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

 

 

(b)

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

 

 

(c)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(d)

Investments in companies considered to be an affiliate of the Trust during the year, 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,
2010

 

Net
Activity

 

Shares Held
at July 31,
2011

 

Income

 

BIF Florida Municipal
Money Fund

 

 

5,065,158

 

 

(3,221,342

)

 

1,843,816

 

 

 


 

 

 

(e)

Represents the current yield as of report date.

 

 

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments. These inputs are categorized in three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — 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)

The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following table summarizes the inputs used as of July 31, 2011 in determining the fair valuation of the Trust’s investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

 

$

126,781,125

 

 

 

$

126,781,125

 

Short-Term
Securities

 

$

1,843,816

 

 

 

 

 

 

1,843,816

 

Total

 

$

1,843,816

 

$

126,781,125

 

 

 

$

128,624,941

 


 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

19




 

 

 

 

Schedule of Investments July 31, 2011

BlackRock Investment Quality Municipal Income Trust (RFA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alaska — 0.3%

 

 

 

 

 

 

 

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

 

$

50

 

$

32,999

 

California — 13.1%

 

 

 

 

 

 

 

Bay Area Toll Authority, Refunding RB, San Francisco
Bay Area, Series F-1, 5.63%, 4/01/44

 

 

195

 

 

205,466

 

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

 

 

200

 

 

210,096

 

California Health Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

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

 

 

130

 

 

136,246

 

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

 

 

120

 

 

127,834

 

Los Angeles Department of Airports, Refunding RB,
Senior, Los Angeles International Airport, Series A,
5.00%, 5/15/35

 

 

395

 

 

400,870

 

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

 

 

200

 

 

206,548

 

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

 

 

240

 

 

249,070

 

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

 

 

185

 

 

202,099

 

 

 

 

 

 

 

1,738,229

 

Colorado — 1.2%

 

 

 

 

 

 

 

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

 

 

155

 

 

159,909

 

Delaware — 1.3%

 

 

 

 

 

 

 

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

 

 

175

 

 

176,356

 

Florida — 5.3%

 

 

 

 

 

 

 

Arborwood Community Development District, Special
Assessment Bonds, Master Infrastructure Projects,
Series B, 5.10%, 5/01/14

 

 

195

 

 

162,412

 

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

 

 

145

 

 

157,442

 

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

 

 

450

 

 

388,075

 

 

 

 

 

 

 

707,929

 

Georgia — 4.6%

 

 

 

 

 

 

 

City of Atlanta Georgia, RB, Refunding, General, Series B,
AMT, 5.00%, 1/01/29 (a)

 

 

45

 

 

45,335

 

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

 

 

500

 

 

565,735

 

 

 

 

 

 

 

611,070

 

Illinois — 11.1%

 

 

 

 

 

 

 

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

 

 

445

 

 

489,727

 

County of Cook Illinois, GO, Refunding, Series A, 5.25%,
11/15/33

 

 

100

 

 

103,867

 

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

 

 

75

 

 

77,081

 

Illinois Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

Carle Foundation, 6.00%, 8/15/41

 

 

250

 

 

252,242

 

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

 

 

250

 

 

266,897

 

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

 

 

150

 

 

152,546

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

100

 

 

103,605

 

6.00%, 6/01/28

 

 

30

 

 

30,896

 

 

 

 

 

 

 

1,476,861

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Indiana — 2.7%

 

 

 

 

 

 

 

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

 

$

335

 

$

355,546

 

Iowa — 0.2%

 

 

 

 

 

 

 

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

 

 

40

 

 

29,803

 

Kansas — 2.0%

 

 

 

 

 

 

 

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

 

 

250

 

 

268,560

 

Kentucky — 4.2%

 

 

 

 

 

 

 

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

 

 

100

 

 

101,916

 

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

 

 

220

 

 

237,659

 

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

 

 

215

 

 

215,742

 

 

 

 

 

 

 

555,317

 

Louisiana — 0.8%

 

 

 

 

 

 

 

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

 

 

100

 

 

103,493

 

Maine — 1.5%

 

 

 

 

 

 

 

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

 

 

190

 

 

204,296

 

Maryland — 1.1%

 

 

 

 

 

 

 

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

 

 

145

 

 

143,066

 

Massachusetts — 7.4%

 

 

 

 

 

 

 

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

 

 

125

 

 

130,029

 

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

 

 

220

 

 

220,288

 

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

 

 

250

 

 

253,568

 

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

 

 

120

 

 

116,791

 

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

 

 

250

 

 

262,687

 

 

 

 

 

 

 

983,363

 

Michigan — 7.4%

 

 

 

 

 

 

 

Kalamazoo Hospital Finance Authority, Refunding RB,
Bronson Methodist Hospital, 5.50%, 5/15/36

 

 

200

 

 

199,446

 

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

 

 

130

 

 

137,743

 

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

 

 

250

 

 

263,412

 

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

 

 

325

 

 

375,209

 

 

 

 

 

 

 

975,810

 

Nevada — 5.5%

 

 

 

 

 

 

 

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

 

 

250

 

 

271,382

 

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

 

 

440

 

 

456,619

 

 

 

 

 

 

 

728,001

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

20

ANNUAL REPORT

JULY 31, 2011

 



 

 

 

 

Schedule of Investments (continued)

BlackRock Investment Quality Municipal Income Trust (RFA)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey — 6.1%

 

 

 

 

 

 

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

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

 

$

175

 

$

176,829

 

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

 

 

250

 

 

265,392

 

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

 

 

165

 

 

169,494

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A, 5.88%, 12/15/38

 

 

190

 

 

203,895

 

 

 

 

 

 

 

815,610

 

New York — 4.8%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB,
Second General Resolution, Series EE, 5.38%,
6/15/43

 

 

55

 

 

58,343

 

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

 

 

250

 

 

259,680

 

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

 

 

85

 

 

87,429

 

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

 

 

225

 

 

237,112

 

 

 

 

 

 

 

642,564

 

Ohio — 0.3%

 

 

 

 

 

 

 

Buckeye Tobacco Settlement Financing Authority, RB,
Senior Series A-2, 6.50%, 6/01/47

 

 

45

 

 

36,404

 

Pennsylvania — 10.6%

 

 

 

 

 

 

 

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

 

 

300

 

 

321,105

 

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

 

 

200

 

 

198,552

 

Pennsylvania Turnpike Commission, RB:

 

 

 

 

 

 

 

Sub-Series A, 5.63%, 12/01/31

 

 

275

 

 

289,779

 

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

 

 

350

 

 

364,367

 

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

 

 

215

 

 

237,788

 

 

 

 

 

 

 

1,411,591

 

Texas — 14.2%

 

 

 

 

 

 

 

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

 

 

240

 

 

236,724

 

City of Houston Texas, Refunding RB, Series B, 5.25%,
9/01/27 (a)

 

 

260

 

 

263,809

 

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

 

 

140

 

 

155,467

 

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

 

 

250

 

 

278,383

 

Lower Colorado River Authority, RB, 5.75%, 5/15/28

 

 

120

 

 

127,447

 

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

 

 

250

 

 

265,293

 

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

 

 

280

 

 

293,521

 

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

 

 

250

 

 

263,435

 

 

 

 

 

 

 

1,884,079

 

Virginia — 2.1%

 

 

 

 

 

 

 

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

 

 

250

 

 

280,440

 

Total Municipal Bonds — 107.8%

 

 

 

 

 

14,321,296

 


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

California — 20.6%

 

 

 

 

 

 

 

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

 

$

300

 

$

314,205

 

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

 

 

300

 

 

298,632

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

390

 

 

409,988

 

Series A, 6.00%, 8/01/33

 

 

700

 

 

779,528

 

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

 

 

60

 

 

60,466

 

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

 

 

615

 

 

646,880

 

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

 

 

210

 

 

227,081

 

 

 

 

 

 

 

2,736,780

 

District of Columbia — 4.1%

 

 

 

 

 

 

 

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

 

 

195

 

 

217,458

 

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

 

 

300

 

 

318,737

 

 

 

 

 

 

 

536,195

 

Florida — 4.1%

 

 

 

 

 

 

 

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

 

 

280

 

 

277,556

 

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

 

 

240

 

 

264,566

 

 

 

 

 

 

 

542,122

 

Illinois — 5.3%

 

 

 

 

 

 

 

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

 

 

400

 

 

449,308

 

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

 

 

250

 

 

258,127

 

 

 

 

 

 

 

707,435

 

Nevada — 4.1%

 

 

 

 

 

 

 

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

 

 

500

 

 

548,210

 

New Hampshire — 1.3%

 

 

 

 

 

 

 

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

 

 

165

 

 

174,682

 

New Jersey — 2.3%

 

 

 

 

 

 

 

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

 

 

300

 

 

305,556

 

New York — 6.4%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

240

 

 

263,753

 

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

 

 

255

 

 

272,718

 

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

 

 

300

 

 

314,769

 

 

 

 

 

 

 

851,240

 

Ohio — 1.8%

 

 

 

 

 

 

 

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

 

 

230

 

 

230,789

 

South Carolina — 4.1%

 

 

 

 

 

 

 

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

 

 

510

 

 

543,186

 

Texas — 5.5%

 

 

 

 

 

 

 

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

 

 

300

 

 

322,831

 

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

 

 

400

 

 

412,172

 

 

 

 

 

 

 

735,003

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

21


 

 

 

 

Schedule of Investments (concluded)

BlackRock Investment Quality Municipal Income Trust (RFA)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

Virginia — 1.0%

 

 

 

 

 

 

 

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

 

$

130

 

$

134,815

 

Wisconsin — 1.8%

 

 

 

 

 

 

 

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

 

 

240

 

 

240,830

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 62.4%

 

 

 

 

 

8,286,843

 

Total Long-Term Investments
(Cost — $21,751,350) — 170.2%

 

 

 

 

 

22,608,139

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

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

 

 

302,911

 

 

302,911

 

Total Short-Term Securities
(Cost — $302,911) — 2.3%

 

 

 

 

 

302,911

 

Total Investments (Cost — $22,054,261*) — 172.5%

 

 

 

 

 

22,911,050

 

Liabilities in Excess of Other Assets — (4.4)%

 

 

 

 

 

(590,195

)

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (33.6)%

 

 

 

 

 

(4,462,033

)

AMPS, at Redemption Value — (34.4)%

 

 

 

 

 

(4,575,047

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

13,283,775

 

 

 


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

17,661,014

 

Gross unrealized appreciation

 

$

995,029

 

Gross unrealized depreciation

 

 

(203,713

)

Net unrealized appreciation

 

$

791,316

 


 

 

(a)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

Bank of America Merrill Lynch

 

$

204,296

 

$

3,031

 

National Financial Securities

 

$

45,335

 

$

904

 

Piper Jaffray

 

$

263,809

 

$

(68

)


 

 

(b)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(c)

Investments in companies considered to be an affiliate of the Trust during the year, 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,
2010

 

Net
Activity

 

Shares Held
at July 31,
2011

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

353,621

 

 

(50,710

)

 

302,911

 

$

377

 


 

 

(d)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of July 31,2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

5

 

 

10-Year US
Treasury Note

 

 

Chicago
Board of Trade

 

 

September
2011

 

$

613,037

 

$

(15,400

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — 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)

 

 

 

The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

The following table summarizes the inputs used as of July 31, 2011 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

 

 

 

$

22,608,139

 

 

 

$

22,608,139

 

Short-Term
Securities

 

$

302,911

 

 

 

 

 

 

302,911

 

Total

 

$

302,911

 

$

22,608,139

 

 

 

$

22,911,050

 


 

 

 

 

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

 

$

(15,400)

 

 

 

 

 

$

(15,400

)


 

 

 

 

2

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


 

 

 

See Notes to Financial Statements.

 

 

 

 

22

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

Schedule of Investments July 31, 2011

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alaska — 0.2%

 

 

 

 

 

 

 

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

 

$

330

 

$

217,797

 

California — 14.7%

 

 

 

 

 

 

 

Bay Area Toll Authority, Refunding RB, San Francisco Bay
Area, Series F-1, 5.63%, 4/01/44

 

 

1,355

 

 

1,427,723

 

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

 

 

1,315

 

 

1,381,381

 

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

 

 

 

 

 

 

 

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

 

 

890

 

 

932,765

 

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

 

 

 

 

 

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

 

 

1,910

 

 

1,782,183

 

Los Angeles Department of Airports, Refunding RB,
Senior, Los Angeles International Airport, Series A,
5.00%, 5/15/35

 

 

2,725

 

 

2,765,493

 

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

 

 

1,750

 

 

1,807,295

 

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

 

 

1,600

 

 

1,660,464

 

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

 

 

1,275

 

 

1,392,848

 

 

 

 

 

 

 

13,150,152

 

Colorado — 3.3%

 

 

 

 

 

 

 

City & County of Denver Colorado, Refunding RB,
Series A, 5.25%, 11/15/36

 

 

1,810

 

 

1,847,666

 

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

 

 

1,095

 

 

1,129,679

 

 

 

 

 

 

 

2,977,345

 

Delaware — 1.4%

 

 

 

 

 

 

 

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

 

 

1,230

 

 

1,239,532

 

District of Columbia — 1.2%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,076,570

 

Florida — 3.1%

 

 

 

 

 

 

 

Escambia County Health Facilities Authority, RB, Florida
Health Care Facility Loan, VHA Program (AMBAC),
5.95%, 7/01/20

 

 

579

 

 

597,693

 

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

 

 

1,795

 

 

1,547,990

 

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

 

 

1,000

 

 

652,890

 

 

 

 

 

 

 

2,798,573

 

Georgia — 3.7%

 

 

 

 

 

 

 

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

 

 

2,900

 

 

3,281,263

 

Illinois — 15.1%

 

 

 

 

 

 

 

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

 

 

1,105

 

 

1,130,514

 

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

 

 

2,955

 

 

3,252,007

 

County of Cook Illinois, GO, Refunding, Series A, 5.25%,
11/15/33

 

 

1,685

 

 

1,750,159

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

510

 

 

524,153

 

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

 

 

1,600

 

 

1,788,784

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

Illinois Finance Authority, Refunding RB, Series A:

 

 

 

 

 

 

 

Carle Foundation, 6.00%, 8/15/41

 

$

1,000

 

$

1,008,970

 

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

 

 

1,900

 

 

2,028,421

 

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

 

 

990

 

 

1,006,800

 

Railsplitter Tobacco Settlement Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

690

 

 

714,874

 

6.00%, 6/01/28

 

 

195

 

 

200,821

 

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

 

 

125

 

 

126,844

 

 

 

 

 

 

 

13,532,347

 

Indiana — 2.6%

 

 

 

 

 

 

 

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

 

 

2,210

 

 

2,345,539

 

Iowa — 0.2%

 

 

 

 

 

 

 

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

 

 

270

 

 

201,172

 

Kansas — 1.9%

 

 

 

 

 

 

 

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

 

 

1,600

 

 

1,718,784

 

Kentucky — 4.2%

 

 

 

 

 

 

 

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

 

 

660

 

 

672,646

 

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

 

 

1,500

 

 

1,620,405

 

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

 

 

1,450

 

 

1,455,002

 

 

 

 

 

 

 

3,748,053

 

Louisiana — 0.8%

 

 

 

 

 

 

 

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

 

 

715

 

 

739,975

 

Maine — 1.5%

 

 

 

 

 

 

 

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

 

 

1,270

 

 

1,365,555

 

Maryland — 1.1%

 

 

 

 

 

 

 

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

 

 

985

 

 

971,860

 

Massachusetts — 2.0%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,055,390

 

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

 

 

750

 

 

788,062

 

 

 

 

 

 

 

1,843,452

 

Michigan — 5.4%

 

 

 

 

 

 

 

Kalamazoo Hospital Finance Authority, Refunding RB,
Bronson Methodist Hospital, 5.50%, 5/15/36

 

 

1,665

 

 

1,660,388

 

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

 

 

915

 

 

969,497

 

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

 

 

1,000

 

 

1,053,650

 

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

 

 

995

 

 

1,148,718

 

 

 

 

 

 

 

4,832,253

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

23




 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Nevada — 7.1%

 

 

 

 

 

 

 

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

 

$

1,600

 

$

1,736,848

 

County of Clark Nevada, GO, Refunding, Transportation,
Series A, 5.00%, 12/01/29

 

 

1,400

 

 

1,455,048

 

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

 

 

3,075

 

 

3,191,143

 

 

 

 

 

 

 

6,383,039

 

New Jersey — 2.9%

 

 

 

 

 

 

 

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

 

 

1,165

 

 

1,196,735

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A, 5.88%, 12/15/38

 

 

1,295

 

 

1,389,703

 

 

 

 

 

 

 

2,586,438

 

New York — 8.5%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB,
Second General Resolution, Series EE, 5.38%,
6/15/43

 

 

385

 

 

408,404

 

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

 

 

1,500

 

 

1,558,080

 

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

 

 

605

 

 

622,285

 

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

 

 

3,250

 

 

3,409,998

 

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

 

 

1,510

 

 

1,591,283

 

 

 

 

 

 

 

7,590,050

 

North Carolina — 2.6%

 

 

 

 

 

 

 

North Carolina Medical Care Commission, RB, Novant
Health Obligation, Series A, 4.75%, 11/01/43

 

 

2,735

 

 

2,324,941

 

Ohio — 0.3%

 

 

 

 

 

 

 

Buckeye Tobacco Settlement Financing Authority, RB,
Asset-Backed, Senior Series A-2, 6.50%, 6/01/47

 

 

295

 

 

238,646

 

Pennsylvania — 4.4%

 

 

 

 

 

 

 

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

 

 

500

 

 

535,175

 

Pennsylvania Turnpike Commission, RB, Sub-Series A:

 

 

 

 

 

 

 

5.63%, 12/01/31

 

 

1,775

 

 

1,870,388

 

6.00%, 12/01/41

 

 

1,500

 

 

1,561,575

 

 

 

 

 

 

 

3,967,138

 

Puerto Rico — 3.0%

 

 

 

 

 

 

 

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

 

 

2,605

 

 

2,670,412

 

Texas — 17.8%

 

 

 

 

 

 

 

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

 

 

1,670

 

 

1,647,205

 

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

 

 

890

 

 

988,327

 

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

 

 

500

 

 

556,765

 

Houston Texas Hotel Occupancy, RB, Refunding, Series B,
5.25%, 9/01/27 (a)

 

 

1,800

 

 

1,826,370

 

Lower Colorado River Authority, RB:

 

 

 

 

 

 

 

5.75%, 5/15/28

 

 

810

 

 

860,269

 

5.50%, 5/15/33

 

 

2,000

 

 

2,113,526

 

North Texas Tollway Authority, RB:

 

 

 

 

 

 

 

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

 

 

1,670

 

 

1,772,154

 

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

 

 

1,000

 

 

1,038,450

 

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

 

 

1,905

 

 

1,996,992

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

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

 

$

2,980

 

$

3,140,145

 

 

 

 

 

 

 

15,940,203

 

Virginia — 1.2%

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,121,760

 

Total Municipal Bonds — 110.2%

 

 

 

 

 

98,862,849

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

 

 

 

 

 

 

California — 20.1%

 

 

 

 

 

 

 

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

 

 

1,995

 

 

2,089,463

 

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

 

 

2,400

 

 

2,389,056

 

Los Angeles Community College District California, GO:

 

 

 

 

 

 

 

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

 

 

2,630

 

 

2,764,787

 

Series A, 6.00%, 8/01/33

 

 

3,898

 

 

4,343,085

 

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

 

 

400

 

 

403,108

 

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

 

 

4,214

 

 

4,433,493

 

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

 

 

1,500

 

 

1,622,010

 

 

 

 

 

 

 

18,045,002

 

District Of Columbia — 3.9%

 

 

 

 

 

 

 

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

 

 

1,395

 

 

1,555,662

 

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

 

 

1,799

 

 

1,912,421

 

 

 

 

 

 

 

3,468,083

 

Florida — 8.4%

 

 

 

 

 

 

 

Jacksonville Economic Development Commission, RB,
Mayo Clinic Jacksonville, Series B, 5.50%, 11/15/36

 

 

7,490

 

 

7,544,153

 

Illinois — 3.5%

 

 

 

 

 

 

 

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

 

 

2,800

 

 

3,145,156

 

Nevada — 5.5%

 

 

 

 

 

 

 

Clark County Water Reclamation District, GO:

 

 

 

 

 

 

 

Limited Tax, 6.00%, 7/01/38

 

 

2,500

 

 

2,741,050

 

Series B, 5.50%, 7/01/29

 

 

1,994

 

 

2,167,536

 

 

 

 

 

 

 

4,908,586

 

New Hampshire — 1.3%

 

 

 

 

 

 

 

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

 

 

1,094

 

 

1,159,255

 

New Jersey — 2.3%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,037,040

 

New York — 6.4%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

1,410

 

 

1,549,546

 

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

 

 

1,994

 

 

2,133,618

 

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

 

 

2,000

 

 

2,098,460

 

 

 

 

 

 

 

5,781,624

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

24

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (b)

 

Par
(000)

 

Value

 

Ohio — 1.7%

 

 

 

 

 

 

 

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

 

$

1,560

 

$

1,565,351

 

South Carolina — 2.1%

 

 

 

 

 

 

 

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

 

 

1,755

 

 

1,869,198

 

Texas — 5.6%

 

 

 

 

 

 

 

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

 

 

2,025

 

 

2,179,108

 

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

 

 

2,750

 

 

2,833,682

 

 

 

 

 

 

 

5,012,790

 

Virginia — 1.0%

 

 

 

 

 

 

 

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

 

 

899

 

 

933,337

 

Wisconsin — 1.9%

 

 

 

 

 

 

 

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

 

 

1,680

 

 

1,685,810

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 63.7%

 

 

 

 

 

57,155,385

 

Total Long-Term Investments
(Cost — $151,252,212) — 173.9%

 

 

 

 

 

156,018,234

 

 

 


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

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

 

 

2,119,108

 

 

2,119,108

 

Total Short-Term Securities
(Cost — $2,119,108) — 2.3%

 

 

 

 

 

2,119,108

 

Total Investments (Cost — $153,371,320*) — 176.2%

 

 

 

 

 

158,137,342

 

Liabilities in Excess of Other Assets — (3.9)%

 

 

 

 

 

(3,523,166

)

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (34.1)%

 

 

 

 

 

(30,638,088

)

AMPS, at Redemption Value — (38.2)%

 

 

 

 

 

(34,250,572

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

89,725,516

 


 

 


 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

123,256,374

 

Gross unrealized appreciation

 

$

6,336,567

 

Gross unrealized depreciation

 

 

(2,072,637

)

Net unrealized appreciation

 

$

4,263,930

 


 

 

(a)

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


 

 

 

 

 

 

 

 

 

 

Value

 

Unrealized
Appreciation
(Depreciation)

 

Bank of America Merrill Lynch

 

$

1,365,555

 

$

20,257

 

Piper Jaffray

 

$

1,826,370

 

$

(468

)


 

 

(b)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(c)

Investments in companies considered to be an affiliate of the Trust during the year, 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,
2010

 

Net
Activity

 

Shares Held
at July 31,
2011

 

Income

 

FFI Institutional
Tax-Exempt Fund

 

 

4,963,552

 

 

(2,844,444

)

 

2,119,108

 

$

3,536

 


 

 

(d)

Represents the current yield as of report date.

 

 

Financial futures contracts sold as of July 31, 2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

43

 

 

10-Year US
Treasury Note

 

 

Chicago
Board of Trade

 

 

September
2011

 

$

5,268,348

 

$

(136,215

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for the financials statement purposes as follows:

 

 

 

 

Level 1 — 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)

 

 

 

The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust ‘s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

The following tables summarize the inputs used as of July 31, 2011 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

 

 

 

$

156,018,234

 

 

 

$

156,018,234

 

Short-Term
Securities

 

$

2,119,108

 

 

 

 

 

 

2,119,108

 

Total

 

$

2,119,108

 

$

156,018,234

 

 

 

$

158,137,342

 


 

 

 

 

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

 

$

(136,215

)

 

 

 

 

$

(136,215

)


 

 

 

 

2

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


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

25




 

 

 

 

Schedule of Investments July 31, 2011

BlackRock New Jersey Investment Quality Municipal Trust Inc. (RNJ)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey — 141.3%

 

 

 

 

 

 

 

Corporate — 15.5%

 

 

 

 

 

 

 

New Jersey EDA, RB, AMT (a):

 

 

 

 

 

 

 

Continental Airlines, Inc. Project, 7.00%, 11/15/30

 

$

925

 

$

925,472

 

Disposal Waste Management of New Jersey,
Series A, Mandatory Put Bonds, 5.30%, 6/01/15

 

 

500

 

 

539,545

 

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

 

 

175

 

 

176,829

 

Salem County Utilities Authority, Refunding RB,
Atlantic City Electric, Series A, 4.88%, 6/01/29

 

 

300

 

 

304,731

 

 

 

 

 

 

 

1,946,577

 

County/City/Special District/School District — 17.1%

 

 

 

 

 

 

 

City of Margate City New Jersey, GO, Improvement,
5.00%, 1/15/27

 

 

125

 

 

132,639

 

City of Perth Amboy New Jersey, GO, CAB (AGM),
4.50%, 7/01/34 (b)

 

 

100

 

 

96,104

 

Essex County Improvement Authority, RB, Newark Project,
Series A (AGM):

 

 

 

 

 

 

 

5.00%, 11/01/20

 

 

190

 

 

197,113

 

6.00%, 11/01/30

 

 

275

 

 

292,636

 

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

 

 

 

 

 

 

 

5.50%, 10/01/28

 

 

300

 

 

339,849

 

5.50%, 10/01/29

 

 

260

 

 

292,716

 

Hudson County Improvement Authority, RB:

 

 

 

 

 

 

 

CAB, Series A-1 (NPFGC), 4.52%, 12/15/32 (c)

 

 

1,000

 

 

258,260

 

Harrison Parking Facility Project, Series C (AGC),
5.38%, 1/01/44

 

 

340

 

 

354,875

 

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

 

 

200

 

 

18,000

 

State of New Jersey, COP, Equipment Lease Purchase,
Series A, 5.13%, 6/15/24

 

 

150

 

 

155,176

 

 

 

 

 

 

 

2,137,368

 

Education — 29.2%

 

 

 

 

 

 

 

New Jersey EDA, RB, School Facilities Construction:

 

 

 

 

 

 

 

Series CC-2, 5.00%, 12/15/31

 

 

200

 

 

203,722

 

Series CC-2, 5.00%, 12/15/32

 

 

200

 

 

202,708

 

Series S, 5.00%, 9/01/36

 

 

200

 

 

200,080

 

Series Y, 5.00%, 9/01/33

 

 

400

 

 

402,828

 

New Jersey EDA, Refunding RB, School Facilities,
Series GG, 5.25%, 9/01/27

 

 

255

 

 

266,919

 

New Jersey Educational Facilities Authority, RB:

 

 

 

 

 

 

 

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

 

 

100

 

 

102,088

 

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

 

 

240

 

 

251,304

 

New Jersey Educational Facilities Authority, Refunding RB:

 

 

 

 

 

 

 

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

 

 

100

 

 

92,831

 

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

 

 

80

 

 

81,496

 

Rowan University, Series B (AGC), 5.00%, 7/01/24

 

 

255

 

 

273,064

 

University of Medicine & Dentistry, Series B,
7.50%, 12/01/32

 

 

175

 

 

200,261

 

New Jersey Higher Education Assistance Authority,
Refunding RB, Series 1A:

 

 

 

 

 

 

 

5.00%, 12/01/25

 

 

65

 

 

65,703

 

5.00%, 12/01/26

 

 

50

 

 

50,472

 

5.13%, 12/01/27

 

 

200

 

 

204,134

 

5.25%, 12/01/32

 

 

300

 

 

303,615

 

New Jersey Higher Education Student Assistance
Authority, RB, Series 1, AMT, 5.75%, 12/01/29

 

 

240

 

 

244,094

 

Rutgers-State University of New Jersey, Refunding RB,
Series F, 5.00%, 5/01/39

 

 

500

 

 

515,190

 

 

 

 

 

 

 

3,660,509

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey (continued)

 

 

 

 

 

 

 

Health — 18.1%

 

 

 

 

 

 

 

Burlington County Bridge Commission, Refunding RB,
The Evergreens Project, 5.63%, 1/01/38

 

$

150

 

$

125,939

 

New Jersey EDA, RB, First Mortgage, Lions Gate Project,
Series A:

 

 

 

 

 

 

 

5.75%, 1/01/25

 

 

60

 

 

55,001

 

5.88%, 1/01/37

 

 

110

 

 

94,235

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

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

 

 

500

 

 

486,030

 

Seabrook Village Inc. Facility, 5.25%, 11/15/26

 

 

140

 

 

123,431

 

New Jersey Health Care Facilities Financing Authority, RB:

 

 

 

 

 

 

 

AHS Hospital Corp., 6.00%, 7/01/41

 

 

230

 

 

241,744

 

Hospital Asset Transformation Program, Series A,
5.25%, 10/01/38

 

 

250

 

 

252,360

 

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

 

 

100

 

 

99,556

 

Virtua Health (AGC), 5.50%, 7/01/38

 

 

150

 

 

154,554

 

New Jersey Health Care Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

CAB, St. Barnabas Health, Series B, 5.89%,
7/01/30 (c)

 

 

500

 

 

142,110

 

CAB, St. Barnabas Health, Series B, 5.68%,
7/01/36 (c)

 

 

840

 

 

140,683

 

CAB, St. Barnabas Health, Series B, 5.74%,
7/01/37 (c)

 

 

900

 

 

139,599

 

St. Barnabas Health Care System, Series A, 5.00%,
7/01/29

 

 

250

 

 

212,035

 

 

 

 

 

 

 

2,267,277

 

Housing — 13.7%

 

 

 

 

 

 

 

New Jersey State Housing & Mortgage Finance
Agency, RB:

 

 

 

 

 

 

 

S/F Housing, Series CC, 5.00%, 10/01/34

 

 

210

 

 

211,048

 

S/F Housing, Series X, AMT, 4.85%, 4/01/16

 

 

500

 

 

513,140

 

S/F Housing, Series X, AMT, 5.05%, 4/01/18

 

 

215

 

 

224,359

 

Series A, 4.75%, 11/01/29

 

 

140

 

 

139,432

 

Series AA, 6.38%, 10/01/28

 

 

235

 

 

252,326

 

Series AA, 6.50%, 10/01/38

 

 

140

 

 

151,595

 

Newark Housing Authority, RB, South Ward Police Facility
(AGC), 6.75%, 12/01/38

 

 

200

 

 

226,378

 

 

 

 

 

 

 

1,718,278

 

State — 20.3%

 

 

 

 

 

 

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

Motor Vehicle Surcharge, Series A (NPFGC),
5.25%, 7/01/24

 

 

300

 

 

322,161

 

Motor Vehicle Surcharge, Series A (NPFGC),
5.25%, 7/01/25

 

 

570

 

 

606,548

 

Newark Downtown District Management Corp.,
5.13%, 6/15/37

 

 

100

 

 

86,918

 

School Facilities Construction, Series Z (AGC),
5.50%, 12/15/34

 

 

500

 

 

522,450

 

School Facilities Construction, Series Z (AGC),
6.00%, 12/15/34

 

 

300

 

 

323,091

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

New Jersey American Water Co., Inc., Project,
Series B, AMT, 5.60%, 11/01/34

 

 

150

 

 

152,267

 

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

 

 

200

 

 

212,314

 

School Facilities Construction, Series N-1 (NPFGC),
5.50%, 9/01/28

 

 

100

 

 

108,952

 

New Jersey Transportation Trust Fund Authority, RB,
Transportation System, Series A (AGC), 5.63%,
12/15/28

 

 

100

 

 

106,153

 

State of New Jersey, COP, Equipment Lease Purchase,
Series A, 5.25%, 6/15/28

 

 

100

 

 

102,719

 

 

 

 

 

 

 

2,543,573

 

 

 

 

 

 

 

 

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

26

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

Schedule of Investments (continued)

BlackRock New Jersey Investment Quality Municipal Trust Inc. (RNJ)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey (concluded)

 

 

 

 

 

 

 

Tobacco — 1.1%

 

 

 

 

 

 

 

Tobacco Settlement Financing Corporation of New Jersey,
Asset-Backed Revenue Refunding Bonds, Series 1A,
5.00%, 6/01/29

 

$

170

 

$

133,766

 

Transportation — 26.3%

 

 

 

 

 

 

 

Delaware River Port Authority of Pennsylvania and
New Jersey, RB:

 

 

 

 

 

 

 

Port District Project, Series B (AGM), 5.70%,
1/01/22

 

 

400

 

 

400,660

 

Series D, 5.00%, 1/01/40

 

 

95

 

 

95,385

 

New Jersey State Turnpike Authority, RB, Series E,
5.25%, 1/01/40

 

 

300

 

 

306,456

 

New Jersey State Turnpike Authority, Refunding
RB (AMBAC):

 

 

 

 

 

 

 

Series C, 6.50%, 1/01/16

 

 

160

 

 

190,325

 

Series C, 6.50%, 1/01/16 (f)

 

 

485

 

 

539,999

 

Series C-2005, 6.50%, 1/01/16 (f)

 

 

55

 

 

66,148

 

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

 

 

 

 

 

 

 

6.00%, 12/15/38

 

 

100

 

 

108,214

 

Series A, 6.00%, 6/15/35

 

 

450

 

 

499,158

 

Series A, 5.88%, 12/15/38

 

 

175

 

 

187,798

 

Port Authority of New York & New Jersey, RB, JFK
International Air Terminal, 6.00%, 12/01/42

 

 

170

 

 

171,982

 

Port Authority of New York & New Jersey, Refunding RB,
Consolidated, 152nd Series, AMT, 5.75%, 11/01/30

 

 

250

 

 

268,480

 

South Jersey Transportation Authority, RB, Series A
(NPFGC), 4.50%, 11/01/35

 

 

490

 

 

455,107

 

 

 

 

 

 

 

3,289,712

 

Total Municipal Bonds in New Jersey

 

 

 

 

 

17,697,060

 

 

Puerto Rico — 12.7%

 

 

 

 

 

 

 

County/City/Special District/School District — 3.8%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 6.00%, 8/01/42

 

 

250

 

 

261,295

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
First Sub-Series C, 6.00%, 8/01/39

 

 

205

 

 

215,170

 

 

 

 

 

 

 

476,465

 

State — 6.1%

 

 

 

 

 

 

 

Puerto Rico Commonwealth Infrastructure Financing
Authority, RB, CAB, Series A (AMBAC), 4.37%,
7/01/37 (c)

 

 

795

 

 

124,990

 

Puerto Rico Highway & Transportation Authority,
Refunding RB, Series CC (AGM), 5.50%, 7/01/30

 

 

250

 

 

267,713

 

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

 

 

365

 

 

374,165

 

 

 

 

 

 

 

766,868

 

Utilities — 2.8%

 

 

 

 

 

 

 

Puerto Rico Electric Power Authority, RB, Series WW,
5.50%, 7/01/38

 

 

350

 

 

350,780

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

1,594,113

 

Total Municipal Bonds — 154.0%

 

 

 

 

 

19,291,173

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (g)

 

Par
(000)

 

Value

 

New Jersey — 2.0%

 

 

 

 

 

 

 

Transportation — 2.0%

 

 

 

 

 

 

 

Port Authority of New York & New Jersey, Refunding RB,
Consolidated, 152nd Series, AMT, 5.25%, 11/01/35

 

$

240

 

$

244,957

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 2.0%

 

 

 

 

 

244,957

 

Total Long-Term Investments
(Cost — $19,798,402) — 156.0%

 

 

 

 

 

19,536,130

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

BIF New Jersey Municipal Money Fund 0.00% (h)(i)

 

 

209,983

 

 

209,983

 

Total Short-Term Securities
(Cost — $209,983) — 1.7%

 

 

 

 

 

209,983

 

Total Investments (Cost — $20,008,385*) — 157.7%

 

 

 

 

 

19,746,113

 

Liabilities in Excess of Other Assets — (1.3)%

 

 

 

 

 

(161,040

)

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (1.3)%

 

 

 

 

 

(160,038

)

AMPS, at Redemption Value — (55.1)%

 

 

 

 

 

(6,900,115

)

Net Assets Applicable to Common Shares — 100.0%

 

 

 

 

$

12,524,920

 


 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

19,839,610

 

Gross unrealized appreciation

 

$

587,636

 

Gross unrealized depreciation

 

 

(841,050

)

Net unrealized depreciation

 

$

(253,414

)


 

 

(a)

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

 

 

(b)

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 reflects the current yield as of report date.

 

 

(c)

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

 

 

(d)

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

 

 

(e)

Non-income producing security.

 

 

(f)

Security is collateralized by municipal or US Treasury obligations.

 

 

(g)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(h)

Investments in companies considered to be an affiliate of the Trust during the year, 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,
2010

 

Net
Activity

 

Shares Held
at July 31,
2011

 

Income

 

BIF New Jersey Municipal
Money Fund

 

 

413,597

 

 

(203,614

)

 

209,983

 

$

208

 


 

 

(i)

Represents the current yield as of report date.

 

 

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

27




 

 

 

 

Schedule of Investments (concluded)

BlackRock New Jersey Investment Quality Municipal Trust Inc. (RNJ)


 

 

Financial futures contracts sold as of July 31,2011 were as follows:


 

 

 

 

 

 

Contracts

Issue

Exchange

Expiration

Notional
Value

Unrealized
Depreciation

 

10-Year US

Chicago

September

 

 

5

Treasury Note

Board of Trade

2011

$     613,037

$     (15,400)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — 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)

 

 

 

 

The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

The following tables summarize the inputs used as of July 31, 2011 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

 

 

 

$

19,536,130

 

 

 

$

19,536,130

 

Short-Term
Securities

 

$

209,983

 

 

 

 

 

 

209,983

 

Total

 

$

209,983

 

$

19,536,130

 

 

 

$

19,746,113

 


 

 

 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(15,400

)

 

 

 

 

$

(15,400

)


 

 

 

 

2

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


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

28

ANNUAL REPORT

JULY 31, 2011



 

 

 

 

Schedule of Investments July 31, 2011

BlackRock New Jersey Municipal Income Trust (BNJ)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey — 124.1%

 

 

 

 

 

 

 

Corporate — 10.8%

 

 

 

 

 

 

 

New Jersey EDA, RB, AMT (a):

 

 

 

 

 

 

 

Continental Airlines, Inc. Project, 7.00%, 11/15/30

 

$

3,450

 

$

3,451,760

 

Continental Airlines, Inc. Project, 7.20%, 11/15/30

 

 

2,000

 

 

2,002,160

 

Disposal Waste Management of New Jersey,
Series A, 5.30%, 6/01/15

 

 

2,000

 

 

2,158,180

 

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

 

 

1,500

 

 

1,515,675

 

Salem County Utilities Authority, Refunding RB, Atlantic
City Electric, Series A, 4.88%, 6/01/29

 

 

2,400

 

 

2,437,848

 

 

 

 

 

 

 

11,565,623

 

County/City/Special District/School District — 14.9%

 

 

 

 

 

 

 

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

 

 

1,085

 

 

1,143,503

 

City of Perth Amboy New Jersey, GO, CAB (AGM) (b):

 

 

 

 

 

 

 

4.50%, 7/01/34

 

 

1,075

 

 

1,033,118

 

4.50%, 7/01/35

 

 

175

 

 

167,563

 

Essex County Improvement Authority, RB, Newark Project,
Series A (AGM):

 

 

 

 

 

 

 

5.00%, 11/01/20

 

 

735

 

 

762,518

 

6.00%, 11/01/30

 

 

1,090

 

 

1,159,902

 

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

 

 

 

 

 

 

 

5.50%, 10/01/28

 

 

1,440

 

 

1,631,275

 

5.50%, 10/01/29

 

 

2,630

 

 

2,960,933

 

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

 

 

 

 

 

 

 

5.25%, 1/01/39

 

 

2,000

 

 

2,075,800

 

5.38%, 1/01/44

 

 

2,400

 

 

2,505,000

 

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

 

 

1,790

 

 

161,100

 

Newark Housing Authority, Refunding RB, Newark
Redevelopment Project (NPFGC), 4.38%, 1/01/37

 

 

2,600

 

 

2,397,746

 

 

 

 

 

 

 

15,998,458

 

Education — 16.9%

 

 

 

 

 

 

 

New Jersey EDA, RB, School Facilities Construction,
Series CC-2, 5.00%, 12/15/31

 

 

1,525

 

 

1,553,380

 

New Jersey EDA, Refunding RB, School Facilities,
Series GG, 5.25%, 9/01/27

 

 

1,800

 

 

1,884,132

 

New Jersey Educational Facilities Authority, RB:

 

 

 

 

 

 

 

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

 

 

580

 

 

592,110

 

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

 

 

2,060

 

 

2,157,026

 

New Jersey Educational Facilities Authority,
Refunding RB:

 

 

 

 

 

 

 

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

 

 

3,230

 

 

3,271,344

 

Fairleigh Dickinson University, Series C, 6.00%,
7/01/20

 

 

1,000

 

 

1,047,020

 

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

 

 

250

 

 

232,078

 

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

 

 

660

 

 

672,342

 

University of Medicine & Dentistry, Series B,
7.50%, 12/01/32

 

 

1,450

 

 

1,659,308

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey (continued)

 

 

 

 

 

 

 

Education (concluded)

 

 

 

 

 

 

 

New Jersey Higher Education Assistance Authority,
Refunding RB, Series 1A:

 

 

 

 

 

 

 

5.00%, 12/01/25

 

$

535

 

$

540,783

 

5.00%, 12/01/26

 

 

350

 

 

353,304

 

5.25%, 12/01/32

 

 

500

 

 

506,025

 

New Jersey Higher Education Student Assistance
Authority, RB, Series 1, AMT, 5.75%, 12/01/29

 

 

2,055

 

 

2,090,058

 

Rutgers-State University of New Jersey, Refunding RB,
Series F, 5.00%, 5/01/39

 

 

1,500

 

 

1,545,570

 

 

 

 

 

 

 

18,104,480

 

Health — 22.4%

 

 

 

 

 

 

 

Burlington County Bridge Commission, Refunding RB,
The Evergreens Project, 5.63%, 1/01/38

 

 

1,000

 

 

839,590

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

First Mortgage, Lions Gate Project, Series A,
5.75%, 1/01/25

 

 

500

 

 

458,345

 

First Mortgage, Lions Gate Project, Series A,
5.88%, 1/01/37

 

 

855

 

 

732,461

 

Masonic Charity Foundation Project, 5.50%,
6/01/31

 

 

875

 

 

879,935

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

First Mortgage, Winchester, Series A, 5.75%,
11/01/24

 

 

4,050

 

 

4,022,541

 

Seabrook Village Inc. Facility, 5.25%, 11/15/26

 

 

1,790

 

 

1,578,153

 

New Jersey Health Care Facilities Financing
Authority, RB:

 

 

 

 

 

 

 

AHS Hospital Corp., 6.00%, 7/01/37

 

 

900

 

 

950,931

 

AHS Hospital Corp., 6.00%, 7/01/41

 

 

1,045

 

 

1,098,358

 

Hospital Asset Transformation Program, Series A,
5.25%, 10/01/38

 

 

2,350

 

 

2,372,184

 

Kennedy Health System, 5.63%, 7/01/31

 

 

2,030

 

 

2,029,858

 

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

 

 

750

 

 

746,670

 

Virtua Health (AGC), 5.50%, 7/01/38

 

 

1,250

 

 

1,287,950

 

New Jersey Health Care Facilities Financing Authority,
Refunding RB:

 

 

 

 

 

 

 

Atlantic City Medical System, 5.75%, 7/01/25

 

 

1,255

 

 

1,269,809

 

CAB, St. Barnabas Health, Series B, 5.89%,
7/01/30 (f)

 

 

2,500

 

 

710,550

 

CAB, St. Barnabas Health, Series B, 5.68%,
7/01/36 (f)

 

 

7,700

 

 

1,289,596

 

CAB, St. Barnabas Health, Series B, 5.74%,
7/01/37 (f)

 

 

7,250

 

 

1,124,548

 

Robert Wood Johnson, 5.00%, 7/01/31

 

 

500

 

 

505,460

 

South Jersey Hospital, 5.00%, 7/01/46

 

 

1,650

 

 

1,541,579

 

St. Barnabas Health Care System, Series A, 5.00%,
7/01/29

 

 

750

 

 

636,105

 

 

 

 

 

 

 

24,074,623

 

Housing — 16.0%

 

 

 

 

 

 

 

Middlesex County Improvement Authority, RB, AMT
(Fannie Mae):

 

 

 

 

 

 

 

Administration Building Residential Project,
5.35%, 7/01/34

 

 

1,400

 

 

1,400,042

 

New Brunswick Apartments Rental Housing,
5.30%, 8/01/35

 

 

4,360

 

 

4,368,023

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

29




 

 

 

 

Schedule of Investments (continued)

BlackRock New Jersey Municipal Income Trust (BNJ)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey (continued)

 

 

 

 

 

 

 

Housing (concluded)

 

 

 

 

 

 

 

New Jersey State Housing & Mortgage Finance
Agency, RB:

 

 

 

 

 

 

 

S/F Housing, Series CC, 5.00%, 10/01/34

 

$

1,775

 

$

1,783,857

 

S/F Housing, Series X, AMT, 4.85%, 4/01/16

 

 

1,750

 

 

1,795,990

 

Series A, 4.75%, 11/01/29

 

 

1,185

 

 

1,180,189

 

Series AA, 6.38%, 10/01/28

 

 

1,395

 

 

1,497,853

 

Series AA, 6.50%, 10/01/38

 

 

1,720

 

 

1,862,450

 

New Jersey State Housing & Mortgage Finance Agency,
Refunding RB, S/F Housing, Series T, AMT,
4.70%, 10/01/37

 

 

665

 

 

621,296

 

Newark Housing Authority, RB, South Ward Police
Facility (AGC):

 

 

 

 

 

 

 

5.75%, 12/01/30

 

 

580

 

 

619,921

 

6.75%, 12/01/38

 

 

1,850

 

 

2,093,997

 

 

 

 

 

 

 

17,223,618

 

State — 20.4%

 

 

 

 

 

 

 

Garden State Preservation Trust, RB, CAB, Series B
(AGM), 5.22%, 11/01/26 (f)

 

 

6,000

 

 

2,901,300

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

Kapkowski Road Landfill Project, Series 1998B,
AMT, 6.50%, 4/01/31

 

 

5,000

 

 

4,892,050

 

Motor Vehicle Surcharge, Series A (NPFGC),
5.25%, 7/01/24

 

 

1,000

 

 

1,073,870

 

Motor Vehicle Surcharge, Series A (NPFGC),
5.25%, 7/01/25

 

 

1,365

 

 

1,452,524

 

School Facilities Construction, Series Z (AGC),
5.50%, 12/15/34

 

 

3,000

 

 

3,134,700

 

New Jersey EDA, Refunding RB:

 

 

 

 

 

 

 

New Jersey American Water Co., Inc. Project,
Series B, AMT, 5.60%, 11/01/34

 

 

1,275

 

 

1,294,265

 

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

 

 

2,000

 

 

2,123,140

 

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

 

 

2,500

 

 

2,562,825

 

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

 

 

 

 

 

 

 

CAB, Series C (AGM), 4.85%, 12/15/32 (f)

 

 

4,000

 

 

1,076,760

 

Series A (AGC), 5.63%, 12/15/28

 

 

670

 

 

711,225

 

State of New Jersey, COP, Equipment Lease Purchase,
Series A, 5.25%, 6/15/28

 

 

600

 

 

616,314

 

 

 

 

 

 

 

21,838,973

 

Tobacco — 1.1%

 

 

 

 

 

 

 

Tobacco Settlement Financing Corporation of
New Jersey, Asset-Backed Revenue Refunding Bonds,
Series 1A, 5.00%, 6/01/29

 

 

1,470

 

 

1,156,684

 

Transportation — 21.1%

 

 

 

 

 

 

 

Delaware River Port Authority of Pennsylvania and
New Jersey, RB:

 

 

 

 

 

 

 

Port District Project, Series B (AGM), 5.70%,
1/01/22

 

 

1,000

 

 

1,001,650

 

Series D, 5.00%, 1/01/40

 

 

800

 

 

803,240

 

New Jersey State Turnpike Authority, RB, Series E,
5.25%, 1/01/40

 

 

3,205

 

 

3,273,972

 

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

 

 

 

 

 

 

 

6.00%, 12/15/38

 

 

945

 

 

1,022,622

 

Series A, 6.00%, 6/15/35

 

 

3,845

 

 

4,265,028

 

Series A, 5.88%, 12/15/38

 

 

1,770

 

 

1,899,440

 

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

 

 

1,000

 

 

1,044,260

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey (concluded)

 

 

 

 

 

 

 

Transportation (concluded)

 

 

 

 

 

 

 

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

 

$

5,966,940

 

6.00%, 12/01/42

 

 

1,430

 

 

1,446,674

 

Port Authority of New York & New Jersey, Refunding RB,
Consolidated, 152nd Series, AMT, 5.75%, 11/01/30

 

 

1,750

 

 

1,879,360

 

 

 

 

 

 

 

22,603,186

 

Utilities — 0.5%

 

 

 

 

 

 

 

Rahway Valley Sewerage Authority, RB, CAB, Series A
(NPFGC), 4.42%, 9/01/33 (f)

 

 

2,000

 

 

514,820

 

Total Municipal Bonds in New Jersey

 

 

 

 

 

133,080,465

 

 

 

 

 

 

 

 

 

Puerto Rico — 22.7%

 

 

 

 

 

 

 

County/City/Special District/School District — 3.9%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, First
Sub-Series A, 6.00%, 8/01/42

 

 

2,250

 

 

2,351,655

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
First Sub, Series C, 6.00%, 8/01/39

 

 

1,740

 

 

1,826,321

 

 

 

 

 

 

 

4,177,976

 

Housing — 4.2%

 

 

 

 

 

 

 

Puerto Rico Housing Finance Authority, RB,
Mortgage-Backed Securities, Series B, AMT
(Ginnie Mae), 5.30%, 12/01/28

 

 

2,260

 

 

2,260,429

 

Puerto Rico Housing Finance Authority, Refunding RB,
Mortgage-Backed Securities, Series A (Ginnie Mae),
5.20%, 12/01/33

 

 

2,260

 

 

2,260,814

 

 

 

 

 

 

 

4,521,243

 

State — 10.4%

 

 

 

 

 

 

 

Puerto Rico Commonwealth Infrastructure Financing
Authority, RB, CAB, Series A (AMBAC), 4.37%,
7/01/37 (f)

 

 

6,000

 

 

943,320

 

Puerto Rico Highway & Transportation Authority,
Refunding RB, Series CC (AGM), 5.50%, 7/01/30

 

 

1,680

 

 

1,799,028

 

Puerto Rico Public Buildings Authority, RB, CAB,
Series D (AMBAC) (b):

 

 

 

 

 

 

 

5.45%, 7/01/12

 

 

1,335

 

 

1,150,036

 

5.45%, 7/01/17

 

 

3,665

 

 

4,080,611

 

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

 

 

3,075

 

 

3,152,213

 

 

 

 

 

 

 

11,125,208

 

Transportation — 2.3%

 

 

 

 

 

 

 

Puerto Rico Highway & Transportation Authority,
Refunding RB:

 

 

 

 

 

 

 

Series AA-1 (AGM), 4.95%, 7/01/26

 

 

500

 

 

505,735

 

Series CC (AGC), 5.50%, 7/01/31

 

 

935

 

 

991,063

 

Series M, 5.00%, 7/01/32

 

1,000

 

 

957,430

 

 

 

 

 

 

 

2,454,228

 

Utilities — 1.9%

 

 

 

 

 

 

 

Puerto Rico Electric Power Authority, RB, Series WW,
5.50%, 7/01/38

 

 

2,000

 

 

2,004,460

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

24,283,115

 

Total Municipal Bonds — 146.8%

 

 

 

 

 

157,363,580

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

30

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

 

Schedule of Investments (concluded)

BlackRock New Jersey Municipal Income Trust (BNJ)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (g)

 

Par
(000)

 

Value

 

New Jersey — 6.8%

 

 

 

 

 

 

 

State — 3.0%

 

 

 

 

 

 

 

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

 

$

3,000

 

$

3,230,910

 

Transportation — 3.8%

 

 

 

 

 

 

 

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

 

 

2,000

 

 

2,037,040

 

Port Authority of New York & New Jersey, Refunding RB,
Consolidated, 152nd Series, AMT, 5.25%, 11/01/35

 

 

2,039

 

 

2,082,136

 

 

 

 

 

 

 

4,119,176

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 6.8%

 

 

 

 

 

7,350,086

 

Total Long-Term Investments
(Cost — $165,839,721) — 153.6%

 

 

 

 

 

164,713,666

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

BIF New Jersey Municipal Money Fund, 0.00% (h)(i)

 

 

5,114,806

 

 

5,114,806

 

Total Short-Term Securities
(Cost — $5,114,806) — 4.8%

 

 

 

 

 

5,114,806

 

Total Investments (Cost — $170,954,527*) — 158.4%

 

 

 

 

 

169,828,472

 

Other Assets Less Liabilities — 0.3%

 

 

 

 

 

358,773

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (3.6)%

 

 

 

 

 

(3,860,674

)

AMPS, at Redemption Value — (55.1)%

 

 

 

 

 

(59,100,593

)

Net Assets Applicable to Common Shares– 100.0%

 

 

 

 

$

107,225,978

 


 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

166,951,702

 

Gross unrealized appreciation

 

$

5,250,111

 

Gross unrealized depreciation

 

 

(6,232,637

)

Net unrealized depreciation

 

$

(982,526

)


 

 

(a)

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

 

 

(b)

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.

 

 

(c)

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

 

 

(d)

Non-income producing security.

 

 

(e)

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.

 

 

(f)

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

 

 

(g)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(h)

Investments in companies considered to be an affiliate of the Trust during the year, 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,
2010

 

Net
Activity

 

Shares Held
at July 31,
2011

 

Income

 

BIF New Jersey Municipal
Money Fund

 

 

5,032,609

 

 

82,197

 

 

5,114,806

 

$

1,412

 


 

 

(i)

Represents the current yield as of report date.

 

 

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

 

Financial futures contracts sold as of July 31,2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

28

 

 

10-Year US
Treasury Note

 

 

Chicago
Board of Trade

 

 

September
2011

 

$

3,428,416

 

$

(90,834

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — 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)

 

 

 

 

The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

The following tables summarize the inputs used as of July 31, 2011 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

 

 

 

$

164,713,666

 

 

 

$

164,713,666

 

Short-Term
Securities

 

$

5,114,806

 

 

 

 

 

 

5,114,806

 

Total

 

$

5,114,806

 

$

164,713,666

 

 

 

$

169,828,472

 


 

 

 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(90,834

)

 

 

 

 

$

(90,834

)


 

 

 

 

2

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


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

31




 

 

 

 

 

Schedule of Investments July 31, 2011

BlackRock New York Investment Quality Municipal Trust Inc. (RNY)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York — 89.4%

 

 

 

 

 

 

 

Corporate — 11.0%

 

 

 

 

 

 

 

Chautauqua County Industrial Development Agency, RB,
NRG Dunkirk Power Project, 5.88%, 4/01/42

 

$

130

 

$

127,738

 

Essex County Industrial Development Agency New York,
RB, International Paper Co., Series A, AMT,
6.63%, 9/01/32

 

 

100

 

 

104,881

 

Jefferson County Industrial Development Agency New
York, Refunding RB, Solid Waste, Series A, AMT,
5.20%, 12/01/20

 

 

150

 

 

147,920

 

New York City Industrial Development Agency, RB,
American Airlines Inc., JFK International Airport,
AMT (a):

 

 

 

 

 

 

 

7.63%, 8/01/25

 

 

800

 

 

823,400

 

7.75%, 8/01/31

 

 

300

 

 

309,507

 

New York Liberty Development Corp., RB, Goldman
Sachs Headquarters:

 

 

 

 

 

 

 

5.25%, 10/01/35

 

 

550

 

 

548,762

 

5.50%, 10/01/37

 

 

200

 

 

205,038

 

Port Authority of New York & New Jersey, RB, Continental
Airlines Inc. and Eastern Air Lines Inc. Project,

 

 

 

 

 

 

 

LaGuardia, AMT, 9.13%, 12/01/15

 

 

790

 

 

798,690

 

 

 

 

 

 

 

3,065,936

 

County/City/Special District/School District — 24.8%

 

 

 

 

 

 

 

Amherst Development Corp., RB, University at Buffalo
Foundation Faculty-Student Housing Corp.,
Series A (AGM):

 

 

 

 

 

 

 

4.38%, 10/01/30

 

 

250

 

 

240,405

 

4.63%, 10/01/40

 

 

275

 

 

250,990

 

Hudson Yards Infrastructure Corp., RB, Series A:

 

 

 

 

 

 

 

5.00%, 2/15/47

 

 

1,200

 

 

1,097,520

 

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

 

 

60

 

 

50,651

 

New York City Industrial Development Agency, RB, PILOT:

 

 

 

 

 

 

 

CAB, Yankee Stadium (AGC), 5.86%, 3/01/35 (b)

 

 

400

 

 

101,712

 

CAB, Yankee Stadium (AGC), 6.20%, 3/01/45 (b)

 

 

345

 

 

45,250

 

Queens Baseball Stadium (AGC), 6.38%, 1/01/39

 

 

100

 

 

105,830

 

Queens Baseball Stadium (AMBAC),
5.00%, 1/01/39

 

 

650

 

 

549,997

 

Yankee Stadium (FGIC), 5.00%, 3/01/46

 

 

100

 

 

89,748

 

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

 

 

150

 

 

155,808

 

New York Convention Center Development Corp., RB,
Hotel Unit Fee Secured (AMBAC), 5.00%, 11/15/44

 

 

685

 

 

674,026

 

New York Liberty Development Corp., Refunding RB,
Second Priority, Bank of America Tower at One Bryant
Park Project:

 

 

 

 

 

 

 

5.63%, 7/15/47

 

 

1,100

 

 

1,112,881

 

6.38%, 7/15/49

 

 

100

 

 

102,857

 

New York State Dormitory Authority, RB, State University
Dormitory Facilities, Series A, 5.00%, 7/01/39

 

 

100

 

 

101,763

 

Saint Lawrence County Industrial Development Agency, RB,
Clarkson University Project, 6.00%, 9/01/34

 

 

150

 

 

159,563

 

Sales Tax Asset Receivable Corp., RB, Series A (AMBAC),
5.00%, 10/15/32

 

 

2,000

 

 

2,052,920

 

 

 

 

 

 

 

6,891,921

 

Education — 12.9%

 

 

 

 

 

 

 

Albany Industrial Development Agency, RB, New
Covenant Charter School Project, Series A (c)(d):

 

 

 

 

 

 

 

7.00%, 5/01/25

 

 

95

 

 

23,760

 

7.00%, 5/01/35

 

 

60

 

 

15,007

 

City of Troy New York, Refunding RB, Rensselaer
Polytechnic, Series A, 5.13%, 9/01/40

 

 

100

 

 

97,995

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Education (concluded)

 

 

 

 

 

 

 

Nassau County Industrial Development Agency,
Refunding RB, New York Institute of Technology
Project, Series A, 4.75%, 3/01/26

 

$

100

 

$

98,753

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

Convent of the Sacred Heart (AGM),
5.75%, 11/01/40

 

 

150

 

 

157,761

 

Cornell University, Series A, 5.00%, 7/01/40

 

 

100

 

 

103,340

 

Fordham University, Series A, 5.50%, 7/01/36

 

 

50

 

 

52,174

 

New School University (AGM), 5.50%, 7/01/43

 

 

200

 

 

207,264

 

New York University, Series 1 (AMBAC),
5.50%, 7/01/40

 

 

250

 

 

278,195

 

Rochester Institute of Technology, Series A,
6.00%, 7/01/33

 

 

175

 

 

189,700

 

University of Rochester, Series A, 5.13%, 7/01/39

 

 

200

 

 

203,970

 

University of Rochester, Series A, 5.75%,
7/01/39 (e)

 

 

175

 

 

154,007

 

New York State Dormitory Authority, Refunding RB:

 

 

 

 

 

 

 

Brooklyn Law School, 5.75%, 7/01/33

 

 

75

 

 

78,940

 

Skidmore College, Series A, 5.25%, 7/01/30

 

 

250

 

 

265,275

 

Teachers College, 5.50%, 3/01/39

 

 

200

 

 

207,392

 

Schenectady County Industrial Development Agency,
Refunding RB, Union College Project,
5.00%, 7/01/31

 

 

400

 

 

401,020

 

Suffolk County Industrial Development Agency,
Refunding RB, New York Institute of Technology
Project, 5.00%, 3/01/26

 

 

100

 

 

100,910

 

Tompkins County Development Corp., RB, Ithaca
College Project (AGM), 5.50%, 7/01/33

 

 

50

 

 

52,859

 

Trust for Cultural Resources, RB, Series A:

 

 

 

 

 

 

 

Carnegie Hall, 4.75%, 12/01/39

 

 

375

 

 

365,287

 

Carnegie Hall, 5.00%, 12/01/39

 

 

150

 

 

150,802

 

Juilliard School, 5.00%, 1/01/39

 

 

250

 

 

256,852

 

Yonkers Industrial Development Agency New York, RB,
Sarah Lawrence College Project, Series A,
6.00%, 6/01/41

 

 

125

 

 

129,893

 

 

 

 

 

 

 

3,591,156

 

Health — 13.8%

 

 

 

 

 

 

 

Dutchess County Local Development Corp., Refunding
RB, Health Quest System Inc., Series A,
5.75%, 7/01/30

 

 

150

 

 

155,715

 

Genesee County Industrial Development Agency New
York, Refunding RB, United Memorial Medical Center
Project, 5.00%, 12/01/27

 

 

100

 

 

81,459

 

Monroe County Industrial Development Corp., RB, Unity
Hospital of Rochester Project (FHA), 5.50%, 8/15/40

 

 

100

 

 

105,140

 

New York State Dormitory Authority, MRB, Hospital,
Lutheran Medical (NPFGC), 5.00%, 8/01/31

 

 

250

 

 

251,005

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

New York State Association for Retarded Children,
Inc., Series A, 6.00%, 7/01/32

 

 

75

 

 

79,853

 

New York University Hospital Center, Series A,
5.75%, 7/01/31

 

 

100

 

 

103,233

 

New York University Hospital Center, Series A,
5.00%, 7/01/36

 

 

500

 

 

482,715

 

New York University Hospital Center, Series B,
5.63%, 7/01/37

 

 

150

 

 

152,595

 

North Shore-Long Island Jewish Health System,
Series A, 5.50%, 5/01/37

 

 

175

 

 

176,412

 

North Shore-Long Island Jewish Health System,
Series A, 5.75%, 5/01/37

 

 

250

 

 

255,938

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

32

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

 

Schedule of Investments (continued)

BlackRock New York Investment Quality Municipal Trust Inc. (RNY)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (concluded)

 

 

 

 

 

 

 

Health (concluded)

 

 

 

 

 

 

 

New York State Dormitory Authority, Refunding RB:

 

 

 

 

 

 

 

Kateri Residence, 5.00%, 7/01/22

 

$

1,000

 

$

1,028,750

 

Mount Sinai Hospital, Series A, 5.00%, 7/01/26

 

 

140

 

 

143,437

 

North Shore-Long Island Jewish Health System,
Series E, 5.50%, 5/01/33

 

 

150

 

 

152,064

 

St. Luke’s Roosevelt Hospital (FHA),
4.90%, 8/15/31

 

 

100

 

 

99,492

 

Saratoga County Industrial Development Agency New
York, RB, Saratoga Hospital Project, Series B,
5.25%, 12/01/32

 

 

100

 

 

97,734

 

Suffolk County Industrial Development Agency New York,
Refunding RB, Jeffersons Ferry Project,
5.00%, 11/01/28

 

 

115

 

 

105,277

 

Westchester County Healthcare Corp. New York,
Refunding RB, Senior Lien, Series B,
6.00%, 11/01/30

 

 

100

 

 

103,067

 

Westchester County Industrial Development Agency
New York, MRB, Kendal on Hudson Project, Series A,
6.38%, 1/01/24

 

 

250

 

 

248,145

 

 

 

 

 

 

 

3,822,031

 

Housing — 6.7%

 

 

 

 

 

 

 

New York City Housing Development Corp., RB:

 

 

 

 

 

 

 

Series A (Ginnie Mae), 5.25%, 5/01/30

 

 

1,000

 

 

1,012,700

 

Series B1, AMT, 5.15%, 11/01/37

 

 

250

 

 

248,200

 

Series J-2-A, AMT, 4.75%, 11/01/27

 

 

500

 

 

487,960

 

New York Mortgage Agency, Refunding RB,
Series 143, AMT, 4.90%, 10/01/37

 

 

100

 

 

95,180

 

 

 

 

 

 

 

1,844,040

 

State — 5.9%

 

 

 

 

 

 

 

New York State Dormitory Authority, ERB:

 

 

 

 

 

 

 

Series B, 5.75%, 3/15/36

 

 

150

 

 

165,135

 

Series C, 5.00%, 12/15/31

 

 

150

 

 

156,377

 

New York State Dormitory Authority, LRB, Municipal
Health Facilities, Sub-Series 2-4, 4.75%, 1/15/30

 

 

200

 

 

201,434

 

New York State Dormitory Authority, Refunding RB,
State University Educational Facilities, Series A
(AMBAC), 5.25%, 5/15/15

 

 

1,005

 

 

1,123,479

 

 

 

 

 

 

 

1,646,425

 

Transportation — 3.1%

 

 

 

 

 

 

 

Hudson Yards Infrastructure Corp., RB, Series A (AGM),
5.00%, 2/15/47

 

 

160

 

 

153,014

 

Metropolitan Transportation Authority, RB, Series 2008C,
6.50%, 11/15/28

 

 

250

 

 

289,185

 

Port Authority of New York & New Jersey, RB:

 

 

 

 

 

 

 

Consolidated, 116th Series, 4.13%, 9/15/32

 

 

125

 

 

120,631

 

JFK International Air Terminal, 6.00%, 12/01/42

 

 

150

 

 

151,749

 

Triborough Bridge & Tunnel Authority, RB, General
Purpose, Series A (NPFGC), 5.00%, 1/01/32

 

 

155

 

 

155,504

 

 

 

 

 

 

 

870,083

 

Utilities — 11.2%

 

 

 

 

 

 

 

Albany Municipal Water Finance Authority, RB, Series B
(NPFGC), 5.00%, 12/01/33

 

 

1,000

 

 

1,000,650

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Second General Resolution, Series HH,
5.00%, 6/15/32

 

 

900

 

 

948,744

 

Series B, 5.00%, 6/15/36

 

 

150

 

 

152,981

 

Series C, 5.13%, 6/15/33

 

 

1,000

 

 

1,008,270

 

 

 

 

 

 

 

3,110,645

 

Total Municipal Bonds in New York

 

 

 

 

 

24,842,237

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Guam — 1.2%

 

 

 

 

 

 

 

State — 0.4%

 

 

 

 

 

 

 

Territory of Guam, GO, Series A, 7.00%, 11/15/39

 

$

100

 

$

103,167

 

Tobacco — 0.3%

 

 

 

 

 

 

 

Guam Economic Development & Commerce Authority,
Refunding RB, Tobacco Settlement Asset Backed,
5.63%, 6/01/47

 

 

100

 

 

84,867

 

Utilities — 0.5%

 

 

 

 

 

 

 

Guam Government Waterworks Authority, Refunding RB,
Water, 5.88%, 7/01/35

 

 

150

 

 

145,956

 

Total Municipal Bonds in Guam

 

 

 

 

 

333,990

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Puerto Rico — 6.4%

 

 

 

 

 

 

 

County/City/Special District/School District — 3.2%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB, CAB, Series A,
4.99%, 8/01/32 (b)

 

 

750

 

 

195,667

 

Puerto Rico Sales Tax Financing Corp., Refunding RB, CAB,
Series A (NPFGC), 5.76%, 8/01/41 (b)

 

 

550

 

 

78,491

 

 

 

 

 

 

 

274,158

 

Housing — 0.2%

 

 

 

 

 

 

 

Puerto Rico Housing Finance Authority, Refunding RB,
Subordinate, Capital Fund Modernization,
5.13%, 12/01/27

 

 

50

 

 

50,930

 

State — 3.3%

 

 

 

 

 

 

 

Commonwealth of Puerto Rico, GO, Refunding,
Sub-Series C-7 (NPFGC), 6.00%, 7/01/28

 

 

250

 

 

262,825

 

Puerto Rico Commonwealth Infrastructure Financing
Authority, RB, CAB, Series A (AMBAC), 6.40%,
7/01/44 (b)

 

 

395

 

 

37,217

 

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

 

 

600

 

 

615,066

 

 

 

 

 

 

 

915,108

 

Tobacco — 1.5%

 

 

 

 

 

 

 

Children’s Trust Fund, Refunding RB, Asset-Backed,
5.63%, 5/15/43

 

 

500

 

 

427,855

 

Transportation — 0.4%

 

 

 

 

 

 

 

Puerto Rico Highway & Transportation Authority, Refunding
RB, Series AA-1 (AGM), 4.95%, 7/01/26

 

 

100

 

 

101,147

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

1,769,198

 

Total Municipal Bonds — 97.0%

 

 

 

 

 

26,945,425

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (f)

 

 

 

 

 

 

 

New York — 4.1%

 

 

 

 

 

 

 

Utilities — 4.1%

 

 

 

 

 

 

 

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

 

 

105

 

 

115,392

 

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

 

 

1,000

 

 

1,028,340

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 4.1%

 

 

 

 

 

1,143,732

 

Total Long-Term Investments
(Cost — $27,849,059) — 101.1%

 

 

 

 

 

28,089,157

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

33




 

 

 

 

 

Schedule of Investments (concluded)

BlackRock New York Investment Quality Municipal Trust Inc. (RNY)
(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

BIF New York Municipal Money Fund, 0.00% (g)(h)

 

 

88,605

 

$

88,605

 

Total Short-Term Securities
(Cost — $88,605) — 0.3%

 

 

 

 

 

88,605

 

Total Investments (Cost — $27,937,664*) — 101.4%

 

 

 

 

 

28,177,762

 

Other Assets Less Liabilities — 35.7%

 

 

 

 

 

194,678

 

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (2.1)%

 

 

 

 

 

(570,180

)

AMPS, at Redemption Value — (35.0)%

 

 

 

 

 

(9,725,205

)

Net Assets Applicable to Common Shares– 100.0%

 

 

 

 

$

18,077,055

 


 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

27,366,167

 

Gross unrealized appreciation

 

$

242,461

 

Gross unrealized depreciation

 

 

(840

)

Net unrealized appreciation

 

$

241,621

 


 

 

(a)

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

 

 

(b)

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

 

 

(c)

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

 

 

(d)

Non-income producing security.

 

 

(e)

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.

 

 

(f)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(g)

Investments in companies considered to be an affiliate of the Trust during the year, 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,
2010

 

Net
Activity

 

Shares Held
at July 31,
2011

 

Income

 

BIF New York Municipal
Money Fund

 

 

177,010

 

 

(88,405

)

 

88,605

 

 

 


 

 

(h)

Represents the current yield as of report date.

 

 

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

 

Financial futures contracts sold as of July 31,2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

     5

 

 

30-Year US
Treasury Bond

 

 

Chicago
Board of Trade

 

 

September
2011

 

$

622,842

 

$

(17,783

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows:

 

 

 

 

Level 1 — 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)

 

 

 

 

The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

The following tables summarize the inputs used as of July 31, 2011 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

 

 

 

$

28,089,157

 

 

 

$

28,089,157

 

Short-Term
Securities

 

$

88,605

 

 

 

 

 

 

88,605

 

Total

 

$

88,605

 

$

28,089,157

 

 

 

$

28,177,762

 


 

 

 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(17,783

)

 

 

 

 

$

(17,783

)


 

 

 

 

2

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


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

34

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

 

Schedule of Investments July 31, 2011

BlackRock New York Municipal Income Trust (BNY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York — 130.9%

 

 

 

 

 

 

 

Corporate — 16.9%

 

 

 

 

 

 

 

Chautauqua County Industrial Development Agency, RB,
NRG Dunkirk Power Project, 5.88%, 4/01/42

 

$

1,000

 

$

982,600

 

Essex County Industrial Development Agency New York,
RB, International Paper Co. Project, Series A, AMT,
6.63%, 9/01/32

 

 

550

 

 

576,846

 

New York City Industrial Development Agency, RB,
American Airlines Inc., JFK International Airport,
AMT (a):

 

 

 

 

 

 

 

7.63%, 8/01/25

 

 

3,200

 

 

3,293,600

 

7.75%, 8/01/31

 

 

4,000

 

 

4,126,760

 

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

 

 

6,850

 

 

6,834,587

 

Port Authority of New York & New Jersey, RB, Continental
Airlines Inc. and Eastern Air Lines Inc. Project,
LaGuardia, AMT, 9.13%, 12/01/15

 

 

7,250

 

 

7,329,750

 

Suffolk County Industrial Development Agency New York,
RB, KeySpan, Port Jefferson, AMT, 5.25%, 6/01/27

 

 

7,000

 

 

6,984,600

 

 

 

 

 

 

 

30,128,743

 

County/City/Special District/School District — 26.9%

 

 

 

 

 

 

 

Amherst Development Corp., RB, University at Buffalo
Foundation Faculty-Student Housing Corp., Series A
(AGM), 4.63%, 10/01/40

 

 

1,100

 

 

1,003,959

 

Buffalo & Erie County Industrial Land Development
Corp., RB, Buffalo State College Foundation Housing
Corp., 5.38%, 10/01/41

 

 

140

 

 

140,146

 

City of New York, GO, Series A-1, 5.00%, 8/01/35 (b)

 

 

1,000

 

 

1,035,030

 

City of New York New York, GO:

 

 

 

 

 

 

 

Series A-1, 4.75%, 8/15/25

 

 

750

 

 

792,945

 

Series C, 5.38%, 3/15/12 (c)

 

 

5,000

 

 

5,163,550

 

Series D, 5.38%, 6/01/12 (c)

 

 

15

 

 

15,651

 

Series D, 5.38%, 6/01/32

 

 

3,985

 

 

4,090,563

 

Sub-Series G-1, 6.25%, 12/15/31

 

 

500

 

 

569,865

 

Sub-Series I-1, 5.38%, 4/01/36

 

 

1,750

 

 

1,839,040

 

Hudson Yards Infrastructure Corp., RB, Series A:

 

 

 

 

 

 

 

5.00%, 2/15/47

 

 

7,425

 

 

6,790,905

 

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

 

 

970

 

 

818,855

 

Metropolitan Transportation Authority, RB, Transportation,
Series D, 5.00%, 11/15/34

 

 

800

 

 

799,944

 

New York City Industrial Development Agency, RB:

 

 

 

 

 

 

 

CAB, Yankee Stadium, PILOT, 6.20%, 3/01/45 (d)

 

 

1,500

 

 

196,740

 

CAB, Yankee Stadium, PILOT (AGC), 6.07%,
3/01/42 (d)

 

 

1,960

 

 

314,678

 

Marymount School of New York Project (ACA),
5.13%, 9/01/21

 

 

750

 

 

765,757

 

Marymount School of New York Project (ACA),
5.25%, 9/01/31

 

 

500

 

 

501,445

 

Queens Baseball Stadium, PILOT (AGC),
6.38%, 1/01/39

 

 

150

 

 

158,745

 

Queens Baseball Stadium, PILOT (AMBAC),
5.00%, 1/01/36

 

 

4,900

 

 

4,203,220

 

Queens Baseball Stadium, PILOT (AMBAC),
5.00%, 1/01/39

 

 

500

 

 

423,075

 

Royal Charter, New York Presbyterian (AGM),
5.25%, 12/15/32

 

 

1,550

 

 

1,570,057

 

New York City Transitional Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

650

 

 

675,168

 

Series S-2 (NPFGC), 4.25%, 1/15/34

 

 

1,700

 

 

1,582,037

 

New York Convention Center Development Corp., RB,
Hotel Unit Fee Secured (AMBAC):

 

 

 

 

 

 

 

5.00%, 11/15/35

 

 

250

 

 

249,632

 

5.00%, 11/15/44

 

 

9,660

 

 

9,505,247

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

New York Liberty Development Corp., Refunding RB,
Second Priority, Bank of America Tower at One
Bryant Park Project:

 

 

 

 

 

 

 

5.63%, 7/15/47

 

$

2,000

 

$

2,023,420

 

6.38%, 7/15/49

 

 

1,200

 

 

1,234,284

 

New York State Dormitory Authority, RB, State University
Dormitory Facilities, Series A, 5.00%, 7/01/39

 

 

750

 

 

763,222

 

New York State Dormitory Authority, Refunding RB,
School Districts Financing Program, Series A (AGM),
5.00%, 10/01/35

 

 

395

 

 

401,158

 

Saint Lawrence County Industrial Development Agency,
RB, Clarkson University Project, 5.38%, 9/01/41

 

 

275

 

 

274,090

 

 

 

 

 

 

 

47,902,428

 

Education — 26.2%

 

 

 

 

 

 

 

Albany Industrial Development Agency, RB, New
Covenant Charter School Project, Series A (e)(f):

 

 

 

 

 

 

 

7.00%, 5/01/25

 

 

910

 

 

227,600

 

7.00%, 5/01/35

 

 

590

 

 

147,565

 

City of Troy New York, Refunding RB, Rensselaer
Polytechnic, Series A, 5.13%, 9/01/40

 

 

875

 

 

857,456

 

Dutchess County Industrial Development Agency New
York, Refunding RB, Bard College Civic Facility,
Series A-2, 4.50%, 8/01/36

 

 

7,000

 

 

6,080,620

 

Madison County Industrial Development Agency
New York, RB:

 

 

 

 

 

 

 

Colgate University Project, Series B,
5.00%, 7/01/33

 

 

2,000

 

 

2,019,240

 

Commons II LLC, Student Housing, Series A (CIFG),
5.00%, 6/01/33

 

 

275

 

 

250,465

 

Nassau County Industrial Development Agency,
Refunding RB, New York Institute of Technology Project,
Series A, 4.75%, 3/01/26

 

 

1,165

 

 

1,150,472

 

New York City Trust for Cultural Resources, Refunding
RB, Museum of Modern Art, Series 1A,
5.00%, 4/01/31

 

 

1,000

 

 

1,052,840

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

Convent of the Sacred Heart (AGM),
5.25%, 11/01/24

 

 

155

 

 

164,212

 

Convent of the Sacred Heart (AGM),
5.63%, 11/01/32

 

 

750

 

 

800,700

 

Convent of the Sacred Heart (AGM),
5.75%, 11/01/40

 

 

210

 

 

220,865

 

Cornell University, Series A, 5.00%, 7/01/40

 

 

1,000

 

 

1,033,400

 

Mount Sinai School of Medicine,
5.13%, 7/01/39

 

 

2,000

 

 

2,001,840

 

New School University:

 

 

 

 

 

 

 

(AGM), 5.50%, 7/01/43

 

 

1,950

 

 

2,020,824

 

(NPFGC), 5.00%, 7/01/41

 

 

7,500

 

 

7,396,575

 

New York University (AMBAC):

 

 

 

 

 

 

 

Series 1, 5.50%, 7/01/40

 

 

2,190

 

 

2,436,988

 

Series 2, 5.00%, 7/01/41

 

 

4,000

 

 

3,981,360

 

Series A, 5.00%, 7/01/37

 

 

1,000

 

 

1,015,310

 

Rochester Institute of Technology, Series A,
6.00%, 7/01/33

 

 

1,000

 

 

1,084,000

 

University of Rochester:

 

 

 

 

 

 

 

Series A, 5.13%, 7/01/39

 

 

850

 

 

866,872

 

Series A, 5.75%, 7/01/39 (g)

 

 

650

 

 

572,026

 

Series B, 5.00%, 7/01/39

 

 

500

 

 

501,155

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

35




 

 

 

 

 

Schedule of Investments (continued)

BlackRock New York Municipal Income Trust (BNY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Education (concluded)

 

 

 

 

 

 

 

New York State Dormitory Authority, Refunding RB:

 

 

 

 

 

 

 

Brooklyn Law School, 5.75%, 7/01/33

 

$

475

 

$

499,952

 

Skidmore College, Series A, 5.00%, 7/01/27

 

 

190

 

 

202,065

 

Skidmore College, Series A, 5.00%, 7/01/28

 

 

75

 

 

79,264

 

Skidmore College, Series A, 5.25%, 7/01/29

 

 

85

 

 

90,896

 

Teachers College, 5.50%, 3/01/39

 

 

450

 

 

466,632

 

Yeshiva University, 5.00%, 9/01/34

 

 

275

 

 

280,115

 

Suffolk County Industrial Development Agency,
Refunding RB, New York Institute of Technology Project,
5.00%, 3/01/26

 

 

1,000

 

 

1,009,100

 

Tompkins County Development Corp., RB, Ithaca College
Project (AGM), 5.50%, 7/01/33

 

 

700

 

 

740,026

 

Trust for Cultural Resources, RB, Series A:

 

 

 

 

 

 

 

Carnegie Hall, 4.75%, 12/01/39

 

 

2,250

 

 

2,191,725

 

Juilliard School, 5.00%, 1/01/39

 

 

2,100

 

 

2,157,561

 

Westchester County Industrial Development Agency New
York, RB, Windward School Civic Facility (Radian),
5.25%, 10/01/31

 

 

2,500

 

 

2,391,925

 

Yonkers Industrial Development Agency New York, RB,
Sarah Lawrence College Project, Series A,
6.00%, 6/01/41

 

 

625

 

 

649,463

 

 

 

 

 

 

 

46,641,109

 

Health — 9.1%

 

 

 

 

 

 

 

Dutchess County Local Development Corp., Refunding
RB, Health Quest System Inc., Series A,
5.75%, 7/01/40

 

 

300

 

 

302,901

 

Genesee County Industrial Development Agency New
York, Refunding RB, United Memorial Medical Center
Project, 5.00%, 12/01/27

 

 

500

 

 

407,295

 

Monroe County Industrial Development Corp., RB, Unity
Hospital of Rochester Project (FHA), 5.50%, 8/15/40

 

 

1,050

 

 

1,103,970

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

Hudson Valley Hospital (BHAC), 5.00%, 8/15/36

 

 

750

 

 

760,522

 

New York State Association for Retarded Children,
Inc., Series B (AMBAC), 6.00%, 7/01/32

 

 

200

 

 

213,210

 

New York University Hospital Center, Series A,
5.00%, 7/01/36

 

 

2,890

 

 

2,790,093

 

New York University Hospital Center, Series A,
6.00%, 7/01/40

 

 

500

 

 

514,575

 

New York University Hospital Center, Series B,
5.63%, 7/01/37

 

 

530

 

 

539,169

 

North Shore-Long Island Jewish Health System,
5.50%, 5/01/13 (c)

 

 

2,000

 

 

2,180,580

 

North Shore-Long Island Jewish Health System,
Series A, 5.50%, 5/01/37

 

 

1,775

 

 

1,789,324

 

Nysarc Inc., Series A, 6.00%, 7/01/32

 

 

575

 

 

612,208

 

New York State Dormitory Authority, Refunding RB:

 

 

 

 

 

 

 

Mount Sinai Hospital, Series A, 5.00%, 7/01/26

 

 

1,385

 

 

1,419,002

 

North Shore-Long Island Jewish Health System,
Series E, 5.50%, 5/01/33

 

 

1,100

 

 

1,115,136

 

Suffolk County Industrial Development Agency New York,
Refunding RB, Jeffersons Ferry Project,
5.00%, 11/01/28

 

 

1,175

 

 

1,075,654

 

Westchester County Healthcare Corp. New York,
Refunding RB, Senior Lien, Series B, 6.00%, 11/01/30

 

 

375

 

 

386,501

 

Westchester County Industrial Development Agency New
York, MRB, Kendal on Hudson Project, Series A,
6.38%, 1/01/24

 

 

1,000

 

 

992,580

 

 

 

 

 

 

 

16,202,720

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Housing — 4.9%

 

 

 

 

 

 

 

New York Mortgage Agency, Refunding RB, AMT:

 

 

 

 

 

 

 

Homeowner Mortgage, Series 97, 5.50%, 4/01/31

 

$

1,905

 

$

1,905,248

 

Series 101, 5.40%, 4/01/32

 

 

4,465

 

 

4,465,714

 

New York State HFA, RB, Highland Avenue Senior
Apartments, Series A AMT (SONYMA),
5.00%, 2/15/39

 

 

1,500

 

 

1,354,920

 

Yonkers EDC, Refunding RB, Riverview II (Freddie Mac),
4.50%, 5/01/25

 

 

1,000

 

 

999,940

 

 

 

 

 

 

 

8,725,822

 

State — 4.2%

 

 

 

 

 

 

 

New York State Dormitory Authority, ERB, Series B,
5.75%, 3/15/36

 

 

600

 

 

660,540

 

New York State Dormitory Authority, LRB, Municipal
Health Facilities, Sub-Series 2-4, 4.75%, 1/15/30

 

 

1,850

 

 

1,863,265

 

New York State Dormitory Authority, RB, Mental Health
Services Facilities Improvement, Series B (AMBAC),
5.00%, 2/15/35

 

 

4,855

 

 

4,887,771

 

 

 

 

 

 

 

7,411,576

 

Tobacco — 6.8%

 

 

 

 

 

 

 

New York Counties Tobacco Trust III, RB, Tobacco
Settlement Pass-Thru, Turbo, 6.00%, 6/01/43

 

 

6,700

 

 

5,784,981

 

Rensselaer Tobacco Asset Securitization Corp., RB,
Asset-Backed, Series A, 5.75%, 6/01/43

 

 

2,500

 

 

2,080,000

 

Rockland Tobacco Asset Securitization Corp., RB,
Asset-Backed, 5.75%, 8/15/43

 

 

5,000

 

 

4,158,850

 

 

 

 

 

 

 

12,023,831

 

Transportation — 25.6%

 

 

 

 

 

 

 

Hudson Yards Infrastructure Corp., RB:

 

 

 

 

 

 

 

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

 

 

1,000

 

 

956,340

 

Series A (AGM), 5.00%, 2/15/47

 

 

1,000

 

 

956,340

 

Metropolitan Transportation Authority, RB, Series 2008C,
6.50%, 11/15/28

 

 

1,000

 

 

1,156,740

 

Metropolitan Transportation Authority, Refunding RB:

 

 

 

 

 

 

 

Series A, 5.13%, 1/01/29

 

 

2,000

 

 

2,011,100

 

Series A, 5.00%, 11/15/30

 

 

12,000

 

 

12,162,840

 

Series A, 5.13%, 11/15/31

 

 

8,000

 

 

8,040,640

 

Transportation, Series F (NPFGC), 5.00%, 11/15/31

 

 

1,000

 

 

1,003,530

 

New York City Industrial Development Agency, RB, Airis
JFK I LLC Project, Series A, AMT, 5.50%, 7/01/28

 

 

9,000

 

 

7,878,870

 

Port Authority of New York & New Jersey, RB:

 

 

 

 

 

 

 

Consolidated, 116th Series, 4.13%, 9/15/32

 

 

500

 

 

482,525

 

Consolidated, 124th Series, AMT, 5.00%, 8/01/36

 

 

2,000

 

 

2,000,000

 

JFK International Air Terminal, 6.00%, 12/01/42

 

 

1,000

 

 

1,011,660

 

Special Project, JFK International Air Terminal,
Series 6, AMT (NPFGC), 6.25%, 12/01/13

 

 

1,000

 

 

1,049,880

 

Special Project, JFK International Air Terminal,
Series 6, AMT (NPFGC), 5.75%, 12/01/22

 

 

7,000

 

 

6,961,430

 

 

 

 

 

 

 

45,671,895

 


 

 

 

See Notes to Financial Statements.

 

36

ANNUAL REPORT

JULY 31, 2011



 

 

 

 

 

Schedule of Investments (continued)

BlackRock New York Municipal Income Trust (BNY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (concluded)

 

 

 

 

 

 

 

Utilities — 10.3%

 

 

 

 

 

 

 

Long Island Power Authority, RB, General, Series C (CIFG),
5.25%, 9/01/29

 

$

2,000

 

$

2,184,220

 

Long Island Power Authority, Refunding RB, Series A,
5.75%, 4/01/39

 

 

4,000

 

 

4,294,240

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

Second General Resolution, Fiscal 2011, Series HH,
5.00%, 6/15/32

 

 

4,300

 

 

4,532,888

 

Series B, 5.00%, 6/15/36

 

 

750

 

 

764,902

 

New York City Municipal Water Finance Authority,
Refunding RB:

 

 

 

 

 

 

 

Second General Resolution, Fiscal 2011, Series BB,
5.00%, 6/15/31

 

 

1,000

 

 

1,056,450

 

Series D, 5.00%, 6/15/39

 

 

5,000

 

 

5,103,850

 

New York State Environmental Facilities Corp., RB,
Revolving Funds, New York City Municipal Water,
5.00%, 6/15/36

 

 

350

 

 

363,248

 

 

 

 

 

 

 

18,299,798

 

Total Municipal Bonds in New York

 

 

 

 

 

226,046,492

 

 

 

 

 

 

 

 

 

 

Guam — 0.9%

 

 

 

 

 

 

 

State — 0.6%

 

 

 

 

 

 

 

Territory of Guam, GO, Series A, 7.00%, 11/15/39

 

 

970

 

 

1,000,720

 

Utilities — 0.3%

 

 

 

 

 

 

 

Guam Government Waterworks Authority, Refunding RB,
Water, 5.88%, 7/01/35

 

 

600

 

 

583,824

 

Total Municipal Bonds in Guam

 

 

 

 

 

1,584,544

 

 

 

 

 

 

 

 

 

 

Puerto Rico — 10.3%

 

 

 

 

 

 

 

County/City/Special District/School District — 1.1%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp., RB:

 

 

 

 

 

 

 

CAB, Series A, 6.40%, 8/01/32 (d)

 

 

1,685

 

 

439,600

 

First Sub-Series A (AGM), 5.00%, 8/01/40

 

 

1,000

 

 

987,920

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
CAB, Series A (NPFGC), 5.77%, 8/01/41 (d)

 

 

3,500

 

 

499,485

 

 

 

 

 

 

 

1,927,005

 

Housing — 1.7%

 

 

 

 

 

 

 

Puerto Rico Housing Finance Authority, Refunding RB,
Subordinate, Capital Fund Modernization,
5.13%, 12/01/27

 

 

3,000

 

 

3,055,800

 


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Puerto Rico (concluded)

 

 

 

 

 

 

 

State — 6.4%

 

 

 

 

 

 

 

Puerto Rico Highway & Transportation Authority,
Refunding RB, Series CC (AGM), 5.50%, 7/01/30

 

$

2,750

 

$

2,944,837

 

Puerto Rico Public Buildings Authority, Refunding RB,
Government Facilities, Series D:

 

 

 

 

 

 

 

5.25%, 7/01/12 (c)

 

 

3,400

 

 

3,554,870

 

5.25%, 7/01/36

 

 

1,600

 

 

1,518,992

 

Puerto Rico Public Finance Corp., RB, Commonwealth
Appropriation, Series E, 5.50%, 2/01/12 (c)

 

 

1,000

 

 

1,026,680

 

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

 

 

2,000

 

 

2,050,220

 

Puerto Rico Sales Tax Financing Corp., Refunding RB,
CAB, Series A (NPFGC), 5.98%, 8/01/43 (d)

 

 

2,500

 

 

311,225

 

 

 

 

 

 

 

11,406,824

 

Transportation — 0.2%

 

 

 

 

 

 

 

Puerto Rico Highway & Transportation Authority,
Refunding RB, Series AA-1 (AGM), 4.95%, 7/01/26

 

 

250

 

 

252,868

 

Utilities — 0.9%

 

 

 

 

 

 

 

Puerto Rico Aqueduct & Sewer Authority, RB, Senior
Lien, Series A, 6.00%, 7/01/38

 

 

1,100

 

 

1,106,424

 

Puerto Rico Electric Power Authority, Refunding RB,
Series VV (NPFGC), 5.25%, 7/01/29

 

 

500

 

 

504,615

 

 

 

 

 

 

 

1,611,039

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

18,253,536

 

Total Municipal Bonds — 142.1%

 

 

 

 

 

252,846,002

 


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (h)

 

 

 

 

 

 

 

New York — 12.2%

 

 

 

 

 

 

 

Housing — 8.7%

 

 

 

 

 

 

 

New York Mortgage Agency, RB, 31st Series A, AMT,
5.30%, 10/01/31

 

 

15,500

 

 

15,500,930

 

Utilities — 3.5%

 

 

 

 

 

 

 

New York City Municipal Water Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

1,200

 

 

1,318,762

 

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

 

 

810

 

 

866,281

 

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

 

 

4,000

 

 

4,113,360

 

 

 

 

 

 

 

6,298,403

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 12.2%

 

 

 

 

 

21,799,333

 

Total Long-Term Investments
(Cost — $275,842,427) — 154.3%

 

 

 

 

 

274,645,335

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

37



 

 

 

 

 

Schedule of Investments (continued)

BlackRock New York Municipal Income Trust (BNY)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

BIF New York Municipal Money Fund, 0.00% (i)(j)

 

 

10,549,049

 

$

10,549,049

 

Total Short-Term Securities
(Cost — $10,549,049) — 5.9%

 

 

 

 

 

10,549,049

 

Total Investments (Cost — $286,391,476*) — 160.2%

 

 

 

 

 

285,194,384

 

Liabilities in Excess of Other Assets — (1.8)%

 

 

 

 

 

(1,603,676

)

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (6.2)%

 

 

 

 

 

(11,096,166

)

AMPS, at Redemption Value — (52.2)%

 

 

 

 

 

(94,501,629

)

Net Assets Applicable to Common Shares– 100.0%

 

 

 

 

$

177,992,913

 


 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

274,586,199

 

Gross unrealized appreciation

 

$

6,891,543

 

Gross unrealized depreciation

 

 

(7,372,832

)

Net unrealized depreciation

 

$

(481,289

)


 

 

(a)

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

 

 

(b)

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


 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

Citigroup Global Markets

 

$

1,035,030

 

$

2,520

 


 

 

(c)

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.

 

 

(d)

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

 

 

(e)

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

 

 

(f)

Non-income producing security.

 

 

(g)

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.

 

 

(h)

Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

 

(i)

Investments in companies considered to be an affiliate of the Trust during the year, 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,
2010

 

Net
Activity

 

Shares Held
at July 31,
2011

 

Income

 

BIF New York Municipal
Money Fund

 

 

414,030

 

 

10,135,019

 

 

10,549,049

 

 

 


 

 

(j)

Represents the current yield as of report date.

 

 

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

 

Financial futures contracts sold as of July 31,2011 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

49

 

 

30-Year US
Treasury Bond

 

 

Chicago
Board of Trade

 

 

September
2011

 

$

6,103,852

 

$

(174,273

)


 

 

 

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial statement purposes as follows:

 

 

 

Level 1 — 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)

The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

 

 

 

See Notes to Financial Statements.

 

38

ANNUAL REPORT

JULY 31, 2011



 

 

 

 

 

Schedule of Investments (concluded)

BlackRock New York Municipal Income Trust (BNY)

The following tables summarize the inputs used as of July 31, 2011 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

 

 

 

$

274,645,335

 

 

 

$

274,645,335

 

Short-Term
Securities

 

$

10,549,049

 

 

 

 

 

 

10,549,049

 

Total

 

$

10,549,049

 

$

274,645,335

 

 

 

$

285,194,384

 


 

 

1

See above Schedule of Investments for values in each sector.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(174,273

)

 

 

 

 

$

(174,273

)


 

 

2

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


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

39




 

 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

July 31, 2011

 

BlackRock
California
Municipal
Income Trust
(BFZ)

 

BlackRock
Florida
Municipal 2020
Term Trust
(BFO)

 

BlackRock
Investment Quality
Municipal
Income Trust
(RFA)

 

BlackRock
Municipal
Income
Investment Trust
(BBF)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value — unaffiliated1

 

$

755,582,695

 

$

126,781,125

 

$

22,608,139

 

$

156,018,234

 

Investments at value — affiliated2

 

 

2,720,243

 

 

1,843,816

 

 

302,911

 

 

2,119,108

 

Cash pledged as collateral for financial futures contracts

 

 

 

 

 

 

6,600

 

 

57,000

 

Interest receivable

 

 

12,495,619

 

 

1,540,391

 

 

305,027

 

 

2,102,374

 

TOB trust receivable

 

 

 

 

 

 

 

 

 

Investments sold receivable

 

 

 

 

40,742

 

 

10,187

 

 

 

Income receivable — affiliated

 

 

205

 

 

30

 

 

25

 

 

62

 

Prepaid expenses

 

 

38,797

 

 

11,705

 

 

1,920

 

 

14,916

 

Other assets

 

 

52,795

 

 

5,128

 

 

4,239

 

 

11,076

 

Total assets

 

 

770,890,354

 

 

130,222,937

 

 

23,239,048

 

 

160,322,770

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments purchased payable

 

 

10,990,112

 

 

 

 

778,062

 

 

4,965,645

 

Income dividends payable — Common Shares

 

 

2,409,290

 

 

311,479

 

 

78,973

 

 

504,794

 

TOB trust payable

 

 

 

 

3,255,000

 

 

 

 

 

Investment advisory fees payable

 

 

352,088

 

 

54,873

 

 

2,913

 

 

78,530

 

Margin variation payable

 

 

 

 

 

 

5,938

 

 

51,063

 

Interest expense and fees payable

 

 

121,429

 

 

874

 

 

3,313

 

 

21,050

 

Officer’s and Trustees’ fees payable

 

 

58,208

 

 

7,552

 

 

5,747

 

 

13,520

 

Administration fees payable

 

 

 

 

 

 

5,585

 

 

 

Other accrued expenses payable

 

 

173,874

 

 

80,798

 

 

40,975

 

 

95,042

 

Total accrued liabilities

 

 

14,105,001

 

 

3,710,576

 

 

921,506

 

 

5,729,644

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

TOB trust certificates

 

 

143,712,937

 

 

500,000

 

 

4,458,720

 

 

30,617,038

 

Total Liabilities

 

 

157,817,938

 

 

4,210,576

 

 

5,380,226

 

 

36,346,682

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AMPS at Redemption Value

 

 

 

 

 

 

 

 

 

 

 

 

 

$25,000 per share liquidation preference, plus
unpaid dividends3,4

 

 

171,327,730

 

 

42,900,915

 

 

4,575,047

 

 

34,250,572

 

Net Assets Applicable to Common Shareholders

 

$

441,744,686

 

$

83,111,446

 

$

13,283,775

 

$

89,725,516

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

Paid-in capital5,6,7

 

$

448,594,118

 

$

78,891,300

 

$

15,025,325

 

$

95,030,429

 

Undistributed net investment income

 

 

6,097,121

 

 

4,397,433

 

 

109,092

 

 

1,004,384

 

Accumulated net realized loss

 

 

(32,464,799

)

 

(797,857

)

 

(2,692,031

)

 

(10,939,104

)

Net unrealized appreciation/depreciation

 

 

19,518,246

 

 

620,570

 

 

841,389

 

 

4,629,807

 

Net Assets Applicable to Common Shareholders

 

$

441,744,686

 

$

83,111,446

 

$

13,283,775

 

$

89,725,516

 

Net asset value per Common Share

 

$

13.88

 

$

14.94

 

$

11.77

 

$

13.40

 

1 Investments at cost — unaffiliated

 

$

736,064,449

 

$

126,160,555

 

$

21,751,350

 

$

151,252,212

 

2 Investments at cost — affiliated

 

$

2,720,243

 

$

1,843,816

 

$

302,911

 

$

2,119,108

 

3 AMPS outstanding, par value $0.001 per share

 

 

6,853

 

 

1,716

 

 

183

 

 

1,370

 

4 AMPS authorized

 

 

unlimited

 

 

unlimited

 

 

100 million

 

 

unlimited

 

5 Par value per Common Share

 

$

0.001

 

$

0.001

 

$

0.01

 

$

0.001

 

6 Common Shares outstanding

 

 

31,826,816

 

 

5,562,128

 

 

1,128,190

 

 

6,697,105

 

7 Common Shares authorized

 

 

unlimited

 

 

unlimited

 

 

200 million

 

 

unlimited

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

40

ANNUAL REPORT

JULY 31, 2011




 

 

Statements of Assets and Liabilities


 

 

 

 

 

 

 

 

 

 

 

 

 

 

July 31, 2011

 

BlackRock
New Jersey
Investment Quality
Municipal Trust Inc.
(RNJ)

 

BlackRock
New Jersey
Municipal
Income Trust
(BNJ)

 

BlackRock
New York
Investment Quality
Municipal Trust Inc.
(RNY)

 

BlackRock
New York
Municipal
Income Trust
(BNY)

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at value — unaffiliated1

 

$

19,536,130

 

$

164,713,666

 

$

28,089,157

 

$

274,645,335

 

Investments at value — affiliated2

 

 

209,983

 

 

5,114,806

 

 

88,605

 

 

10,549,049

 

Cash pledged as collateral for financial futures contracts

 

 

6,600

 

 

36,960

 

 

12,000

 

 

125,000

 

Interest receivable

 

 

224,729

 

 

1,806,334

 

 

326,580

 

 

3,512,147

 

TOB trust receivable

 

 

 

 

1,500,000

 

 

 

 

 

Investments sold receivable

 

 

 

 

23,420

 

 

1,028,272

 

 

 

Income receivable — affiliated

 

 

38

 

 

65

 

 

15

 

 

86

 

Prepaid expenses

 

 

1,244

 

 

14,319

 

 

2,884

 

 

21,490

 

Other assets

 

 

6,390

 

 

13,204

 

 

4,084

 

 

21,913

 

Total assets

 

 

19,985,114

 

 

173,222,774

 

 

29,551,597

 

 

288,875,020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Accrued Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments purchased payable

 

 

256,636

 

 

2,202,799

 

 

1,013,761

 

 

3,835,017

 

Income dividends payable — Common Shares

 

 

66,589

 

 

602,674

 

 

95,993

 

 

1,058,439

 

TOB trust payable

 

 

 

 

 

 

 

 

 

Investment advisory fees payable

 

 

4,150

 

 

84,915

 

 

8,404

 

 

143,924

 

Margin variation payable

 

 

5,938

 

 

33,250

 

 

10,313

 

 

101,063

 

Interest expense and fees payable

 

 

121

 

 

1,378

 

 

206

 

 

6,692

 

Officer’s and Trustees’ fees payable

 

 

8,260

 

 

507

 

 

5,613

 

 

24,231

 

Administration fees payable

 

 

3,253

 

 

 

 

2,404

 

 

 

Other accrued expenses payable

 

 

55,215

 

 

111,384

 

 

42,669

 

 

121,638

 

Total accrued liabilities

 

 

400,162

 

 

3,036,907

 

 

1,179,363

 

 

5,291,004

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

TOB trust certificates

 

 

159,917

 

 

3,859,296

 

 

569,974

 

 

11,089,474

 

Total Liabilities

 

 

560,079

 

 

6,896,203

 

 

1,749,337

 

 

16,380,478

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AMPS at Redemption Value

 

 

 

 

 

 

 

 

 

 

 

 

 

$25,000 per share liquidation preference, plus
unpaid dividends3,4

 

 

6,900,115

 

 

59,100,593

 

 

9,725,205

 

 

94,501,629

 

Net Assets Applicable to Common Shareholders

 

$

12,524,920

 

$

107,225,978

 

$

18,077,055

 

$

177,992,913

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders Consist of

 

 

 

 

 

 

 

 

 

 

 

 

 

Paid-in capital5,6,7

 

$

13,217,478

 

$

108,265,648

 

$

17,777,099

 

$

182,138,460

 

Undistributed net investment income

 

 

191,756

 

 

2,271,967

 

 

330,090

 

 

3,953,452

 

Accumulated net realized loss

 

 

(606,642

)

 

(2,094,748

)

 

(252,449

)

 

(6,727,634

)

Net unrealized appreciation/depreciation

 

 

(277,672

)

 

(1,216,889

)

 

222,315

 

 

(1,371,365

)

Net Assets Applicable to Common Shareholders

 

$

12,524,920

 

$

107,225,978

 

$

18,077,055

 

$

177,992,913

 

Net asset value per Common Share

 

$

12.32

 

$

14.07

 

$

13.75

 

$

13.87

 

1 Investments at cost — unaffiliated

 

$

19,798,402

 

$

165,839,721

 

$

27,849,059

 

$

275,842,427

 

2 Investments at cost — affiliated

 

$

209,983

 

$

5,114,806

 

$

88,605

 

$

10,549,049

 

3 AMPS outstanding, par value $0.001 per share

 

 

276

 

 

2,364

 

 

389

 

 

3,780

 

4 AMPS authorized

 

 

300

 

 

unlimited

 

 

392

 

 

unlimited

 

5 Par value per Common Share

 

$

0.01

 

$

0.001

 

$

0.01

 

$

0.001

 

6 Common Shares outstanding

 

 

1,016,634

 

 

7,619,144

 

 

1,314,975

 

 

12,829,569

 

7 Common Shares authorized

 

 

200 million

 

 

unlimited

 

 

200 million

 

 

unlimited

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

41




 

 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31, 2011

 

BlackRock
California
Municipal
Income Trust
(BFZ)

 

BlackRock
Florida
Municipal 2020
Term Trust
(BFO)

 

BlackRock
Investment Quality
Municipal
Income Trust
(RFA)

 

BlackRock
Municipal
Income
Investment Trust
(BBF)

 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

$

37,150,161

 

$

6,035,034

 

$

1,163,466

 

$

7,907,657

 

Income — affiliated

 

 

7,888

 

 

362

 

 

661

 

 

4,345

 

Total income

 

 

37,158,049

 

 

6,035,396

 

 

1,164,127

 

 

7,912,002

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

4,371,166

 

 

640,563

 

 

77,645

 

 

917,681

 

Administration

 

 

 

 

 

 

22,184

 

 

 

Commissions for AMPS

 

 

226,992

 

 

64,247

 

 

6,947

 

 

47,013

 

Professional

 

 

220,109

 

 

61,788

 

 

39,812

 

 

69,664

 

Printing

 

 

86,655

 

 

17,278

 

 

5,962

 

 

18,002

 

Accounting services

 

 

40,688

 

 

27,303

 

 

9,078

 

 

36,091

 

Officer and Trustees

 

 

54,764

 

 

11,835

 

 

2,143

 

 

11,401

 

Transfer agent

 

 

38,586

 

 

18,424

 

 

11,669

 

 

11,688

 

Custodian

 

 

34,584

 

 

9,290

 

 

5,953

 

 

10,942

 

Registration

 

 

11,142

 

 

9,372

 

 

489

 

 

9,397

 

Miscellaneous

 

 

86,636

 

 

33,819

 

 

23,404

 

 

44,303

 

Total expenses excluding interest expense and fees

 

 

5,171,322

 

 

893,919

 

 

205,286

 

 

1,176,182

 

Interest expense and fees1

 

 

1,163,424

 

 

26,876

 

 

35,939

 

 

240,708

 

Total expenses

 

 

6,334,746

 

 

920,795

 

 

241,225

 

 

1,416,890

 

Less fees waived and reimbursed by advisor

 

 

(315,713

)

 

(5,160

)

 

(134

)

 

(1,256

)

Total expenses after fees waived and reimbursed

 

 

6,019,033

 

 

915,635

 

 

241,091

 

 

1,415,634

 

Net investment income

 

 

31,139,016

 

 

5,119,761

 

 

923,036

 

 

6,496,368

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(6,618,817

)

 

(290,392

)

 

(245,250

)

 

(1,084,925

)

Financial futures contracts

 

 

(1,738,793

)

 

 

 

(47,741

)

 

(416,639

)

 

 

 

(8,357,610

)

 

(290,392

)

 

(292,991

)

 

(1,501,564

)

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(5,999,388

)

 

(751,097

)

 

(228,041

)

 

(2,090,869

)

Financial futures contracts

 

 

40,714

 

 

 

 

(15,400

)

 

(136,215

)

 

 

 

(5,958,674

)

 

(751,097

)

 

(243,441

)

 

(2,227,084

)

Total realized and unrealized loss

 

 

(14,316,284

)

 

(1,041,489

)

 

(536,432

)

 

(3,728,648

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to AMPS Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(627,551

)

 

(157,673

)

 

(16,673

)

 

(125,459

)

Net Increase in Net Assets Applicable to
Common Shareholders Resulting from Operations

 

$

16,195,181

 

$

3,920,599

 

$

369,931

 

$

2,642,261

 


 

 

 

 

1

Related to TOBs.


 

 

 

See Notes to Financial Statements.

 

 

 

 

42

ANNUAL REPORT

JULY 31, 2011




 

 

Statements of Operations


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31, 2011

 

BlackRock
New Jersey
Investment Quality
Municipal Trust Inc.
(RNJ)

 

BlackRock
New Jersey
Municipal
Income Trust
(BNJ)

 

BlackRock
New York
Investment Quality
Municipal Trust Inc.
(RNY)

 

BlackRock
New York
Municipal
Income Trust
(BNY)

 

Investment Income

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest

 

$

991,416

 

$

8,750,655

 

$

1,478,328

 

$

15,147,837

 

Income — affiliated

 

 

729

 

 

2,354

 

 

370

 

 

1,738

 

Total income

 

 

992,145

 

 

8,753,009

 

 

1,478,698

 

 

15,149,575

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expenses

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment advisory

 

 

67,622

 

 

998,493

 

 

98,369

 

 

1,684,441

 

Administration

 

 

19,321

 

 

 

 

28,105

 

 

 

Commissions for AMPS

 

 

8,809

 

 

71,386

 

 

15,050

 

 

130,142

 

Professional

 

 

34,765

 

 

75,022

 

 

41,488

 

 

127,495

 

Printing

 

 

4,628

 

 

22,817

 

 

5,493

 

 

36,027

 

Accounting services

 

 

9,138

 

 

37,653

 

 

8,693

 

 

53,688

 

Officer and Trustees

 

 

2,064

 

 

13,202

 

 

2,333

 

 

21,867

 

Transfer agent

 

 

12,006

 

 

19,100

 

 

11,928

 

 

25,741

 

Custodian

 

 

5,127

 

 

12,068

 

 

5,577

 

 

17,818

 

Registration

 

 

440

 

 

9,464

 

 

570

 

 

9,542

 

Miscellaneous

 

 

24,901

 

 

36,848

 

 

25,799

 

 

48,076

 

Total expenses excluding interest expense and fees

 

 

188,821

 

 

1,296,053

 

 

243,405

 

 

2,154,837

 

Interest expense and fees1

 

 

1,293

 

 

18,784

 

 

4,506

 

 

82,867

 

Total expenses

 

 

190,114

 

 

1,314,837

 

 

247,911

 

 

2,237,704

 

Less fees waived and reimbursed by advisor

 

 

(1,693

)

 

(12,037

)

 

(672

)

 

(5,544

)

Total expenses after fees waived and reimbursed

 

 

188,421

 

 

1,302,800

 

 

247,239

 

 

2,232,160

 

Net investment income

 

 

803,724

 

 

7,450,209

 

 

1,231,459

 

 

12,917,415

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

60,998

 

 

251,734

 

 

(143,487

)

 

(1,881,933

)

Financial futures contracts

 

 

(47,741

)

 

(302,747

)

 

(57,535

)

 

(595,052

)

 

 

 

13,257

 

 

(51,013

)

 

(201,022

)

 

(2,476,985

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net change in unrealized appreciation/depreciation on:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments

 

 

(232,530

)

 

(2,229,172

)

 

(359,488

)

 

(2,372,937

)

Financial futures contracts

 

 

(15,400

)

 

(90,834

)

 

(12,649

)

 

(126,785

)

 

 

 

(247,930

)

 

(2,320,006

)

 

(372,137

)

 

(2,499,722

)

Total realized and unrealized loss

 

 

(234,673

)

 

(2,371,019

)

 

(573,159

)

 

(4,976,707

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to AMPS Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(25,275

)

 

(215,849

)

 

(35,976

)

 

(347,184

)

Net Increase in Net Assets Applicable to
Common Shareholders Resulting from Operations

 

$

543,776

 

$

4,863,341

 

$

622,324

 

$

7,593,524

 


 

 

 

 

1

Related to TOBs.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

43




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock California
Municipal Income Trust (BFZ)

 

BlackRock Florida
Municipal 2020 Term Trust (BFO)

 

 

 

Year Ended July 31,

 

Year Ended July 31,

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

2011

 

2010

 

2011

 

2010

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

31,139,016

 

$

22,567,795

 

$

5,119,761

 

$

5,308,173

 

Net realized loss

 

 

(8,357,610

)

 

(6,857,759

)

 

(290,392

)

 

(3,583

)

Net change in unrealized appreciation/depreciation

 

 

(5,958,674

)

 

38,735,800

 

 

(751,097

)

 

7,283,510

 

Dividends to AMPS Shareholders from net investment income

 

 

(627,551

)

 

(494,675

)

 

(157,673

)

 

(177,702

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

16,195,181

 

 

53,951,161

 

 

3,920,599

 

 

12,410,398

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(28,943,204

)

 

(21,334,104

)

 

(3,737,750

)

 

(3,737,750

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Shares issued from reorganization

 

 

 

 

228,998,766

 

 

 

 

 

Reinvestment of common dividends

 

 

194,043

 

 

132,023

 

 

 

 

 

Net increase in net assets derived from capital share transactions

 

 

194,043

 

 

229,130,789

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

(12,553,980

)

 

261,747,846

 

 

182,849

 

 

8,672,648

 

Beginning of year

 

 

454,298,666

 

 

192,550,820

 

 

82,928,597

 

 

74,255,949

 

End of year

 

$

441,744,686

 

$

454,298,666

 

$

83,111,446

 

$

82,928,597

 

Undistributed net investment income

 

$

6,097,121

 

$

4,789,170

 

$

4,397,433

 

$

3,169,845

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock Investment Quality
Municipal Income Trust (RFA)

 

BlackRock Municipal
Income Investment Trust (BBF)

 

 

 

Year Ended July 31,

 

Year Ended July 31,

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

2011

 

2010

 

2011

 

2010

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

923,036

 

$

897,744

 

$

6,496,368

 

$

6,186,309

 

Net realized loss

 

 

(292,991

)

 

(371,435

)

 

(1,501,564

)

 

(1,576,745

)

Net change in unrealized appreciation/depreciation

 

 

(243,441

)

 

1,707,371

 

 

(2,227,084

)

 

9,562,974

 

Dividends to AMPS Shareholders from net investment income

 

 

(16,673

)

 

(18,365

)

 

(125,459

)

 

(143,487

)

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

369,931

 

 

2,215,315

 

 

2,642,261

 

 

14,029,051

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(947,484

)

 

(932,299

)

 

(6,056,216

)

 

(6,050,943

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

6,427

 

 

6,619

 

 

66,589

 

 

44,565

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

(571,126

)

 

1,289,635

 

 

(3,347,366

)

 

8,022,673

 

Beginning of year

 

 

13,854,901

 

 

12,565,266

 

 

93,072,882

 

 

85,050,209

 

End of year

 

$

13,283,775

 

$

13,854,901

 

$

89,725,516

 

$

93,072,882

 

Undistributed net investment income

 

$

109,092

 

$

147,128

 

$

1,004,384

 

$

689,752

 


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

44

ANNUAL REPORT

JULY 31, 2011




 

 

Statements of Changes in Net Assets


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock New Jersey Investment
Quality Municipal Trust Inc. (RNJ)

 

BlackRock New Jersey
Municipal Income Trust (BNJ)

 

 

 

Year Ended July 31,

 

Year Ended July 31,

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

2011

 

2010

 

2011

 

2010

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

803,724

 

$

833,885

 

$

7,450,209

 

$

7,784,301

 

Net realized gain (loss)

 

 

13,257

 

 

(75,070

)

 

(51,013

)

 

114,395

 

Net change in unrealized appreciation/depreciation

 

 

(247,930

)

 

1,310,034

 

 

(2,320,006

)

 

11,576,851

 

Dividends to AMPS Shareholders from net investment income

 

 

(25,275

)

 

(28,907

)

 

(215,849

)

 

(243,304

)

Net increase in net assets applicable to Common Shares resulting from operations

 

 

543,776

 

 

2,039,942

 

 

4,863,341

 

 

19,232,243

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(798,842

)

 

(783,778

)

 

(7,208,599

)

 

(7,062,352

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends

 

 

15,882

 

 

33,509

 

 

314,646

 

 

390,663

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

(239,184

)

 

1,289,673

 

 

(2,030,612

)

 

12,560,554

 

Beginning of year

 

 

12,764,104

 

 

11,474,431

 

 

109,256,590

 

 

96,696,036

 

End of year

 

$

12,524,920

 

$

12,764,104

 

$

107,225,978

 

$

109,256,590

 

Undistributed net investment income

 

$

191,756

 

$

211,016

 

$

2,271,967

 

$

2,242,557

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BlackRock New York Investment
Quality Municipal Trust Inc. (RNY)

 

BlackRock New York
Municipal Income Trust (BNY)

 

 

 

Year Ended July 31,

 

Year Ended July 31,

 

Increase (Decrease) in Net Assets Applicable to Common Shareholders:

 

2011

 

2010

 

2011

 

2010

 

Operations

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

$

1,231,459

 

$

1,243,056

 

$

12,917,415

 

$

13,233,625

 

Net realized gain (loss)

 

 

(201,022

)

 

36,426

 

 

(2,476,985

)

 

162,795

 

Net change in unrealized appreciation/depreciation

 

 

(372,137

)

 

1,655,207

 

 

(2,499,722

)

 

19,527,175

 

Dividends and distributions to AMPS Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(35,976

)

 

(38,597

)

 

(347,184

)

 

(393,227

)

Net realized gain

 

 

 

 

(2,688

)

 

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

 

 

622,324

 

 

2,893,404

 

 

7,593,524

 

 

32,530,368

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Dividends and Distributions to Common Shareholders From

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(1,151,343

)

 

(1,096,393

)

 

(12,677,483

)

 

(12,596,574

)

Net realized gain

 

 

 

 

(32,629

)

 

 

 

 

Decrease in net assets resulting from dividends and distributions to Common Shareholders

 

 

(1,151,343

)

 

(1,129,022

)

 

(12,677,483

)

 

(12,596,574

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Share Transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

Reinvestment of common dividends and distributions

 

 

28,773

 

 

16,795

 

 

704,984

 

 

711,029

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

Total increase (decrease) in net assets applicable to Common Shareholders

 

 

(500,246

)

 

1,781,177

 

 

(4,378,975

)

 

20,644,823

 

Beginning of year

 

 

18,577,301

 

 

16,796,124

 

 

182,371,888

 

 

161,727,065

 

End of year

 

$

18,077,055

 

$

18,577,301

 

$

177,992,913

 

$

182,371,888

 

Undistributed net investment income

 

$

330,090

 

$

285,950

 

$

3,953,452

 

$

4,064,226

 


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

45




 

 

Statements of Cash Flows


 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31, 2011

 

BlackRock
California
Municipal
Income Trust
(BFZ)

 

BlackRock
Investment Quality
Municipal
Income Trust
(RFA)

 

BlackRock
Municipal
Income
Investment Trust
(BBF)

 

Cash Provided by Operating Activities

 

 

 

 

 

 

 

 

 

 

Net increase in net assets resulting from operations, excluding dividends to AMPS Shareholders

 

$

16,822,732

 

$

386,604

 

$

2,767,720

 

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

 

 

 

 

 

 

 

 

 

 

Increase in interest receivable

 

 

(2,109,584

)

 

(34,430

)

 

(328,206

)

Increase in income receivable — affiliated

 

 

(12

)

 

(9

)

 

(23

)

(Increase) decrease in prepaid expenses

 

 

549

 

 

384

 

 

(60

)

(Increase) decrease in cash pledged as collateral for financial futures contracts

 

 

27,000

 

 

(6,600

)

 

(57,000

)

Increase in other assets

 

 

(2,958

)

 

(92

)

 

(476

)

Increase (decrease) in investment advisory fees payable

 

 

12,390

 

 

(3,891

)

 

5,149

 

Increase in interest expense and fees payable

 

 

52,172

 

 

124

 

 

3,963

 

Decrease in other affiliates payable

 

 

(4,532

)

 

 

 

(919

)

Increase in other accrued expenses payable

 

 

17,702

 

 

1,924

 

 

25,525

 

Increase in administration fees payable

 

 

 

 

3,637

 

 

 

Increase (decrease) in margin variation payable

 

 

(13,656

)

 

5,938

 

 

51,063

 

Increase in Officer’s and Trustees’ fees payable

 

 

2,970

 

 

473

 

 

1,383

 

Net realized and unrealized loss on investments

 

 

12,621,163

 

 

473,383

 

 

3,176,270

 

Amortization of premium and accretion of discount on investments

 

 

1,545,428

 

 

23,374

 

 

146,071

 

Proceeds from sales of long-term investments

 

 

261,994,348

 

 

6,187,012

 

 

38,258,208

 

Purchases of long-term investments

 

 

(300,667,965

)

 

(6,575,552

)

 

(45,131,594

)

Net proceeds from sales of short-term securities

 

 

23,457,890

 

 

50,710

 

 

2,844,444

 

Cash provided by operating activities

 

 

13,755,637

 

 

512,989

 

 

1,761,518

 

 

 

 

 

 

 

 

 

 

 

 

Cash Used for Financing Activities

 

 

 

 

 

 

 

 

 

 

Cash receipts from TOB trust certificates

 

 

50,653,895

 

 

614,949

 

 

4,354,636

 

Cash payments for TOB trust certificates

 

 

(35,005,578

)

 

(170,138

)

 

 

Cash dividends paid to Common Shareholders

 

 

(28,748,161

)

 

(941,019

)

 

(5,989,265

)

Cash dividends paid to AMPS Shareholders

 

 

(634,793

)

 

(16,781

)

 

(126,889

)

Decrease in bank overdraft

 

 

(21,000

)

 

 

 

 

Cash used for financing activities

 

 

(13,755,637

)

 

(512,989

)

 

(1,761,518

)

 

 

 

 

 

 

 

 

 

 

 

Cash

 

 

 

 

 

 

 

 

 

 

Net change in cash

 

 

 

 

 

 

 

Cash at beginning of year

 

 

 

 

 

 

 

Cash at end of year

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Information

 

 

 

 

 

 

 

 

 

 

Cash paid during the year for interest and fees

 

$

1,111,252

 

$

35,815

 

$

236,745

 

 

 

 

 

 

 

 

 

 

 

 

Noncash Financing Activities

 

 

 

 

 

 

 

 

 

 

Capital shares issued in reinvestment of dividends paid to Common Shareholders

 

$

194,043

 

$

6,427

 

$

66,589

 


 

 

 

A Statement of Cash Flows is presented when a Trust has a significant amount of borrowing during the period, based on the average borrowing outstanding in relation to average total assets.


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

46

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

Financial Highlights

BlackRock California Municipal Income Trust (BFZ)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.28

 

$

12.71

 

$

13.98

 

$

14.97

 

$

15.74

 

$

15.18

 

Net investment income

 

 

0.98

1

 

1.00

1

 

1.03

1

 

0.82

1

 

1.08

 

 

1.11

 

Net realized and unrealized gain (loss)

 

 

(0.45

)

 

1.50

 

 

(1.35

)

 

(0.90

)

 

(0.64

)

 

0.62

 

Dividends to AMPS Shareholders from net investment income

 

 

(0.02

)

 

(0.02

)

 

(0.12

)

 

(0.22

)

 

(0.30

)

 

(0.26

)

Net increase (decrease) from investment operations

 

 

0.51

 

 

2.48

 

 

(0.44

)

 

(0.30

)

 

0.14

 

 

1.47

 

Dividends to Common Shareholders from net investment income

 

 

(0.91

)

 

(0.91

)

 

(0.83

)

 

(0.69

)

 

(0.91

)

 

(0.91

)

Net asset value, end of period

 

$

13.88

 

$

14.28

 

$

12.71

 

$

13.98

 

$

14.97

 

$

15.74

 

Market price, end of period

 

$

13.16

 

$

14.21

 

$

12.40

 

$

13.99

 

$

15.82

 

$

17.12

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

4.05

%

 

20.15

%

 

(2.36

)%

 

(2.09

)%3

 

0.77

%

 

9.93

%

Based on market price

 

 

(0.86

)%

 

22.55

%

 

(4.81

)%

 

(7.29

)%3

 

(2.09

)%

 

21.65

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.46

%

 

1.36

%

 

1.54

%

 

1.25

%5

 

1.21

%

 

1.25

%

Total expenses after fees waived and before fees paid indirectly4

 

 

1.39

%

 

1.27

%

 

1.35

%

 

0.98

%5

 

0.91

%

 

0.87

%

Total expenses after fees waived and paid indirectly4

 

 

1.39

%

 

1.27

%

 

1.35

%

 

0.98

%5

 

0.91

%

 

0.87

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees and reorganization expense4,6

 

 

1.12

%

 

1.04

%

 

1.08

%

 

0.91

%5

 

0.91

%

 

0.87

%

Net investment income4

 

 

7.19

%

 

6.94

%

 

8.27

%

 

7.39

%5

 

7.09

%

 

7.26

%

Dividends to AMPS Shareholders

 

 

0.15

%

 

0.15

%

 

1.00

%

 

1.95

%5

 

1.98

%

 

1.71

%

Net investment income to Common Shareholders

 

 

7.04

%

 

6.79

%

 

7.27

%

 

5.44

%5

 

5.11

%

 

5.55

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

441,745

 

$

454,299

 

$

192,551

 

$

211,671

 

$

225,939

 

$

236,573

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

171,325

 

$

171,325

 

$

71,000

 

$

100,900

 

$

131,950

 

$

131,950

 

Portfolio turnover

 

 

36

%

 

47

%

 

58

%

 

26

%

 

26

%

 

17

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

89,460

 

$

91,293

 

$

92,801

 

$

77,457

 

$

67,816

 

$

69,836

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

47




 

 

 

 

Financial Highlights

BlackRock Florida Municipal 2020 Term Trust (BFO)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
January 1,
2008 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended December 31,

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.91

 

$

13.35

 

$

14.16

 

$

14.72

 

$

15.16

 

$

14.90

 

Net investment income

 

 

0.92

1

 

0.95

1

 

0.96

1

 

0.58

1

 

0.99

 

 

0.98

 

Net realized and unrealized gain (loss)

 

 

(0.19

)

 

1.31

 

 

(1.00

)

 

(0.62

)

 

(0.45

)

 

0.23

 

Dividends and distributions to AMPS Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.03

)

 

(0.03

)

 

(0.15

)

 

(0.16

)

 

(0.31

)

 

(0.29

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.02

)

 

 

Net increase (decrease) from investment operations

 

 

0.70

 

 

2.23

 

 

(0.19

)

 

(0.20

)

 

0.21

 

 

0.92

 

Dividends and distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.67

)

 

(0.67

)

 

(0.62

)

 

(0.36

)

 

(0.61

)

 

(0.66

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.04

)

 

 

Total dividends and distributions to Common Shareholders

 

 

(0.67

)

 

(0.67

)

 

(0.62

)

 

(0.36

)

 

(0.65

)

 

(0.66

)

Net asset value, end of period

 

$

14.94

 

$

14.91

 

$

13.35

 

$

14.16

 

$

14.72

 

$

15.16

 

Market price, end of period

 

$

13.91

 

$

14.30

 

$

12.31

 

$

12.50

 

$

12.93

 

$

13.85

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

5.07

%

 

17.35

%

 

(0.48

)%

 

(1.12

)%3

 

1.86

%

 

6.73

%

Based on market price

 

 

2.00

%

 

22.05

%

 

3.95

%

 

(0.63

)%3

 

(2.06

)%

 

8.83

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.13

%

 

1.14

%

 

1.29

%

 

1.22

%5

 

1.16

%

 

1.20

%

Total expenses after fees waived and before fees paid indirectly4

 

 

1.13

%

 

1.13

%

 

1.26

%

 

1.22

%5

 

1.16

%

 

1.20

%

Total expenses after fees waived and paid indirectly4

 

 

1.13

%

 

1.13

%

 

1.26

%

 

1.22

%5

 

1.16

%

 

1.18

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees4,6

 

 

1.09

%

 

1.09

%

 

1.13

%

 

1.17

%5

 

1.16

%

 

1.18

%

Net investment income4

 

 

6.29

%

 

6.72

%

 

7.39

%

 

6.74

%5

 

6.63

%

 

6.54

%

Dividends to AMPS Shareholders

 

 

0.19

%

 

0.22

%

 

1.13

%

 

1.92

%5

 

2.07

%

 

1.96

%

Net investment income to Common Shareholders

 

 

6.10

%

 

6.50

%

 

6.26

%

 

4.82

%5

 

4.56

%

 

4.58

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

83,111

 

$

82,929

 

$

74,256

 

$

78,747

 

$

81,896

 

$

84,300

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

42,900

 

$

42,900

 

$

42,900

 

$

42,900

 

$

48,900

 

$

48,900

 

Portfolio turnover

 

 

6

%

 

6

%

 

9

%

 

6

%

 

17

%

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

73,433

 

$

73,329

 

$

68,275

 

$

70,900

 

$

66,872

 

$

68,114

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

48

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

Financial Highlights

BlackRock Investment Quality Municipal Income Trust (RFA)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

12.29

 

$

11.15

 

$

12.31

 

$

13.43

 

$

14.24

 

$

14.39

 

Net investment income

 

 

0.82

1

 

0.80

1

 

0.84

1

 

0.62

1

 

0.83

 

 

0.82

 

Net realized and unrealized gain (loss)

 

 

(0.49

)

 

1.19

 

 

(1.32

)

 

(1.14

)

 

(0.69

)

 

0.40

 

Dividends and distributions to AMPS Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.01

)

 

(0.02

)

 

(0.12

)

 

(0.20

)

 

(0.26

)

 

(0.21

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.04

)

 

(0.05

)

Net increase (decrease) from investment operations

 

 

0.32

 

 

1.97

 

 

(0.60

)

 

(0.72

)

 

(0.16

)

 

0.96

 

Dividends and distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.84

)

 

(0.83

)

 

(0.56

)

 

(0.40

)

 

(0.60

)

 

(0.85

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.05

)

 

(0.26

)

Total dividends and distributions to Common Shareholders

 

 

(0.84

)

 

(0.83

)

 

(0.56

)

 

(0.40

)

 

(0.65

)

 

(1.11

)

Net asset value, end of period

 

$

11.77

 

$

12.29

 

$

11.15

 

$

12.31

 

$

13.43

 

$

14.24

 

Market price, end of period

 

$

11.65

 

$

12.60

 

$

10.08

 

$

10.93

 

$

11.86

 

$

16.00

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

2.90

%

 

18.09

%

 

(3.68

)%

 

(5.03

)%3

 

(1.02

)%

 

6.46

%

Based on market price

 

 

(0.66

)%

 

33.92

%

 

(1.93

)%

 

(4.51

)%3

 

(22.21

)%

 

15.91

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.84

%

 

1.69

%

 

1.72

%

 

1.60

%5,6

 

1.44

%

 

1.43

%

Total expenses after fees waived and before fees paid indirectly4

 

 

1.84

%

 

1.69

%

 

1.68

%

 

1.58

%5,6

 

1.43

%

 

1.43

%

Total expenses after fees waived and paid indirectly4

 

 

1.84

%

 

1.69

%

 

1.68

%

 

1.58

%5,6

 

1.39

%

 

1.37

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees4,7

 

 

1.56

%

 

1.47

%

 

1.56

%

 

1.53

%5,6

 

1.39

%

 

1.37

%

Net investment income4

 

 

7.03

%

 

6.66

%

 

7.79

%

 

6.42

%5,6

 

6.03

%

 

5.80

%

Dividends to AMPS Shareholders

 

 

0.13

%

 

0.13

%

 

1.10

%

 

2.03

%5

 

1.88

%

 

1.49

%

Net investment income to Common Shareholders

 

 

6.90

%

 

6.53

%

 

6.69

%

 

4.39

%5,6

 

4.15

%

 

4.31

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

13,284

 

$

13,855

 

$

12,565

 

$

13,871

 

$

15,134

 

$

16,054

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

4,575

 

$

4,575

 

$

4,575

 

$

7,125

 

$

8,500

 

$

8,500

 

Portfolio turnover

 

 

27

%

 

44

%

 

88

%

 

29

%

 

40

%

 

57

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

97,589

 

$

100,711

 

$

93,664

 

$

73,687

 

$

69,526

 

$

72,229

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Certain non-recurring expenses have been included in the ratio but not annualized. If these expenses were annualized, the ratios of total expenses, total expenses after fees waived and before fees paid indirectly, total expenses after fees waived and paid indirectly, total expenses after fees waived and paid indirectly and excluding interest expense and fees, net investment income and net investment income to Common Shareholders would have been 1.71%, 1.68%, 1.68%, 1.63%, 6.31% and 4.28%, respectively.

 

 

 

 

7

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

49




 

 

 

 

Financial Highlights

BlackRock Municipal Income Investment Trust (BBF)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

13.91

 

$

12.71

 

$

14.08

 

$

15.05

 

$

15.68

 

$

15.48

 

Net investment income

 

 

0.97

1

 

0.92

1

 

1.01

1

 

0.80

1

 

1.07

 

 

1.11

 

Net realized and unrealized gain (loss)

 

 

(0.56

)

 

1.20

 

 

(1.36

)

 

(0.89

)

 

(0.49

)

 

0.26

 

Dividends to AMPS Shareholders from net investment income

 

 

(0.02

)

 

(0.02

)

 

(0.14

)

 

(0.22

)

 

(0.31

)

 

(0.27

)

Net increase (decrease) from investment operations

 

 

0.39

 

 

2.10

 

 

(0.49

)

 

(0.31

)

 

0.27

 

 

1.10

 

Dividends to Common Shareholders from net investment income

 

 

(0.90

)

 

(0.90

)

 

(0.88

)

 

(0.66

)

 

(0.90

)

 

(0.90

)

Net asset value, end of period

 

$

13.40

 

$

13.91

 

$

12.71

 

$

14.08

 

$

15.05

 

$

15.68

 

Market price, end of period

 

$

12.74

 

$

13.90

 

$

12.49

 

$

13.68

 

$

15.10

 

$

16.30

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

3.15

%

 

17.04

%

 

(2.57

)%

 

(2.04

)%3

 

1.78

%

 

7.34

%

Based on market price

 

 

(1.86

)%

 

19.01

%

 

(1.46

)%

 

(5.14

)%3

 

(1.76

)%

 

13.26

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.60

%

 

1.46

%

 

1.47

%

 

1.31

%5

 

1.28

%

 

1.30

%

Total expenses after fees waived and before fees paid indirectly4

 

 

1.60

%

 

1.37

%

 

1.27

%

 

1.06

%5

 

0.97

%

 

0.93

%

Total expenses after fees waived and paid indirectly4

 

 

1.60

%

 

1.37

%

 

1.27

%

 

1.06

%5

 

0.96

%

 

0.92

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees4,6

 

 

1.33

%

 

1.17

%

 

1.16

%

 

1.02

%5

 

0.96

%

 

0.92

%

Net investment income4

 

 

7.35

%

 

6.84

%

 

8.13

%

 

7.26

%5

 

7.02

%

 

7.12

%

Dividends to AMPS Shareholders

 

 

0.14

%

 

0.16

%

 

1.11

%

 

1.96

%5

 

2.04

%

 

1.75

%

Net investment income to Common Shareholders

 

 

7.21

%

 

6.68

%

 

7.02

%

 

5.30

%5

 

4.98

%

 

5.37

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

89,726

 

$

93,073

 

$

85,050

 

$

94,176

 

$

100,564

 

$

104,451

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

34,250

 

$

34,250

 

$

34,250

 

$

49,550

 

$

57,550

 

$

57,550

 

Portfolio turnover

 

 

24

%

 

46

%

 

66

%

 

13

%

 

25

%

 

20

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

90,493

 

$

92,938

 

$

87,082

 

$

72,521

 

$

68,688

 

$

70,391

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

50

ANNUAL REPORT

JULY 31, 2011



 

 

 

 

Financial Highlights

BlackRock New Jersey Investment Quality Municipal Trust Inc. (RNJ)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

Period
November 1,
2007 to
July 31,

 

Year Ended October 31,

 

 

 

2011

 

2010

 

2009

 

2008

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

12.57

 

$

11.33

 

$

12.20

 

$

13.57

 

$

14.47

 

$

14.48

 

Net investment income

 

 

0.79

1

 

0.82

1

 

0.86

1

 

0.66

1

 

0.91

 

 

0.85

 

Net realized and unrealized gain (loss)

 

 

(0.23

)

 

1.22

 

 

(0.96

)

 

(1.26

)

 

(0.70

)

 

0.34

 

Dividends and distributions to AMPS Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.02

)

 

(0.03

)

 

(0.13

)

 

(0.16

)

 

(0.23

)

 

(0.20

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.02

)

 

(0.03

)

Net increase (decrease) from investment operations

 

 

0.54

 

 

2.01

 

 

(0.23

)

 

(0.76

)

 

(0.04

)

 

0.96

 

Dividends and distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.79

)

 

(0.77

)

 

(0.64

)

 

(0.61

)

 

(0.82

)

 

(0.84

)

Net realized gain

 

 

 

 

 

 

 

 

 

 

(0.04

)

 

(0.13

)

Total dividends and distributions to Common Shareholders

 

 

(0.79

)

 

(0.77

)

 

(0.64

)

 

(0.61

)

 

(0.86

)

 

(0.97

)

Net asset value, end of period

 

$

12.32

 

$

12.57

 

$

11.33

 

$

12.20

 

$

13.57

 

$

14.47

 

Market price, end of period

 

$

12.02

 

$

12.96

 

$

11.68

 

$

11.96

 

$

14.96

 

$

15.95

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

4.63

%

 

18.01

%

 

(1.09

)%

 

(6.10

)%3

 

(1.03

)%

 

6.14

%

Based on market price

 

 

(0.99

)%

 

18.02

%

 

4.01

%

 

(16.50

)%3

 

(1.02

)%

 

15.25

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratio to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.55

%

 

1.59

%

 

1.70

%

 

1.88

%5,6

 

1.48

%

 

1.51

%

Total expenses after fees waived and before fees paid indirectly4

 

 

1.53

%

 

1.57

%

 

1.67

%

 

1.86

%5,6

 

1.47

%

 

1.51

%

Total expenses after fees waived and paid indirectly4

 

 

1.53

%

 

1.57

%

 

1.67

%

 

1.86

%5,6

 

1.40

%

 

1.41

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees4,7

 

 

1.52

%

 

1.56

%

 

1.64

%

 

1.84

%5,6

 

1.40

%

 

1.41

%

Net investment income4

 

 

6.55

%

 

6.75

%

 

7.91

%

 

6.97

%5,6

 

6.49

%

 

5.91

%

Dividends to AMPS Shareholders

 

 

0.20

%

 

0.23

%

 

1.20

%

 

1.89

%5

 

1.67

%

 

1.41

%

Net investment income to Common Shareholders

 

 

6.35

%

 

6.52

%

 

6.71

%

 

5.08

%5,6

 

4.82

%

 

4.50

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

12,525

 

$

12,764

 

$

11,474

 

$

12,351

 

$

13,694

 

$

14,576

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

6,900

 

$

6,900

 

$

6,900

 

$

7,075

 

$

7,500

 

$

7,500

 

Portfolio turnover

 

 

26

%

 

23

%

 

32

%

 

18

%

 

31

%

 

27

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

70,381

 

$

71,248

 

$

66,576

 

$

68,647

 

$

70,649

 

$

73,603

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Certain non-recurring expenses have been included in the ratio but not annualized. If these expenses were annualized, the ratios of total expense, total expenses after fees waived and before fees paid indirectly, total expenses after fees waived and paid indirectly, total expense after fees waived and paid indirectly and excluding interest expense and fees, net investment income and net investment income to Common Shareholders would have been 2.00%, 1.98%, 1.98%, 1.96%, 6.85% and 4.96%, respectively.

 

 

 

 

7

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

51




 

 

 

 

 

Financial Highlights

BlackRock New Jersey Municipal Income Trust (BNJ)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.38

 

$

12.78

 

$

14.15

 

$

15.49

 

$

16.35

 

$

15.87

 

Net investment income

 

 

0.98

1

 

1.02

1

 

1.05

1

 

0.89

1

 

1.14

 

 

1.17

 

Net realized and unrealized gain (loss)

 

 

(0.32

)

 

1.54

 

 

(1.38

)

 

(1.24

)

 

(0.74

)

 

0.52

 

Dividends to AMPS Shareholders from net investment income

 

 

(0.03

)

 

(0.03

)

 

(0.11

)

 

(0.24

)

 

(0.30

)

 

(0.26

)

Net increase (decrease) from investment operations

 

 

0.63

 

 

2.53

 

 

(0.44

)

 

(0.59

)

 

0.10

 

 

1.43

 

Dividends to Common Shareholders from net investment income

 

 

(0.94

)

 

(0.93

)

 

(0.93

)

 

(0.75

)

 

(0.96

)

 

(0.95

)

Net asset value, end of period

 

$

14.07

 

$

14.38

 

$

12.78

 

$

14.15

 

$

15.49

 

$

16.35

 

Market price, end of period

 

$

14.10

 

$

14.82

 

$

14.00

 

$

15.09

 

$

16.90

 

$

18.40

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

4.74

%

 

20.22

%

 

(2.62

)%

 

(4.12

)%3

 

0.17

%

 

9.18

%

Based on market price

 

 

1.85

%

 

13.11

%

 

0.04

%

 

(6.28

)%3

 

(2.89

)%

 

22.56

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratio to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.25

%

 

1.23

%

 

1.38

%

 

1.28

%5

 

1.24

%

 

1.27

%

Total expenses after fees waived and before fees paid indirectly4

 

 

1.24

%

 

1.13

%

 

1.17

%

 

1.03

%5

 

0.94

%

 

0.91

%

Total expenses after fees waived and paid indirectly4

 

 

1.24

%

 

1.13

%

 

1.17

%

 

1.03

%5

 

0.93

%

 

0.89

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees4,6

 

 

1.22

%

 

1.12

%

 

1.14

%

 

1.02

%5

 

0.93

%

 

0.89

%

Net investment income4

 

 

7.09

%

 

7.42

%

 

8.49

%

 

7.92

%5

 

7.18

%

 

7.31

%

Dividends to AMPS Shareholders

 

 

0.21

%

 

0.23

%

 

1.22

%

 

1.94

%5

 

1.86

%

 

1.63

%

Net investment income to Common Shareholders

 

 

6.88

%

 

7.19

%

 

7.27

%

 

5.98

%5

 

5.32

%

 

5.68

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

107,226

 

$

109,257

 

$

96,696

 

$

106,596

 

$

116,152

 

$

121,987

 

AMPS Shares outstanding at $25,000 liquidation preference, end of period (000)

 

$

59,100

 

$

59,100

 

$

59,100

 

$

60,475

 

$

63,800

 

$

63,800

 

Portfolio turnover

 

 

20

%

 

11

%

 

29

%

 

12

%

 

23

%

 

2

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

70,358

 

$

71,218

 

$

65,905

 

$

69,083

 

$

70,528

 

$

72,812

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

52

ANNUAL REPORT

JULY 31, 2011




 

 

 

 

 

Financial Highlights

BlackRock New York Investment Quality Municipal Trust Inc. (RNY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.15

 

$

12.81

 

$

13.30

 

$

14.40

 

$

15.18

 

$

15.03

 

Net investment income

 

 

0.94

1

 

0.95

1

 

0.95

1

 

0.67

1

 

0.95

 

 

0.97

 

Net realized and unrealized gain (loss)

 

 

(0.43

)

 

1.28

 

 

(0.61

)

 

(0.89

)

 

(0.61

)

 

0.37

 

Dividends and distributions to AMPS Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.03

)

 

(0.03

)

 

(0.10

)

 

(0.15

)

 

(0.25

)

 

(0.21

)

Net realized gain

 

 

 

 

(0.00

)2

 

(0.00

)2

 

(0.04

)

 

(0.01

)

 

(0.02

)

Net increase (decrease) from investment operations

 

 

0.48

 

 

2.20

 

 

0.24

 

 

(0.41

)

 

0.08

 

 

1.11

 

Dividends and distributions to Common Shareholders from:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

(0.88

)

 

(0.84

)

 

(0.72

)

 

(0.60

)

 

(0.85

)

 

(0.88

)

Net realized gain

 

 

 

 

(0.02

)

 

(0.01

)

 

(0.09

)

 

(0.01

)

 

(0.08

)

Total dividends and distributions to Common Shareholders

 

 

(0.88

)

 

(0.86

)

 

(0.73

)

 

(0.69

)

 

(0.86

)

 

(0.96

)

Net asset value, end of period

 

$

13.75

 

$

14.15

 

$

12.81

 

$

13.30

 

$

14.40

 

$

15.18

 

Market price, end of period

 

$

13.49

 

$

14.70

 

$

12.61

 

$

12.83

 

$

15.39

 

$

16.65

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

3.63

%

 

17.60

%

 

2.71

%

 

(2.98

)%4

 

0.10

%

 

7.32

%

Based on market price

 

 

(2.14

)%

 

24.11

%

 

4.81

%

 

(12.43

)%4

 

(2.46

)%

 

19.95

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratio to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses5

 

 

1.39

%

 

1.31

%

 

1.42

%

 

1.48

%6,7

 

1.29

%

 

1.33

%

Total expenses after fees waived and before fees paid indirectly5

 

 

1.39

%

 

1.30

%

 

1.41

%

 

1.47

%6,7

 

1.29

%

 

1.33

%

Total expenses after fees waived and paid indirectly5

 

 

1.39

%

 

1.30

%

 

1.41

%

 

1.47

%6,7

 

1.24

%

 

1.25

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees5,8

 

 

1.36

%

 

1.30

%

 

1.41

%

 

1.47

%6,7

 

1.24

%

 

1.25

%

Net investment income5

 

 

6.90

%

 

6.92

%

 

7.72

%

 

6.53

%6,7

 

6.42

%

 

6.48

%

Dividends to AMPS Shareholders

 

 

0.20

%

 

0.21

%

 

1.14

%

 

1.47

%6

 

1.72

%

 

1.42

%

Net investment income to Common Shareholders

 

 

6.70

%

 

6.71

%

 

6.58

%

 

5.06

%6,7

 

4.70

%

 

5.06

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

18,077

 

$

18,577

 

$

16,796

 

$

17,448

 

$

18,848

 

$

19,839

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

9,725

 

$

9,725

 

$

9,725

 

$

9,800

 

$

9,800

 

$

9,800

 

Portfolio turnover

 

 

19

%

 

35

%

 

24

%

 

8

%

 

37

%

 

24

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

71,471

 

$

72,758

 

$

68,180

 

$

69,521

 

$

73,090

 

$

75,614

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Amount is less than $(0.01) per share.

 

 

 

 

3

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

4

Aggregate total investment return.

 

 

 

 

5

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

6

Annualized.

 

 

 

 

7

Certain non-recurring expense have been include in the ratio but not annualized. If these expenses were annualized, the ratios of total expenses, total expense after fees waived and before fees paid indirectly, total expenses after fees waived and paid indirectly, total expenses after fees waived and paid indirectly and excluding interest expense and fees, net investment income and net investment income to Common Shareholders would have been 1.56%, 1.55%, 1.55%, 1.55%, 6.46% and 4.99%, respectively.

 

 

 

 

8

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

 

See Notes to Financial Statements.

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

53




 

 

 

 

 

Financial Highlights

BlackRock New York Municipal Income Trust (BNY)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Period
November 1,
2007 to
July 31,
2008

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year Ended July 31,

 

 

Year Ended October 31,

 

 

 

2011

 

2010

 

2009

 

 

2007

 

2006

 

Per Share Operating Performance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net asset value, beginning of period

 

$

14.27

 

$

12.71

 

$

13.88

 

$

15.11

 

$

15.88

 

$

15.44

 

Net investment income

 

 

1.01

1

 

1.04

1

 

1.06

1

 

0.86

1

 

1.11

 

 

1.13

 

Net realized and unrealized gain (loss)

 

 

(0.39

)

 

1.54

 

 

(1.22

)

 

(1.17

)

 

(0.70

)

 

0.47

 

Dividends to AMPS Shareholders from net investment income

 

 

(0.03

)

 

(0.03

)

 

(0.10

)

 

(0.21

)

 

(0.28

)

 

(0.26

)

Net increase (decrease) from investment operations

 

 

0.59

 

 

2.55

 

 

(0.26

)

 

(0.52

)

 

0.13

 

 

1.34

 

Dividends to Common Shareholders from net investment income

 

 

(0.99

)

 

(0.99

)

 

(0.91

)

 

(0.71

)

 

(0.90

)

 

(0.90

)

Net asset value, end of period

 

$

13.87

 

$

14.27

 

$

12.71

 

$

13.88

 

$

15.11

 

$

15.88

 

Market price, end of period

 

$

14.20

 

$

15.11

 

$

13.95

 

$

15.26

 

$

15.55

 

$

17.35

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Investment Return2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Based on net asset value

 

 

4.39

%

 

20.35

%

 

(1.28

)%

 

(3.71

)%3

 

0.64

%

 

8.91

%

Based on market price

 

 

0.94

%

 

16.11

%

 

(1.44

)%

 

2.87

%3

 

(5.20

)%

 

20.95

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total expenses4

 

 

1.27

%

 

1.25

%

 

1.43

%

 

1.25

%5

 

1.22

%

 

1.25

%

Total expenses after fees waived and before fees paid indirectly4

 

 

1.27

%

 

1.16

%

 

1.25

%

 

1.00

%5

 

0.92

%

 

0.88

%

Total expenses after fees waived and paid indirectly4

 

 

1.27

%

 

1.16

%

 

1.25

%

 

1.00

%5

 

0.92

%

 

0.87

%

Total expenses after fees waived and paid indirectly and excluding interest expense and fees4,6

 

 

1.22

%

 

1.11

%

 

1.13

%

 

0.97

%5

 

0.92

%

 

0.87

%

Net investment income4

 

 

7.35

%

 

7.50

%

 

8.67

%

 

7.79

%5

 

7.23

%

 

7.30

%

Dividends to AMPS Shareholders

 

 

0.20

%

 

0.22

%

 

1.17

%

 

1.91

%5

 

1.84

%

 

1.69

%

Net investment income to Common Shareholders

 

 

7.15

%

 

7.28

%

 

7.50

%

 

5.88

%5

 

5.39

%

 

5.61

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Supplemental Data

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net assets applicable to Common Shareholders, end of period (000)

 

$

177,993

 

$

182,372

 

$

161,727

 

$

175,927

 

$

190,962

 

$

199,717

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

 

$

94,500

 

$

94,500

 

$

94,500

 

$

95,850

 

$

109,750

 

$

109,750

 

Portfolio turnover

 

 

17

%

 

16

%

 

18

%

 

5

%

 

23

%

 

27

%

Asset coverage per AMPS at $25,000 liquidation preference, end of period

 

$

72,089

 

$

73,248

 

$

67,787

 

$

70,892

 

$

68,509

 

$

70,502

 


 

 

 

 

1

Based on average Common Shares outstanding.

 

 

 

 

2

Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.

 

 

 

 

3

Aggregate total investment return.

 

 

 

 

4

Do not reflect the effect of dividends to AMPS Shareholders.

 

 

 

 

5

Annualized.

 

 

 

 

6

Interest expense and fees relate to TOBs. See Note 1 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.


 

 

 

See Notes to Financial Statements.

 

 

 

 

 

54

ANNUAL REPORT

JULY 31, 2011




 

 

 

Notes to Financial Statements

1. Organization and Significant Accounting Policies:

BlackRock New Jersey Investment Quality Municipal Trust Inc. (“RNJ”) and BlackRock New York Investment Quality Municipal Trust Inc. (“RNY”) are organized as Maryland corporations. BlackRock Investment Quality Municipal Income Trust (“RFA”) is organized as a Massachusetts business trust. RNJ, RNY and RFA are herein referred to as the “Investment Quality Trusts.” BlackRock California Municipal Income Trust (“BFZ”), BlackRock Municipal Income Investment Trust (“BBF”), BlackRock New Jersey Municipal Income Trust (“BNJ”), BlackRock New York Municipal Income Trust (“BNY”) (collectively, the “Income Trusts”) and BlackRock Florida Municipal 2020 Term Trust (“BFO”) are organized as Delaware statutory trusts. The Investment Quality Trusts, Income Trusts and BFO are referred to herein collectively as the “Trusts.” The Trusts are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as non-diversified, closed-end management investment companies. The Trusts’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Board of Directors and the Board of Trustees of the Trusts are referred to throughout this report as the “Board of Trustees” or the “Board.” The Trusts determine and make available for publication the NAV of their Common Shares on a daily basis.

Reorganization: The Board and shareholders of BFZ and the Board and shareholders of each of BlackRock California Insured Municipal Income Trust (“BCK”), BlackRock California Municipal Bond Trust (“BZA”) and BlackRock California Municipal Income Trust II (“BCL”) (individually, a “Target Fund” and collectively the “Target Funds”) approved the reorganizations of BCK, BZA and BCL into BFZ, pursuant to which BFZ acquired substantially all of the assets and substantially all of the liabilities of BCK, BZA and BCL in exchange for an equal aggregate value of newly-issued Common Shares and AMPS Shares of BFZ.

Each Common Shareholder of a Target Fund received Common Shares of BFZ in an amount equal to the aggregate net asset value of such Common Shareholder’s Target Fund Common Shares, as determined at the close of business on January 29, 2010 less the costs of the Target Fund’s reorganization (although cash was distributed for any fractional Common Shares).

Each AMPS Shareholder of a Target Fund received AMPS of BFZ in an amount equal to the aggregate liquidation preference of the Target Fund AMPS held by such AMPS Shareholder prior to the Target Fund’s reorganization.

The reorganizations were accomplished by a tax-free exchange of Common Shares and AMPS of BFZ in the following amounts and at the following conversion ratios:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Shares

 

 

 

 

 

 

 

Shares
Prior to
Reorganization

 

Conversion
Ratio

 

Shares of
BFZ

 

BCK

 

 

5,278,087

 

 

0.97546003

 

 

5,148,524

 

BZA

 

 

3,409,668

 

 

1.04505055

 

 

3,563,251

 

BCL

 

 

7,999,789

 

 

0.99301767

 

 

7,943,897

 


 

 

 

 

 

 

 

 

 

 

 

 

 

AMPS

 

 

 

 

 

 

 

Series F-7

 

Series R-7

 

Series T-7

 

BCK

 

 

1,253

 

 

 

 

 

BZA

 

 

898

 

 

 

 

 

BCL

 

 

 

 

931

 

 

931

 

Each Target Fund’s net assets and composition of net assets on January 29, 2010, the date of the merger, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Assets
Applicable to
Common
Shareholders

 

AMPS at
Liquidation
Preference

 

Paid-in
Capital

 

BCK

 

$

70,787,151

 

$

31,325,000

 

$

4,722,726

 

BZA

 

$

48,990,979

 

$

22,450,000

 

$

48,275,547

 

BCL

 

$

109,220,636

 

$

46,550,000

 

$

113,337,925

 


 

 

 

 

 

 

 

 

 

 

 

 

 

Undistributed
Net
Investment
Income

 

Accumulated
Net
Realized
Loss

 

Net
Unrealized
Appreciation/
Depreciation

 

BCK

 

$

13,660

 

$

(2,517,189

)

$

(1,432,046

)

BZA

 

$

8,847

 

$

(560,343

)

$

1,266,928

 

BCL

 

$

67,073

 

$

(7,251,617

)

$

3,067,255

 

For financial reporting purposes, assets received and shares issued by BFZ were recorded at fair value; however, the cost basis of the investments received from the Target Funds were carried forward to align ongoing reporting of BFZ’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The aggregate net assets of BFZ immediately after the acquisition amounted to $437,406,830. Each Target Fund’s fair value and cost of investments prior to the reorganization were as follows:

 

 

 

 

 

 

 

 

 

 

Fair Value of
Investments

 

Cost of
Investments

 

BCK

 

$

108,191,823

 

$

109,623,869

 

BZA

 

$

76,672,439

 

$

75,405,511

 

BCL

 

$

175,462,460

 

$

172,395,205

 

The purpose of these transactions was to combine four funds managed by the Manager with the same or substantially similar (but not identical) investment objectives, investment policies, strategies, risks and restrictions. Each reorganization was a tax-free event and was effective on February 1, 2010.

In connection with the reorganizations, BFZ’s investment advisory fee was reduced by 2 basis points, from 0.60% of BFZ’s average weekly net assets to 0.58% of BFZ’s average weekly net assets as defined in Note 3. In addition to this reduction, BFZ’s contractual investment advisory fee waiver, as a percentage of average weekly net assets, was extended for an additional two years as follows: (i) 0.05% through December 31, 2010, (ii) 0.03% through December 31, 2011 and (iii) 0.01% through December 31, 2012.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

55




 

 

 

Notes to Financial Statements (continued)

Assuming the acquisition had been completed on August 1, 2009, the beginning of the annual reporting period of BFZ, the pro forma results of operations for the year ended July 31, 2010, are as follows:

 

 

Net investment income: $30,885,392

 

 

Net realized and change in unrealized gain on investments: $41,142,437

 

 

Dividends to AMPS Shareholders from net investment income: $(711,091)

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations: $71,316,738

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of BFZ that have been included in BFZ’s Statement of Operations since January 29, 2010 to July 31, 2010.

The following is a summary of significant accounting policies followed by the Trusts:

Valuation: US 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 fair value their financial instruments at market value using independent dealers or pricing services under policies approved by each Trust’s Board. 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. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at net asset value each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Trust might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.

Zero-Coupon Bonds: The Trusts may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Forward Commitments and When-Issued Delayed Delivery Securities: The 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. The Trusts 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, the Trusts may be required to pay more at settlement than the security is worth. In addition, the Trusts are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Trusts assume 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, the Trusts’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

Municipal Bonds Transferred to TOBs: The Trusts leverage their assets through the use of TOBs. A TOB is established by a third party sponsor forming a special purpose entity, into which one or more funds, or an agent on behalf of the funds, transfers municipal bonds. Other funds managed by the investment advisor may also contribute municipal bonds to a TOB into which a Trust has contributed bonds. A TOB typically issues two classes of beneficial interests: short-term floating rate certificates, which are sold to third party investors, and residual certificates (“TOB Residuals”), which are generally issued to the participating funds that made the transfer. The TOB Residuals held by a Trust include the right of a Trust (1) to cause the holders of a proportional share of the short-term floating rate certificates to tender their certificates at par, including during instances of a rise in short-term interest rates, and (2) to transfer, within seven days, a corresponding share of the municipal bonds from the TOB to a Trust. The TOB may also be terminated without the consent of a Trust upon the occurrence of certain events as defined in the TOB agreements. Such termination events may include the bankruptcy or default of the municipal bond, a substantial downgrade in credit quality of the municipal bond, the inability of the TOB to obtain quarterly or annual renewal of the liquidity support agreement, a substantial decline in market value of the municipal bond or the inability to remarket the short-term floating rate certificates to third party investors. During the year ended July 31, 2011, no TOBs that the Trusts participated in were terminated without the consent of the Trusts.

The cash received by the TOB from the sale of the short-term floating rate certificates, less transaction expenses, is paid to a Trust, which typically invests the cash in additional municipal bonds. Each Trust’s transfer of the municipal bonds to a TOB is accounted for as a secured borrowing, therefore the municipal bonds deposited into a TOB are presented in the Trusts’ Schedules of Investments and the proceeds from the issuance of the short-term floating rate certificates are shown as TOB trust certificates under other liabilities in the Statements of Assets and Liabilities.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by the Trusts on an accrual basis. Interest expense incurred on the secured borrowing and other expenses related to remarketing, administration and trustee services to a TOB are shown as interest expense and fees in the Statements of Operations. The short-term floating rate certificates have interest rates that generally reset weekly and their holders have the option to tender certificates to the TOB for redemption at par at each reset date. At July 31, 2011, the aggregate value

 

 

 

 

 

 

 

56

ANNUAL REPORT

JULY 31, 2011




 

 

 

Notes to Financial Statements (continued)

of the underlying municipal bonds transferred to TOBs, the related liability for TOB trust certificates and the range of interest rates on the liability for TOB trust certificates were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

Underlying
Municipal Bonds
Transferred to TOBs

 

Liability for
TOB Trust
Certificates

 

Range of
Interest Rates

 

BFZ

 

$

279,019,169

 

$

143,712,937

 

 

0.08% – 0.14

%

BFO

 

$

826,770

 

$

500,000

 

 

0.14% – 0.22

%

RFA

 

$

8,286,843

 

$

4,458,720

 

 

0.08% – 0.22

%

BBF

 

$

57,155,385

 

$

30,617,038

 

 

0.08% – 0.12

%

RNJ

 

$

244,957

 

$

159,917

 

 

0.17%

 

BNJ

 

$

7,350,086

 

$

3,859,296

 

 

0.11% – 0.17

%

RNY

 

$

1,143,732

 

$

569,974

 

 

0.11% – 0.12

%

BNY

 

$

21,799,333

 

$

11,089,474

 

 

0.11% – 0.22

%

For the year ended July 31, 2011, the Trusts’ average TOB trust certificates outstanding and the daily weighted average interest rate, including fees, were as follows:

 

 

 

 

 

 

 

 

 

 

Average TOB
Trust Certificates
Outstanding

 

Daily Weighted
Average
Interest Rate

 

BFZ

 

$

149,992,763

 

 

0.78

%

BFO

 

$

3,983,121

 

 

0.68

%

RFA

 

$

4,503,523

 

 

0.80

%

BBF

 

$

30,484,928

 

 

0.79

%

RNJ

 

$

159,917

 

 

0.81

%

BNJ

 

$

2,371,659

 

 

0.79

%

RNY

 

$

569,974

 

 

0.79

%

BNY

 

$

11,474,403

 

 

0.72

%

Should short-term interest rates rise, the Trusts’ investments in TOBs may adversely affect the Trusts’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market values of municipal bonds deposited into the TOB may adversely affect the Trusts’ net asset values per share.

Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Trusts either deliver collateral or segregate assets in connection with certain investments (e.g., financial futures contracts), the Trusts will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.

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. Dividend income is recorded on the ex-dividend dates. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP. Dividends and distributions to AMPS Shareholders are accrued and determined as described in Note 7.

Income Taxes: It is each Trust’s 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 its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Each Trust files US federal and various state and local tax returns. No income tax returns are currently under examination. The statutes of limitations on Investment Quality Trusts’ and Income Trusts’ US federal tax returns remains open for each of the three years ended July 31, 2011, 2010 and 2009, and the period ended July 31, 2008. The statutes of limitations on BFO’s US federal tax returns remain open for the three years ended July 31, 2011, 2010 and 2009 and the period ended July 31, 2008. 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 does not believe there are any uncertain tax positions that require recognition of a tax liability.

Recent Accounting Standard: In May 2011, the Financial Accounting Standards Board issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Trusts’ financial statements and disclosures.

Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Trust’s Board, 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 approximately 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 deferred compensation plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust. Each Trust may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees in order to match its deferred compensation obligations. Investments to cover each Trust’s deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

57




 

 

 

Notes to Financial Statements (continued)

the BlackRock Closed-End Fund investments under the plan are included in income — affiliated in the Statements of Operations.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.

The Trusts have an arrangement with the custodians 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 custodians impose fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

2. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and to economically hedge, or protect, their exposure to certain risks such as interest rate risk. These contracts may be transacted on an exchange.

Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. Counterparty risk related to exchange-traded financial futures contracts is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.

Financial Futures Contracts: The Trusts purchase or sell 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 the coun-terparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date of by payment of a cash settlement amount on the settlement date. 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 margin variation and are recorded by the Trusts as unrealized appreciation or depreciation. 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 rates and the underlying assets.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure:

 

 

 

Fair Values of Derivative Financial Instruments as of July 31, 2011

 

 

 

Liability Derivatives

 

 

 

 

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

 

 

Statement of Assets and
Liabilities Location

 

Value

 

Interest rate contracts

 

Net unrealized appreciation/depreciation*

 

$

(15,400

)

$

(136,215

)

$

(15,400

)

$

(90,834

)

$

(17,783

)

$

(174,273

)


 

 

 

 

*

Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The Effect of Derivative Financial Instruments in the Statements of Operations
Year Ended July 31, 2011

 

 

 

Net Realized Loss From

 

 

 

BFZ

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

(1,738,793

)

$

(47,741

)

$

(416,639

)

$

(47,741

)

$

(302,747

)

$

(57,535

)

$

(595,052

)


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net Change in Unrealized
Appreciation/Depreciation on

 

 

 

BFZ

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

Interest rate contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial futures contracts

 

$

40,714

 

$

(15,400

)

$

(136,215

)

$

(15,400

)

$

(90,834

)

$

(12,649

)

$

(126,785

)


 

For the year ended July 31, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BFZ

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

Financial futures contracts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average number of contracts sold

 

 

40

 

 

3

 

 

27

 

 

3

 

 

17

 

 

3

 

 

31

 

Average notional value of contracts sold

 

$

4,740,549

 

$

360,658

 

$

3,183,678

 

$

360,658

 

$

2,071,870

 

$

364,207

 

$

3,700,264

 


 

 

 

 

 

 

 

58

ANNUAL REPORT

JULY 31, 2011




 

 

 

Notes to Financial Statements (continued)

3. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate of the Trusts for 1940 Act purposes, but Barclays is not.

Each Trust entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (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 necessary personnel, facilities, equipment and certain other services necessary to the operations of each Trust. For such services, each Trust pays the Manager a monthly fee based on a percentage of each Trust’s average weekly net assets at the following annual rates:

 

 

 

 

 

BFZ

 

 

0.58

%

BFO

 

 

0.50

%

RFA

 

 

0.35

%

BBF

 

 

0.60

%

RNJ

 

 

0.35

%

BNJ

 

 

0.60

%

RNY

 

 

0.35

%

BNY

 

 

0.60

%

Average weekly net assets is the average weekly value of each Trust’s total assets minus the sum of its accrued liabilities.

The Manager contractually agreed to waive a portion of the investment advisory fee on BFZ at an annual rate of 0.05% of average weekly net assets through December 31, 2010, 0.03% through December 31, 2011 and 0.01% through December 31, 2012. For the year ended July 31, 2011, the Manager waived $291,212, which is included in fees waived by advisor in the Statements of Operations.

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, however the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid through each Trust’s investment in other affiliated investment companies, if any. These amounts are shown as, or included in, fees waived by advisor in the Statements of Operations. For the year ended July 31, 2011, the amounts waived were as follows:

 

 

 

 

 

BFZ

 

$

24,501

 

BFO

 

$

5,160

 

RFA

 

$

134

 

BBF

 

$

1,256

 

RNJ

 

$

1,693

 

BNJ

 

$

12,037

 

RNY

 

$

672

 

BNY

 

$

5,544

 

Each Investment Quality Trust has an Administration Agreement with the Manager. The administration fee paid to the Manager is computed weekly and payable monthly based on an annual rate of 0.10% of each respective Trust’s average weekly net assets for the Investment Quality Trusts.

The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager. The Manager pays BFM for services it provides, a monthly fee that is a percentage of the investment advisory fees paid by each Trust to the Manager.

For the year ended July 31, 2011, the Trusts reimbursed the Manager for certain accounting services, which are included in accounting services in the Statements of Operations. The reimbursements were as follows:

 

 

 

 

 

BFZ

 

$

6,310

 

BFO

 

$

1,062

 

BBF

 

$

1,297

 

BNJ

 

$

1,365

 

BNY

 

$

2,305

 

Effective January 1, 2011, the Trusts no longer reimburse the Manager for accounting services.

Certain officers and/or trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for compensation paid to the Trusts’ Chief Compliance Officer.

4. Investments:

Purchases and sales of investments, excluding short-term securities, for the year ended July 31, 2011, were as follows:

 

 

 

 

 

 

 

 

 

 

Purchases

 

Sales

 

BFZ

 

$

288,046,468

 

$

261,230,636

 

BFO

 

$

11,601,605

 

$

7,648,078

 

RFA

 

$

6,543,484

 

$

5,984,740

 

BBF

 

$

44,533,611

 

$

36,758,913

 

RNJ

 

$

5,172,892

 

$

4,835,883

 

BNJ

 

$

34,587,107

 

$

33,144,630

 

RNY

 

$

5,556,598

 

$

5,190,993

 

BNY

 

$

45,800,339

 

$

52,995,112

 


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

59



 

 

 

Notes to Financial Statements (continued)

5. Income Tax Information:

Reclassifications: US GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of July 31, 2011 attributable to amortization methods on fixed income securities, the expiration of capital loss carryforwards and income recognized from pass-through entities were reclassified to the following accounts:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BFZ

 

BFO

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

Paid-in capital

 

$

(3,015,822

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Undistributed net investment income

 

$

(260,310

)

$

3,250

 

$

3,085

 

$

(61

)

$

1,133

 

$

3,649

 

 

 

$

(3,522

)

Accumulated net realized loss

 

$

3,276,132

 

$

(3,250

)

$

(3,085

)

$

61

 

$

(1,133

)

$

(3,649

)

 

 

$

3,522

 

The tax character of distributions paid during the fiscal years ended July 31, 2011 and July 31, 2010 was as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BFZ

 

BFO

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

Tax-exempt income

 

7/31/2011

 

$

29,537,062

 

$

3,895,423

 

$

964,157

 

$

6,181,675

 

$

824,117

 

$

7,392,033

 

$

1,187,319

 

$

13,024,667

 

 

 

7/31/2010

 

 

21,828,779

 

 

3,915,452

 

 

950,664

 

 

6,194,430

 

 

812,685

 

 

7,305,656

 

 

1,134,990

 

 

12,989,801

 

Ordinary income

 

7/31/2011

 

 

33,693

 

 

 

 

 

 

 

 

 

 

32,415

 

 

 

 

 

 

 

7/31/2010

 

 

 

 

 

 

 

 

 

 

 

 

 

 

35,317

 

 

 

Total distributions

 

7/31/2011

 

$

29,570,755

 

$

3,895,423

 

$

964,157

 

$

6,181,675

 

$

824,117

 

$

7,424,448

 

$

1,187,319

 

$

13,024,667

 

 

 

7/31/2010

 

$

21,828,779

 

$

3,915,452

 

$

950,664

 

$

6,194,430

 

$

812,685

 

$

7,305,656

 

$

1,170,307

 

$

12,989,801

 

As of July 31, 2011, the tax components of accumulated net earnings (losses) were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BFZ

 

BFO

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

Undistributed tax-exempt income

 

$

5,873,401

 

$

4,430,622

 

$

93,382

 

$

826,658

 

$

197,540

 

$

2,150,688

 

$

334,851

 

$

4,031,038

 

Undistributed ordinary income

 

 

4,796

 

 

312

 

 

234

 

 

694

 

 

1,732

 

 

1,313

 

 

1,643

 

 

4,618

 

Capital loss carryforwards

 

 

(21,060,618

)

 

(583,106

)

 

(2,410,810

)

 

(9,320,918

)

 

(595,385

)

 

(2,030,067

)

 

(150,605

)

 

(6,719,796

)

Net unrealized gains (losses)*

 

 

8,332,989

 

 

372,318

 

 

575,644

 

 

3,188,653

 

 

(296,445

)

 

(1,161,604

)

 

114,067

 

 

(1,461,407

)

Total

 

$

(6,849,432

)

$

4,220,146

 

$

(1,741,550

)

$

(5,304,913

)

$

(692,558

)

$

(1,039,670

)

$

299,956

 

$

(4,145,547

)


 

 

*

The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales, amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures contracts, the deferral of post-October capital losses for tax purposes, the tax treatment of residual interests in TOBs and the deferral of compensation to trustees.

As of July 31, 2011, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Expires July 31,

 

BFZ

 

BFO

 

RFA

 

BBF

 

RNJ

 

BNJ

 

RNY

 

BNY

 

2012

 

$

2,050,253

 

 

 

 

 

$

518,297

 

 

 

$

3,833

 

 

 

$

151,220

 

2014

 

 

1,681,553

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2015

 

 

465,742

 

 

 

$

137,267

 

 

426,674

 

 

 

 

592,744

 

 

 

 

 

2016

 

 

186,028

 

 

 

 

389,530

 

 

866,417

 

$

223,484

 

 

15,502

 

 

 

 

505,354

 

2017

 

 

3,782,470

 

$

521,006

 

 

299,461

 

 

 

 

 

 

 

 

 

 

2,599,716

 

2018

 

 

12,894,572

 

 

62,100

 

 

1,266,317

 

 

6,858,066

 

 

345,722

 

 

1,390,524

 

 

 

 

1,480,575

 

2019

 

 

 

 

 

 

318,235

 

 

651,464

 

 

26,179

 

 

27,464

 

$

150,605

 

 

1,982,931

 

Total

 

$

21,060,618

 

$

583,106

 

$

2,410,810

 

$

9,320,918

 

$

595,385

 

$

2,030,067

 

$

150,605

 

$

6,719,796

 


Under the recently enacted Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Trusts after July 31, 2011 will not be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in pre-enactment taxable years.

 

 

 

 

 

 

 

60

ANNUAL REPORT

JULY 31, 2011



 

 

 

Notes to Financial Statements (continued)

6. Concentration, Market and Credit Risk:

Each Trust invests a substantial amount of their assets in issuers located in a single state or a limited number of states. Please see the Schedules of Investments for concentrations in specific states.

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.

In the normal course of business, the Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Trusts; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity with which the Trusts have unsettled or open transactions may fail to or be unable to perform on its commitments. The Trusts manage coun-terparty credit risk by entering into transactions only with counterparties that they believe 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 coun-terparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Trusts’ Statements of Assets and Liabilities, less any collateral held by the Trusts.

As of July 31, 2011, BFZ invested a significant portion of its assets in securities in the County/City/Special District/School District and Utilities sectors. BFO and RNY invested a significant portion of their assets in securities in the County/City/Special District/School District sector. RFA invested a significant portion of its assets in securities in the Utilities sector. BBF invested a significant portion of its assets in securities in the Health, County/City/Special District/School District and Utilities sectors. RNJ invested a significant portion of its assets in securities in the Education sector, BNJ invested a significant portion of their assets in securities in the State sector. Changes in economic conditions affecting the Utilities, County/City/Special District/School District, Health and State sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

7. Capital Share Transactions:

Each Investment Quality Trust is authorized to issue 200 million shares, par value $0.01 per share, all of which were initially classified as Common Shares. There are an unlimited number of $0.001 par value Common Shares authorized for the Income Trusts and BFO. Each Trust’s Board is authorized, however, to reclassify any unissued shares without approval of Common Shareholders. At July 31, 2011, Common Shares of BFO owned by affiliates of the Manager was 8,028 shares.

Common Shares

For the years shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

 

 

 

 

 

 

 

 

 

Year Ended
July 31,
2011

 

Year Ended
July 31,
2010

 

BFZ

 

 

13,214

 

 

10,114

 

RFA

 

 

546

 

 

551

 

BBF

 

 

4,809

 

 

3,240

 

RNJ

 

 

1,268

 

 

2,699

 

BNJ

 

 

22,508

 

 

28,026

 

RNY

 

 

2,077

 

 

1,225

 

BNY

 

 

50,883

 

 

50,502

 

Shares issued and outstanding remained constant for BFO for the year ended July 31, 2011 and July 31, 2010.

AMPS

The AMPS are redeemable at the option of each Trust, in whole or in part, on any dividend payment date at their liquidation preference per share plus any accumulated and unpaid dividends whether or not declared. The AMPS are also subject to mandatory redemption at their liquidation preference plus any accumulated and unpaid dividends, whether or not declared, if certain requirements relating to the composition of the assets and liabilities of a Trust, as set forth in each Trust’s Articles of Amendment/Statement of Preferences (the “Governing Instrument”) are not satisfied.

From time to time in the future, each Trust may effect repurchases of its AMPS at prices below their liquidation preference as agreed upon by the Trust and seller. Each Trust also may redeem its AMPS from time to time as provided in the applicable Governing Instrument. Each Trust intends to effect such redemptions and/or repurchases to the extent necessary to maintain applicable asset coverage requirements or for such other reasons as the Board may determine.

The Trusts had the following series of AMPS outstanding, effective yields and reset frequency as of July 31, 2011:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

AMPS

 

Effective
Yield

 

Reset
Frequency
Days

 

BFZ

 

 

F7

 

 

2,151

 

0.12

%

 

 

7

 

 

 

 

R7

 

 

2,351

 

0.12

%

 

 

7

 

 

 

 

T7

 

 

2,351

 

0.12

%

 

 

7

 

BFO

 

 

F7

 

 

1,716

 

0.12

%

 

 

7

 

RFA

 

 

R7

 

 

183

 

0.12

%

 

 

7

 

BBF

 

 

T7

 

 

1,370

 

0.12

%

 

 

7

 

RNJ

 

 

T7

 

 

276

 

0.12

%

 

 

7

 

BNJ

 

 

R7

 

 

2,364

 

0.12

%

 

 

7

 

RNY

 

 

F7

 

 

389

 

0.12

%

 

 

7

 

BNY

 

 

F7

 

 

1,890

 

0.12

%

 

 

7

 

 

 

 

W7

 

 

1,890

 

0.12

%

 

 

7

 


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

61




 

 

 

Notes to Financial Statements (concluded)

Dividends on seven-day AMPS are cumulative at a rate, which is reset every seven days based on the results of an auction. If the AMPS fail to clear the auction on an auction date, each Trust is required to pay the maximum applicable rate on the AMPS to holders of such shares for successive dividend periods until such time as the shares are successfully auctioned. The maximum applicable rate on all series of AMPS is the higher of 110% of the AA commercial paper rate or 100% of 90% of the Kenny S&P 30-day High Grade Index rate divided by 1.00 minus the marginal tax rate. The low, high and average dividend rates on the AMPS for each Trust for the year ended July 31, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Series

 

Low

 

High

 

Average

 

BFZ

 

 

F7

 

 

0.12%

 

 

0.50%

 

0.36%

 

 

 

 

R7

 

 

0.11%

 

 

0.50%

 

0.36%

 

 

 

 

T7

 

 

0.11%

 

 

0.50%

 

0.37%

 

BFO

 

 

F7

 

 

0.11%

 

 

0.50%

 

0.36%

 

RFA

 

 

R7

 

 

0.11%

 

 

0.50%

 

0.36%

 

BBF

 

 

Y7

 

 

0.11%

 

 

0.50%

 

0.37%

 

RNJ

 

 

Y7

 

 

0.11%

 

 

0.50%

 

0.37%

 

BNJ

 

 

R7

 

 

0.11%

 

 

0.50%

 

0.36%

 

RNY

 

 

F7

 

 

0.11%

 

 

0.50%

 

0.36%

 

BNY

 

 

F7

 

 

0.11%

 

 

0.50%

 

0.36%

 

 

 

 

W7

 

 

0.11%

 

 

0.50%

 

0.37%

 

Since February 13, 2008, the AMPS of the Trusts failed to clear any of their auctions. As a result, the AMPS dividend rates were reset to the maximum applicable rate, which ranged from 0.11% to 0.50% for the year ended July 31, 2011. A failed auction is not an event of default for the Trusts but it has a negative impact on the liquidity of AMPS. A failed auction occurs when there are more sellers of a Trust’s AMPS than buyers. A successful auction for the Trusts’ AMPS may not occur for some time, if ever, and even if liquidity does resume, AMPS Shareholders may not have the ability to sell the AMPS at their liquidation preference.

The Trusts may not declare dividends or make other distributions on Common Shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding AMPS is less than 200%.

The Trusts pay commissions of 0.15% on the aggregate principal amount of all shares that fail to clear their auctions and 0.25% on the aggregate principal amount of all shares that successfully clear their auctions. Certain broker dealers have individually agreed to reduce commissions for failed auctions.

AMPS issued and outstanding remained constant during the year ended July 31, 2011 and during the year ended July 31, 2010 for all Trusts, except BFZ which increased the amount of shares received from the reorganization as disclosed in Note 1.

8. 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:

The Trusts paid a net investment income dividend in the following amounts per share on September 1, 2011 to Common Shareholders of record on August 15, 2011:

 

 

 

 

 

 

 

 

 

 

Common Dividend
Per Share

 

BFZ

 

 

$

0.075700

 

 

BFO

 

 

$

0.056000

 

 

RFA

 

 

$

0.070000

 

 

BBF

 

 

$

0.075375

 

 

RNJ

 

 

$

0.065500

 

 

BNJ

 

 

$

0.079100

 

 

RNY

 

 

$

0.073000

 

 

BNY

 

 

$

0.082500

 

 

The dividends declared on AMPS for the period August 1, 2011 to August 31, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

Series

 

Dividends
Declared

 

BFZ

 

 

F7

 

$

11,336

 

 

 

 

R7

 

$

11,144

 

 

 

 

T7

 

$

14,247

 

BFO

 

 

F7

 

$

9,043

 

RFA

 

 

R7

 

$

867

 

BBF

 

 

Y7

 

$

8,302

 

RNJ

 

 

Y7

 

$

1,673

 

BNJ

 

 

R7

 

$

11,205

 

RNY

 

 

F7

 

$

2,050

 

BNY

 

 

F7

 

$

9,960

 

 

 

 

W7

 

$

8,694

 

On September 15, 2011, BBF issued 342 Series W-7 VRDP Shares, $100,000 liquidation value per share with a maturity date of October 1, 2041 and total proceeds received of $34,200,000 in a private offering of VRDP Shares to qualified institutional buyers, as defined in Rule 144A under the Securities Act of 1933, to finance the AMPS redemption.

BBF entered into a Fee Agreement (the “Agreement”) with a financial institution in relation to the refinancing of AMPS. Pursuant to the terms of the Agreement, effective September 15, 2011, BBF will pay a liquidity fee to provide a liquidity feature in the event of a failed remarketing.

On September 16, 2011, BBF announced the redemption of all of the outstanding AMPS at a price of $25,000 per share plus any accrued and unpaid dividends through the expected redemption date of October 12, 2011.

 

 

 

 

 

 

62

ANNUAL REPORT

JULY 31, 2011




 

 

 

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Directors of
BlackRock New Jersey Investment Quality
Municipal Trust Inc. and
BlackRock New York Investment Quality Municipal Trust Inc.
and to the Shareholders and Board of Trustees of
BlackRock California Municipal Income Trust
BlackRock Florida Municipal 2020 Term Trust
BlackRock Investment Quality Municipal Income Trust
BlackRock Municipal Income Investment Trust
BlackRock New Jersey Municipal Income Trust and
BlackRock New York Municipal Income Trust:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of BlackRock California Municipal Income Trust, BlackRock Florida Municipal 2020 Term Trust, BlackRock Investment Quality Municipal Income Trust, BlackRock Municipal Income Investment Trust, BlackRock New Jersey Investment Quality Municipal Trust Inc., BlackRock New Jersey Municipal Income Trust, BlackRock New York Investment Quality Municipal Trust Inc., and BlackRock New York Municipal Income Trust (the “Trusts”) as of July 31, 2011, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. We have also audited the statements of cash flows of BlackRock California Municipal Income Trust, BlackRock Investment Quality Municipal Income Trust, and BlackRock Municipal Income Investment Trust for the year ended July 31, 2011. These financial statements and financial highlights are the responsibility of the Trusts’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trusts are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trusts’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of July 31, 2011, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of BlackRock California Municipal Income Trust, BlackRock Florida Municipal 2020 Term Trust, BlackRock Investment Quality Municipal Income Trust, BlackRock Municipal Income Investment Trust, BlackRock New Jersey Investment Quality Municipal Trust Inc., BlackRock New Jersey Municipal Income Trust, BlackRock New York Investment Quality Municipal Trust Inc., and BlackRock New York Municipal Income Trust as of July 31, 2011, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. Also in our opinion, the statements of cash flows referred to above present fairly, in all material respects, the cash flows of BlackRock California Municipal Income Trust, BlackRock Investment Quality Municipal Income Trust, and BlackRock Municipal Income Investment Trust for the year ended July 31, 2011.

Deloitte & Touche LLP
Boston, Massachusetts
September 28, 2011

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

63




 

 

 

Important Tax Information (Unaudited)


The following table summarizes the taxable per share distributions paid by BFZ and BNJ during the taxable year ended July 31, 2011.

 

 

 

 

 

 

 

 

 

 

 

Payable Date

 

Ordinary Income

 

BFZ

 

 

 

 

 

 

 

Common Shareholders

 

 

12/31/10

 

 

$0.001032

 

AMPS Shareholders:

 

 

 

 

 

 

 

Series T-7

 

 

11/24/10

 

 

$0.13

 

Series R-7

 

 

11/26/10

 

 

$0.13

 

Series F-7

 

 

11/29/10

 

 

$0.11

 

BNJ

 

 

 

 

 

 

 

Common Shareholders

 

 

12/31/10

 

 

$0.004118

 

AMPS Shareholders:

 

 

 

 

 

 

 

Series R-7

 

 

11/26/10

 

 

$0.35

 

Series R-7

 

 

12/17/10

 

 

$0.11

 

All other net investment income distributions paid by BFZ and BNJ during the taxable year ended July 31, 2011 qualify as tax-exempt interest dividends for federal income tax purposes.

All of the net investment income distributions paid by BFO, RFA, BBF, RNJ, RNY and BNY during the taxable year ended July 31, 2011 qualify as tax-exempt interest dividends for federal income tax purposes.

 

 

 

 

 

 

64

ANNUAL REPORT

JULY 31, 2011




 

 

 

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements

The Board of Directors or Trustees, as applicable (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”) of BlackRock California Municipal Income Trust (“BFZ”), BlackRock Florida Municipal 2020 Term Trust (“BFO”), BlackRock Investment Quality Municipal Income Trust (“RFA”), BlackRock Municipal Income Investment Trust (“BBF”), BlackRock New Jersey Investment Quality Municipal Trust, Inc. (“RNJ”), BlackRock New Jersey Municipal Income Trust (“BNJ”), BlackRock New York Investment Quality Municipal Trust, Inc. (“RNY”) and BlackRock New York Municipal Income Trust (“BNY”) and together with BFZ, BFO, RFA, BBF, RNJ, BNJ and RNY, each a “Fund,” and, collectively, the “Funds”) met on April 14, 2011 and May 12–13, 2011 to consider the approval of each Fund’s investment advisory agreement (each, an “Advisory Agreement”) with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board of each Fund also considered the approval of the sub-advisory agreement (each, a “Sub-Advisory Agreement”) between the Manager and BlackRock Financial Management, Inc. (the “Sub-Advisor”), with respect to each Fund. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

Activities and Composition of the Board

Each Board consists of eleven individuals, nine of whom are not “interested persons” of such Fund as defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Funds and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of the Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee and an Executive Committee, each of which is composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member) and is chaired by an Independent Board Member. Each Board also established a Committee on Auction Market Preferred Shares. Further, each Board established an ad hoc committee, the Joint Product Pricing Committee, which consisted of Independent Board Members and the directors/trustees of the boards of certain other BlackRock-managed funds, who were not “interested persons” of their respective funds.

The Agreements

Pursuant to the 1940 Act, the Boards are required to consider the continuation of the Agreements on an annual basis. In connection with this process, the Boards assessed, among other things, the nature, scope and quality of the services provided to the Funds by BlackRock, its personnel and its affiliates, including investment management, administrative and shareholder services, oversight of fund accounting and custody, marketing services, risk oversight, compliance program and assistance in meeting applicable legal and regulatory requirements.

The Boards, acting directly and through their respective committees, considered at each of their meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Funds and their shareholders. Among the matters the Boards considered were: (a) investment performance for one-, three- and five-year periods, as applicable, against peer funds, and applicable benchmarks, if any, as well as senior management’s and portfolio managers’ analysis of the reasons for any overperformance or underperformance against their peers and/or benchmark, as applicable; (b) fees, including advisory fees and, with respect to RFA, RNJ and RNY, administration fees, and other amounts paid to BlackRock and its affiliates by the Funds for services such as call center and fund accounting; (c) Fund operating expenses and how BlackRock allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds’ investment objectives, policies and restrictions; (e) the Funds’ compliance with its Code of Ethics and other compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Funds’ valuation and liquidity procedures; (k) an analysis of contractual and actual management fee ratios for products with similar investment objectives across the open-end fund, closed-end fund and institutional account product channels, as applicable; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates; and (m) periodic updates on BlackRock’s business.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

65




 

 

 

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April 14, 2011 meeting, the Boards requested and received materials specifically relating to the Agreements. The Boards are engaged in a process with BlackRock to review periodically the nature and scope of the information provided to better assist their deliberations. The materials provided in connection with the April meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on Fund fees and expenses and the investment performance of the Funds as compared with a peer group of funds as determined by Lipper and, with respect to BFZ, RFA, BBF, RNY and BNY, a customized peer group selected by BlackRock (collectively, “Peers”); (b) information on the profitability of the Agreements to BlackRock and a discussion of fall-out benefits to BlackRock and its affiliates and significant shareholders; (c) a general analysis provided by BlackRock concerning investment management fees (a combination of the advisory fee and the administration fee, if any) charged to other clients, such as institutional clients and open-end funds, under similar investment mandates, as applicable; (d) the impact of economies of scale; (e) a summary of aggregate amounts paid by each Fund to BlackRock and (f) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.

At an in-person meeting held on April 14, 2011, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April 14, 2011 meeting, and as a culmination of the Boards’ year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May 12–13, 2011 Board meeting.

At an in-person meeting held on May 12–13, 2011, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund and the Sub-Advisory Agreement between the Manager and the Sub-Advisor with respect to its Fund, each for a one-year term ending June 30, 2012. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Funds and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Funds; (d) economies of scale; (e) fall-out benefits to BlackRock as a result of its relationship with the Funds; and (f) other factors deemed relevant by the Board Members.

The Boards also considered other matters they deemed important to the approval process, such as services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates and significant shareholders from their relationship with Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Boards’ review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as controlling, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Funds. Throughout the year, the Boards compared Fund performance to the performance of a comparable group of closed-end funds and/or the performance of a relevant benchmark, if any. The Boards met with BlackRock’s senior management personnel responsible for investment operations, including the senior investment officers. Each Board also reviewed the materials provided by its Fund’s portfolio management team discussing Fund performance and the Fund’s investment objective, strategies and outlook.

The Boards considered, among other factors, the number, education and experience of BlackRock’s investment personnel generally and their Funds’ portfolio management teams, investments by portfolio managers in the funds they manage, BlackRock’s portfolio trading capabilities, BlackRock’s use of technology, BlackRock’s commitment to compliance, BlackRock’s credit analysis capabilities, BlackRock’s risk analysis capabilities and BlackRock’s approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRock’s compensation structure with respect to their Funds’ portfolio management teams and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to advisory services, the Boards considered the quality of the administrative and non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with certain administrative and other services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In addition to investment advisory services, BlackRock and its affiliates provide the Funds with other services, including (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Funds; (iii) assisting with daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; and (viii) performing other administrative functions necessary for the operation of the Funds, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration, accounting, legal and compliance departments and considered BlackRock’s policies and procedures for J68assuring compliance with applicable laws and regulations.

 

 

 

 

 

 

66

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)

B. The Investment Performance of the Fund and BlackRock: The Boards, including the Independent Board Members, also reviewed and considered the performance history of their Funds. In preparation for the April 14, 2011 meeting, the Boards worked with BlackRock and Lipper to develop a template for, and was provided with reports independently prepared by Lipper, which included a comprehensive analysis of each Fund’s performance. The Boards also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock, which analyzed various factors that affect Lipper’s rankings. In connection with their review, each Board received and reviewed information regarding the investment performance of its Fund as compared to funds in that Fund’s applicable Lipper category and, with respect to BFZ, RFA, BBF, RNY and BNY, a customized peer group selected by BlackRock. The Boards were provided with a description of the methodology used by Lipper to select peer funds. The Boards and each Board’s Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of the Funds throughout the year.

The Board of BFO noted that BFO performed below the median of its Lipper Performance Composite in the three- and five-year periods reported, but that BFO performed at or above the median of its Lipper Performance Composite in the one-year period reported. The Board of BFO and BlackRock reviewed and discussed the reasons for BFO’s underperformance during the three- and five-year periods compared with its Peers. The Board of BFO was informed that, among other things, BFO has a targeted maturity, and as such is managed to achieve the specific maturity goal.

The Boards of BFZ, RNY and BNY noted that, in general, each of BFZ, RNY and BNY performed better than its respective Peers in that each of BFZ’s, RNY’s and BNY’s performance was at or above the median of its respective Customized Lipper Peer Group Composite in each of the one-, three- and five-year periods reported.

The Board of RFA noted that RFA performed below the median of its Customized Lipper Peer Group Composite in the three- and five-year periods reported, but that RFA performed at or above the median of its Customized Lipper Peer Group Composite in the one-year period reported. The Board of RFA and BlackRock reviewed and discussed the reasons for RFA’s underper-formance during the three- and five-year periods compared with its Peers. The Board was informed that, among other things, performance was hindered by exposure to Florida insured bonds backed by monoline insurers.

The Board of RNJ noted that RNJ performed below the median of its Lipper Performance Composite in the three- and five-year periods reported, but that RNJ performed at or above the median of its Lipper Performance Composite in the one-year period reported. The Board of RNJ and BlackRock reviewed and discussed the reasons for RNJ’s underperformance during the three- and five-year periods compared with its Peers. The Board of RNJ was informed that, among other things, that over the three-year period performance was hindered by high yield holdings.

The Boards of RFA and RNJ and BlackRock discussed BlackRock’s strategy for improving each Fund’s performance and BlackRock’s commitment to providing the resources necessary to assist each Fund’s portfolio managers and to improve each Fund’s performance, in part through the repositioning of each Fund’s respective portfolio.

The Board of BNJ noted that, in general, BNJ performed better than its Peers in that BNJ’s performance was at or above the median of its Lipper Performance Composite in each of the one-, three- and five-year periods reported.

The Board of BBF noted that, in general, BBF performed better than its Peers in that BBF’s performance was at or above the median of its Customized Lipper Peer Group Composite in two of the one-, three- and five-year periods reported.

The Boards noted that BlackRock has made changes to the organization of the overall fixed income group management structure designed to result in a strengthened leadership team.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Fund: Each Board, including the Independent Board Members, reviewed its Fund’s contractual management fee ratio compared with the other funds in its Lipper category. It also compared the Fund’s total expense ratio, as well as actual management fee ratio, to those of other funds in its Lipper category. The Boards considered the services provided and the fees charged by BlackRock to other types of clients with similar investment mandates, including separately managed institutional accounts.

The Boards received and reviewed statements relating to BlackRock’s financial condition and profitability with respect to the services it provided the Funds. The Boards were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRock’s profitability with respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2010 compared to available aggregate profitability data provided for the years ended December 31, 2009, and December 31, 2008. The Boards reviewed BlackRock’s profitability with respect to other fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, expense allocations and business mix, and the difficulty of comparing profitability as a result of those factors.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards considered BlackRock’s overall operating margin, in general, compared to the operating margin for leading investment management firms whose operations include advising closed-end funds, among other product types. That data indicates that operating margins for BlackRock, in general and with respect to its registered funds, are generally consistent with margins earned by similarly situated publicly traded competitors. In addition, the Boards considered, among other things, certain third party data comparing BlackRock’s operating margin with that of other publicly-traded asset management firms. That third party data indicates that larger asset bases do not, in themselves, translate to higher profit margins.

 

 

 

 

 

 

 

 

 

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JULY 31, 2011

67




 

 

 

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)

In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of the Funds and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRock’s methodology in allocating its costs to the management of the Funds. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high-quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Boards.

The Board of each of BFO, BFZ, RFA, BBF, RNJ, RNY and BNY noted that its Fund’s contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was lower than or equal to the median contractual management fee ratio paid by such Fund’s Peers, in each case before taking into account any expense reimbursements or fee waivers.

The Board of BNJ noted that BNJ’s contractual management fee ratio (a combination of the advisory fee and the administration fee, if any) was above the median contractual management fee ratio paid by the BNJ’s Peers, in each case before taking into account any expense reimbursements or fee waivers. The Board of BNJ also noted, however, that the BNJ’s contractual management fee ratio was reasonable relative to the median contractual management fee ratio paid by the BNJ’s peers.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies and whether there should be changes in the advisory fee rate or structure in order to enable the Fund to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of the Fund. Based on the ad hoc Joint Product Pricing Committees’ and the Boards’ review and consideration of this issue, the Boards concluded that closed-end funds are typically priced at scale at a fund’s inception; therefore, the implementation of breakpoints was not necessary.

The Boards noted that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. The Boards noted that only one closed-end fund in the Fund Complex has breakpoints in its advisory fee structure.

E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates and significant shareholders may derive from their respective relationships with the Funds, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including for securities lending services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that BlackRock’s funds may invest in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Agreements, the Boards also received information regarding BlackRock’s brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Boards noted the competitive nature of the closed-end fund marketplace and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund for a one-year term ending June 30, 2012 and the Sub-Advisory Agreement between the Manager and the Sub-Advisor, with respect to its Fund, for a one-year term ending June 30, 2012. As part of its approval, the Boards considered the detailed review of BlackRock’s fee structure, as it applies to the Funds, conducted by the ad hoc Joint Product Pricing Committee. Based upon their evaluations of all of the aforementioned factors in their totality, the Boards, including the Independent Board Members, were satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Funds and their shareholders. In arriving at their decision to approve the Agreements, the Boards did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making these determinations. The contractual fee arrangements for the Funds reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

 

 

 

 

 

 

68

ANNUAL REPORT

JULY 31, 2011




 

 

 

Automatic Dividend Reinvestment Plan

Pursuant to each Trust’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Trust’s shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After BFZ, RFA, BBF, RNJ, BNJ, RNY and BNY declares a dividend or determines to make a capital gain distribution, the Reinvestment Plan Agent will acquire shares for the participants’ account, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trust (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Trust’s primary exchange. If, on the dividend payment date, the NAV is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market value per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares.

After BFO declares a dividend or determines to make a capital gain distribution, the Reinvestment Plan Agent will acquire shares for the participants’ account by the purchase of outstanding shares on the open market or on BFO’s primary exchange. BFO will not issue any new shares under the Reinvestment Plan.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date; otherwise such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of dividends and distributions will be paid by each Trust. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open market purchases in connection with the reinvestment of dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.

Each Trust reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Trust reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares through the Reinvestment Plan Agent are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to the Reinvestment Plan Agent at P.O. Box 43078, Providence, RI 02940-3078, Telephone (800) 699-1BFM or overnight correspondence should be directed to the Reinvestment Plan Agent at 250 Royall Street, Canton, MA 02021.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

69




 

 

 

Officers and Trustees


 

 

 

 

 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Trusts

 

Length
of Time
Served as
a Trustee2

 

Principal Occupation(s) During Past Five Years

 

Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen

 

Public
Directorships

Independent Trustees1

 

 

 

 

Richard E. Cavanagh
55 East 52nd Street
New York, NY 10055
1946

 

Chairman of
the Board
and Trustee

 

Since
1994

 

Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.

 

95 RICs consisting of
95 Portfolios

 

Arch Chemical (chemical and allied products)

Karen P. Robards
55 East 52nd Street
New York, NY 10055
1950

 

Vice Chairperson
of the Board,
Chairperson
of the Audit
Committee
and Trustee

 

Since
2007

 

Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Develop- ment (a not-for-profit organization) since 1987; Director of Care Invest- ment Trust, Inc. (health care real estate investment trust) from 2007 to 2010; Director of Enable Medical Corp. from 1996 to 2005; Investment Banker at Morgan Stanley from 1976 to 1987.

 

95 RICs consisting of
95 Portfolios

 

AtriCure, Inc. (medical devices)

Michael J. Castellano
55 East 52nd Street
New York, NY 10055
1946

 

Trustee and
Member of
the Audit
Committee

 

Since
2011

 

Managing Director and Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religions (non-profit) since 2009; Director, National Advisory Board of Church Management at Villanova University since 2010.

 

95 RICs consisting of
95 Portfolios

 

None

Frank J. Fabozzi
55 East 52nd Street
New York, NY 10055
1948

 

Trustee and
Member of
the Audit
Committee

 

Since
1988

 

Editor of and Consultant for The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School since 2011; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011; Adjunct Professor of Finance and Becton Fellow, Yale University from 1994 to 2006.

 

95 RICs consisting of
95 Portfolios

 

None

Kathleen F. Feldstein
55 East 52nd Street
New York, NY 10055
1941

 

Trustee

 

Since
2005

 

President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009.

 

95 RICs consisting of
95 Portfolios

 

The McClatchy Company (publishing); BellSouth (telecom- munications); Knight Ridder (publishing)

James T. Flynn
55 East 52nd Street
New York, NY 10055
1939

 

Trustee and
Member of
the Audit
Committee

 

Since
2007

 

Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995.

 

95 RICs consisting of
95 Portfolios

 

None

Jerrold B. Harris
55 East 52nd Street
New York, NY 10055
1942

 

Trustee

 

Since
2007

 

Trustee, Ursinus College since 2000; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation since 2001; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.

 

95 RICs consisting of
95 Portfolios

 

BlackRock Kelso Capital Corp. (business develop- ment company)


 

 

 

 

 

 

 

70

ANNUAL REPORT

JULY 31, 2011




 

 

 

Officers and Trustees (continued)


 

 

 

 

 

 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Trusts

 

Length
of Time
Served as
a Trustee2

 

Principal Occupation(s) During Past Five Years

 

Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen

 

Public
Directorships

Independent Trustees1 (concluded)

 

 

 

 

R. Glenn Hubbard
55 East 52nd Street
New York, NY 10055
1958

 

Trustee

 

Since
2004

 

Dean, Columbia Business School since 2004; Columbia faculty member since 1988; Co-Director, Columbia Business School’s Entrepreneurship Program from 1997 to 2004; Chairman, US Council of Economic Advisers under the President of the United States from 2001 to 2003; Chairman, Economic Policy Committee of the OECD from 2001 to 2003.

 

95 RICs consisting of
95 Portfolios

 

ADP (data and information services); KKR Financial Corporation (finance); Metropolitan Life Insurance Company (insurance)

W. Carl Kester
55 East 52nd Street
New York, NY 10055
1951

 

Trustee and
Member of
the Audit
Committee

 

Since
2007

 

George Fisher Baker Jr. Professor of Business Administration, Harvard Business School; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Department, Harvard Business School from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program of Harvard Business School from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.

 

95 RICs consisting of
95 Portfolios

 

None

 

 

1

Trustees serve until their resignation,removal or death,or until December 31 of the year in which they turn 72.

 

 

 

2

Date shown is the earliest date a person has served for the Trusts covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock Fund boards were realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows trustees as joining the Trusts’ board in 2007, each trustee first became a member of the board of directors of other legacy MLIM or legacy BlackRock Funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.

 

 

 

 

 

 

 

 

 

 

 

Interested Trustees3

Paul L. Audet
55 East 52nd Street
New York, NY 10055
1953

 

Trustee

 

Since
2011

 

Senior Managing Director, BlackRock, Inc., and Head of BlackRock’s Real Estate business from 2008 to 2011; Member of BlackRock’s Global Oper- ating and Corporate Risk Management Committees and of the BlackRock Alternative Investors Executive Committee and Investment Committee for the Private Equity Fund of Funds business since 2008; Head of BlackRock’s Global Cash Management business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from 2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005; Senior Vice President of Finance at PNC Bank Corp. and Chief Financial Officer of the Investment Management and Mutual Fund Processing businesses from 1996 to 1998 and Head of PNC’s Mergers & Acquisitions unit from 1992 to 1998; Member of PNC’s Corpo- rate Asset-Liability Committee and Marketing Committees from 1992 to 1998; Chief Financial Officer of PNC’s eastern operations from 1991 to 1992; Senior Vice President of First Fidelity Bancorporation, responsible for the Corporate Finance, Asset-Liability Committee, and Mergers & Acquisitions functions from 1986 to 1991.

 

95 RICs consisting of
95 Portfolios

 

None

Henry Gabbay
55 East 52nd Street
New York, NY 10055
1947

 

Trustee

 

Since
2007

 

Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation Target Shares from 2005 to 2007; Treasurer of certain closed-end Funds in the BlackRock fund complex from 1989 to 2006.

 

162 RICs consisting of
293 Portfolios

 

None

 

 

3

Mr. Audet is an “interested person,” as defined in the 1940 Act, of the Trusts based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is an “interested person” of the Trusts based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and The PNC Financial Services Group, Inc. securities. Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72.


 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

71




 

 

 

Officers and Trustees (concluded)


 

 

 

 

 

 

 

 

Name, Address
and Year of Birth

 

Position(s)
Held with
Trusts

 

Length
of Time
Served

 

Principal Occupation(s) During Past Five Years

Trusts Officers1

 

 

 

 

 

 

John M. Perlowski
55 East 52nd Street
New York, NY 10055
1964

 

President and
Chief Executive
Officer

 

Since
2011

 

Managing Director of BlackRock, Inc. since 2009; Global Head of BlackRock Fund Administration since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.

Anne Ackerley
55 East 52nd Street
New York, NY 10055
1962

 

Vice
President

 

Since
20072

 

Managing Director of BlackRock, Inc. since 2000; President and Chief Executive Officer of the BlackRock-advised funds from 2009 to 2011; Vice President of the BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of BlackRock’s Global Client Group since 2009; Chief Operating Officer of BlackRock’s U.S. Retail Group from 2006 to 2009; Head of BlackRock’s Mutual Fund Group from 2000 to 2006.

Brendan Kyne
55 East 52nd Street
New York, NY 10055
1977

 

Vice
President

 

Since
2009

 

Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product Development and Management for BlackRock’s US Retail Group since 2009, Co-head thereof from 2007 to 2009; Vice President of BlackRock, Inc. from 2005 to 2008.

Neal Andrews
55 East 52nd Street
New York, NY 10055
1966

 

Chief
Financial
Officer

 

Since
2007

 

Managing Director of BlackRock, Inc. since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (US) Inc. from 1992 to 2006.

Jay Fife
55 East 52nd Street
New York, NY 10055
1970

 

Treasurer

 

Since
2007

 

Managing Director of BlackRock, Inc. since 2007 and Director of BlackRock, Inc. in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P.-advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.

Brian Kindelan
55 East 52nd Street
New York, NY 10055
1959

 

Chief Compliance
Officer and
Anti-Money
Laundering Officer

 

Since
2007

 

Chief Compliance Officer of the BlackRock-advised Funds since 2007; Managing Director and Senior Counsel of BlackRock, Inc. since 2005.

Ira P. Shapiro
55 East 52nd Street
New York, NY 10055
1963

 

Secretary

 

Since
2010

 

Managing Director of BlackRock, Inc. since 2009; Managing Director and Associate General Counsel of Barclays Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008.

 

 

1

Officers of the Trusts serve at the pleasure of the Board of Trustees.

 

 

 

2

Ms. Ackerley was President and Chief Executive Officer from 2009 to 2011.


 

Investment Advisor

 

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Sub-Advisor

 

BlackRock Financial Management, Inc.

New York, NY 10055

 

Custodian

 

State Street Bank and Trust Company

Boston, MA 02111

 

Transfer Agent

 

Common Shares:

Computershare Trust Company, N.A.

Providence, RI 02940

 

Auction Agent

 

AMPS:

BNY Mellon Shareowner Services

Jersey City, NJ 07310

 

Accounting Agent

 

State Street Bank and Trust Company

Boston, MA 02116

 

Independent Registered Public Accounting Firm

 

Deloitte & Touche LLP

Boston, MA 02116

 

Legal Counsel

 

Skadden, Arps, Slate, Meagher & Flom LLP

New York, NY 10036

 

Address of the Trusts

 

100 Bellevue Parkway

Wilmington, DE 19809


 

Effective April 14, 2011, Michael J. Castellano became Trustee of the Trusts and Member of the Audit Committee.

 

Effective July 28, 2011, Richard S. Davis resigned as Trustee of the Trusts, and Paul L. Audet became Trustee of the Trusts.

 


 

 

 

 

 

 

 

72

ANNUAL REPORT

JULY 31, 2011




 

 

 

Additional Information

 

Proxy Results

The Annual Meeting of Shareholders was held on July 28, 2011 for shareholders of record on May 31, 2011 to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Approved the Class I Trustees as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Paul L. Audet

 

Michael J. Castellano

 

R. Glenn Hubbard

 

 

 

Votes For

 

Votes
Withheld

 

Abstain

 

Votes For

 

Votes
Withheld

 

Abstain

 

Votes For

 

Votes
Withheld

 

Abstain

 

BFZ

 

 

26,719,826

 

 

448,117

 

 

0

 

 

26,701,972

 

 

465,971

 

 

0

 

 

26,582,545

 

 

585,398

 

 

0

 

BFO

 

 

4,816,716

 

 

389,250

 

 

0

 

 

4,810,951

 

 

395,015

 

 

0

 

 

4,816,451

 

 

389,515

 

 

0

 

RFA

 

 

1,044,132

 

 

14,872

 

 

0

 

 

1,044,191

 

 

14,813

 

 

0

 

 

1,044,191

 

 

14,813

 

 

0

 

BBF

 

 

5,880,103

 

 

160,207

 

 

0

 

 

5,880,103

 

 

160,207

 

 

0

 

 

5,877,828

 

 

162,482

 

 

0

 

RNJ

 

 

854,649

 

 

80,135

 

 

0

 

 

854,649

 

 

80,135

 

 

0

 

 

852,459

 

 

82,325

 

 

0

 

BNJ

 

 

6,477,765

 

 

332,957

 

 

0

 

 

6,476,512

 

 

334,210

 

 

0

 

 

6,500,276

 

 

310,446

 

 

0

 

RNY

 

 

1,174,460

 

 

53,744

 

 

0

 

 

1,179,793

 

 

48,411

 

 

0

 

 

1,179,793

 

 

48,411

 

 

0

 

BNY

 

 

11,106,001

 

 

402,645

 

 

0

 

 

11,268,947

 

 

239,699

 

 

0

 

 

11,242,597

 

 

266,049

 

 

0

 

 

 

 

W. Carl Kester1

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Votes For

 

Votes
Withheld

 

Abstain

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BFZ

 

 

4,148

 

 

65

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BFO

 

 

1,288

 

 

4

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RFA

 

 

117

 

 

0

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BBF

 

 

1,366

 

 

0

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RNJ

 

 

236

 

 

0

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BNJ

 

 

1,533

 

 

772

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RNY

 

 

324

 

 

0

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BNY

 

 

2,922

 

 

33

 

 

0

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


 

 

 

 

1

Voted on by holders of Preferred Shares only.

For the Trusts listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Frank J. Fabozzi, Kathleen F. Feldstein, James T. Flynn, Henry Gabbay, Jerrold B. Harris and Karen P. Robards.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

73



 

 

 

Additional Information (continued)

 

Dividend Policy

The Trusts’ dividend policy is to distribute all or a portion of their net investment income to their shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend 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 dividends 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

On July 29, 2010, the Manager announced that a shareholder derivative complaint was filed on July 27, 2010 in the Supreme Court of the State of New York, New York County with respect to BFZ and BNJ, which had previously received a demand letter from a law firm on behalf of each trust’s common shareholders. The complaint was filed against the Manager, BlackRock, BFZ, BNJ and certain of the directors, officers and portfolio managers (collectively, the “BlackRock Parties”) in connection with the redemption of auction-market preferred shares, auction rate preferred shares, auction preferred shares and auction rate securities (collectively, “AMPS”). The complaint alleges, among other things, that the BlackRock Parties breached their fiduciary duties to the common shareholders of BFZ and BNJ (the “Shareholders”) by redeeming AMPS at their liquidation preference and alleges that such redemptions caused losses to the Shareholders. The plaintiffs are seeking monetary damages for the alleged losses suffered and to enjoin BFZ and BNJ from future redemptions of AMPS at their liquidation preference. The BlackRock Parties believe that the claims asserted in the complaint are without merit and intend to vigorously defend themselves in the litigation.

On March 29, 2011, the Manager announced that BBF received a demand letter from a law firm on behalf of BBF’s common shareholders. The demand letter alleges that the Manager and BBF’s officers and Board of Trustees (the “Board”) breached their fiduciary duties by redeeming at par certain of BBF’s AMPS, and demanded that the Board take action to remedy those alleged breaches. A committee consisting of the Independent Directors, with the assistance of their independent counsel, reviewed these demands. Based on the committee’s investigation and unanimous recommendation, the Board rejected these demands as inconsistent with the best interests of BBF and its shareholders.

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 the 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 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
Electronic copies of most financial reports are available on the Trusts’ websites or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Trusts’ electronic delivery program.

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:
Please contact your financial advisor to enroll. 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 (800) 441-7762.

 

 

 

 

 

 

 

74

ANNUAL REPORT

JULY 31, 2011



 

 

 

Additional Information (concluded)

 

General Information (concluded)

Availability of Quarterly Schedule of Investments
Each Trust files its 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. Each Trust’s Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

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 (1) without charge, upon request, by calling (800) 441-7762; (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) 441-7762 and (2) on the SEC’s website at http://www.sec.gov.

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. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Trusts.

 

Fund Certification

Certain Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 

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.

 

 

 

 

 

 

 

 

 

ANNUAL REPORT

JULY 31, 2011

75



This report is transmitted to shareholders only. 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 dividend rates of the AMPS, currently set at the maximum reset rate as a result of failed auctions, may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

 

(GO PAPERLESS LOGO)

(BLACK ROCK LOGO)

 

#CEF-BK8-07/11


Item 2 –

Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, there have been no amendments to or waivers granted under the code of ethics. A copy of the code of ethics is available without charge at www.blackrock.com.

 

 

Item 3 –

Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

 

 

 

Frank J. Fabozzi

 

James T. Flynn

 

W. Carl Kester

 

Karen P. Robards

 

 

 

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

 

 

 

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

 

 

 

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

 

 

 

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 


Item 4 –

Principal Accountant Fees and Services

 

 

 

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

 

 

(a) Audit Fees

(b) Audit-Related Fees1

(c) Tax Fees2

(d) All Other Fees3

Entity Name

Current
Fiscal Year
End

Previous
Fiscal Year
End

Current
Fiscal Year
End

Previous
Fiscal Year
End

Current
Fiscal Year
End

Previous
Fiscal Year
End

Current
Fiscal Year
End

Previous
Fiscal Year
End

BlackRock California Municipal Income Trust

$29,700

$28,700

$3,500

$3,500

$14,100

$6,100

$0

$0

 

        

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

 

 

Current Fiscal Year End

Previous Fiscal Year End

(b) Audit-Related Fees1

$0

$0

(c) Tax Fees2

$0

$0

(d) All Other Fees3

$3,030,000

$2,950,000

 

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

2 The nature of the services includes tax compliance, tax advice and tax planning.

3 The nature of the services includes a review of the Fund’s compliance procedures and attestation thereto.

 

     

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

 

 

 

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Fund Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

 


     

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

 

 

 

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

 

 

 

(f) Not Applicable

 

 

 

(g) The aggregate non-audit fees paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:

 

Entity Name

Current Fiscal Year End

Previous Fiscal Year End

BlackRock California Municipal Income Trust

$17,600

$20,377

 

 

Additionally, SAS No. 70 fees for the current and previous fiscal years of $3,030,000 and $2,950,000, respectively, were billed by D&T to the Investment Adviser.

 

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

 

Item 5 –

Audit Committee of Listed Registrants

 

    

(a) 

The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

 

 

Michael Castellano

 

 

Frank J. Fabozzi

 

 

James T. Flynn

 

 

W. Carl Kester

 

 

Karen P. Robards

 

 

 

 

(b) 

Not Applicable

 

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 – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies – as of July 31, 2011.

 

      

(a)(1)

The registrant is managed by a team of investment professionals comprised of Theodore R. Jaeckel, Jr., CFA, Managing Director at BlackRock and Walter O’Connor, Managing Director at BlackRock. Each is a member of BlackRock’s municipal tax-exempt management group. Each is jointly responsible for the day-to-day management of the registrant’s portfolio, which includes setting the registrant’s overall investment strategy, overseeing the management of the registrant and/or selection of its investments. Messrs. Jaeckel and O’Connor have been members of the registrant’s portfolio management team since 2006 and 2006, respectively.

 

Portfolio Manager

Biography

Theodore R. Jaeckel, Jr.

Managing Director at BlackRock. since 2006; Managing Director of Merrill Lynch Investment Managers, L.P. (“MLIM”) from 2005 to 2006; Director of MLIM from 1997 to 2005.

Walter O’Connor

Managing Director of BlackRock since 2006; Managing Director of MLIM from 2003 to 2006; Director of MLIM from 1998 to 2003.

 


      

(a)(2)

As of July 31, 2011:

 

 

(ii) Number of Other Accounts Managed

and Assets by Account Type

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

Other

Registered

Investment

Companies

Other Pooled

Investment

Vehicles

Other

Accounts

Other

Registered

Investment

Companies

Other Pooled

Investment

Vehicles

Other

Accounts

Theodore R. Jaeckel, Jr.

65

0

0

0

0

0

 

$20.11 Billion

$0

$0

$0

$0

$0

Walter O’Connor

64

0

0

0

0

0

 

$18.95 Billion

$0

$0

$0

$0

$0

 

      

(iv)

Potential Material Conflicts of Interest

 

      

BlackRock, Inc. has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock, Inc. has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock, Inc. furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock, Inc. may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, Inc., or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund.  In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock, Inc. recommends to the Fund.  BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock, Inc. with respect to the same securities.  Moreover, BlackRock, Inc. may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information.  Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund.  It should also be noted that a portfolio manager may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Such portfolio managers may therefore be entitled to receive a portion of any incentive fees earned on such accounts. Additional portfolio managers may in the future manage other such accounts or funds and may be entitled to receive incentive fees.

 

 

 

As a fiduciary, BlackRock, Inc. owes a duty of loyalty to its clients and must treat each client fairly.  When BlackRock, Inc. purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties.  BlackRock, Inc. attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment.  To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock, Inc. with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

 

     

(a)(3)

As of July 31, 2011:

 


      

Portfolio Manager Compensation Overview

 

 

 

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

 

 

 

Base compensation. Generally, portfolio managers receive base compensation based on their position with the BlackRock, Inc.

 

 

 

Discretionary Incentive Compensation. Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock.  In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Fund or other accounts managed by the portfolio managers are measured.  BlackRock’s Chief Investment Officers determine the benchmarks against which the performance of funds and other accounts managed by each portfolio manager is compared and the period of time over which performance is evaluated.  With respect to the portfolio managers, such benchmarks include a combination of market-based indices (e.g., Barclays Capital Municipal Bond Index), certain customized indices and certain fund industry peer groups.

 

 

 

Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. 

 

 

 

Performance of fixed income funds is measured on both a pre-tax and after-tax basis over various time periods including 1-, 3- and 5-year periods, as applicable. With respect to the performance of the other listed Index and Multi-Asset Funds, performance is measured on, among other things, a pre-tax basis over various time periods including 1-, 3- and 5-year periods, as applicable.

 

 

 

Distribution of Discretionary Incentive Compensation

 

 

 

Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash bonus, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of annual bonuses in stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. Providing a portion of annual bonuses in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.

 


      

Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance.  Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. Messrs. Jaeckel and O’Connor have each received long-term incentive awards.

 

 

 

Deferred Compensation Program — A portion of the compensation paid to eligible BlackRock employees may be voluntarily deferred into an account that tracks the performance of certain of the firm’s investment products. Each participant in the deferred compensation program is permitted to allocate his deferred amounts among various BlackRock investment options. Messrs. Jaeckel and O’Connor have each participated in the deferred compensation program.

 

 

 

Other compensation benefits. In addition to base compensation and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following incentive savings plans. BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation.  The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into an index target date fund that corresponds to, or is closest to, the year in which the participant attains age 65.  The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date.  Annual participation in the ESPP is limited to the purchase of 1,000 shares or a dollar value of $25,000.  Each portfolio manager is eligible to participate in these plans.

 

 

(a)(4)

Beneficial Ownership of Securities – As of July 31, 2011.

 

Portfolio Manager

Dollar Range of Equity Securities
of the Fund Beneficially Owned

Theodore R. Jaeckel, Jr.

None

Walter O’Connor

None

 

 

(b) Not Applicable

 

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

 

 

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 – See Item 2

 

 

 

(a)(2) – Certifications – Attached hereto

 

 

 

(a)(3) – Not Applicable

 

 

 

(b) – 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 California Municipal Income Trust

 

 

  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock California Municipal Income Trust
   
  Date: October 4, 2011
   
  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 California Municipal Income Trust
   
  Date: October 4, 2011
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock California Municipal Income Trust
     
  Date: October 4, 2011