BLACKROCK CALIFORNIA MUNICIPAL INCOME TRUST

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

 

Investment Company Act file number: 811-10331

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: 07/31/2016

Date of reporting period: 07/31/2016

 

 

 


Item 1 –  Report to Stockholders


JULY 31, 2016

 

 

ANNUAL REPORT

 

    LOGO

 

BlackRock California Municipal Income Trust (BFZ)

BlackRock Florida Municipal 2020 Term Trust (BFO)

BlackRock Municipal 2030 Target Term Trust (BTT)

BlackRock Municipal Income Investment Trust (BBF)

BlackRock New Jersey Municipal Income Trust (BNJ)

BlackRock New York Municipal Income Trust (BNY)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents     

 

     Page  

The Markets in Review

    3   

Annual Report:

 

Municipal Market Overview

    4   

The Benefits and Risks of Leveraging

    5   

Derivative Financial Instruments

    5   

Trust Summaries

    6   
Financial Statements:  

Schedules of Investments

    18   

Statements of Assets and Liabilities

    52   

Statements of Operations

    54   

Statements of Changes in Net Assets

    56   

Statements of Cash Flows

    59   

Financial Highlights

    60   

Notes to Financial Statements

    66   

Report of Independent Registered Public Accounting Firm

    79   

Important Tax Information

    79   

Disclosure of Investment Advisory Agreements

    80   

Automatic Dividend Reinvestment Plans

    85   

Officers and Trustees

    86   

Additional Information

    89   

 

                
2    ANNUAL REPORT    JULY 31, 2016   


The Markets in Review

 

Dear Shareholder,

Uneven economic outlooks and the divergence of monetary policies across regions have been the overarching themes driving financial markets over the past couple of years. In the latter half of 2015, as U.S. growth outpaced other developed markets, investors were focused largely on the timing of the Federal Reserve’s (the “Fed”) decision to end its near-zero interest rate policy. The Fed ultimately hiked rates in December, whereas the European Central Bank and the Bank of Japan took additional steps to stimulate growth, even introducing negative interest rates. The U.S. dollar had strengthened considerably ahead of these developments, causing profit challenges for U.S. companies that generate revenues overseas, and pressuring emerging market currencies and commodities prices.

Also during this time period, oil prices collapsed due to excess global supply. China, one of the world’s largest consumers of oil, was another notable source of stress for financial markets as the country showed signs of slowing economic growth and took measures to devalue its currency. Declining confidence in the country’s policymakers stoked investors’ worries about the potential impact of China’s weakness on the global economy. Global market volatility increased and risk assets (such as equities and high yield bonds) suffered in this environment.

The elevated market volatility spilled over into 2016, but as the first quarter wore on, fears of a global recession began to fade, allowing markets to calm and risk assets to rebound. Central bank stimulus in Europe and Japan, combined with a more tempered outlook for rate hikes in the United States, helped bolster financial markets. A softening in U.S. dollar strength brought relief to U.S. exporters and emerging market economies. Oil prices rebounded as the world’s largest producers agreed to reduce supply.

Volatility spiked again in late June when the United Kingdom shocked investors with its vote to leave the European Union. Uncertainty around how the British exit might affect the global economy and political landscape drove investors to high-quality assets, pushing already low global yields to even lower levels. But markets recovered swiftly in July as economic data suggested that the negative impact had thus far been contained to the United Kingdom and investors returned to risk assets.

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

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

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

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

    13.29 %      5.61 % 

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

    18.76        0.00   

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

    8.25        (7.53

Emerging market equities
(MSCI Emerging Markets Index)

    19.52        (0.75

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

    0.17        0.22   

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

    5.01        8.53   

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

    4.54        5.94   

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

    3.27        7.06   

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

    13.84        5.01   
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.    

 

                
   THIS PAGE NOT PART OF YOUR FUND REPORT       3


Municipal Market Overview     

 

For the Reporting Period Ended July 31, 2016

Municipal Market Conditions

Municipal bonds generated positive performance for the period due to falling interest rates and a favorable supply-and-demand environment. Interest rates were volatile in 2015 (bond prices rise as rates fall) leading up to a long-awaited rate hike from the Fed that ultimately came in December. However, ongoing reassurance from the Fed that rates would be increased gradually and would likely remain low overall resulted in strong demand for fixed income investments. Investors favored the relative yield and stability of municipal bonds amid bouts of volatility resulting from uneven U.S. economic data, volatile oil prices, global growth concerns, geopolitical risks (particularly the U.K.’s decision to leave the European Union), and widening central bank divergence — i.e., policy easing outside the United States while the Fed was posturing to commence policy tightening. During the 12 months ended July 31, 2016, municipal bond funds garnered net inflows of approximately $49 billion (based on data from the Investment Company Institute).

For the same 12-month period, total new issuance remained relatively strong from a historical perspective at $386 billion (though lower than the $417 billion issued in the prior 12-month period). A noteworthy portion of new supply during this period was attributable to refinancing activity (roughly 59%) as issuers continued to take advantage of low interest rates and a flatter yield curve to reduce their borrowing costs.

S&P Municipal Bond Index

Total Returns as of July 31, 2016

  6 months:   3.27%

12 months:   7.06%

A Closer Look at Yields

 

LOGO

From July 31, 2015 to July 31, 2016, yields on AAA-rated 30-year municipal bonds decreased by 100 basis points (“bps”) from 3.12% to 2.12%, while 10-year rates fell by 79 bps from 2.19% to 1.40% and 5-year rates decreased 46 bps from 1.30% to 0.84% (as measured by Thomson Municipal Market Data). The municipal yield curve experienced significant flattening over the 12-month period with the spread between 2- and 30-year maturities flattening by 90 bps and the spread between 2- and 10-year maturities flattening by 69 bps.

During the same time period, on a relative basis, tax-exempt municipal bonds broadly outperformed U.S. Treasuries with the greatest outperformance experienced in longer-term issues. In absolute terms, the positive performance of municipal bonds was driven largely by falling interest rates as well as a supply/demand imbalance within the municipal market as investors sought income and incremental yield in an environment where opportunities became increasingly scarce. More broadly, municipal bonds benefited from the greater appeal of tax-exempt investing in light of the higher tax rates implemented in 2014. The asset class is known for its lower relative volatility and preservation of principal with an emphasis on income as tax rates rise.

Financial Conditions of Municipal Issuers

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

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

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

 

                
4    ANNUAL REPORT    JULY 31, 2016   


The Benefits and Risks of Leveraging     

 

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

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

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

However, in order to benefit Common Shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very

difficult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s Common Shares than if the Trust were not leveraged. In addition, 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 the Trusts to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares. Moreover, to the extent the calculation of the Trusts’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment adviser will be higher than if the Trusts did not use leverage.

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

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

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

 

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and 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 instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

                
   ANNUAL REPORT    JULY 31, 2016    5


Trust Summary as of July 31, 2016    BlackRock California Municipal Income Trust

 

Trust Overview

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

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

 

Trust Information      

Symbol on New York Stock Exchange (“NYSE”)

   BFZ

Initial Offering Date

   July 27, 2001

Yield on Closing Market Price as of July 31, 2016 ($16.76)1

   4.81%

Tax Equivalent Yield2

   9.80%

Current Monthly Distribution per Common Share3

   $0.0672

Current Annualized Distribution per Common Share3

   $0.8064

Economic Leverage as of July 31, 20164

   41%

 

  1   

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

 

  2   

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

 

  3   

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

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance      

Returns for the 12 months ended July 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BFZ1,2

    20.72     8.92

Lipper California Municipal Debt Funds3

    22.31     11.51

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2   

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

 

  3   

Average return.

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

 

 

Municipal bonds generated strong performance for the annual period. Municipals were aided by the sharp decline in Treasury yields, which was brought about by the slow global economy and the accommodative policies of the world’s central banks. (Bond prices rise as yields fall.) The gains were largely concentrated among intermediate- and longer-term bonds, while shorter-term issues produced much smaller returns. California municipal bonds outperformed the broader national tax-exempt market due to the state’s sound financial condition, robust employment growth and rising personal income. California municipals were also boosted by the favorable balance of supply and demand in the market.

 

 

The Trust was helped by its exposure to the long end of the yield curve, where performance was strongest. The portfolio’s fully invested posture and low level of cash reserves was an additional positive in the rising market.

 

 

Investments in AA-rated credits in the school district, transportation and health care sectors also aided results. AA-rated bonds generally experienced rising valuations thanks to California’s improving credit profile. At the sector level, allocations to the health care and utilities made the largest contributions to performance.

 

 

The Trust continued to employ leverage in order to increase income at a time in which the municipal yield curve was steep and short-term interest rates remained low. Leverage amplifies the effect of interest rate movements, which was a positive to performance during the past 12 months given that yields declined.

 

 

The Trust utilized ten-year U.S. Treasury futures contracts to manage exposure to a rise in interest rates, which had a slightly negative impact on performance given that the Treasury market finished with positive returns.

 

                
6    ANNUAL REPORT    JULY 31, 2016   


     BlackRock California Municipal Income Trust

 

 

Market Price and Net Asset Value Per Share Summary                              

 

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

Market Price

   $ 16.76       $ 14.65         14.40    $ 17.00       $ 14.55   

Net Asset Value

   $ 16.35       $ 15.84         3.22    $ 16.53       $ 15.64   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

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

County/City/Special District/School District

    29     37

Health

    12        10   

Utilities

    23        27   

State

    9        6   

Transportation

    9        6   

Education

    15        12   

Tobacco

    3        1   

Corporate

           1   

Housing2

             

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

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,
2016

    1

2017

    9   

2018

    13   

2019

    27   

2020

    4   

 

  3   

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

 

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

AAA/Aaa

    6     7

AA/Aa

    77        75   

A

    14        17   

BBB/Baa2

             

BB/Ba

    1          

B

    1        1   

N/R3

    1          

 

  1   

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

 

  2   

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

 

  3   

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality.

 

 

                
   ANNUAL REPORT    JULY 31, 2016    7


Trust Summary as of July 31, 2016    BlackRock Florida Municipal 2020 Term Trust

 

Trust Overview

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

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

 

Trust Information      

Symbol on NYSE

   BFO

Initial Offering Date

   September 30, 2003

Termination Date (on or about)

   December 31, 2020

Yield on Closing Market Price as of July 31, 2016 ($15.21)1

   2.45%

Tax Equivalent Yield2

   4.33%

Current Monthly Distribution per Common Share3

   $0.031

Current Annualized Distribution per Common Share3

   $0.372

Economic Leverage as of July 31, 20164

  

 

  1   

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

 

  2   

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

 

  3   

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

 

  4   

Percentage is less than 1% which represents TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance      

Returns for the 12 months ended July 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BFO1,2

    5.24     3.41 % 

Lipper Other States Municipal Debt Funds3

    20.84     10.74

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

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

 

 

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

 

 

Municipal bonds generated strong performance in the annual period. Municipals were aided by the sharp decline in Treasury yields, which was brought about by the slow global economy and the accommodative policies of the world’s central banks. (Bond prices rise as yields fall.) The gains were largely concentrated among intermediate- and longer-term bonds, while shorter-term issues produced much smaller returns. In addition, lower-rated securities generally outpaced their higher-quality counterparts.

 

 

Florida municipal bonds underperformed the national market. The state’s strong economic momentum contributed to a higher average credit quality for its municipal market, which was a headwind at a time in which lower-quality issues outperformed.

 

 

The Trust’s allocations to the health care and utilities sectors provided the largest contribution to returns. The Trust’s positions in zero-coupon bonds, which outperformed current-coupon bonds, also benefited performance. Income in the form of coupon payments, which the Trust maximized through its fully invested posture, made up a meaningful portion of the Trust’s total return for the period. However, the price declines of select distressed securities detracted from performance.

 

                
8    ANNUAL REPORT    JULY 31, 2016   


     BlackRock Florida Municipal 2020 Term Trust

 

 

Market Price and Net Asset Value Per Share Summary                              

 

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

Market Price

     $15.21         $14.82         2.63%         $15.30         $14.78   

Net Asset Value

     $15.50         $15.37         0.85%         $15.50         $15.23   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

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

County/City/Special District/School District

    34     38

State

    12        16   

Health

    18        15   

Utilities

    16        11   

Transportation

    11        11   

Education

    4        4   

Corporate

    4        4   

Housing

    1        1   

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

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,

 

2016

      

2017

    11

2018

    10   

2019

    11   

2020

    58   

 

  3  

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

 

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

AAA/Aaa

    1     1

AA/Aa

    59        52   

A

    25        25   

BBB/Baa

           13   

N/R2

    15        9   

 

  1   

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

 

  2   

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of July 31, 2016 and July 31, 2015, the market value of unrated securities deemed by the investment adviser to be investment grade represents 13% and 4%, respectively, of the Trust’s total investments.

 

 

                
   ANNUAL REPORT    JULY 31, 2016    9


Trust Summary as of July 31, 2016    BlackRock Municipal 2030 Target Term Trust

 

Trust Overview

BlackRock Municipal 2030 Target Term Trust’s (BTT) (the “Trust”) investment objectives are to provide current income exempt from regular federal income tax (but which may be subject to the federal alternative minimum tax in certain circumstances) and to return $25.00 per common share (the initial offering price per share) to holders of common shares on or about December 31, 2030. The Trust seeks to achieve its investment objectives by investing at least 80% of its assets in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust actively manages the maturity of its bonds to seek to have a dollar weighted average effective maturity approximately equal to the Trust’s maturity date. The Trust may invest directly in such securities or synthetically through the use of derivatives.

The Trust’s Board approved a name change from “BlackRock Municipal Target Term Trust” to “BlackRock Municipal 2030 Target Term Trust” effective March 1, 2016. The Trust continues to trade under the symbol BTT.

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

 

Trust Information      

Symbol on NYSE

   BTT

Initial Offering Date

   August 30, 2012

Termination Date (on or about)

   December 31, 2030

Current Distribution Rate on Closing Market Price as of July 31, 2016 ($24.24)1

   3.96%

Tax Equivalent Rate2

   7.00%

Current Monthly Distribution per Common Share3

   $0.080

Current Annualized Distribution per Common Share3

   $0.960

Economic Leverage as of July 31, 20164

   34%

 

  1   

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

 

  2   

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

 

  3   

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

 

  4   

Represents RVMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to RVMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance      

Returns for the 12 months ended July 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BTT1,2

    21.67     16.57

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    21.89     11.98

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

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

 

 

Municipal bonds generated strong performance in the annual period. Municipals were aided by the sharp decline in Treasury yields, which was brought about by the slow global economy and the accommodative policies of the world’s central banks. (Bond prices rise as yields fall.) The gains were largely concentrated among intermediate- and longer-term bonds, while shorter-term issues produced much smaller returns. In addition, lower-rated securities generally outpaced their higher-quality counterparts.

 

 

The Trust’s allocations to the health care and transportation sectors provided the largest contribution to returns. Positions in zero-coupon bonds also contributed to performance due to their longer duration profile and relatively higher yields. (Duration is a measure of interest-rate sensitivity.) The Trust’s overall duration exposure contributed positively to performance given that bond yields declined.

 

 

The Trust continued to employ leverage in order to increase income at a time which the municipal yield curve was steep and short-term interest rates remained low. Leverage amplifies the effect of interest rate movements, which was a positive to performance during the past 12 months.

 

 

The Trust utilized ten-year U.S. Treasury futures contracts to manage exposure to a rise in interest rates during the first half of the reporting period. This aspect of the Trust’s strategy had a slightly negative impact on performance given that the Treasury market finished with positive returns in that interval. The Trust eliminated this strategy mid-way through the period.

 

                
10    ANNUAL REPORT    JULY 31, 2016   


     BlackRock Municipal 2030 Target Term Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

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

Market Price

   $ 24.24       $ 20.80         16.54    $ 24.44       $ 20.19   

Net Asset Value

   $ 25.38       $ 22.73         11.66    $ 25.73       $ 22.44   

 

Market Price and Net Asset Value History Since Inception

 

LOGO

 

  1   

Commencement of operations.

 

Overview of the Trust’s Total Investments*

 

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

Transportation

    23     23

Health

    17        19   

County/City/Special District/School District

    17        13   

Education

    14        11   

Corporate

    8        11   

Utilities

    7        8   

State

    11        8   

Housing

    1        5   

Tobacco

    2        2   

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

 

   
Call/Maturity Schedule5       

Calendar Year Ended December 31,
2016

      1

2017

    1   

2018

    1   

2019

    1   

2020

    4   

 

  5  

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

 

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

AAA/Aaa

    5     3

AA/Aa

    24        25   

A

    39        46   

BBB/Baa

    18        15   

BB/Ba

    3        5   

B

    2        3 

N/R4

    9        6   

 

  2   

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

 

  3   

Represents less than 1% of total investments.

 

  4   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of July 31, 2016 and July 31, 2015, the market value of unrated securities deemed by the investment adviser to be investment grade represents 2% and less than 1% of the Trust’s total investments.

 

 

                
   ANNUAL REPORT    JULY 31, 2016    11


Trust Summary as of July 31, 2016    BlackRock Municipal Income Investment Trust

 

Trust Overview

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

On December 18, 2015, the Boards of the Trust and BlackRock Municipal Bond Investment Trust (“BIE’’) approved the reorganization of BIE with and into the Trust, with the Trust continuing as the surviving trust after the reorganization. At a special shareholder meeting on March 21, 2016, the shareholders of the Trust approved the reorganization of BIE with and into the Trust, which was effective on May 16, 2016.

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

 

Trust Information      

Symbol on NYSE

   BBF

Initial Offering Date

   July 27, 2001

Yield on Closing Market Price as of July 31, 2016 ($16.00)1

   5.43%

Tax Equivalent Yield2

   9.59%

Current Monthly Distribution per Common Share3

   $0.072375

Current Annualized Distribution per Common Share3

   $0.868500

Economic Leverage as of July 31, 20164

   39%

 

  1   

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

 

  2   

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

 

  3   

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

 

  4   

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance      

Returns for the 12 months ended July 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BBF1,2

    26.29     8.40

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    21.89     11.98

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

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

 

 

Municipal bonds generated strong performance for the annual period. Municipals were aided by the sharp decline in Treasury yields, which was brought about by the slow global economy and the accommodative policies of the world’s central banks. (Bond prices rise as yields fall.) The gains were largely concentrated among intermediate- and longer-term bonds, while shorter-term issues produced much smaller returns. In addition, lower-rated securities generally outpaced their higher-quality counterparts.

 

 

The Trust was helped by its exposure to the long end of the yield curve, where performance was strongest. Leverage helped augment returns in this portion of the portfolio, as well. However, leverage had less of an impact in the second half of the period due to the Fed’s interest rate increase in December 2015.

 

 

Holdings in AA and A rated securities, including investments in transportation, tax-backed (states) and health care sectors, aided performance. Positions in the utilities and tax-backed (local) sectors were also additive.

 

 

The Trust utilized U.S. Treasury futures contracts to manage exposure to a rise in interest rates, which had a slightly negative impact on performance given that the Treasury market finished with positive returns.

 

                
12    ANNUAL REPORT    JULY 31, 2016   


     BlackRock Municipal Income Investment Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

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

Market Price

   $ 16.00       $ 13.44         19.05    $ 17.00       $ 13.28   

Net Asset Value

   $ 15.47       $ 15.14         2.18    $ 15.62       $ 14.92   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

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

County/City/Special District/School District

    24     25

Transportation

    22        22   

Utilities

    16        15   

Health

    13        14   

Education

    11        8   

State

    9        11   

Tobacco

    3        3   

Corporate

    1        1   

Housing

    1        1   

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

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,
2016

    2

2017

    1   

2018

    15   

2019

    32   

2020

    11   

 

  3   

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

 

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

AAA/Aaa

    11     11

AA/Aa

    52        56   

A

    23        24   

BBB/Baa

    9        6   

BB/Ba

    1        1   

B

    1        1   

N/R

    3 2       1   

 

  1   

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

 

  2   

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

 

 

                
   ANNUAL REPORT    JULY 31, 2016    13


Trust Summary as of July 31, 2016    BlackRock New Jersey Municipal Income Trust

 

Trust Overview

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

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

 

Trust Information      

Symbol on NYSE

   BNJ

Initial Offering Date

   July 27, 2001

Yield on Closing Market Price as of July 31, 2016 ($16.79)1

   4.97%

Tax Equivalent Yield2

   9.65%

Current Monthly Distribution per Common Share3

   $0.0696

Current Annualized Distribution per Common Share3

   $0.8352

Economic Leverage as of July 31, 20164

   38%

 

  1   

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

 

  2   

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

 

  3   

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

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance      

Returns for the 12 months ended July 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BNJ1,2

    21.76     11.81

Lipper New Jersey Municipal Debt Funds3

    21.92     11.82

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

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

 

 

Municipal bonds generated strong performance in the annual period. Municipals were aided by the sharp decline in Treasury yields, which was brought about by the slow global economy and the accommodative policies of the world’s central banks. (Bond prices rise as yields fall. The gains were largely concentrated among intermediate- and longer-term bonds, while shorter-term issues produced much smaller returns. New Jersey municipal bonds performed particularly well as a result of the highly favorable supply-and-demand profile in the state’s market.

 

 

At a time of falling yields, the Trust’s positions in longer-duration and longer-dated bonds generally provided the largest absolute returns. (Duration is a measure of interest-rate sensitivity.) The Trust’s positions in the tax-backed (state and local), transportation, education and corporate sectors made positive contributions to performance. The Trust’s exposure to lower-coupon and zero-coupon bonds, both of which outperformed, also aided returns.

 

 

Lower-rated bonds within the investment grade category outperformed during the period. In addition to offering higher incremental yield, the market segment benefited from a tightening of yield spreads that was fueled in part by investors’ elevated appetite for risk. In this environment, the Trust’s exposure to these higher-yielding bonds was a positive contributor to performance.

 

 

Leverage amplifies the effect of interest-rate movements, which was a positive to performance during the past 12 months given that yields declined.

 

 

The Trust utilized a mix of U.S. Treasury futures contracts to manage exposure to a rise in interest rates, which had a slightly negative impact on performance at a time in which the Treasury market finished with positive returns.

 

                
14    ANNUAL REPORT    JULY 31, 2016   


     BlackRock New Jersey Municipal Income Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

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

Market Price

   $ 16.79       $ 14.61         14.92    $ 16.95       $ 14.00   

Net Asset Value

   $ 16.41       $ 15.55         5.53    $ 16.60       $ 15.23   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

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

Transportation

    33     33

County/City/Special District/School District

    23        16   

Education

    17        17   

State

    12        16   

Corporate

    6        7   

Health

    5        7   

Housing

    3        3   

Utilities

    1        1   

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

 

   
Call/Maturity Schedule3       

2016

      4

2017

    2   

2018

    11   

2019

    10   

2020

    6   

 

  3   

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

 

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

AAA/Aaa

    1     2

AA/Aa

    45        42   

A

    34        36   

BBB/Baa

    10        10   

BB/Ba

    9        8   

N/R2

    1        2   

 

  1  

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

 

  2   

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

 

 

                
   ANNUAL REPORT    JULY 31, 2016    15


Trust Summary as of July 31, 2016    BlackRock New York Municipal Income Trust

 

Trust Overview

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

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

 

Trust Information      

Symbol on NYSE

   BNY

Initial Offering Date

   July 27, 2001

Yield on Closing Market Price as of July 31, 2016 ($16.71)1

   4.31%

Tax Equivalent Yield2

   8.72%

Current Monthly Distribution per Common Share3

   $0.06

Current Annualized Distribution per Common Share3

   $0.72

Economic Leverage as of July 31, 20164

   38%

 

  1   

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

 

  2   

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

 

  3   

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

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance      

Returns for the 12 months ended July 31, 2016 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BNY1,2

    21.02     12.13

Lipper New York Municipal Debt Funds3

    20.33     10.69

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

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

 

  3   

Average return.

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

 

 

Municipal bonds generated strong performance for the annual period. Municipals were aided by the sharp decline in Treasury yields, which was brought about by the slow global economy and the accommodative policies of the world’s central banks. (Bond prices rise as yields fall.) The gains were largely concentrated among intermediate- and longer-term bonds, while shorter-term issues produced much smaller returns. New York municipal bonds performed well in the period, as the state’s healthy economy, robust overall financial position and general lack of pension-funding issues contributed to strong investor demand.

 

 

At a time of falling yields, the Trust’s positions in longer-duration and longer-dated bonds generally provided the largest absolute returns. (Duration is a measure of interest-rate sensitivity.) The Trust’s positions in the health care, transportation and education sectors made positive contributions to performance. The Trust’s exposure to lower-coupon and zero-coupon bonds, both of which outperformed, also aided returns.

 

 

Lower-rated bonds within the investment grade category outperformed during the period. In addition to offering higher incremental yield, the market segment benefited from a tightening of yield spreads that was fueled in part by investors’ elevated appetite for risk. In this environment, the Trust’s exposure to these higher-yielding bonds contributed to performance.

 

 

Leverage amplifies the effect of interest-rate movements, which was a positive to performance during the past 12 months given that yields declined.

 

 

The Trust utilized a mix of U.S. Treasury futures contracts to manage exposure to a rise in interest rates, which had a slightly negative impact on performance at a time in which the Treasury market finished with positive returns.

 

                
16    ANNUAL REPORT    JULY 31, 2016   


     BlackRock New York Municipal Income Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

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

Market Price

   $ 16.71       $ 14.54         14.92    $ 16.91       $ 14.10   

Net Asset Value

   $ 15.94       $ 14.97         6.48    $ 16.15       $ 14.80   

 

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

 

LOGO

 

Overview of the Trust’s Total Investments*

 

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

County/City/Special District/School District

    23     24

Education

    20        20   

Transportation

    20        15   

Utilities

    12        12   

Health

    9        10   

State

    8        9   

Corporate

    5        8   

Housing

    2        2   

Tobacco

    1          

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

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,
2016

    2

2017

    13   

2018

    3   

2019

    5   

2020

    5   

 

  3   

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

 

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

AAA/Aaa

    15     18

AA/Aa

    43        37   

A

    24        27   

BBB/Baa

    7        6   

BB/Ba

    3        4   

N/R2

    8        8   

 

  1   

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

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of July 31, 2016 and July 31, 2015, the market value of unrated securities deemed by the investment adviser to be investment grade represents 3% and 2%, respectively, of the Trust’s total investments.

 

 

                
   ANNUAL REPORT    JULY 31, 2016    17


Schedule of Investments July 31, 2016

  

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

California — 87.7%

                

County/City/Special District/School District — 21.9%

  

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

   $ 8,425      $ 9,617,980   

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

    

6.13%, 5/01/31

     500        599,555   

6.50%, 5/01/36

     1,210        1,474,639   

6.50%, 5/01/42

     2,225        2,705,934   

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

     2,000        2,262,400   

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

     2,000        2,275,200   

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

     8,990        11,113,258   

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

    

6.00%, 3/01/36

     2,880        3,513,197   

5.50%, 3/01/41

     5,270        6,310,983   

County of Santa Clara California Financing Authority, Refunding LRB, Series L, 5.25%, 5/15/18 (a)

     20,000        21,662,000   

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

     2,500        2,816,300   

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

     5,065        5,722,640   

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

     3,035        3,400,687   

Oak Grove School District, GO, Election of 2008, Series A:

    

5.50%, 8/01/19 (a)

     3,000        3,434,460   

5.50%, 8/01/33

     1,315        1,498,074   

Pico Rivera Public Financing Authority, RB, 5.75%, 9/01/19 (a)

     2,000        2,312,280   

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

     4,865        5,733,305   

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

     3,375        4,076,595   

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

     3,060        3,681,058   

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

     4,000        4,641,320   

Tustin California School District, GO, Election of 2008, Series B, 5.25%, 8/01/21 (a)

     3,445        4,189,430   

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

     1,625        2,026,099   
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

                

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

  

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

    

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

   $ 4,960      $ 5,916,238   

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

     2,500        3,096,975   
    

 

 

 
               114,080,607   

Education — 5.3%

  

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

     6,280        7,762,457   

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

     2,500        2,970,950   

California State University, Refunding RB, Systemwide, Series A:

    

5.00%, 11/01/36

     1,380        1,724,406   

4.00%, 11/01/38

     5,000        5,654,800   

5.00%, 11/01/41

     5,625        6,995,250   

University of California, Refunding RB, Series K, 4.00%, 5/15/37

     2,085        2,360,950   
    

 

 

 
               27,468,813   

Health — 14.0%

  

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

     4,975        5,770,552   

California Health Facilities Financing Authority, RB:

    

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

     6,710        7,639,536   

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

     8,500        9,936,160   

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

     4,500        4,564,530   

Sutter Health, Series A, 5.00%, 8/15/52

     3,500        4,121,180   

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

     6,015        7,196,226   

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

    

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

     5,550        6,355,804   

Dignity Health, 6.00%, 7/01/34

     4,520        5,186,158   

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

     3,000        3,595,290   

California Statewide Communities Development Authority, RB, Loma Linda University Medical Center, Series A, 5.25%, 12/01/56 (b)

     5,000        5,813,250   

California Statewide Communities Development Authority, Refunding RB:

    

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

     2,880        3,008,218   

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

     5,065        5,291,456   

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

     4,000        4,646,480   
    

 

 

 
               73,124,840   
 

 

Portfolio Abbreviations

 

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

 

See Notes to Financial Statements.

 

                
18    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (continued)

  

BlackRock California Municipal Income Trust (BFZ)

 

Municipal Bonds   

Par  

(000)

    Value  

California (continued)

                

State — 9.8%

    

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

   $ 2,500      $ 2,970,975   

State of California, GO:

    

Various Purposes, 6.00%, 3/01/33

     1,000        1,180,090   

Various Purposes, 6.00%, 4/01/38

     14,000        15,895,880   

Refunding, 4.00%, 9/01/33

     3,810        4,382,757   

State of California Public Works Board, LRB:

    

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

     9,000        10,365,840   

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

     4,940        6,227,661   

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

     5,025        5,920,706   

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

     3,335        4,119,959   
    

 

 

 
               51,063,868   

Tobacco — 4.2%

    

Golden State Tobacco Securitization Corp., Refunding RB, Asset-Backed:

    

Senior, Series A-1, 5.75%, 6/01/47

     6,000        6,120,000   

Series A, 5.00%, 6/01/45

     8,070        9,731,855   

Series A-1, 5.13%, 6/01/47

     6,000        5,999,580   
    

 

 

 
               21,851,435   

Transportation — 10.9%

    

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

     6,750        7,718,625   

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

    

5.00%, 5/15/34

     6,650        7,472,804   

5.00%, 5/15/40

     4,760        5,424,972   

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

    

5.75%, 3/01/34

     3,820        4,523,033   

6.25%, 3/01/34

     2,650        3,196,139   

City of San Jose California, Refunding RB, Series A (AMBAC), 5.00%, 3/01/37

     3,500        3,584,035   

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

     8,000        8,385,520   

County of Sacramento California, ARB:

    

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

     3,000        3,294,240   

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

     1,850        2,022,272   

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

     5,580        6,310,199   

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

     4,135        4,893,979   
    

 

 

 
               56,825,818   

Utilities — 21.6%

    

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

     7,690        9,090,657   

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

     6,555        7,431,862   

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

    

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

     9,000        9,763,290   

Series A, 5.38%, 7/01/34

     3,250        3,605,973   
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

                

Utilities (continued)

    

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

    

Power System, 5.00%, 7/01/40

   $ 2,000      $ 2,476,080   

5.25%, 7/01/39

     4,000        4,678,720   

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

     2,000        2,230,060   

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

     5,625        6,804,562   

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

    

Series A, 5.00%, 11/01/35

     10,625        12,028,456   

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

     5,000        5,896,800   

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

     8,000        8,181,120   

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

     4,320        5,177,218   

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

     2,425        2,901,828   

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

     6,745        7,765,181   

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

     10,000        12,191,100   

San Diego Public Facilities Financing Authority Sewer, Refunding RB, Senior Series A, 5.25%, 5/15/19 (a)

     11,020        12,432,103   
    

 

 

 
               112,655,010   
Total Municipal Bonds in California        457,070,391   
    

Multi-State — 0.4%

                

Housing — 0.4%

  

 

Centerline Equity Issuer Trust (b)(c):

    

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

     1,000        1,115,510   

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

     1,000        1,123,560   
Total Municipal Bonds in Multi-State              2,239,070   
Total Municipal Bonds — 88.1%              459,309,461   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
       

California — 78.6%

                

County/City/Special District/School District — 27.1%

  

 

California Health Facilities Financing Authority, RB, Sutter Health, Series A, 5.00%, 11/15/41

     11,620        14,242,518   

Chabot-Las Positas Community College District, GO, Refunding, 4.00%, 8/01/37

     1,897        3,845,774   

Los Angeles Community College District California, GO, Election of 2008:

    

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

     8,000        8,365,440   

Series C, 5.25%, 8/01/39 (e)

     12,902        15,075,088   

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

     20,131        23,345,704   

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

     5,000        5,626,250   

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

     15,140        18,516,826   

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

     10,484        11,920,165   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    19


Schedule of Investments (continued)

  

BlackRock California Municipal Income Trust (BFZ)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
  

Par  

(000)

    Value  

California (continued)

                

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

  

 

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

   $ 14,505      $ 17,482,954   

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

    

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

     14,625        15,920,702   

Series C, 4.00%, 8/01/39

     6,100        6,797,596   
    

 

 

 
               141,139,017   

Education — 19.2%

  

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

     10,395        11,399,157   

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

     13,095        14,257,948   

University of California, RB:

    

Series AM, 5.25%, 5/15/44

     5,000        6,183,550   

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

     12,300        14,053,980   

University of California, Refunding RB:

    

5.00%, 5/15/38

     4,250        5,305,998   

Series AI, 5.00%, 5/15/38

     14,225        17,133,539   

Series I, 5.00%, 5/15/40

     14,065        17,122,550   

Series A, 5.00%, 11/01/43

     11,792        14,509,004   
    

 

 

 
               99,965,726   

Health — 6.4%

  

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

     9,695        11,415,634   

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

     18,960        22,128,027   
    

 

 

 
               33,543,661   

State — 5.5%

  

State of California, GO, Refunding Various Purposes:

    

4.00%, 9/01/34

     13,790        15,810,235   

5.00%, 9/01/35

     10,115        12,716,858   
    

 

 

 
               28,527,093   

Transportation — 4.2%

  

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

     18,632        22,142,686   
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
  

Par  

(000)

    Value  

California (continued)

                

Utilities — 16.2%

  

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

   $ 15,998      $ 16,614,584   

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

     10,480        11,819,554   

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

    

5.00%, 5/01/18

     1,670        1,799,843   

5.00%, 5/01/18

     8,370        9,020,767   

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

     18,002        19,505,280   

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

     11,180        11,648,107   

San Diego Public Facilities Financing Authority Sewer, Refunding RB, Senior Series A, 5.25%, 5/15/19 (a)

     12,460        14,056,624   
    

 

 

 
               84,464,759   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 78.6%
        409,782,942   
Total Long-Term Investments
(Cost — $792,327,206) — 166.7%
        869,092,403   
    
                  
Short-Term Securities   

Shares

        

BlackRock Liquidity Funds, MuniCash, Institutional Class 0.26% (f)(g)

     3,771,908        3,771,908   
Total Short-Term Securities
(Cost — $3,771,908) — 0.7%
        3,771,908   
Total Investments (Cost — $796,099,114) — 167.4%        872,864,311   
Other Assets Less Liabilities — 0.7%        3,694,056   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (34.9)%

   

    (181,878,003

Loan for TOB Trust Certificates — (0.3)%

  

    (2,045,025

VMTP Shares at Liquidation Value — (32.9)%

  

    (171,300,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 521,335,339   
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

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

 

(c)   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.

 

(d)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details of municipal bonds transferred to TOB Trusts.

 

(e)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between October 1, 2016 and August 1, 2018, is $14,013,534. See Note 4 of the Notes to Financial Statements for details.

 

See Notes to Financial Statements.

 

                
20    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (continued)

  

BlackRock California Municipal Income Trust (BFZ)

 

 

(f)   During the year ended July 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at July 31,
2015
       Net
Activity
       Shares Held
at July 31,
2016
    Value
at July 31,
2016
       Income  

BIF California Municipal Money Fund

       6,380,903           (6,380,903                       $ 3   

BlackRock Liquidity Funds, MuniCash, Institutional Class

                 3,771,908           3,771,908      $ 3,771,908           1,010   

Total

                 $ 3,771,908         $ 1,013   
                

 

 

      

 

 

 

 

(g)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts
Short
    Issue    Expiration      Notional Value    

Unrealized
Appreciation

(Depreciation)

        
  (52   5-Year U.S. Treasury Note    September 2016      USD      6,344,813      $ 8,146     
  (63   10-Year U.S. Treasury Note    September 2016      USD      8,381,953        16,280     
  (31   Long U.S. Treasury Bond    September 2016      USD      5,407,562        (106,299        

 

Total

  

  $ (81,873  
              

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Futures contracts

  Net unrealized appreciation1           $ 24,426        $ 24,426   
Liabilities — Derivative Financial Instruments                                       

Futures contracts

  Net unrealized depreciation1           $ 106,299        $ 106,299   

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

        

For the year ended July 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) From:   Commodity
Contracts
  Credit
Contracts
  Equity
Contracts
 

Foreign

Currency
Exchange
Contracts

 

Interest

Rate

Contracts

    Other
Contacts
  Total  

Futures contracts

          $ (953,509     $ (953,509
Net Change in Unrealized Appreciation (Depreciation) on:                        

Futures contracts

          $ (38,759     $ (38,759

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:           

Average notional value of contracts — long

     $ 164,560 1 

Average notional value of contracts — short

     $ 19,959,439   

1    Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

       

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

 

Fair Value Hierarchy as of Period End

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

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    21


Schedule of Investments (concluded)

  

BlackRock California Municipal Income Trust (BFZ)

 

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 869,092,403                   $ 869,092,403   

Short-Term Securities

  $ 3,771,908                               3,771,908   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 3,771,908         $ 869,092,403                   $ 872,864,311   
 

 

 

      

 

 

      

 

 

      

 

 

 
                
Derivative Financial Instruments2                                         

Assets:

                

Interest rate contracts

  $ 24,426                             $ 24,426   

Liabilities:

                

Interest rate contracts

    (106,299                            (106,299
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ (81,873                          $ (81,873
 

 

 

      

 

 

      

 

 

      

 

 

 

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

      

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

      

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

 

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash

  $ 115,411                        $ 115,411   

Cash pledged for futures contracts

    249,000                          249,000   

Liabilities:

                

Loan for TOB Trust Certificates

            $ (2,045,025             (2,045,025

TOB Trust Certificates

              (181,645,774             (181,645,774

VMTP Shares at Liquidation Value

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

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 364,411         $ (354,990,799           $ (354,626,388
 

 

 

      

 

 

      

 

    

 

 

 

During the year ended July 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
22    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments July 31, 2016

  

BlackRock Florida Municipal 2020 Term Trust (BFO)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Florida — 99.0%

                

Corporate — 4.0%

  

 

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

   $ 1,000      $ 1,082,620   

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

     2,000        2,329,200   
    

 

 

 
               3,411,820   

County/City/Special District/School District — 34.4%

  

City of Jacksonville Florida, Refunding RB:

    

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

     4,000        4,656,600   

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

     400        456,964   

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

     2,000        2,306,940   

County of Broward Florida School Board, COP, Series A (AGM), 5.25%, 7/01/18 (a)

     2,500        2,720,325   

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

     5,545        5,856,407   

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

     4,000        4,326,040   

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

     1,000        1,011,180   

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

     485        549,102   

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

     1,000        1,154,720   

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

     1,250        1,434,663   

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

     3,000        3,455,730   

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

     2,425        1,696,772   
    

 

 

 
               29,625,443   

Education — 4.2%

  

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

     795        902,587   

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

     725        769,008   

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

     400        430,624   

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

     1,000        1,128,020   

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

     350        405,307   
    

 

 

 
               3,635,546   

Health — 17.8%

  

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

     500        568,145   

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

     2,155        2,448,683   

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

     1,500        1,578,150   

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

    

3.00%, 6/01/17

     190        192,261   

3.25%, 6/01/18

     195        200,745   

3.50%, 6/01/19

     200        210,074   
Municipal Bonds   

Par  

(000)

    Value  

Florida (continued)

                

Health (continued)

  

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

    

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

   $ 4,735      $ 5,619,214   

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

     1,285        1,474,190   

County of Palm Beach Health Facilities Authority, Refunding RB, Acts Retirement-Life Communities, Inc., 4.00%, 11/15/20 (d)

     2,000        2,228,320   

Halifax Hospital Medical Center, Refunding RB, 5.00%, 6/01/20

     590        673,739   

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

     150        172,479   
    

 

 

 
               15,366,000   

Housing — 1.0%

  

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

     155        158,331   

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

     150        152,382   

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

     425        434,524   

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

     90        91,687   
    

 

 

 
               836,924   

State — 11.7%

  

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

    

5.00%, 10/01/19

     1,050        1,184,316   

4.00%, 10/01/20

     1,105        1,222,672   

4.00%, 10/01/21

     500        560,910   

Florida Municipal Loan Council, Refunding RB:

    

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

     3,185        2,932,971   

Series B-2 (AGM), 4.00%, 10/01/20

     655        725,733   

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

     3,000        3,471,690   
    

 

 

 
               10,098,292   

Transportation — 10.8%

  

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

     865        937,539   

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

     160        181,344   

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

     2,500        2,873,575   

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

     1,375        1,592,456   

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

     1,500        1,733,340   

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

     550        635,558   

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

     1,130        1,314,484   
    

 

 

 
               9,268,296   

Utilities — 15.1%

  

City of Fort Lauderdale Florida Water & Sewer Revenue, Refunding RB, 5.00%, 9/01/20

     2,970        3,468,604   

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

     500        580,430   

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

     1,200        1,373,328   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    23


Schedule of Investments (continued)

  

BlackRock Florida Municipal 2020 Term Trust (BFO)

 

Municipal Bonds   

Par  

(000)

    Value  

Florida (continued)

                

Utilities (continued)

  

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

   $ 4,000      $ 4,580,800   

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

     510        569,542   

Florida Governmental Utility Authority, Refunding RB:

    

4.00%, 10/01/20

     500        557,445   

Lehigh Utility (AGM), 5.00%, 10/01/20

     635        733,736   

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

     500        579,850   

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

     530        597,851   
    

 

 

 
               13,041,586   
Total Municipal Bonds in Florida              85,283,907   
    

Guam — 0.5%

                

Utilities — 0.5%

    

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

     100        114,231   

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

     310        353,512   
Total Municipal Bonds in Guam              467,743   
Total Municipal Bonds
(Cost — $81,324,616) — 99.5%
             85,751,650   
Short-Term Securities   

Shares

    Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class 0.26% (f)(g)

     1,836,731      $ 1,836,731   
Total Short-Term Securities
(Cost — $1,836,731) — 2.1%
             1,836,731   
Total Investments (Cost — $83,161,347) — 101.6%        87,588,381   
Liabilities in Excess of Other Assets — (1.6)%        (1,378,949
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 86,209,432   
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

(b)   Non-income producing security.

 

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

 

(d)   When-issued security.

 

(e)   Zero-coupon bond.

 

(f)   During the year ended July 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at July 31,
2015
       Net
Activity
       Shares Held
at July 31,
2016
    Value at
July 31,
2016
       Net
Income
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

                 1,836,731         $ 1,836,731      $ 1,836,731         $ 1,529   

FFI Institutional Tax-Exempt Fund

       550,062           (550,062                         61   

Total

                 $ 1,836,731         $ 1,590   
                

 

 

      

 

 

 

 

(g)   Current yield as of period end.

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

 

Fair Value Hierarchy as of Period End

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

The following tables summarize the Trust’s investments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 85,751,650                   $ 85,751,650   

Short-Term Securities

  $ 1,836,731                               1,836,731   
 

 

 

 

Total

  $ 1,836,731         $ 85,751,650                   $ 87,588,381   
 

 

 

 

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

       

 

See Notes to Financial Statements.

 

                
24    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (concluded)

  

BlackRock Florida Municipal 2020 Term Trust (BFO)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of July 31, 2016, cash of $25,110 was categorized as Level 1 within the disclosure hierarchy.

During the year ended July 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    25


Schedule of Investments July 31, 2016

  

BlackRock Municipal 2030 Target Term Trust (BTT)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 0.6%

    

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

    

5.25%, 1/01/19

   $ 1,000      $ 1,005,830   

5.25%, 1/01/20

     1,000        1,005,830   

5.50%, 1/01/21

     1,200        1,206,996   

5.50%, 1/01/22

     1,105        1,111,442   

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

    

0.00%, 10/01/31

     7,375        3,623,780   

0.00%, 10/01/32

     6,295        2,871,464   

0.00%, 10/01/33

     1,275        544,017   
    

 

 

 
               11,369,359   

Alaska — 1.0%

    

City of Valdez Alaska, Refunding RB, BP Pipelines Project, Series B, 5.00%, 1/01/21

     9,595        11,004,410   

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

     6,130        6,228,141   
    

 

 

 
               17,232,551   

Arizona — 1.1%

    

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

    

Series A, 5.00%, 2/01/34

     6,340        7,220,436   

Series B, 5.00%, 2/01/33

     1,810        2,077,789   

City of Phoenix Arizona IDA, RB, Facility:

    

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

     575        653,217   

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

     580        618,112   

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

     1,000        1,052,240   

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

     750        867,255   

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

     6,000        6,635,700   
    

 

 

 
               19,124,749   

California — 10.1%

    

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

     10,530        6,401,714   

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

     10,000        10,002,300   

California Municipal Finance Authority, RB:

    

Biola University, 4.00%, 10/01/27

     750        827,055   

Biola University, 5.00%, 10/01/29

     660        776,233   

Biola University, 5.00%, 10/01/30

     500        586,610   

Biola University, 4.00%, 10/01/33

     2,500        2,683,550   

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

     1,000        1,181,150   

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

     13,845        15,747,165   

California State Public Works Board, RB, Judicial Council Projects, Series A, 5.00%, 3/01/33

     5,220        6,253,403   

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

     1,500        1,791,750   

California Statewide Communities Development Authority, Refunding RB, Eskaton Properties, Inc., 5.25%, 11/15/34

     2,500        2,846,475   
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

    

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

    

5.00%, 8/01/28

   $ 1,000      $ 1,151,550   

5.00%, 8/01/29

     1,300        1,489,553   

5.00%, 8/01/33

     1,335        1,510,900   

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

    

0.00%, 8/01/30

     9,090        6,209,197   

0.00%, 8/01/31

     12,465        8,249,212   

0.00%, 8/01/32

     17,435        11,242,960   

Golden Empire Schools Financing Authority, Refunding RB, Kern High School District Projects, 0.94%, 5/01/17 (c)

     8,590        8,587,595   

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

    

4.50%, 1/01/27

     5,000        5,633,750   

5.00%, 1/01/32

     4,110        4,654,657   

Los Angeles Unified School District, GO, Election of 2008, Series A, 4.00%, 7/01/33

     3,000        3,432,630   

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

     2,500        3,365,475   

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

    

5.00%, 8/01/30

     1,000        1,222,510   

5.00%, 8/01/32

     1,100        1,333,365   

5.00%, 8/01/33

     1,000        1,205,850   

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

    

0.00%, 8/01/27

     10,000        7,888,600   

0.00%, 8/01/30

     10,000        6,897,200   

0.00%, 8/01/32

     12,500        8,060,625   

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

     10,000        10,310,600   

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

    

4.00%, 8/01/31

     10,660        11,980,454   

4.00%, 8/01/32

     12,010        13,456,124   

4.00%, 8/01/33

     5,665        6,327,578   

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

     5,000        2,915,800   

Union City Community Redevelopment Agency, Refunding, Tax Allocation Bonds, Community Redevelopment Agency Projects, Series A:

    

5.00%, 10/01/32

     1,355        1,682,517   

5.00%, 10/01/33

     3,000        3,711,030   
    

 

 

 
               181,617,137   

Colorado — 4.3%

    

Central Platte Valley Metropolitan District, GO, Series A:

    

5.13%, 12/01/29

     700        819,798   

5.50%, 12/01/29

     750        897,900   

5.38%, 12/01/33

     1,500        1,769,280   

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

     1,000        1,057,900   

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

     1,000        1,170,820   
 

 

See Notes to Financial Statements.

 

                
26    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Colorado (continued)

    

Colorado Health Facilities Authority, Refunding RB, Series A:

    

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

   $ 4,595      $ 4,822,728   

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

     3,000        3,373,380   

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

     3,455        4,046,392   

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

     3,140        3,666,766   

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

     2,250        2,617,898   

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

     1,500        1,730,085   

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

     500        534,780   

Dawson Ridge Metropolitan District No. 1, GO, Refunding, Series A, 0.00%, 10/01/22 (a)(d)

     27,540        25,236,830   

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

    

5.00%, 12/01/26

     1,000        1,229,800   

5.00%, 12/01/27

     1,500        1,833,630   

5.00%, 12/01/28

     1,500        1,822,170   

5.00%, 12/01/30

     1,350        1,623,267   

5.00%, 12/01/31

     1,500        1,796,745   

5.00%, 12/01/33

     1,000        1,188,700   

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

    

4.10%, 12/01/24

     5,080        5,373,167   

4.20%, 12/01/25

     5,280        5,583,706   

4.50%, 12/01/30

     4,305        4,535,145   

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

     505        549,541   
    

 

 

 
               77,280,428   

District of Columbia — 1.3%

    

District of Columbia, GO, Series A, 5.00%, 6/01/32

     16,980        21,474,097   

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

     1,700        2,051,526   
    

 

 

 
               23,525,623   

Florida — 12.4%

    

City of North Miami Beach Florida, Refunding RB:

    

4.00%, 8/01/27

     2,810        3,151,780   

5.00%, 8/01/31

     4,235        5,069,761   

City of Tampa Florida, Refunding RB, Series A:

    

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

     6,395        7,105,868   

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

     10,000        10,806,900   

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

     5,000        5,795,250   

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

     3,760        4,481,845   

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

    

5.00%, 4/01/30

     600        692,730   

5.00%, 4/01/33

     740        845,687   

County of Broward Florida School District, COP, Refunding, Series A, 5.00%, 7/01/32

     3,000        3,699,900   

County of Indian River Florida School Board, COP, Refunding, Series A:

    

5.00%, 7/01/26

     3,500        4,462,465   

5.00%, 7/01/27

     7,895        9,972,411   
Municipal Bonds   

Par  

(000)

    Value  

Florida (continued)

    

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

   $ 5,250      $ 5,494,545   

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

     5,000        5,937,000   

County of Miami-Dade Florida Educational Facilities Authority, Refunding RB, Series A, 5.00%, 4/01/33

     5,000        6,042,650   

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

    

Series A, 5.00%, 5/01/32

     9,000        11,015,370   

Series A, 5.00%, 5/01/32

     10,000        11,803,500   

Series D, 5.00%, 2/01/29

     14,550        17,980,308   

County of Orange Florida School Board, COP, Refunding, Series C, 5.00%, 8/01/33

     17,500        21,508,375   

County of Palm Beach Florida Health Facilities Authority, Refunding RB, Acts Retirement-Life Communities, Inc. Obligated Group, 5.00%, 11/15/32 (e)

     19,790        23,938,776   

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

    

0.00%, 6/01/29

     2,295        1,792,877   

0.00%, 6/01/30

     2,000        1,525,140   

0.00%, 6/01/31

     1,295        963,881   

0.00%, 6/01/32

     2,495        1,814,738   

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

     1,200        1,291,848   

Florida Higher Educational Facilities Financial Authority, Refunding RB, Nova Southeastern University Project:

    

5.00%, 4/01/25

     725        902,763   

5.00%, 4/01/26

     1,500        1,891,305   

5.00%, 4/01/27

     2,000        2,508,780   

5.00%, 4/01/29

     1,350        1,668,411   

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

     2,000        2,183,700   

Jacksonville Florida Port Authority, Refunding RB, AMT:

    

4.50%, 11/01/30

     2,895        3,244,600   

4.50%, 11/01/31

     3,200        3,578,208   

4.50%, 11/01/32

     2,300        2,560,544   

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

    

5.00%, 11/15/26

     250        303,858   

5.00%, 11/15/27

     375        453,371   

5.00%, 11/15/28

     500        600,195   

5.00%, 11/15/30

     1,000        1,191,970   

Miami Beach Redevelopment Agency, Refunding, Tax Allocation Bonds, Tax Increment Revenue, 5.00%, 2/01/30

     3,305        3,987,714   

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

     3,825        4,667,724   

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

    

Phase I, 3.50%, 5/01/28

     2,040        2,102,016   

Phase I, 3.50%, 5/01/28

     3,860        3,972,326   

Phase II, 4.00%, 5/01/33

     1,190        1,239,290   

Phase II, 4.00%, 5/01/34

     2,465        2,559,533   

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

     6,120        6,345,889   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    27


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Florida (continued)

    

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

    

4.50%, 5/01/23

   $ 2,700      $ 3,016,872   

5.00%, 5/01/32

     5,685        6,406,540   
    

 

 

 
               222,579,214   

Idaho — 0.6%

    

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

     10,000        10,924,400   

Illinois — 15.1%

    

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

     5,000        5,797,850   

Chicago O’Hare International Airport, Refunding RB:

    

5.00%, 1/01/33

     6,940        8,331,886   

5.00%, 1/01/34

     7,850        9,404,457   

City of Chicago Illinois, GO:

    

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

     5,000        3,343,050   

Project, Series A, 5.00%, 1/01/33

     10,000        10,189,700   

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

    

4.00%, 1/01/31

     10,375        10,848,100   

4.00%, 1/01/32

     10,790        11,254,617   

4.00%, 1/01/33

     11,220        11,674,635   

4.00%, 1/01/35

     9,135        9,477,471   

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

    

4.00%, 1/01/27

     5,000        5,417,650   

4.00%, 1/01/29

     28,425        30,188,203   

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

     730        834,835   

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

    

4.00%, 12/01/30

     1,620        1,800,743   

4.00%, 12/01/31

     1,715        1,898,814   

4.00%, 12/01/32

     1,800        1,986,192   

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

     19,750        21,018,938   

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

    

0.00%, 1/01/29

     6,920        3,918,934   

0.00%, 1/01/30

     5,680        3,056,692   

0.00%, 1/01/31

     13,330        6,850,020   

0.00%, 1/01/32

     16,500        8,035,665   

Illinois Finance Authority, Refunding RB:

    

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

     4,560        4,985,722   

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

     4,350        4,795,266   

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

     4,900        5,361,286   

Presence Health Network, Series C, 5.00%, 2/15/30 (e)

     12,000        13,878,240   

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

     8,415        10,229,358   

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

     2,075        2,515,025   

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

     2,125        2,558,755   

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

     11,000        11,916,410   

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

    

4.00%, 12/01/31

     20,000        22,522,200   

5.00%, 12/01/32

     4,550        5,606,965   
Municipal Bonds   

Par  

(000)

    Value  

Illinois (continued)

    

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

    

4.00%, 2/01/29

   $ 9,305      $ 10,095,460   

4.00%, 2/01/30

     9,835        10,641,962   
    

 

 

 
               270,435,101   

Indiana — 3.0%

    

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

     2,140        2,518,566   

City of Whiting Indiana, RB, BP Products North America, Inc. Project, AMT, 5.00%, 3/01/46 (c)

     8,500        10,100,295   

Indiana Finance Authority, Refunding RB:

    

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

     23,565        24,672,084   

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

     11,255        12,845,556   

Northern Indiana Commuter Transportation District, RB:

    

5.00%, 7/01/32

     1,000        1,228,330   

5.00%, 7/01/33

     1,400        1,715,504   
    

 

 

 
               53,080,335   

Iowa — 1.9%

    

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

    

5.50%, 12/01/22

     18,500        19,238,150   

5.25%, 12/01/25

     14,345        15,474,812   
    

 

 

 
               34,712,962   

Kansas — 0.2%

    

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

    

5.00%, 9/01/30

     1,175        1,441,408   

5.00%, 9/01/33

     1,370        1,660,536   
    

 

 

 
               3,101,944   

Kentucky — 0.6%

    

Countyof Louisville/Jefferson Metropolitan Government, Refunding RB, Norton Healthcare, Inc., Series A, 5.00%, 10/01/32 (e)

     7,300        8,910,672   

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

    

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

     1,500        1,368,780   

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

     1,230        699,882   
    

 

 

 
               10,979,334   

Louisiana — 2.8%

    

City of New Orleans Louisiana, Refunding RB:

    

5.00%, 12/01/27

     1,500        1,821,840   

5.00%, 12/01/29

     1,000        1,199,860   

Louisiana Public Facilities Authority, Refunding RB:

    

Entergy Louisiana, Series B, 3.50%, 6/01/30

     6,190        6,477,216   

Ochsner Clinic Foundation Project, 5.00%, 5/15/29

     1,250        1,539,488   

Ochsner Clinic Foundation Project, 5.00%, 5/15/30

     1,000        1,226,680   

Ochsner Clinic Foundation Project, 3.00%, 5/15/31

     2,250        2,299,905   

Ochsner Clinic Foundation Project, 5.00%, 5/15/32

     1,500        1,826,850   

Ochsner Clinic Foundation Project, 5.00%, 5/15/33

     2,200        2,670,844   

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

    

5.00%, 7/01/29

     3,000        3,555,630   

5.00%, 7/01/30

     5,000        5,906,600   
 

 

See Notes to Financial Statements.

 

                
28    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Louisiana (continued)

    

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

    

5.00%, 4/01/31

   $ 300      $ 340,881   

5.00%, 4/01/32

     1,000        1,132,360   

5.00%, 4/01/33

     1,575        1,780,396   

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

     1,925        2,211,998   

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

    

5.25%, 5/15/31

     3,425        3,884,566   

5.25%, 5/15/32

     4,375        5,041,750   

5.25%, 5/15/33

     4,750        5,435,235   

5.25%, 5/15/35

     1,500        1,725,375   
    

 

 

 
               50,077,474   

Maine — 0.3%

    

Maine Health & Higher Educational Facilities Authority, RB, Eastern Maine Medical Center Obligation, 5.00%, 7/01/33

     5,000        5,667,550   

Maryland — 1.4%

    

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

    

4.20%, 7/01/24

     700        739,088   

4.90%, 7/01/30

     1,315        1,386,418   

Maryland EDC, RB, Purple Line Light Rail Project, AMT:

    

5.00%, 3/31/28

     500        627,985   

5.00%, 9/30/28

     2,000        2,503,620   

5.00%, 3/31/29

     1,500        1,874,625   

5.00%, 9/30/29

     1,600        1,996,288   

5.00%, 3/31/30

     1,325        1,647,373   

Maryland EDC, Refunding RB:

    

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

     3,225        3,204,553   

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

     500        559,425   

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

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

     2,200        2,641,254   

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

     1,400        1,668,450   

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

     1,200        1,421,700   

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

     1,185        1,430,745   

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

     2,200        2,647,348   
    

 

 

 
               24,348,872   

Massachusetts — 1.3%

    

Massachusetts Development Finance Agency, Refunding RB, Emmanuel College Issue, Series A:

    

5.00%, 10/01/30

     780        942,474   

5.00%, 10/01/31

     3,635        4,363,454   

5.00%, 10/01/32

     980        1,170,620   

5.00%, 10/01/33

     1,285        1,531,180   

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

     7,645        8,469,743   

Massachusetts State College Building Authority, Refunding RB, Series A, 4.00%, 5/01/29

     2,015        2,343,022   

Massachusetts Water Resources Authority, Refunding RB, General, Green Bonds, Series C, 5.00%, 8/01/24

     3,000        3,829,770   
    

 

 

 
               22,650,263   

Michigan — 3.0%

    

Marquette Board of Light & Power, Refunding RB, Series A:

    

5.00%, 7/01/25

     2,590        3,261,820   

5.00%, 7/01/26

     1,000        1,274,990   
Municipal Bonds   

Par  

(000)

    Value  

Michigan (continued)

    

Marquette Board of Light & Power, Refunding RB, Series A (continued):

    

5.00%, 7/01/28

   $ 1,650      $ 2,066,477   

5.00%, 7/01/29

     1,000        1,247,350   

5.00%, 7/01/30

     1,000        1,242,310   

5.00%, 7/01/31

     1,000        1,237,290   

5.00%, 7/01/32

     1,150        1,418,295   

Michigan Finance Authority, Refunding RB:

    

MidMichigan Health, 5.00%, 6/01/33

     2,750        3,281,905   

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

     4,105        4,862,988   

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

     8,195        8,905,179   

Saginaw Valley State University, Refunding RB, Series A:

    

5.00%, 7/01/31

     2,070        2,534,446   

5.00%, 7/01/32

     1,430        1,745,215   

State of Michigan, GO, Environmental Program, Series A, 5.00%, 12/01/22

     12,460        15,383,490   

State of Michigan, Refunding RB, 5.00%, 3/15/27 (e)

     3,750        4,819,762   
    

 

 

 
               53,281,517   

Minnesota — 0.2%

    

Sartell-St Stephen Independent School District No. 748, GO, Series B (a):

    

0.00%, 2/01/30

     1,850        1,284,770   

0.00%, 2/01/31

     2,190        1,454,138   

0.00%, 2/01/32

     1,450        928,087   
    

 

 

 
               3,666,995   

Mississippi — 1.3%

    

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

    

5.00%, 3/01/30

     2,280        2,758,937   

5.00%, 3/01/31

     1,595        1,924,016   

5.00%, 3/01/32

     2,000        2,403,140   

5.00%, 3/01/33

     1,275        1,526,022   

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

     12,225        14,725,135   
    

 

 

 
               23,337,250   

Missouri — 0.3%

    

Missouri State Health & Educational Facilities Authority, Refunding RB:

    

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

     2,010        2,188,850   

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

     3,000        3,398,940   
    

 

 

 
               5,587,790   

Nebraska — 2.1%

    

Central Plains Nebraska Energy Project, RB:

    

Energy Project No. 3, 5.00%, 9/01/27

     7,010        8,153,051   

Gas Project No. 3, 5.00%, 9/01/32

     4,500        5,137,110   

Nebraska Public Power District, Refunding RB, General:

    

Series A, 5.00%, 1/01/29

     1,660        2,092,214   

Series A, 5.00%, 1/01/31

     1,120        1,395,251   

Series A, 5.00%, 1/01/32

     1,000        1,241,890   

Series A, 5.00%, 1/01/33

     1,620        1,999,420   

Series B, 5.00%, 1/01/30

     3,000        3,754,740   

Series B, 5.00%, 1/01/32

     3,500        4,346,615   

Public Power Generation Agency, Refunding RB, 5.00%, 1/01/32

     7,630        9,410,079   
    

 

 

 
               37,530,370   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    29


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

New Hampshire — 0.6%

    

New Hampshire State Turnpike System, RB, Series C:

    

4.00%, 8/01/33

   $ 4,350      $ 4,777,953   

4.00%, 8/01/35

     4,745        5,183,913   
    

 

 

 
               9,961,866   

New Jersey — 12.2%

    

Casino Reinvestment Development Authority, Refunding RB:

    

5.00%, 11/01/21

     2,465        2,663,457   

5.00%, 11/01/22

     1,890        2,056,962   

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

     1,500        1,732,620   

New Jersey EDA, RB, AMT:

    

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

     12,230        13,694,298   

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

     1,315        1,528,280   

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

     1,740        2,022,211   

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

     4,705        5,476,432   

New Jersey EDA, Refunding RB:

    

Cigarette Tax, 5.00%, 6/15/23

     13,000        14,730,820   

Cigarette Tax, 5.00%, 6/15/26

     10,610        11,837,259   

Cigarette Tax, 4.25%, 6/15/27

     16,500        17,460,795   

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

     6,200        7,117,352   

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

     5,000        5,987,850   

New Jersey Health Care Facilities Financing Authority, Refunding RB:

    

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

     2,900        3,655,595   

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

     2,400        2,998,464   

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

     3,000        3,300,060   

New Jersey Higher Education Student Assistance Authority, RB, Senior Student Loan, Series 1A, AMT:

    

5.00%, 12/01/22

     1,275        1,473,543   

5.00%, 12/01/23

     3,475        4,073,360   

5.00%, 12/01/24

     6,000        7,105,980   

5.00%, 12/01/25

     5,500        6,575,855   

5.00%, 12/01/26

     2,250        2,679,345   

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

     5,755        6,157,620   

New Jersey Transportation Trust Fund Authority, RB:

    

Transportation Program, Series AA, 5.25%, 6/15/27

     4,225        4,871,340   

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

     4,500        5,149,035   

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

     41,000        25,272,810   

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

     18,000        10,571,400   

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

     13,315        13,644,147   

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

     10,000        11,464,100   

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

     5,000        5,637,050   
Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

    

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

   $ 5,000      $ 6,239,000   

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

    

5.00%, 11/01/33

     500        576,180   

5.00%, 11/01/34

     500        574,990   

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

     3,190        3,253,800   

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

    

5.00%, 7/15/29

     1,750        2,112,932   

5.00%, 7/15/30

     2,000        2,410,900   

5.00%, 7/15/31

     1,450        1,741,479   

5.00%, 7/15/32

     835        999,487   
    

 

 

 
               218,846,808   

New Mexico — 1.0%

    

New Mexico Educational Assistance Foundation, RB, AMT:

    

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

     6,250        6,668,750   

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

     5,850        6,237,387   

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

     5,000        5,316,750   
    

 

 

 
               18,222,887   

New York — 2.2%

    

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

     900        1,000,008   

New York State Dormitory Authority, Refunding RB, Seies A:

    

4.00%, 7/01/20

     1,075        1,204,021   

5.00%, 7/01/25

     640        821,798   

5.00%, 7/01/26

     550        715,083   

5.00%, 7/01/27

     1,000        1,289,590   

5.00%, 7/01/28

     515        660,359   

New York Transportation Development Corp., RB, Laguardia Airport Terminal B Redevelopment Project, Series A, AMT:

    

4.00%, 7/01/32

     5,500        5,899,190   

4.00%, 7/01/33

     6,000        6,439,440   

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT:

    

5.00%, 8/01/26

     3,080        3,420,248   

5.00%, 8/01/31

     3,465        3,795,007   

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

     9,115        10,962,519   

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

     4,000        4,009,160   
    

 

 

 
               40,216,423   

North Carolina — 0.1%

    

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

     1,665        1,928,470   

Ohio — 1.0%

    

American Municipal Power, Inc., RB, Meldahl Hydroelectric Project, Green Bond, Series A:

    

5.00%, 2/15/29

     700        870,975   

5.00%, 2/15/30

     885        1,093,842   

5.00%, 2/15/31

     800        984,920   

5.00%, 2/15/32

     1,000        1,224,420   

5.00%, 2/15/33

     1,195        1,459,752   

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

    

5.25%, 7/01/28

     500        529,080   

5.63%, 7/01/32

     1,000        1,062,800   
 

 

See Notes to Financial Statements.

 

                
30    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Ohio (continued)

    

Ohio Air Quality Development Authority, Refunding RB, AMT, 3.95%, 11/01/32 (c)

   $ 1,500      $ 1,529,850   

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

     3,220        3,605,595   

State of Ohio, RB, Portsmouth Bypass Project, AMT (AGM):

    

5.00%, 12/31/29

     1,625        1,949,399   

5.00%, 12/31/30

     2,400        2,860,080   
    

 

 

 
               17,170,713   

Oklahoma — 0.2%

    

County of Cleveland Educational Facilities Authority, LRB, Moore Public Schools Project, 5.00%, 6/01/18

     200        215,128   

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

    

5.00%, 4/01/23

     935        951,867   

5.00%, 4/01/29

     1,500        1,506,135   

5.00%, 4/01/33

     1,050        1,048,163   
    

 

 

 
               3,721,293   

Pennsylvania — 12.7%

    

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

    

5.00%, 5/01/27

     6,750        7,618,320   

5.00%, 5/01/28

     5,000        5,616,600   

5.00%, 5/01/29

     3,745        4,189,906   

5.00%, 5/01/30

     5,300        5,912,627   

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

     2,180        2,337,832   

County of Allegheny Higher Education Building Authority, Refunding RB, Duquense University, 4.00%, 3/01/21

     350        394,020   

County of Beaver Pennsylvania IDA, Refunding RB (c):

    

First Energy Nuclear Energy Project, Series B, 3.50%, 12/01/35

     6,790        6,818,857   

Series A, 4.00%, 1/01/35

     9,765        10,037,639   

County of Cumberland Pennsylvania Municipal Authority, Refunding RB:

    

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

     750        834,450   

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

     1,275        1,389,878   

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

     3,350        3,611,434   

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

     1,300        1,546,506   

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

     2,675        3,173,299   

County of Dauphin General Authority, Refunding RB, Pinnacle Health System Project, Series A, 4.00%, 6/01/31

     2,275        2,520,677   

County of Lancaster Hospital Authority, Refunding RB, University of Pennsylvannia Health System Obligation, 3.00%, 8/15/30

     2,535        2,554,722   

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

     27,535        29,419,220   

County of Montgomery Pennsylvania IDA, Refunding RB:

    

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

     2,500        2,900,950   

Acts Retirement-Life Communities, Inc. Obligated Group, 5.00%, 11/15/33 (e)

     15,015        18,237,820   

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

     3,250        3,766,490   
Municipal Bonds   

Par  

(000)

    Value  

Pennsylvania (continued)

    

County of Montgomery Pennsylvania IDA, Refunding RB (continued):

    

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

   $ 6,185      $ 7,148,004   

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

     2,000        2,119,740   

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

     13,250        15,238,825   

County of Westmoreland Municipal Authority, Refunding RB (BAM) (e):

    

5.00%, 8/15/27

     1,500        1,856,475   

5.00%, 8/15/28

     3,000        3,682,170   

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

    

5.00%, 12/31/29

     5,000        6,023,750   

5.00%, 12/31/30

     13,100        15,744,235   

5.00%, 12/31/34

     5,000        5,908,850   

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

     5,250        5,846,767   

Pennsylvania Higher Educational Facilities Authority, Refunding RB:

    

Drexel University, 5.00%, 5/01/30 (e)

     425        523,838   

Drexel University, 5.00%, 5/01/31 (e)

     1,000        1,228,640   

Drexel University, 5.00%, 5/01/32 (e)

     1,750        2,139,883   

Drexel University, 5.00%, 5/01/33 (e)

     3,320        4,043,561   

La Salle University, 4.00%, 5/01/32

     3,000        3,166,320   

Pennsylvania Turnpike Commission, RB, Series A-1, 5.00%, 12/01/33

     8,990        10,904,331   

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

    

5.00%, 4/01/27

     4,130        4,525,034   

5.00%, 4/01/28

     8,000        8,723,840   

5.00%, 4/01/29

     6,000        6,517,020   

5.00%, 4/01/30

     5,500        5,956,170   

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

    

5.00%, 7/01/30

     1,280        1,440,627   

5.00%, 7/01/30

     825        947,042   
    

 

 

 
               226,566,369   

Rhode Island — 0.8%

    

Rhode Island Health & Educational Building Corp., RB, Hospital Financing, LifeSpan Obligation, 5.00%, 5/15/30 (e)

     1,500        1,797,090   

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

    

5.00%, 6/01/28

     2,750        3,212,907   

5.00%, 6/01/29

     4,500        5,191,560   

5.00%, 6/01/30

     4,215        4,849,484   
    

 

 

 
               15,051,041   

South Carolina — 0.1%

    

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

     2,000        2,159,000   

Tennessee — 0.6%

    

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

     1,500        1,724,070   

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

     6,210        7,260,856   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    31


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Tennessee (continued)

    

Counties of Nashville & Davidson Tennessee Metropolitan Government Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A, 5.00%, 7/01/31

   $ 1,300      $ 1,604,590   
    

 

 

 
               10,589,516   

Texas — 24.5%

    

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

    

5.00%, 1/01/30

     1,600        1,950,976   

5.00%, 1/01/31

     1,175        1,423,231   

5.00%, 1/01/33

     1,500        1,806,180   

Central Texas Regional Mobility Authority, Refunding RB:

    

5.00%, 1/01/27

     1,300        1,630,850   

5.00%, 1/01/28

     1,500        1,867,185   

5.00%, 1/01/29

     3,310        4,075,735   

5.00%, 1/01/30

     2,725        3,337,280   

5.00%, 1/01/31

     2,350        2,864,674   

5.00%, 1/01/32

     2,475        3,005,417   

5.00%, 1/01/33

     2,000        2,421,120   

Central Texas Turnpike System, Refunding RB, Series C:

    

5.00%, 8/15/32

     12,500        14,774,250   

5.00%, 8/15/33

     14,000        16,491,440   

City of Brownsville Texas Utilities System Revenue, Refunding RB, Series A, 4.00%, 9/01/30

     11,170        12,382,280   

City of Houston Texas, GO, Refunding, Series A, 5.00%, 3/01/24

     14,000        17,447,500   

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

     2,665        3,014,195   

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

     1,650        2,014,914   

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

    

3.10%, 12/01/22

     1,050        1,065,099   

3.95%, 12/01/32

     1,800        1,828,206   

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

     12,325        13,544,805   

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

    

5.75%, 1/01/28

     500        573,945   

6.38%, 1/01/33

     460        541,682   

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

    

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

     1,090        1,165,493   

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

     18,000        19,529,280   

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

     1,500        1,718,775   

YMCA of the Greater Houston Area, 5.00%, 6/01/33

     3,000        3,378,240   

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

    

Series A (AMBAC), 4.40%, 5/01/30

     31,120        36,630,418   

Series B (AMBAC), AMT, 4.55%, 5/01/30

     10,000        11,560,700   

Series B-2, 4.00%, 6/01/30

     12,895        14,109,580   

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

    

0.00%, 9/15/31

     6,235        3,922,875   

0.00%, 9/15/32

     15,135        9,019,098   
Municipal Bonds   

Par  

(000)

    Value  

Texas (continued)

    

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

    

4.00%, 11/15/31

   $ 5,500      $ 5,965,850   

4.00%, 11/15/32

     15,420        16,686,136   

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

    

Baylor Scott & White Health Project, 5.00%, 11/15/27

     500        635,870   

Baylor Scott & White Health Project, 5.00%, 11/15/28

     3,000        3,805,260   

Baylor Scott & White Health Project, 5.00%, 11/15/29

     5,000        6,290,100   

Baylor Scott & White Health Project, 5.00%, 11/15/30

     2,665        3,337,859   

Baylor Scott & White Health Project, 5.00%, 11/15/31

     1,500        1,869,705   

Baylor Scott & White Health Project, 5.00%, 11/15/32

     2,500        3,106,200   

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

     1,000        1,173,230   

Eagle Mountain & Saginaw Independent School District, GO, Refunding (PSF-GTD):

    

5.00%, 8/15/20

     1,685        1,960,784   

5.00%, 8/15/26

     2,115        2,744,043   

5.00%, 8/15/27

     4,460        5,722,894   

5.00%, 8/15/28

     3,980        5,087,276   

5.00%, 8/15/29

     3,960        5,033,873   

Grapevine-Colleyville Independent School District, GO, Refunding (PSF-GTD), 5.00%, 8/15/26

     10,975        14,080,376   

Leander ISD, GO, CAB, Refunding, Series D (PSF-GTD) (a):

    

0.00%, 8/15/31

     1,200        740,844   

0.00%, 8/15/32

     2,000        1,175,820   

0.00%, 8/15/33

     4,485        2,505,994   

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

    

4.00%, 5/15/31

     9,970        10,856,034   

4.00%, 5/15/32

     5,635        6,053,511   

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

    

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

     2,290        2,624,844   

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

     1,150        1,320,741   

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

     420        493,517   

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

     240        284,866   

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

     725        842,559   

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

     1,600        1,889,360   

North Texas Tollway Authority, Refunding RB, Series A, 5.00%, 1/01/30

     8,500        10,613,610   

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

    

4.70%, 1/01/22

     745        809,405   

5.50%, 1/01/32

     1,000        1,087,670   

State of Texas, GO, Refunding, Series A, 5.00%, 10/01/23

     3,100        3,893,848   

State of Texas, GO, Transportation Commission, Highway Improvement, General, 5.00%, 4/01/23

     15,000        18,639,000   

Texas A&M University, Refunding RB, Financing System, Series B, 5.00%, 5/15/22

     5,000        6,107,250   
 

 

See Notes to Financial Statements.

 

                
32    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Texas (continued)

    

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

    

5.00%, 12/15/30

   $ 18,000      $ 20,614,320   

5.00%, 12/15/31

     25,000        28,457,250   

Texas Transportation Commission State Highway Fund, Refunding RB, 1st Tier:

    

5.00%, 10/01/22

     5,000        6,152,950   

Series A, 5.00%, 4/01/22

     5,000        6,079,450   

University of Texas System, Refunding RB, Financing System, Series C:

    

5.00%, 8/15/19

     10,000        11,308,400   

5.00%, 8/15/20

     7,410        8,648,581   
    

 

 

 
               437,794,703   

Vermont — 0.1%

    

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

     2,400        2,560,128   

Virginia — 1.1%

    

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

     2,000        2,168,340   

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

    

4.50%, 7/01/30

     3,000        3,175,590   

4.50%, 7/01/32

     1,100        1,158,355   

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

     5,445        5,895,410   

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

     500        523,010   

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

     2,000        2,309,280   

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

     3,940        4,352,282   
    

 

 

 
               19,582,267   

Washington — 3.2%

    

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

    

3.50%, 9/01/18

     1,025        1,051,517   

5.00%, 9/01/27

     1,000        1,084,150   

5.25%, 9/01/32

     1,850        1,978,445   

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

     5,000        5,430,200   

Spokane Public Facilities District, Refunding RB, Series B:

    

4.50%, 12/01/30

     5,370        6,110,147   

5.00%, 12/01/32

     5,895        6,876,458   

5.00%, 9/01/33

     4,665        5,432,066   

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

    

4.00%, 7/01/29

     3,605        4,014,276   

4.00%, 7/01/30

     4,290        4,756,752   

4.00%, 7/01/31

     4,470        4,935,327   

4.00%, 7/01/32

     4,590        5,049,046   

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

     600        602,556   

Washington State Housing Finance Commission, Refunding RB, Emerald Heights Project:

    

5.00%, 7/01/28

     1,000        1,150,780   

5.00%, 7/01/33

     1,100        1,248,335   
Municipal Bonds   

Par  

(000)

    Value  

Washington (continued)

    

WBRP 3.2, RB, Series A:

    

5.00%, 1/01/31

   $ 1,000      $ 1,230,240   

5.00%, 1/01/32

     1,140        1,397,287   

5.00%, 1/01/33

     3,345        4,084,780   
    

 

 

 
               56,432,362   

West Virginia — 1.2%

    

West Virginia Hospital Finance Authority, Refunding RB, West Virginia United Health System Obligated Group:

    

5.00%, 6/01/27

     8,885        11,198,210   

5.00%, 6/01/28

     7,560        9,473,360   
    

 

 

 
               20,671,570   

Wisconsin — 1.6%

    

Public Finance Authority, Refunding RB, AMT:

    

National Gypsum Co., 5.25%, 4/01/30

     6,690        7,502,367   

Waste Management, Inc. Project, 2.63%, 11/01/25

     3,000        3,060,690   

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

     2,250        2,533,162   

Wisconsin Health & Educational Facilities Authority, Refunding RB:

    

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

     3,510        4,151,523   

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

     3,685        4,333,855   

Marquette University, 4.00%, 10/01/32

     4,520        4,940,631   

The Monroe Clinic, Inc., 5.00%, 2/15/28 (e)

     500        610,370   

The Monroe Clinic, Inc., 5.00%, 2/15/29 (e)

     575        698,849   

The Monroe Clinic, Inc., 5.00%, 2/15/30 (e)

     500        605,430   
    

 

 

 
               28,436,877   
Total Municipal Bonds — 128.1%              2,292,023,511   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
              

Colorado — 4.9%

    

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

    

4.25%, 11/15/29

     33,820        37,160,595   

4.25%, 11/15/30

     35,210        38,687,894   

4.25%, 11/15/31

     8,085        8,883,602   

4.25%, 11/15/32

     2,230        2,450,270   
    

 

 

 
               87,182,361   

Florida — 5.7%

    

County of Broward Florida, ARB, Series Q-1 (i):

    

4.00%, 10/01/29

     17,200        18,836,662   

4.00%, 10/01/30

     18,095        19,816,826   

4.00%, 10/01/31

     18,820        20,610,813   

4.00%, 10/01/32

     19,575        21,437,655   

4.00%, 10/01/33

     20,355        22,291,875   
    

 

 

 
               102,993,831   

Iowa — 2.6%

    

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

    

4.00%, 9/01/28

     3,375        3,725,563   

4.00%, 9/01/29

     6,524        7,202,755   

4.00%, 9/01/30

     6,324        6,981,981   

4.00%, 9/01/31

     8,649        9,548,480   

4.00%, 9/01/32

     7,749        8,554,996   

4.00%, 9/01/33

     9,374        10,348,786   
    

 

 

 
               46,362,561   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    33


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (h)
  

Par  

(000)

    Value  

Texas — 9.5%

    

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

    

4.00%, 9/15/30

   $ 15,000      $ 16,497,505   

4.00%, 9/15/31

     19,475        21,419,261   

4.00%, 9/15/32

     18,075        19,879,494   

4.00%, 9/15/33

     11,000        12,098,171   

4.00%, 9/15/34

     11,885        13,071,523   

4.00%, 9/15/35

     4,500        4,949,252   

Dallas Fort Worth International Airport, Refunding RB, AMT (i):

    

Series E, 4.00%, 11/01/32

     6,915        7,726,281   

Series E, 4.13%, 11/01/35

     10,435        11,659,254   

Series F, 5.00%, 11/01/29

     12,820        14,324,066   

Series F, 5.00%, 11/01/30

     15,565        17,391,115   

Series F, 5.00%, 11/01/31

     10,000        11,173,219   

Series F, 5.00%, 11/01/32

     17,170        19,184,416   
    

 

 

 
               169,373,557   
Total Municipal Bonds Transferred to Tender Option Bond Trusts — 22.7%              405,912,310   
Total Long-Term Investments
(Cost — $2,538,288,891) — 150.8%
             2,697,935,821   
Short-Term Securities   

Shares

    Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.26% (j)(k)

     96,809,834      $ 96,809,834   
Total Short-Term Securities
(Cost — $96,809,834) — 5.4%
        96,809,834   
Total Investments (Cost — $2,635,098,725) — 156.2%        2,794,745,655   
Liabilities in Excess of Other Assets — (4.0)%        (71,691,361

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (10.3)%

   

    (184,385,751

RVMTP Shares at Liquidation Value, Net of Deferred
Offering Costs — (41.9)%

   

    (749,548,840
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 1,789,119,703   
    

 

 

 
 
Notes to Schedule of Investments

 

(a)   Zero-coupon bond.

 

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

 

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

 

(d)   Security is collateralized by municipal bonds or U.S. Treasury obligations.

 

(e)   When-issued security.

 

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

 

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

 

(h)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details of municipal bonds transferred to TOB Trusts.

 

(i)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expires between November 1, 2018 to November 15, 2020, is $128,689,318. See Note 4 of the Notes to Financial Statements for details.

 

(j)   During the year ended July 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at July 31,
2015
       Net
Activity
       Shares Held
at July 31,
2016
    Value
at July 31,
2016
       Income  

BlackRock Liquidity Funds, MuniCash, Institutional Class

                 96,809,834           96,809,834      $ 96,809,834         $ 36,605   

FFI Institutional Tax-Exempt Fund

       79,878,725           (79,878,725                         10,914   

Total

                 $ 96,809,834         $ 47,519   
                

 

 

      

 

 

 

 

(k)   Current yield as of period end.

 

Derivative Financial Instruments Categorized by Risk Exposure

For the year ended July 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) From:   Commodity
Contracts
   Credit
Contracts
   Equity
Contracts
  

Foreign

Currency
Exchange
Contracts

  

Interest

Rate

Contracts

     Other
Contacts
   Total  

Futures contracts

              $ (304,681       $ (304,681
Net Change in Unrealized Appreciation (Depreciation) on:                            

Futures contracts

              $ 330,635          $ 330,635   

 

See Notes to Financial Statements.

 

                
34    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (concluded)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:           

Average notional value of contracts — short

     $ 31,921,875   

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

 

Fair Value Hierarchy as of Period End

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

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 2,697,935,821                   $ 2,697,935,821   

Short-Term Securities

  $ 96,809,834                               96,809,834   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 96,809,834         $ 2,697,935,821                   $ 2,794,745,655   
 

 

 

      

 

 

      

 

 

      

 

 

 

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

      

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

 

     Level 1        Level 2        Level 3        Total  

Liabilities:

                

Bank overdraft

            $ (670,028                $ (670,028

RVMTP Shares at Liquidation Value

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

TOB Trust Certificates

              (184,114,916                  (184,114,916
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

            $ (934,784,944                $ (934,784,944
 

 

 

      

 

 

      

 

 

      

 

 

 

During the year ended July 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    35


Schedule of Investments July 31, 2016

  

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 0.3%

  

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

   $ 420      $ 471,719   

Alaska — 0.3%

  

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

     510        501,039   

California — 14.7%

  

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

     2,015        2,209,649   

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

     1,010        1,156,642   

California Statewide Communities Development Authority, RB, Loma Linda University Medical Center, Series A, 5.25%, 12/01/56 (a)

     550        639,457   

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

     2,060        2,234,709   

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

     1,185        1,497,579   

Riverside County Public Financing Authority, RB, Capital Facilities Project, 5.25%, 11/01/40

     1,000        1,238,990   

San Diego Regional Building Authority, RB, County Operations Center & Annex, Series A, 5.38%, 2/01/19 (b)

     2,450        2,740,374   

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

     1,960        2,312,976   

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

    

5.50%, 11/01/31

     2,100        2,647,386   

5.50%, 11/01/33

     1,500        1,890,990   

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

     610        753,576   

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

     460        572,778   

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

     2,780        3,380,397   
    

 

 

 
               23,275,503   

Colorado — 2.5%

  

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

     1,750        2,133,862   

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

     1,675        1,878,898   
    

 

 

 
               4,012,760   

Florida — 8.2%

  

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

     370        456,362   

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

     5,675        7,111,229   

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

     3,645        4,335,727   

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

     875        1,062,758   
    

 

 

 
               12,966,076   

Georgia — 1.5%

  

Municipal Electric Authority of Georgia, Refunding RB, Project One, Series D:

    

6.00%, 7/01/18 (b)

     1,570        1,732,417   

6.00%, 1/01/23

     550        605,836   
    

 

 

 
               2,338,253   
Municipal Bonds   

Par  

(000)

    Value  

Illinois — 19.8%

  

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

   $ 4,545      $ 5,531,174   

City of Chicago Illinois Transit Authority, RB:

    

5.25%, 12/01/31

     1,060        1,191,832   

Sales Tax Receipts, 5.25%, 12/01/36

     1,500        1,671,555   

Sales Tax Receipts, 5.25%, 12/01/40

     1,750        1,943,760   

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

    

5.50%, 12/01/38

     1,250        1,457,113   

5.25%, 12/01/43

     4,500        5,159,115   

Illinois Finance Authority, RB:

    

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

     1,750        2,101,960   

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

     1,600        1,837,856   

Illinois Finance Authority, Refunding RB:

    

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

     2,900        3,347,905   

Presence Health Network, Series C, 4.00%, 2/15/41 (c)

     645        646,645   

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Expansion Project Refunding Bonds, Series B-2, 5.25%, 6/15/50

     250        267,130   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     1,055        1,242,737   

6.00%, 6/01/28

     300        359,748   

State of Illinois, GO:

    

5.25%, 2/01/31

     730        812,154   

5.25%, 2/01/32

     1,500        1,666,725   

5.50%, 7/01/33

     1,500        1,686,885   

5.50%, 7/01/38

     320        356,534   
    

 

 

 
               31,280,828   

Indiana — 2.4%

  

Indiana Municipal Power Agency, RB, Series B, 6.00%, 1/01/19 (b)

     3,400        3,834,656   

Kansas — 1.8%

  

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

     2,500        2,867,600   

Kentucky — 1.0%

  

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

     1,300        1,509,118   

Louisiana — 1.5%

  

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

     1,095        1,317,854   

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

     915        1,008,815   
    

 

 

 
               2,326,669   

Maine — 1.5%

  

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

     1,945        2,335,789   

Massachusetts — 1.8%

  

Massachusetts DFA, Refunding RB:

    

Emmanuel College Issue, Series A, 4.00%, 10/01/46

     860        904,789   

Trustees of Deerfield Academy, 5.00%, 10/01/40

     375        434,430   

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

     1,000        1,096,930   
 

 

See Notes to Financial Statements.

 

                
36    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Trust (BBF)

 

Municipal Bonds   

Par  

(000)

    Value  

Massachusetts (continued)

  

Metropolitan Boston Transit Parking Corp., Refunding RB, 5.25%, 7/01/36

   $ 300      $ 354,123   
    

 

 

 
               2,790,272   

Michigan — 3.2%

  

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

     1,400        1,666,210   

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

    

6.00%, 10/15/18 (b)

     910        1,017,608   

6.00%, 10/15/38

     590        655,567   

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

     1,525        1,767,139   
    

 

 

 
               5,106,524   

Mississippi — 1.7%

  

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

     2,000        2,713,660   

Nevada — 3.9%

  

City of Las Vegas Nevada, GO, Limited Tax, Performing Arts Center, 6.00%, 4/01/19 (b)

     2,600        2,966,392   

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

     2,825        3,269,118   
    

 

 

 
               6,235,510   

New Jersey — 4.7%

  

New Jersey EDA, Refunding RB, School Facilities Construction, Series AA, 5.50%, 12/15/29

     750        825,030   

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

     1,750        1,863,295   

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

    

Series A, 5.88%, 12/15/38

     1,990        2,190,612   

Series AA, 5.50%, 6/15/39

     2,245        2,540,689   
    

 

 

 
               7,419,626   

New York — 5.6%

  

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

     900        952,713   

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

     1,620        1,915,488   

Metropolitan Transportation Authority, RB, Series A, 5.25%, 11/15/38

     500        599,450   

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

     1,480        1,683,234   

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

     3,250        3,623,685   
    

 

 

 
               8,774,570   

Ohio — 2.8%

  

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

     2,405        2,718,059   

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

     1,385        1,691,168   
    

 

 

 
               4,409,227   

Pennsylvania — 6.0%

  

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

     655        777,531   

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

     800        904,136   
Municipal Bonds   

Par  

(000)

    Value  

Pennsylvania (continued)

  

Pennsylvania Turnpike Commission, RB:

    

Sub-Series A, 6.00%, 12/01/20 (b)

   $ 3,000      $ 3,056,610   

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

     2,000        2,340,420   

Sub-Series C (AGC), 6.25%, 6/01/18 (b)

     500        551,745   

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

     1,530        1,801,345   
    

 

 

 
               9,431,787   

Puerto Rico — 0.2%

  

Children’s Trust Fund Tobacco Settlement, Refunding RB, Asset-Backed:

    

5.50%, 5/15/39

     170        167,661   

5.63%, 5/15/43

     185        182,463   
    

 

 

 
               350,124   

Rhode Island — 2.0%

  

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

    

4.50%, 6/01/45

     2,870        3,068,432   

5.00%, 6/01/50

     125        133,935   
    

 

 

 
               3,202,367   

South Carolina — 3.7%

  

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

     1,825        2,248,948   

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

     1,500        1,813,815   

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

     1,500        1,773,210   
    

 

 

 
               5,835,973   

Texas — 11.4%

  

Central Texas Regional Mobility Authority, Refunding RB, Senior Lien, 6.00%, 1/01/21 (b)

     2,560        3,124,762   

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

     1,140        1,379,377   

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

     1,360        1,468,106   

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

    

6.00%, 8/15/20

     215        258,884   

6.00%, 8/15/20

     2,710        3,269,127   

Lower Colorado River Authority, Refunding RB:

    

5.50%, 5/15/19 (b)

     5        5,651   

5.50%, 5/15/19 (b)

     80        90,418   

5.50%, 5/15/19 (b)

     5        5,651   

5.50%, 5/15/33

     1,910        2,136,507   

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

     1,500        1,792,350   

North Texas Tollway Authority, Refunding RB, 1st Tier, Series K-1 (AGC), 5.75%, 1/01/19 (b)

     1,250        1,402,312   

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

     520        629,793   

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

     2,005        2,378,371   
    

 

 

 
               17,941,309   

Virginia — 1.2%

  

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

     425        496,387   

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

     1,200        1,364,628   
    

 

 

 
               1,861,015   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    37


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Trust (BBF)

 

Municipal Bonds   

Par  

(000)

    Value  

Wisconsin — 1.8%

  

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

   $ 2,565      $ 2,795,491   
Total Municipal Bonds — 105.5%              166,587,465   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
              

California — 18.9%

  

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

     3,000        3,289,800   

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

     3,700        4,266,433   

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

     4,041        4,721,190   

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

     5,977        6,931,843   

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

     600        675,150   

San Diego Public Facilities Financing Authority Water, RB, Series B, 5.50%, 8/01/19 (b)

     6,448        7,377,403   

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

     2,310        2,639,406   
    

 

 

 
               29,901,225   

District of Columbia — 3.4%

  

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

     2,129        2,463,002   

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

     2,698        2,981,392   
    

 

 

 
               5,444,394   

Illinois — 4.4%

  

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

     4,300        4,764,486   

State of Illinois Toll Highway Authority, RB, Series B, 5.50%, 1/01/18 (b)

     2,000        2,139,380   
    

 

 

 
               6,903,866   

Nevada — 4.2%

  

County of Clark Nevada Water Reclamation District, GO:

    

Limited Tax, 6.00%, 7/01/18 (b)

     4,000        4,414,600   

Series B, 5.50%, 7/01/29

     1,994        2,256,507   
    

 

 

 
               6,671,107   

New Hampshire — 1.2%

  

New Hampshire Health & Education Facilities Authority, RB, Dartmouth College, 5.25%, 6/01/19 (b)(e)

     1,680        1,894,846   

New Jersey — 3.7%

  

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

    

Series A (AMBAC), 5.00%, 12/15/32

     3,000        3,144,720   

Series B, 5.25%, 6/15/36 (e)

     2,481        2,743,855   
    

 

 

 
               5,888,575   
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
  

Par  

(000)

    Value  

New York — 14.8%

  

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A:

    

5.75%, 6/15/18 (b)

   $ 497      $ 544,906   

5.75%, 6/15/40

     1,662        1,822,192   

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

    

Series FF, 5.00%, 6/15/45

     2,499        2,932,674   

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

     2,985        3,381,408   

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

     2,499        2,758,799   

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

     1,700        2,098,723   

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

     3,375        4,063,147   

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

     1,980        2,395,611   

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

     3,000        3,344,940   
    

 

 

 
               23,342,400   

Texas — 5.2%

  

City of San Antonio Texas Public Service Board, Refunding RB, Series A, 5.25%, 2/01/19 (b)(e)

     3,074        3,425,435   

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

     4,200        4,767,798   
    

 

 

 
               8,193,233   

Virginia — 1.0%

  

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

     1,359        1,536,026   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 56.8%
             89,775,672   
Total Long-Term Investments
(Cost — $226,892,304) — 162.3%
             256,363,137   
    
                  
Short-Term Securities    Shares         

BlackRock Liquidity Funds, MuniCash, Institutional Class 0.26% (f)(g)

     40,725        40,725   
Total Short-Term Securities
(Cost — $40,725) — 0.0%
             40,725   
Total Investments (Cost — $226,933,029) — 162.3%        256,403,862   
Other Assets Less Liabilities — 0.3%        499,632   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (29.9)%

   

    (47,237,394

VRDP Shares at Liquidation Value, Net of Deferred
Offering Costs — (32.7)%

   

    (51,700,672
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 157,965,428   
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

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

 

See Notes to Financial Statements.

 

                
38    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Trust (BBF)

 

 

(c)   When-issued security.

 

(d)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details of municipal bonds transferred to TOB Trusts.

 

(e)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expires between October 1, 2016 to November 15, 2019, is $11,993,812. See Note 4 of the Notes to Financial Statements for details.

 

(f)   During the year ended July 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at July 31,
2015
       Net
Activity
       Shares Held
at July 31,
2016
       Value
at July 31,
2016
       Income         

BlackRock Liquidity Funds, MuniCash, Institutional Class

                 40,725         $ 40,725         $ 40,725         $ 281     

FFI Institutional Tax-Exempt Fund

       478,351           (478,351                            85           

Total

                    $ 40,725         $ 366     
                   

 

 

 

 

(g)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts
Short
       Issue        Expiration       

Notional Value

       Unrealized
Appreciation
(Depreciation)
        
  (24        5-Year U.S. Treasury Note           September 2016           USD          2,928,375         $ 4,554     
  (21        10-Year U.S. Treasury Note           September 2016           USD          2,793,984           (2,355  
  (9        Long U.S. Treasury Bond           September 2016           USD          1,569,938           (34,954  
  (1        Ultra U.S. Treasury Bond           September 2016           USD          190,531           1,780           
  Total                           $ (30,975  
                      

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Futures contracts

  Net unrealized appreciation1                                    $ 6,334               $ 6,334   
Liabilities — Derivative Financial Instruments                                                  

Futures contracts

  Net unrealized depreciation1                                    $ 37,309               $ 37,309   

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

        

For the year ended July 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

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

Futures contracts

                                          $ (357,719                $ (357,719
Net Change in Unrealized Appreciation (Depreciation) on:                                                    

Futures contracts

                                          $ (17,742                $ (17,742

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments      

 

Futures contracts:          

Average notional value of contracts — short

     $ 5,481,852   

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

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    39


Schedule of Investments (concluded)

  

BlackRock Municipal Income Investment Trust (BBF)

 

 

Fair Value Hierarchy as of Period End      

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

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 256,363,137                   $ 256,363,137   

Short-Term Securities

  $ 40,725                               40,725   
 

 

 

 

Total

  $ 40,725         $ 256,363,137                   $ 256,403,862   
 

 

 

 
                
     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

  $ 6,334                             $ 6,334   

Liabilities:

                

Interest rate contracts

    (37,309                            (37,309
 

 

 

 

Total

  $ (30,975                          $ (30,975
 

 

 

 

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

 

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

 

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

       

       

  

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash

  $ 63,209                             $ 63,209   

Cash pledged for futures contracts

    88,850                               88,850   

Liabilities:

                

TOB Trust Certificates

            $ (47,192,958                  (47,192,958

VRDP Shares at Liquidation Value

              (52,000,000                  (52,000,000
 

 

 

 

Total

  $ 152,059         $ (99,192,958                $ (99,040,899
 

 

 

 

During the ended July 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
40    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments July 31, 2016

  

BlackRock New Jersey Municipal Income Trust (BNJ)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New Jersey — 133.6%

                

Corporate — 9.4%

    

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

   $ 1,790      $ 70,580   

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

     2,400        2,648,448   

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

     5,160        5,996,900   

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

    

Series A, 5.70%, 10/01/39

     1,500        1,699,620   

Series B, 5.60%, 11/01/34

     1,275        1,444,652   
    

 

 

 
               11,860,200   

County/City/Special District/School District — 29.9%

    

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

     5,630        5,981,931   

City of Bayonne New Jersey, GO, Refunding, Qualified General Improvement (BAM):

    

5.00%, 7/01/33

     490        592,733   

5.00%, 7/01/35

     755        906,710   

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

     1,085        1,259,717   

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

     1,990        2,081,620   

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

    

5.50%, 10/01/28

     1,440        1,975,522   

5.50%, 10/01/29

     2,630        3,650,571   

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

    

5.25%, 1/01/39

     2,000        2,197,320   

5.38%, 1/01/44

     2,400        2,626,992   

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

     775        935,836   

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

     1,000        1,280,000   

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

     740        875,279   

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

     2,185        2,490,332   

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

     860        1,037,040   

New Brunswick New Jersey Parking Authority, Refunding RB, City Guaranteed, Series A (BAM), 5.00%, 9/01/39

     380        465,382   

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

     5,000        6,167,000   

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

     2,500        3,131,425   
    

 

 

 
               37,655,410   

Education — 25.9%

    

New Jersey EDA, RB:

    

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

     185        193,234   

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

     140        145,901   

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

     1,500        1,694,430   

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

     1,490        1,744,999   
Municipal Bonds    Par  
(000)
    Value  

New Jersey (continued)

                

Education (continued)

    

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

    

5.63%, 8/01/34

   $ 415      $ 442,361   

5.88%, 8/01/44

     290        310,022   

New Jersey Educational Facilities Authority, RB:

    

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

     2,070        2,307,098   

Montclair State University,
Series J, 5.25%, 7/01/18 (d)

     580        631,817   

New Jersey Educational Facilities Authority, Refunding RB:

    

City of New Jersey University Issue, Series D, 4.00%, 7/01/34

     355        387,653   

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

     500        542,080   

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

     2,445        2,632,923   

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

     250        258,110   

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

     2,060        2,319,766   

Montclair State University Issue, Series B, 5.00%, 7/01/34

     585        721,481   

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

     4,570        5,386,430   

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

     660        746,724   

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

     265        303,216   

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

     1,450        1,722,875   

New Jersey Higher Education Student Assistance Authority, Refunding RB:

    

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

     1,655        1,879,948   

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

     345        363,188   

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

     225        236,378   

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

     500        546,285   

New Jersey Institute of Technology, RB, Series A:

    

5.00%, 7/01/40

     1,000        1,189,990   

5.00%, 7/01/42

     500        590,415   

5.00%, 7/01/45

     1,345        1,577,160   

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

     3,145        3,707,861   
    

 

 

 
               32,582,345   

Health — 8.6%

    

New Jersey EDA, Refunding RB, Lions Gate Project, 5.25%, 1/01/44

     430        463,067   

New Jersey Health Care Facilities Financing Authority, RB:

    

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

     700        748,174   

Robert Wood Johnson University Hospital, Series A, 5.50%, 7/01/43

     750        903,292   

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

     1,250        1,406,575   

New Jersey Health Care Facilities Financing Authority, Refunding RB:

    

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

     900        1,092,420   

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

     1,045        1,269,529   

Princeton Healthcare System, 5.00%, 7/01/39

     835        1,009,256   

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

     1,295        1,324,358   

St. Barnabas Health Care System, Series A, 5.63%, 7/01/32

     580        688,257   

St. Barnabas Health Care System, Series A, 5.63%, 7/01/37

     1,605        1,883,821   
    

 

 

 
               10,788,749   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    41


Schedule of Investments (continued)

  

BlackRock New Jersey Municipal Income Trust (BNJ)

 

Municipal Bonds    Par  
(000)
    Value  

Housing — 5.0%

    

County of Middlesex New Jersey Improvement Authority, RB, Administration Building Residential Project, AMT (Fannie Mae), 5.35%, 7/01/34

   $ 1,400      $ 1,416,884   

New Jersey Housing & Mortgage Finance Agency, RB:

    

M/F Housing, Series A, 4.75%, 11/01/29

     1,185        1,264,632   

S/F Housing, Series AA, 6.38%, 10/01/28

     250        259,072   

S/F Housing, Series AA, 6.50%, 10/01/38

     170        175,953   

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

     805        847,923   

Newark Housing Authority, RB, M/F Housing, Series A, 5.00%, 12/01/30

     2,000        2,339,260   
    

 

 

 
               6,303,724   

State — 13.7%

    

Garden State Preservation Trust, RB, CAB, Series B (AGM), 0.00%, 11/01/26 (e)

     6,000        4,757,640   

New Jersey EDA, RB:

    

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

     1,365        1,652,592   

School Facilities Construction (AGC), 5.50%, 12/15/18 (d)

     1,935        2,155,706   

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

     1,065        1,165,280   

New Jersey EDA, Refunding RB, Cigarette Tax:

    

5.00%, 6/15/26

     810        903,693   

(AGM), 5.00%, 6/15/22

     2,940        3,425,806   

New Jersey Health Care Facilities Financing Authority, RB, Hospital Asset Transformation Program, Series A, 5.25%, 10/01/38

     2,350        2,517,202   

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

     600        654,786   
    

 

 

 
               17,232,705   

Transportation — 40.1%

    

City of Perth Amboy New Jersey, GO, CAB, Refunding (AGM), 5.00%, 7/01/35

     85        87,333   

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

    

5.00%, 1/01/40

     1,380        1,637,011   

Series D, 5.00%, 1/01/40

     800        901,336   

New Jersey EDA, RB, Goethals Bridge Replacement Project, Private Activity Bond, AMT, 5.38%, 1/01/43

     5,000        5,817,300   

New Jersey State Turnpike Authority, RB:

    

Series A, 5.00%, 1/01/38

     4,075        4,776,878   

Series A, 5.00%, 1/01/43

     500        584,590   

Series E, 5.25%, 1/01/40

     1,970        2,155,436   

New Jersey Transportation Trust Fund Authority, RB:

    

CAB, Transportation System, Series C (AGM), 0.00%, 12/15/32 (e)

     4,000        2,208,440   

Transportation Program, Series AA, 5.00%, 6/15/38

     2,850        3,162,730   

Transportation Program, Series AA, 5.25%, 6/15/41

     1,560        1,770,538   

Transportation System, 6.00%, 12/15/38

     945        1,043,015   

Transportation System, Series A, 6.00%, 6/15/35

     4,135        4,805,904   

Transportation System, Series A, 5.88%, 12/15/38

     1,770        1,948,434   

Transportation System, Series A, 5.50%, 6/15/41

     2,000        2,230,040   

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

     1,000        1,086,800   

Transportation System, Series AA, 5.50%, 6/15/39

     2,260        2,557,665   

Port Authority of New York & New Jersey, RB, JFK International Air Terminal, Special Project:

    

Series 6, AMT (NPFGC), 5.75%, 12/01/22

     6,000        6,132,060   

Series 8, 6.00%, 12/01/42

     1,430        1,682,181   
Municipal Bonds    Par  
(000)
    Value  

Transportation (continued)

    

Port Authority of New York & New Jersey, Refunding ARB, Consolidated:

    

152nd Series, AMT, 5.75%, 11/01/30

   $ 1,000      $ 1,084,400   

166th Series, 5.25%, 7/15/36

     4,000        4,699,440   
    

 

 

 
               50,371,531   

Utilities — 1.0%

    

Rahway Valley Sewerage Authority, RB, CAB, Series A (NPFGC), 0.00%, 9/01/33 (e)

     2,000        1,268,980   
Total Municipal Bonds — 133.6%              168,063,644   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
            

New Jersey — 25.5%

                

County/City/Special District/School District — 5.9%

  

County of Hudson New Jersey Improvement Authority, RB, Hudson County Vocational-Technical Schools Project, 5.25%, 5/01/51

     780        964,642   

County of Union New Jersey Utilities Authority, Refunding LRB, Resource Recovery Facility, Covanta Union, Inc., Series A, AMT, 5.25%, 12/01/31

     5,710        6,438,310   
    

 

 

 
               7,402,952   

Education — 1.3%

    

Rutgers — The State University of New Jersey, RB, Series F, 5.00%, 5/01/19 (d)

     1,501        1,677,609   

State — 5.2%

    

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

    

6.00%, 12/15/18 (d)

     2,958        3,330,096   

6.00%, 12/15/34

     42        47,109   

New Jersey EDA, Refunding RB, Series NN, School Facilities Construction, 5.00%, 3/01/29 (g)

     2,787        3,087,084   
    

 

 

 
               6,464,289   

Transportation — 13.1%

    

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

     4,700        5,509,528   

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

    

Series A (AMBAC), 5.00%, 12/15/32

     2,000        2,096,480   

Series B, 5.25%, 6/15/36 (g)

     2,501        2,765,983   

Port Authority of New York & New Jersey, RB, Consolidated, 169th Series, AMT, 5.00%, 10/15/41

     3,497        3,938,029   

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

     2,039        2,183,796   
    

 

 

 
               16,493,816   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 25.5%
             32,038,666   
Total Long-Term Investments
(Cost — $180,848,812) — 159.1%
             200,102,310   
 

 

See Notes to Financial Statements.

 

                
42    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (continued)

  

BlackRock New Jersey Municipal Income Trust (BNJ)

 

Short-Term Securities   

Shares

    Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.26% (h)(i)

     1,695,856      $ 1,695,856   
Total Short-Term Securities
(Cost — $1,695,856) — 1.3%
             1,695,856   
Total Investments (Cost — $182,544,668) — 160.4%        201,798,166   
Other Assets Less Liabilities — 0.8%        1,026,342   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (14.2)%

   

    (17,905,989

VMTP Shares at Liquidation Value — (47.0)%

  

    (59,100,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 125,818,519   
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

(b)   Non-income producing security.

 

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

 

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

 

(e)   Zero-coupon bond.

 

(f)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details of municipal bonds transferred to TOB Trusts.

 

(g)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expires between June 15, 2019 to September 1, 2020, is $7,516,838. See Note 4 of the Notes to Financial Statements for details.

 

(h)   During the year ended July 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at July 31,
2015
       Net
Activity
       Shares Held
at July 31,
2016
    Value at
July 31,
2016
       Income  

BIF New Jersey Municipal Money Fund

       1,096,513           (1,096,513                       $ 117   

BlackRock Liquidity Funds, MuniCash, Institutional Class

                 1,695,856           1,695,856      $ 1,695,856           473   

Total

                 $ 1,695,856         $ 590   
                

 

 

      

 

 

 

 

(i)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts
Short
    Issue    Expiration       

Notional
Value

    Unrealized
Appreciation
(Depreciation)
        
  (13   5-Year U.S. Treasury Note      September 2016           USD         1,586,203      $ 960     
  (37   10-Year U.S. Treasury Note      September 2016           USD         4,922,734        (29,368  
  (13   Long U.S. Treasury Bond      September 2016           USD         2,267,688        (56,859  
  (2   Ultra U.S. Treasury Bond      September 2016           USD         381,063        (13,177        
  Total                   $ (98,444  
              

 

 

 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    43


Schedule of Investments (continued)

  

BlackRock New Jersey Municipal Income Trust (BNJ)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Futures contracts

   Net unrealized appreciation1                                    $ 960               $ 960   
               
Liabilities — Derivative Financial Instruments    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contacts
     Total  

Futures contracts

   Net unrealized depreciation1                                    $ 99,404               $ 99,404   

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

        

For the year ended June 30, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) From:   Commodity
Contracts
       Credit
Contracts
       Equity
Contracts
      

Foreign

Currency
Exchange
Contracts

      

Interest

Rate

Contracts

       Other
Contacts
       Total  

Futures contracts

                                          $ (484,262                $ (484,262
Net Change in Unrealized Appreciation (Depreciation) on:                                                    

Futures contracts

                                          $ (81,886                $ (81,886

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:           

Average notional value of contracts — short

     $ 7,130,457   

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

 

Fair Value Hierarchy as of Period End

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

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 200,102,310                   $ 200,102,310   

Short-Term Securities

  $ 1,695,856                               1,695,856   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 1,695,856         $ 200,102,310              $ 201,798,166   
 

 

 

      

 

 

      

 

 

      

 

 

 
                
     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

  $ 960                             $ 960   

Liabilities:

                

Interest rate contracts

    (99,404                            (99,404
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ (98,444                          $ (98,444
 

 

 

      

 

 

      

 

 

      

 

 

 

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

       

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

       

 

 

See Notes to Financial Statements.

 

                
44    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (concluded)

  

BlackRock New Jersey Municipal Income Trust (BNJ)

 

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

 

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash

  $ 35,518                        $ 35,518   

Cash pledged for futures contracts

    119,750                          119,750   

Liabilities:

                

TOB Trust Certificates

            $ (17,889,909             (17,889,909

VMTP Shares at Liquidation Value

              (59,100,000             (59,100,000
 

 

 

      

 

 

      

 

    

 

 

 

Total

  $ 155,268         $ (76,989,909           $ (76,834,641
 

 

 

      

 

 

      

 

    

 

 

 

During the year ended July 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    45


Schedule of Investments July 31, 2016

  

BlackRock New York Municipal Income Trust (BNY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

New York — 127.8%

                

Corporate — 7.9%

  

 

Build NYC Resource Corp., Refunding RB, Pratt Paper, Inc. Project, AMT, 5.00%, 1/01/35 (a)

   $ 280      $ 317,498   

City of New York New York Industrial Development Agency, ARB, American Airlines, Inc., JFK International Airport Project, AMT (b):

    

7.63%, 8/01/25

     3,200        3,232,768   

7.75%, 8/01/31

     4,000        4,041,000   

Series B, 2.00%, 8/01/28

     2,170        2,169,870   

City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/28

     795        886,608   

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

     550        599,643   

County of Onondaga New York Industrial Development Agency, RB, Bristol-Meyers Squibb Co. Project, AMT, 5.75%, 3/01/24

     1,000        1,283,100   

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

     1,655        2,226,769   

Niagara Area Development Corp., Refunding RB, Solid Waste Disposal Facility, Covanta Energy Project, Series A, AMT, 5.25%, 11/01/42 (a)

     1,500        1,534,305   
    

 

 

 
               16,291,561   

County/City/Special District/School District — 31.0%

    

City of New York New York, GO, Refunding:

    

Series E, 5.50%, 8/01/25

     1,280        1,647,117   

Series E, 5.00%, 8/01/30

     1,000        1,209,270   

Series I, 5.00%, 8/01/30

     1,000        1,203,050   

City of New York New York, GO:

    

Series A-1, 4.75%, 8/15/25

     750        809,497   

Series A-1, 5.00%, 8/01/35

     1,000        1,178,570   

Series D, 5.38%, 6/01/32

     25        25,105   

Series G-1, 6.25%, 12/15/31

     15        17,056   

Sub-Series D-1, Fiscal 2014, 5.00%, 8/01/31

     690        843,352   

Sub-Series G-1, 6.25%, 12/15/18 (c)

     485        549,752   

Sub-Series G-1, 5.00%, 4/01/28

     630        754,961   

Sub-Series G-1, 5.00%, 4/01/29

     750        897,405   

Sub-Series I-1, 5.38%, 4/01/19 (c)

     895        1,008,119   

Sub-Series I-1, 5.38%, 4/01/36

     530        595,895   

City of New York New York Convention Center Development Corp., Refunding RB, Hotel Unit Fee Secured:

    

5.00%, 11/15/40

     2,500        3,036,200   

4.00%, 11/15/45

     440        494,036   

5.00%, 11/15/45

     3,700        4,473,041   

City of New York New York Industrial Development Agency, RB, PILOT:

    

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/42 (d)

     1,960        833,098   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/45 (d)

     1,500        571,740   

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

     150        169,053   

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

     3,000        3,040,770   

Queens Baseball Stadium (AMBAC), 5.00%, 1/01/46

     175        177,261   

Yankee Stadium Project (NPFGC), 5.00%, 3/01/46

     500        501,530   

Yankee Stadium Project (NPFGC), 4.75%, 3/01/46

     350        351,278   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

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

  

City of New York New York Industrial Development Agency, Refunding ARB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/22

   $ 650      $ 748,579   

City of New York New York Transitional Finance Authority, RB, Fiscal 2012, Sub-Series E-1, 5.00%, 2/01/42

     2,500        2,954,925   

Haverstraw-Stony Point Central School District, GO, Refunding, 5.00%, 10/15/35

     240        292,075   

Hudson Yards Infrastructure Corp., RB, Series A:

    

5.00%, 2/15/47

     5,485        5,608,906   

5.75%, 2/15/47

     200        236,480   

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

     1,000        1,023,040   

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

     1,000        1,023,040   

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

     4,500        4,588,650   

Metropolitan Transportation Authority, Refunding RB, Transportation, Series D, 5.00%, 11/15/34

     800        932,480   

New York Liberty Development Corp., Refunding RB:

    

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 2, 5.63%, 7/15/47

     2,000        2,308,720   

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

     1,200        1,364,784   

3 World Trade Center Project, Class 2, 5.38%, 11/15/40 (a)

     480        559,306   

4 World Trade Center Project, 5.00%, 11/15/31

     860        1,012,151   

4 World Trade Center Project, 5.00%, 11/15/44

     7,655        8,932,926   

4 World Trade Center Project, 5.75%, 11/15/51

     1,340        1,621,186   

7 World Trade Center Project, Class 1, 4.00%, 9/15/35

     1,935        2,154,158   

7 World Trade Center Project, Class 2, 5.00%, 9/15/43

     1,670        1,918,112   

7 World Trade Center Project, Class 3, 5.00%, 3/15/44

     2,070        2,362,222   
    

 

 

 
               64,028,896   

Education — 29.9%

    

Amherst Development Corp., Refunding RB, University at Buffalo Foundation Faculty-Student Housing Corp., Series A (AGM), 4.63%, 10/01/40

     1,100        1,194,765   

Build New York City Resource Corp., Refunding RB, New York Law School Project:

    

5.00%, 7/01/41

     400        471,340   

4.00%, 7/01/45

     735        787,435   

Build NYC Resource Corp., Refunding RB, City University New York-Queens College Student Residences, LLC Project, Series A, 5.00%, 6/01/38

     250        299,345   

City of New York New York Trust for Cultural Resources, RB, Juilliard School, Series A, 5.00%, 1/01/39

     750        825,600   

City of New York New York Trust for Cultural Resources, Refunding RB:

    

American Museum of Natural History, Series A, 5.00%, 7/01/37

     225        269,125   

Carnegie Hall, Series A, 4.75%, 12/01/39

     2,000        2,232,180   

Museum of Modern Art, Series 1A, 5.00%, 10/01/18 (c)

     1,000        1,094,920   

City of Niagara Falls New York, GO, Refunding (BAM), 3.00%, 5/15/37

     400        402,264   

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project:

    

Series A, 5.13%, 9/01/40

     3,135        3,582,239   

Series B, 4.00%, 8/01/35

     470        519,261   

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

     625        701,619   
 

 

See Notes to Financial Statements.

 

                
46    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Education (continued)

    

County of Cattaraugus New York, RB, St. Bonaventure University Project, 5.00%, 5/01/34

   $ 170      $ 191,483   

County of Dutchess New York Industrial Development Agency, RB, Bard College Civic Facility, Series A-2, 4.50%, 8/01/36

     4,155        3,859,413   

County of Madison New York Industrial Development Agency, RB, Commons II LLC, Student Housing, Series A (CIFG), 5.00%, 6/01/18 (c)

     275        296,178   

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series A, 5.00%, 7/01/31

     1,900        2,199,706   

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 7/01/38

     320        376,784   

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

     1,165        1,271,469   

County of Orange New York Funding Corp., Refunding RB, Mount St. Mary College Project, Series A:

    

5.00%, 7/01/37

     360        407,344   

5.00%, 7/01/42

     220        248,932   

County of St. Lawrence New York Industrial Development Agency, RB, Clarkson University Project, 5.38%, 9/01/41

     750        887,558   

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

     700        814,793   

Geneva Development Corp., Refunding RB, Hobart and William Smith Colleges, 5.25%, 9/01/44

     500        594,165   

State of New York Dormitory Authority, Refunding RB, Barnard College, Series A, 5.00%, 7/01/33

     530        649,133   

State of New York Dormitory Authority, RB:

    

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

     210        248,025   

Convent of the Sacred Heart (AGM), 5.25%, 11/01/24

     155        183,154   

Convent of the Sacred Heart (AGM), 5.63%, 11/01/32

     750        897,833   

New York University Mount Sinai School of Medicine, 5.13%, 7/01/19 (c)

     2,000        2,251,820   

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

     1,440        2,080,541   

New York University, Series A (AMBAC), 5.00%, 7/01/17 (c)

     1,000        1,041,160   

New York University, Series B, 5.00%, 7/01/37

     1,250        1,496,237   

Series B, 5.75%, 3/15/36

     600        679,962   

State University Dormitory Facilities, Series A, 5.00%, 7/01/39

     750        832,395   

State University Dormitory Facilities, Series A, 5.00%, 7/01/41

     2,000        2,326,800   

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

     1,625        1,912,852   

Touro College & University System, Series A, 5.25%, 1/01/34

     800        906,760   

Touro College & University System, Series A, 5.50%, 1/01/39

     2,000        2,285,020   

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

     850        951,906   

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

     650        735,176   

University of Rochester, Series B, 5.00%, 1/01/17 (c)

     500        509,435   

State of New York Dormitory Authority, Refunding RB:

    

3rd General Resolution, State University Educational Facilities Issue, Series A, 5.00%, 5/15/29

     2,000        2,399,080   

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

     475        529,829   

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

     1,000        1,149,520   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Education (continued)

    

State of New York Dormitory Authority, Refunding RB (continued):

    

Culinary Institute of America, 5.00%, 7/01/42

   $ 300      $ 338,574   

Fordham University, 5.00%, 7/01/44

     850        1,007,216   

Icahn School of Medicine at Mount Sinai, Series A, 5.00%, 7/01/35

     1,600        1,933,728   

New York University, Series A, 5.00%, 7/01/37

     1,790        2,142,612   

Rochester Institute of Technology, 5.00%, 7/01/42

     1,790        2,089,574   

Skidmore College, Series A, 5.00%, 7/01/28

     75        88,093   

Skidmore College, Series A, 5.25%, 7/01/29

     85        100,847   

St. John’s University, Series A, 5.00%, 7/01/37

     1,000        1,193,510   

State University Dormitory Facilities, Series A, 5.25%, 7/01/30

     2,355        2,907,412   

State University Dormitory Facilities, Series A, 5.25%, 7/01/32

     445        543,198   

State University Dormitory Facilities, Series B, 3.50%, 7/01/34

     415        441,162   

Teachers College, 5.50%, 3/01/39

     450        500,342   

St. John’s Univerisity, Series A, 5.00%, 7/01/34

     250        303,040   

Town of Hempstead New York Local Development Corp., Refunding RB, Adelphi University Project, 5.00%, 10/01/35

     415        495,303   
    

 

 

 
               61,679,167   

Health — 14.2%

    

County of Dutchess New York Local Development Corp., RB, Health Quest Systems, Inc., Series B:

    

3.00%, 7/01/36

     390        383,659   

4.00%, 7/01/41

     585        637,492   

County of Dutchess New York Local Development Corp., Refunding RB, Health Quest System, Inc., Series A, 5.75%, 7/01/40

     300        346,155   

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

     465        465,702   

County of Monroe New York Industrial Development Corp., RB, Rochester General Hospital Project, Series A, 5.00%, 12/01/32

     240        277,858   

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

     1,650        1,943,254   

County of Nassau New York Local Economic Assistance Corp., Refunding RB, Winthrop University Hospital Association Project, 5.00%, 7/01/42

     2,800        3,121,020   

County of Suffolk New York EDC, RB, Catholic Health Services, Series C, 5.00%, 7/01/32

     230        269,827   

County of Suffolk New York Industrial Development Agency, Refunding RB, Jefferson’s Ferry Project, 5.00%, 11/01/28

     1,175        1,183,589   

County of Westchester New York Healthcare Corp., Refunding RB, Senior Lien:

    

Remarketing, Series A, 5.00%, 11/01/30

     3,130        3,577,934   

Series B, 6.00%, 11/01/20 (c)

     435        528,830   

Series B, 6.00%, 11/01/30

     65        75,674   

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project:

    

5.00%, 1/01/28

     675        782,345   

5.00%, 1/01/34

     1,250        1,412,938   

State of New York Dormitory Authority, RB:

    

Hudson Valley Hospital (BHAC) (FHA), 5.00%, 8/15/36

     750        783,045   

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

     500        573,065   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    47


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Health (continued)

    

State of New York Dormitory Authority, RB (continued):

    

New York State Association for Retarded Children, Inc., Series B (AMBAC), 6.00%, 7/01/32

   $ 200      $ 229,226   

New York University Hospitals Center, Series A, 6.00%, 7/01/20 (c)

     500        601,485   

North Shore-Long Island Jewish Obligated Group, Series D, 4.25%, 5/01/39

     500        550,000   

State of New York Dormitory Authority, Refunding RB:

    

Miriam Osborn Memorial Home Association, 5.00%, 7/01/29

     290        312,429   

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

     1,385        1,586,337   

New York University Hospitals Center, Series A, 5.00%, 7/01/17 (c)

     3,390        3,529,532   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/32

     1,750        2,035,320   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/41

     1,000        1,151,110   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/43

     1,430        1,693,449   

North Shore-Long Island Jewish Obligated Group, Series E, 5.50%, 5/01/33

     1,100        1,221,363   
    

 

 

 
               29,272,638   

Housing — 2.3%

    

City of New York New York Housing Development Corp., RB, M/F Housing, Fund Grant Program, New York City Housing Authority Program, Series B1:

    

5.25%, 7/01/32

     1,140        1,369,402   

5.00%, 7/01/33

     500        587,325   

City of New York New York Housing Development Corp., Refunding RB, M/F Housing, 8 Spruce Street, Class F, 4.50%, 2/15/48

     925        995,365   

State of New York HFA, RB:

    

Affordable Housing Revenue Bonds, Series D, 3.20%, 11/01/46

     350        351,554   

M/F Housing, Highland Avenue Senior Apartments, Series A, AMT (SONYMA), 5.00%, 2/15/39

     1,500        1,513,140   
    

 

 

 
               4,816,786   

State — 10.2%

    

City of New York New York Transitional Finance Authority, BARB, Series S-2 (NPFGC), 4.25%, 1/15/34

     1,015        1,029,230   

City of New York New York Transitional Finance Authority, RB, Future Tax Secured, 5.00%, 2/01/32

     5,000        6,138,300   

State of New York Dormitory Authority, RB, General Purpose:

    

Series B, 5.00%, 3/15/42

     4,380        5,161,305   

Series C, 5.00%, 3/15/34

     2,185        2,563,245   

State of New York Dormitory Authority, Refunding RB, School Districts Financing Program, Series A (AGM), 5.00%, 10/01/18 (c)

     395        432,675   

State of New York Thruway Authority, RB, Transportation, Series A, 5.00%, 3/15/32

     320        386,813   

State of New York Thruway Authority, Refunding RB, 2nd General Highway & Bridge Trust, Series A, 5.00%, 4/01/32

     2,500        2,984,550   

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C:

    

5.00%, 3/15/30

     885        1,077,842   

5.00%, 3/15/32

     1,000        1,208,790   
    

 

 

 
               20,982,750   

Tobacco — 0.8%

    

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

     1,000        1,058,570   
Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Tobacco (continued)

    

County of Chautauqua New York Tobacco Asset Securitization Corp., Refunding RB, 4.75%, 6/01/39

   $ 150      $ 155,100   

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed:

    

5.25%, 5/15/34

     250        294,530   

5.25%, 5/15/40

     110        128,582   
    

 

 

 
               1,636,782   

Transportation — 23.9%

    

Metropolitan Transportation Authority, RB:

    

Series A-1, 5.25%, 11/15/33

     540        668,050   

Series C, 6.50%, 11/15/28

     255        288,877   

Series D, 5.25%, 11/15/41

     1,000        1,195,500   

Series E, 5.00%, 11/15/38

     4,000        4,804,600   

Metropolitan Transportation Authority, Refunding RB:

    

Green Bonds, Series A-1, 4.00%, 11/15/46

     315        348,311   

Green Bonds, Series A-1, 5.25%, 11/15/56

     750        918,472   

Series D, 5.25%, 11/15/30

     910        1,126,489   

Series F, 5.00%, 11/15/30

     2,000        2,420,260   

Sub-Series C-1, 5.00%, 11/15/35

     575        702,616   

New York Transportation Development Corp., RB, Laguardia Airport Terminal B Redevelopment Project, Series A, AMT, 5.25%, 1/01/50

     4,400        5,096,696   

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT:

    

5.00%, 8/01/26

     925        1,027,185   

5.00%, 8/01/31

     1,380        1,511,431   

Port Authority of New York & New Jersey, ARB, JFK International Air Terminal LLC, Special Project, AMT (NPFGC):

    

Series 6, 5.75%, 12/01/22

     6,000        6,132,060   

Series 8, 6.00%, 12/01/42

     1,000        1,176,350   

Port Authority of New York & New Jersey, Refunding ARB:

    

178th Series, AMT, 5.00%, 12/01/33

     750        887,115   

179th Series, 5.00%, 12/01/38

     575        698,309   

Consolidated, 146th Series, AMT (AGM), 4.50%, 12/01/34

     500        504,920   

Consolidated, 147th Series, AMT, 4.75%, 4/15/37

     1,330        1,356,228   

Consolidated, 177th Series, AMT, 4.00%, 1/15/43

     640        683,923   

Consolidated, 178th Series, AMT, 5.00%, 12/01/43

     500        584,420   

Consolidated, 189th Series, 5.00%, 5/01/45

     1,150        1,395,939   

State of New York Thruway Authority, RB, Junior Lien, Series A, 5.25%, 1/01/56

     2,185        2,696,683   

State of New York Thruway Authority, Refunding RB:

    

General, Series I, 5.00%, 1/01/27

     1,000        1,197,150   

General, Series I, 5.00%, 1/01/37

     1,760        2,059,605   

General, Series I, 5.00%, 1/01/42

     280        325,928   

General, Series K, 5.00%, 1/01/32

     2,575        3,130,917   

Series J, 5.00%, 1/01/41

     2,000        2,351,580   

Triborough Bridge & Tunnel Authority, RB, Series B:

    

5.00%, 11/15/40

     350        433,286   

5.00%, 11/15/45

     310        379,673   

Triborough Bridge & Tunnel Authority, Refunding RB:

    

CAB, Sub-Series A, 0.00%, 11/15/32 (d)

     845        548,337   

General, CAB, Series B, 0.00%, 11/15/32 (d)

     1,900        1,254,874   

General, Series A, 5.25%, 11/15/45

     590        737,435   

General, Series A, 5.00%, 11/15/50

     500        604,705   
    

 

 

 
               49,247,924   
 

 

See Notes to Financial Statements.

 

                
48    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

Municipal Bonds    Par  
(000)
    Value  

New York (continued)

                

Utilities — 7.6%

    

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System:

    

2nd General Resolution, Fiscal 2011, Series BB, 5.00%, 6/15/31

   $ 1,000      $ 1,150,070   

2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 6/15/39

     1,000        1,221,060   

Series A, 4.75%, 6/15/30

     1,215        1,259,153   

Long Island Power Authority, RB, General, Electric Systems:

    

Series A (AGM), 5.00%, 5/01/36

     500        575,970   

Series C (CIFG), 5.25%, 9/01/29

     2,000        2,616,780   

Long Island Power Authority, Refunding RB, Electric System, Series A, 5.75%, 4/01/39

     4,000        4,460,880   

State of New York Environmental Facilities Corp., Refunding RB:

    

3.00%, 6/15/35

     500        519,530   

Revolving Funds, New York City Municipal Water, Series B, 5.00%, 6/15/36

     350        412,860   

Utility Debt Securitization Authority, Refunding RB, Restructuring:

    

3.00%, 12/15/32

     1,000        1,066,460   

Series E, 5.00%, 12/15/41

     2,000        2,437,180   
    

 

 

 
               15,719,943   
Total Municipal Bonds in New York              263,676,447   
    

Puerto Rico — 2.4%

                

Housing — 1.3%

    

Puerto Rico Housing Finance Authority, Refunding RB, M/F Housing, Subordinate, Capital Fund Modernization, 5.13%, 12/01/27

     2,605        2,802,745   

Tobacco — 1.1%

    

Children’s Trust Fund Tobacco Settlement, Refunding RB, Asset-Backed, 5.63%, 5/15/43

     2,220        2,189,564   
Total Municipal Bonds in Puerto Rico              4,992,309   
Total Municipal Bonds — 130.2%              268,668,756   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
 

New York — 29.6%

                

County/City/Special District/School District — 6.1%

  

City of New York New York, GO:

    

Sub-Series G-1, 5.00%, 4/01/29

     4,370        5,228,880   

Sub-Series I-1, 5.00%, 3/01/36

     1,500        1,800,165   

City of New York New York Convention Center Development Corp., Refunding RB, Hotel Unit Fee Secured, 5.00%, 11/15/32

     1,200        1,494,708   

City of New York New York Transitional Finance Authority, RB, Future Tax Secured, Sub-Series D-1, 5.00%, 11/01/38

     825        976,643   

New York Liberty Development Corp., Refunding RB, 7 World Trade Center Project, Class 1, 5.00%, 9/15/40

     2,610        3,105,848   
    

 

 

 
               12,606,244   

Education — 2.1%

    

City of New York New York Trust for Cultural Resources, Refunding RB, Wildlife Conservation Society, Series A, 5.00%, 8/01/33

     3,527        4,295,490   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
   Par  
(000)
    Value  

New York (continued)

                

State — 2.9%

    

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

   $ 660      $ 728,323   

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

     1,250        1,477,865   

Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A:

    

5.00%, 10/15/31

     750        940,215   

4.00%, 10/15/32

     1,000        1,159,760   

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

     1,500        1,753,755   
    

 

 

 
               6,059,918   

Transportation — 7.1%

    

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

     6,495        7,819,300   

Port Authority of New York & New Jersey, ARB, Consolidated, 169th Series, AMT, 5.00%, 10/15/26

     1,500        1,739,415   

Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55

     1,455        1,807,896   

State of New York Thruway Authority, Refunding RB, Transportation, Personal Income Tax, Series A, 5.00%, 3/15/31

     1,180        1,410,890   

Triborough Bridge & Tunnel Authority, Refunding RB, Series A, 5.00%, 11/15/46

     1,500        1,853,310   
    

 

 

 
               14,630,811   

Utilities — 11.4%

    

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A:

    

5.75%, 6/15/18 (c)

     276        302,725   

5.75%, 6/15/40

     923        1,012,329   

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System:

    

2nd General Resolution, Fiscal 2011, Series HH, 5.00%, 6/15/32

     5,310        6,263,676   

2nd General Resolution, Fiscal 2012, Series BB, 5.00%, 6/15/44

     3,511        4,150,027   

2nd General Resolution, Series FF-2, 5.50%, 6/15/40

     810        917,568   

4.75%, 6/15/17 (c)

     471        488,319   

4.75%, 6/15/17 (c)

     2,029        2,102,531   

Utility Debt Securitization Authority, Refunding RB, 5.00%, 12/15/41

     6,868        8,369,183   
    

 

 

 
               23,606,358   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 29.6%
        61,198,821   

Total Long-Term Investments

(Cost — $296,417,616) — 159.8%

  

  

    329,867,577   
 

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    49


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

Short-Term Securities   

Shares

    Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.26% (g)(h)

     214,518      $ 214,518   

Total Short-Term Securities

(Cost — $214,518) — 0.1%

  

  

    214,518   
Total Investments (Cost — $296,632,134) — 159.9%        330,082,095   
Other Assets Less Liabilities — 1.3%        2,640,898   

Liability for TOB Trust Certificates, Including
Interest Expense and Fees Payable — (15.2)%

   

    (31,373,532

Loan for TOB Trust Certificates — (0.2)%

  

    (435,000

VMTP Shares at Liquidation Value — (45.8)%

  

    (94,500,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 206,414,461   
    

 

 

 
 
Notes to Schedule of Investments

 

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

 

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

 

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

 

(d)   Zero-coupon bond.

 

(e)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details of municipal bonds transferred to TOB Trusts.

 

(f)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on February 15, 2019, is $661,936. See Note 4 of the Notes to Financial Statements for details.

 

(g)   During the year ended July 31, 2016, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held
at July 31,
2015
       Net
Activity
       Shares Held
at July 31,
2016
    Value at
July 31,
2016
       Income  

BIF New York Municipal Money Fund

       4,552,128           (4,552,128                       $ 789   

BlackRock Liquidity Funds, MuniCash, Institutional Class

                 214,518           214,518      $ 214,518           833   

Total

                 $ 214,518         $ 1,622   
                

 

 

      

 

 

 

 

(h)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts
Short
    Issue   Expiration       

Notional
Value

    Unrealized
Appreciation
(Depreciation)
        
  (23   5-Year U.S. Treasury Note     September 2016           USD         2,806,359      $ 706     
  (55   10-Year U.S. Treasury Note     September 2016           USD         7,317,578        (27,099  
  (21   Long U.S. Treasury Bond     September 2016           USD         3,663,188        (107,483  
  (5   Ultra U.S. Treasury Bond     September 2016           USD         952,656        (21,256        
  Total                  $ (155,132  
             

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

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

Futures contracts

   Net unrealized appreciation1                $ 706          $ 706   
Liabilities — Derivative Financial Instruments                                              

Futures contracts

   Net unrealized depreciation1                $ 155,838          $ 155,838   

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

        

 

See Notes to Financial Statements.

 

                
50    ANNUAL REPORT    JULY 31, 2016   


Schedule of Investments (concluded)

  

BlackRock New York Municipal Income Trust (BNY)

 

For the year ended July 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

Net Realized Gain (Loss) From:   Commodity
Contracts
  Credit
Contracts
  Equity
Contracts
 

Foreign

Currency
Exchange
Contracts

 

Interest

Rate

Contracts

    Other
Contacts
  Total  

Futures contracts

          $ (787,920     $ (787,920
Net Change in Unrealized Appreciation (Depreciation) on:                        

Futures contracts

          $ (92,514     $ (92,514

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:           

Average notional value of contracts — short

     $ 10,923,895   

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

 

Fair Value Hierarchy as of Period End

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

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 329,867,577                   $ 329,867,577   

Short-Term Securities

  $ 214,518                               214,518   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 214,518         $ 329,867,577                   $ 330,082,095   
 

 

 

      

 

 

      

 

 

      

 

 

 
                
     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

  $ 706                             $ 706   

Liabilities:

                

Interest rate contracts

    (155,838                            (155,838
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ (155,132                          $ (155,132
 

 

 

      

 

 

      

 

 

      

 

 

 

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

       

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

       

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash

  $ 39,799                             $ 39,799   

Cash pledged for futures contracts

    197,250                               197,250   

Liabilities:

                

Loan for TOB Trust Certificates

       $ (435,000             (435,000

TOB Trust Certificates

              (31,345,202                  (31,345,202

VMTP Shares at Liquidation Value

              (94,500,000                  (94,500,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 237,049         $ (126,280,202                $ (126,043,153
 

 

 

      

 

 

      

 

 

      

 

 

 

During the year ended July 31, 2016, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   ANNUAL REPORT    JULY 31, 2016    51


Statements of Assets and Liabilities     

 

July 31, 2016   BlackRock
California
Municipal
Income Trust
(BFZ)
    BlackRock
Florida
Municipal 2020
Term Trust
(BFO)
    BlackRock
Municipal 2030
Target
Term Trust
(BTT)
    BlackRock
Municipal
Income
Investment Trust
(BBF)
 
       
Assets   

Investments at value — unaffiliated1

  $ 869,092,403      $ 85,751,650      $ 2,697,935,821      $ 256,363,137   

Investments at value — affiliated2

    3,771,908        1,836,731        96,809,834        40,725   

Cash

    115,411        25,110               63,209   

Cash pledged for futures contracts

    249,000                      88,850   
Receivables:   

Interest

    11,789,877        927,316        22,389,160        2,978,612   

Investments sold

    1,154,947        5,000               487,720   

Dividend — affiliated

    426        343        11,843        49   

Prepaid expenses

    60,224        5,083        57,419        26,797   
 

 

 

 

Total assets

    886,234,196        88,551,233        2,817,204,077        260,049,099   
 

 

 

 
       
Accrued Liabilities   

Bank overdraft

                  670,028          
Payables:   

Investments purchased

    6,794,286        2,223,260        86,813,326        1,903,217   

Income dividends — Common Shares

    2,143,175        9,486        5,640,446        738,835   

Investment advisory fees

    432,209        36,183        919,838        123,720   

Interest expense and fees

    232,229               270,835        44,436   

Reorganization costs

                         271,350   

Officer’s and Trustees’ fees

    74,089        9,782        24,102        30,140   

Other accrued expenses

    151,398        63,090        82,043        49,390   

Variation margin on futures contracts

    80,672                      28,953   
 

 

 

 

Total accrued liabilities

    9,908,058        2,341,801        94,420,618        3,190,041   
 

 

 

 
       
Other Liabilities   

TOB Trust Certificates

    181,645,774               184,114,916        47,192,958   

Loan for TOB Trust Certificates

    2,045,025                        

RVMTP Shares, at liquidation value of $5,000,000 per share, net of deferred offering costs3

                  749,548,840          

VMTP Shares, at liquidation value of $100,000 per share3

    171,300,000                        

VRDP Shares, at liquidation value of $100,000 per share, net of deferred offering costs3

                         51,700,672   
 

 

 

 

Total other liabilities

    354,990,799               933,663,756        98,893,630   
 

 

 

 

Total liabilities

    364,898,857        2,341,801        1,028,084,374        102,083,671   
 

 

 

 

Net Assets

  $ 521,335,339      $ 86,209,432      $ 1,789,119,703      $ 157,965,428   
 

 

 

 
       
Net Assets Applicable to Common Shareholders Consist of   

Paid-in capital4

  $ 446,816,941      $ 80,832,532      $ 1,671,220,745      $ 141,713,768   

Undistributed net investment income

    1,899,506        2,201,242        10,411,285        1,093,574   

Accumulated net realized loss

    (4,064,432     (1,251,376     (52,159,257     (14,279,926

Net unrealized appreciation (depreciation)

    76,683,324        4,427,034        159,646,930        29,438,012   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 521,335,339      $ 86,209,432      $ 1,789,119,703      $ 157,965,428   
 

 

 

 

Net asset value, per Common Share

  $ 16.35      $ 15.50      $ 25.38      $ 15.47   
 

 

 

 

1    Investments at cost — unaffiliated

  $ 792,327,206      $ 81,324,616      $ 2,538,288,891      $ 226,892,304   

2   Investments at cost — affiliated

  $ 3,771,908      $ 1,836,731      $ 96,809,834      $ 40,725   

3   Preferred Shares outstanding, unlimited number of shares authorized, par value $0.001 per share

    1,713               150        520   

4   Common Shares outstanding, unlimited number of shares authorized, par value $0.001 per share

    31,892,491        5,562,128        70,505,571        10,208,432   

 

 

See Notes to Financial Statements.      
                
52    ANNUAL REPORT    JULY 31, 2016   


Statements of Assets and Liabilities     

 

July 31, 2016   BlackRock
New Jersey
Municipal
Income Trust
(BNJ)
    BlackRock
New York
Municipal
Income Trust
(BNY)
 
   
Assets   

Investments at value — unaffiliated1

  $ 200,102,310      $ 329,867,577   

Investments at value — affiliated2

    1,695,856        214,518   

Cash

    35,518        39,799   

Cash pledged for futures contracts

    119,750        197,250   
Receivables:   

Interest

    1,611,607        3,518,066   

Dividend — affiliated

    324        155   

Prepaid expenses

    28,487        29,485   
 

 

 

 

Total assets

    203,593,852        333,866,850   
 

 

 

 
   
Accrued Liabilities   
Payables:   

Income dividends — Common Shares

    533,525        776,896   

Investment advisory fees

    103,124        169,445   

Interest expense and fees

    16,080        28,330   

Officer’s and Trustees’ fees

    19,863        30,529   

Other accrued expenses

    73,754        103,002   

Variation margin on futures contracts

    39,078        63,985   
 

 

 

 

Total accrued liabilities

    785,424        1,172,187   
 

 

 

 
   
Other Liabilities   

TOB Trust Certificates

    17,889,909        31,345,202   

Loan for TOB Trust Certificates

           435,000   

VMTP Shares, at liquidation value of $100,000 per share3

    59,100,000        94,500,000   
 

 

 

 

Total other liabilities

    76,989,909        126,280,202   
 

 

 

 

Total liabilities

    77,775,333        127,452,389   
 

 

 

 

Net Assets

  $ 125,818,519      $ 206,414,461   
 

 

 

 
   
Net Assets Applicable to Common Shareholders Consist of   

Paid-in capital4

  $ 108,861,468      $ 183,630,204   

Undistributed net investment income

    1,035,171        2,019,062   

Accumulated net realized loss

    (3,233,174     (12,529,634

Net unrealized appreciation (depreciation)

    19,155,054        33,294,829   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 125,818,519      $ 206,414,461   
 

 

 

 

Net asset value per Common Share

  $ 16.41      $ 15.94   
 

 

 

 

1    Investments at cost — unaffiliated

  $ 180,848,812      $ 296,417,616   

2    Investments at cost — affiliated

  $ 1,695,856      $ 214,518   

3   Preferred Shares outstanding, unlimited number of shares authorized, par value $0.001 per share

    591        945   

4   Common Shares outstanding, unlimited number of shares authorized, par value $0.001 per share

    7,665,586        12,948,268   

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    JULY 31, 2016    53


Statements of Operations     

 

Year Ended July 31, 2016   BlackRock
California
Municipal
Income Trust
(BFZ)
    BlackRock
Florida
Municipal 2020
Term Trust
(BFO)
    BlackRock
Municipal 2030
Target
Term Trust
(BTT)
    BlackRock
Municipal
Income
Investment Trust
(BBF)
 
       
Investment Income                                

Interest — unaffiliated

  $ 35,021,277      $ 3,105,785      $ 91,002,945      $ 8,531,360   

Dividends — affiliated

    1,013        1,590        47,519        366   
 

 

 

 

Total income

    35,022,290        3,107,375        91,050,464        8,531,726   
 

 

 

 
       
Expenses                                

Investment advisory

    4,938,942        427,061        10,483,900        1,092,056   

Professional

    115,753        46,880        209,112        94,143   

Officer and Trustees

    57,477        9,247        175,066        17,570   

Accounting services

    37,364        15,789        235,480        29,912   

Transfer agent

    32,856        17,084        83,922        15,433   

Custodian

    32,799        5,340        98,767        10,393   

Printing

    12,592        6,182        27,354        7,153   

Registration

    10,672        8,101        24,398        8,118   

Liquidity fees

                         67,440   

Reorganization costs

                         211,142   

Remarketing fees on Preferred Shares

                         7,790   

Rating agency

    36,854               37,668        41,857   

Miscellaneous

    41,783        10,563        124,276        37,883   
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    5,317,092        546,247        11,499,943        1,640,890   

Interest expense, fees and amortization of offering costs1

    3,255,274        120        8,182,843        642,315   
 

 

 

 

Total expenses

    8,572,366        546,367        19,682,786        2,283,205   
Less:        

Fees waived by the Manager

    (1,243     (451     (1,207,248     (92

Fees paid indirectly

    (77     (5     (183     (13
 

 

 

 

Total expenses after fees waived and paid indirectly

    8,571,046        545,911        18,475,355        2,283,100   
 

 

 

 

Net investment income

    26,451,244        2,561,464        72,575,109        6,248,626   
 

 

 

 
       
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:        

Investments

    9,572,237        (807,516     30,322,482        271,672   

Futures contracts

    (953,509            (304,681     (357,719
 

 

 

 
    8,618,728        (807,516     30,017,801        (86,047
 

 

 

 
Net change in unrealized appreciation (depreciation) on:        

Investments

    8,340,106        1,055,346        151,571,655        2,752,450   

Futures contracts

    (38,759            330,635        (17,742
 

 

 

 
    8,301,347        1,055,346        151,902,290        2,734,708   
 

 

 

 

Net realized and unrealized gain

    16,920,075        247,830        181,920,091        2,648,661   
 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 43,371,319      $ 2,809,294      $ 254,495,200      $ 8,897,287   
 

 

 

 

1   Related to TOB Trusts, VMTP Shares, RVMTP Shares and/or VRDP Shares.

       

 

 

See Notes to Financial Statements.      
                
54    ANNUAL REPORT    JULY 31, 2016   


Statements of Operations     

 

Year Ended July 31, 2016   BlackRock
New Jersey
Municipal
Income Trust
(BNJ)
    BlackRock
New York
Municipal
Income Trust
(BNY)
 
   
Investment Income                

Interest — unaffiliated

  $ 8,811,564      $ 13,206,187   

Dividends — affiliated

    590        1,622   
 

 

 

 

Total income

    8,812,154        13,207,809   
 

 

 

 
   
Expenses                

Investment advisory

    1,187,107        1,943,398   

Professional

    54,586        68,276   

Officer and Trustees

    13,534        22,134   

Accounting services

    32,868        48,049   

Transfer agent

    20,761        24,166   

Custodian

    10,152        16,407   

Printing

    7,294        8,508   

Registration

    8,119        8,118   

Rating agency

    36,697        36,746   

Miscellaneous

    23,191        36,026   
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    1,394,309        2,211,828   

Interest expense, fees and amortization of offering costs1

    807,989        1,271,564   
 

 

 

 

Total expenses

    2,202,298        3,483,392   
Less:    

Fees waived by the Manager

    (250     (2,574

Fees paid indirectly

    (3     (60
 

 

 

 

Total expenses after fees waived and paid indirectly

    2,202,045        3,480,758   
 

 

 

 

Net investment income

    6,610,109        9,727,051   
 

 

 

 
   
Realized and Unrealized Gain (Loss)                
Net realized gain (loss) from:   

Investments

    (105,969     1,546,772   

Futures contracts

    (484,262     (787,920
 

 

 

 
    (590,231     758,852   
 

 

 

 
Net change in unrealized appreciation (depreciation) on:    

Investments

    7,499,951        12,471,891   

Futures contracts

    (81,886     (92,514
 

 

 

 
    7,418,065        12,379,377   
 

 

 

 

Net realized and unrealized gain

    6,827,834        13,138,229   
 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 13,437,943      $ 22,865,280   
 

 

 

 

1    Related to TOB Trusts, VMTP Shares, RVMTP Shares and/or VRDP Shares.

   

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    JULY 31, 2016    55


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:   2016     2015           2016     2015  
         
Operations                                        

Net investment income

  $ 26,451,244      $ 26,545,088        $ 2,561,464      $ 2,311,006   

Net realized gain (loss)

    8,618,728        5,579,813          (807,516     307,666   

Net change in unrealized appreciation (depreciation)

    8,301,347        (4,073,134       1,055,346        (429,218

Distributions to AMPS Shareholders from net investment income

                           (175
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    43,371,319        28,051,767          2,809,294        2,189,279   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                        

From net investment income

    (27,300,889     (27,615,716       (2,110,271     (2,427,313
 

 

 

     

 

 

 
         
Capital Share Transactions                                        

Reinvestment of common distributions

    297,726                          
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                        

Total increase (decrease) in net assets applicable to Common Shareholders

    16,368,156        436,051          699,023        (238,034

Beginning of year

    504,967,183        504,531,132          85,510,409        85,748,443   
 

 

 

     

 

 

 

End of year

  $ 521,335,339      $ 504,967,183        $ 86,209,432      $ 85,510,409   
 

 

 

     

 

 

 

Undistributed net investment income, end of year

  $ 1,899,506      $ 2,861,564        $ 2,201,242      $ 1,977,448   
 

 

 

     

 

 

 

 

  1  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
56    ANNUAL REPORT    JULY 31, 2016   


Statements of Changes in Net Assets     

 

    BlackRock Municipal 2030 Target
Term Trust (BTT)
          BlackRock Municipal Income
Investment Trust (BBF)
 
    Year Ended July 31,           Year Ended July 31,  
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   2016     2015           2016     2015  
         
Operations                                        

Net investment income

  $ 72,575,109      $ 77,156,182        $ 6,248,626      $ 5,823,129   

Net realized gain (loss)

    30,017,801        4,957,993          (86,047     (3,848

Net change in unrealized appreciation (depreciation)

    151,902,290        37,609,616          2,734,708        349,346   
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    254,495,200        119,723,791          8,897,287        6,168,627   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                        

From net investment income

    (67,789,555     (67,685,348       (6,331,712     (5,822,882
 

 

 

     

 

 

 
         
Capital Share Transactions                                        

Net proceeds from the issuance of shares due to reorganization

                    53,855,412          

Reinvestment of common distributions

                    35,931          
 

 

 

     

 

 

 

Net increase in net assets derived from capital share transactions

                    53,891,343          
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                        

Total increase in net assets applicable to Common Shareholders

    186,705,645        52,038,443          56,456,918        345,745   

Beginning of year

    1,602,414,058        1,550,375,615          101,508,510        101,162,765   
 

 

 

     

 

 

 

End of year

  $ 1,789,119,703      $ 1,602,414,058        $ 157,965,428      $ 101,508,510   
 

 

 

     

 

 

 

Undistributed net investment income, end of year

  $ 10,411,285      $ 5,945,732        $ 1,093,574      $ 688,914   
 

 

 

     

 

 

 

 

  1  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    JULY 31, 2016    57


Statements of Changes in Net Assets     

 

    BlackRock New Jersey
Municipal Income Trust (BNJ)
          BlackRock New York
Municipal Income Trust (BNY)
 
    Year Ended July 31,           Year Ended July 31,  
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   2016     2015           2016     2015  
         
Operations                                        

Net investment income

  $ 6,610,109      $ 6,617,670        $ 9,727,051      $ 10,214,239   

Net realized gain (loss)

    (590,231     (85,555       758,852        (1,160,623

Net change in unrealized appreciation (depreciation)

    7,418,065        49,567          12,379,377        5,390,669   
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    13,437,943        6,581,682          22,865,280        14,444,285   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders1                                        

From net investment income

    (6,858,003     (6,997,412       (10,277,182     (10,693,019
 

 

 

     

 

 

 
         
Capital Share Transactions                                        

Reinvestment of common distributions

    67,518        77,990          527,186          
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                        

Total increase (decrease) in net assets applicable to Common Shareholders

    6,647,458        (337,740       13,115,284        3,751,266   

Beginning of year

    119,171,061        119,508,801          193,299,177        189,547,911   
 

 

 

     

 

 

 

End of year

  $ 125,818,519      $ 119,171,061        $ 206,414,461      $ 193,299,177   
 

 

 

     

 

 

 

Undistributed net investment income, end of year

  $ 1,035,171      $ 1,293,868        $ 2,019,062      $ 2,569,705   
 

 

 

     

 

 

 

 

  1  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
58    ANNUAL REPORT    JULY 31, 2016   


Statements of Cash Flows     

 

Year Ended July 31, 2016   BlackRock
California
Municipal
Income Trust
(BFZ)
    BlackRock
Municipal 2030
Target
Term Trust
(BTT)
    BlackRock
Municipal
Income
Investment Trust
(BBF)
    BlackRock
New Jersey
Municipal
Income Trust
(BNJ)
    BlackRock
New York
Municipal
Income Trust
(BNY)
 
         
Cash Provided by (Used for) Operating  Activities                                        

Net increase in net assets resulting from operations

  $ 43,371,319      $ 254,495,200      $ 8,897,287      $ 13,437,943      $ 22,865,280   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

         

Proceeds from sales of long-term investments

    251,056,437        1,084,779,123        31,309,755 1      22,708,662        44,618,396   

Purchases of long-term investments

    (284,757,610     (1,082,289,074     (33,852,888 )1      (22,223,479     (51,940,067

Net proceeds from sales (purchases) of short-term securities

    2,608,995        (16,931,109     437,626        (599,343     4,337,610   

Amortization of premium and accretion of discount on investments and other fees

    4,491,103        6,251,807        489,605        287,654        1,201,222   

Net realized gain (loss) on investments

    (9,633,015     (30,322,482     (298,728     104,186        (1,552,548

Net unrealized gain (loss) on investments

    (8,340,106     (151,571,655     (2,752,450     (7,499,951     (12,471,891

(Increase) decrease in assets:

  

Cash pledged for futures contracts

    (114,000     850,502        52,950 1      22,000        12,000   

Receivables:

         

Dividends — affiliated

    (426     (11,843     (49     (324     (155

Interest — unaffiliated

    186,366        2,059,278        302,175 1      48,544        (4,384

Prepaid expenses

    (28,368     (6,426     2,807 1      (2,212     (2,327

Increase (decrease) in liabilities:

  

Payables:

         

Investment advisory fees

    23,716        170,494        (22,120 )1      3,910        9,135   

Interest expense and fees

    197,147        164,333        31,171 1      11,379        21,195   

Officer’s and Trustees’ fees

    2,943        4,723        4,028 1      (367     (911

Other accrued expenses

    32,656        (175,579     (16,915 )1      3,887        19,854   

Variation margin on futures contracts

    21,297        (374,063     (27,117 )1      (23,266     (28,046

Reorganization costs

                  93,243 1               
 

 

 

 

Net cash provided by (used for) operating activities

    (881,546     67,093,229        4,650,380        6,279,223        7,084,363   
 

 

 

 
         
Cash Provided by (Used for) Financing Activities                                        

Cash dividends paid to Common Shareholders

    (27,161,298     (67,789,555     (6,776,696 )1      (6,832,332     (9,864,185

Amortization of deferred offering costs

           31,356        6,128 1               

Proceeds from TOB Trust Certificates

    41,455,951               1,276,469        588,627        5,626,929   

Repayments of TOB Trust Certificates

    (15,342,721     (5,058     1,595               (3,242,308

Proceeds from Loan for TOB Trust Certificates

    6,692,722                             3,241,802   

Repayments of Loan for TOB Trust Certificates

    (4,647,697                          (2,806,802

Increase in bank overdraft

           670,028                        
 

 

 

 

Net cash provided by (used for) financing activities

    996,957        (67,093,229     (5,492,504     (6,243,705     (7,044,564
 

 

 

 
         
Cash                                        

Net increase in cash

    115,411               (842,124     35,518        39,799   

Cash at beginning of year

                  905,333 2               
 

 

 

 

Cash at end of year

  $ 115,411             $ 63,209      $ 35,518      $ 39,799   
 

 

 

 
         
Supplemental Disclosure of Cash Flow Information                                        

Cash paid during the year for interest expense

  $ (197,147   $ (195,689   $ (37,299   $ (11,379   $ (21,195
 

 

 

 
         
Non-cash Financing Activities                                        

Capital shares issued in reinvestment of distributions paid to Common Shareholders

  $ 297,726             $ 35,931      $ 67,518      $ 527,186   

Fair value of investments and derivatives acquired through reorganization

                $ 86,823,654                 

Common Shares issued in reorganization

                $ 53,855,412                 

Preferred Shares issued in reorganization

                $ 17,800,000                 
 

 

 

 

1    Includes assets and liabilities acquired in reorganization.

         

2    Includes cash acquired in reorganization of $905,333.

         

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    JULY 31, 2016    59


Financial Highlights   

BlackRock California Municipal Income Trust (BFZ)

 

    Year Ended July 31,  
    2016     2015     2014     2013     2012  
         
Per Share Operating Performance   

Net asset value, beginning of year

  $ 15.84      $ 15.83      $ 14.50      $ 16.32      $ 13.88   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income1

    0.83        0.83        0.87        0.89        0.95   

Net realized and unrealized gain (loss)

    0.54        0.05        1.39        (1.78     2.42   

Distributions to AMPS Shareholders from net investment income

                                (0.01
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) from investment operations

    1.37        0.88        2.26        (0.89     3.36   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.86     (0.87     (0.93     (0.93     (0.92
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

  $ 16.35      $ 15.84      $ 15.83      $ 14.50      $ 16.32   
 

 

 

 

Market price, end of year

  $ 16.76      $ 14.65      $ 14.41      $ 13.63      $ 16.64   
 

 

 

 
         
Total Return Applicable to Common Shareholders3    

Based on net asset value

    8.92%        5.96%        16.48%        (5.81)%        24.98%   
 

 

 

 

Based on market price

    20.72%        7.66%        12.80%        (13.17)%        34.40%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders   

Total expenses

    1.68%        1.53%        1.59%        1.63%        1.49% 4 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.68%        1.53%        1.59%        1.63%        1.46% 4 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs6

    1.04%        1.00%        1.03%        1.01%        1.07% 4,5 
 

 

 

 

Net investment income

    5.17%        5.20%        5.78%        5.49%        6.28% 4 
 

 

 

 

Distributions to AMPS Shareholders

                                0.05%   
 

 

 

 

Net investment income to Common Shareholders

    5.17%        5.20%        5.78%        5.49%        6.23%   
 

 

 

 
         
Supplemental Data   

Net assets applicable to Common Shareholders, end of period (000)

  $ 521,335      $ 504,967      $ 504,531      $ 462,273      $ 519,578   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of year (000)

  $ 171,300      $ 171,300      $ 171,300      $ 171,300      $ 171,300   
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of year

  $  404,341      $  394,785      $  394,531      $  369,862      $  403,314   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 183,691      $ 155,533      $ 106,698      $ 158,655      $ 162,234   
 

 

 

 

Portfolio turnover rate

    30%        37%        25%        22%        30%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  5   

For the year ended July 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs and remarketing fees was 1.04%.

 

  6   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

 

See Notes to Financial Statements.      
                
60    ANNUAL REPORT    JULY 31, 2016   


Financial Highlights    BlackRock Florida Municipal 2020 Term Trust (BFO)

 

    Year Ended July 31,  
    2016     2015     2014     2013     2012  
         
Per Share Operating Performance           

Net asset value, beginning of year

  $ 15.37      $ 15.42      $ 15.31      $ 16.05      $ 14.94   
 

 

 

 

Net investment income1

    0.46        0.42        0.47        0.68        0.85   

Net realized and unrealized gain (loss)

    0.05        (0.03     0.25        (0.65     0.98   

Distributions to AMPS Shareholders from net investment income

           (0.00 )2      (0.00 )2      (0.01     (0.02
 

 

 

 

Net increase from investment operations

    0.51        0.39        0.72        0.02        1.81   
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.38     (0.44     (0.61     (0.76     (0.70
 

 

 

 

Net asset value, end of year

  $ 15.50      $ 15.37      $ 15.42      $ 15.31      $ 16.05   
 

 

 

 

Market price, end of year

  $ 15.21      $ 14.82      $ 15.16      $ 15.12      $ 15.60   
 

 

 

 
         
Total Return Applicable to Common Shareholders4            

Based on net asset value

    3.41%        2.59%        4.84%        0.12%        12.44%   
 

 

 

 

Based on market price

    5.24%        0.62%        4.36%        1.73%        17.38%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders           

Total expenses

    0.64%        0.68%        0.74%        0.92%        1.06%   
 

 

 

 

Total expenses after fees waived and paid indirectly5

    0.64%        0.68%        0.74%        0.92%        1.06%   
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs5,6

    0.64%        0.68% 7      0.74% 7      0.92% 7      1.06% 7 
 

 

 

 

Net investment income5

    3.00%        2.69%        3.05%        4.23%        5.48%   
 

 

 

 

Distributions to AMPS Shareholders

           0.00%        0.01%        0.09%        0.12%   
 

 

 

 

Net investment income to Common Shareholders

    3.00%        2.69%        3.04%        4.14%        5.36%   
 

 

 

 
         
Supplemental Data           

Net assets applicable to Common Shareholders, end of year (000)

  $ 86,209      $ 85,510      $ 85,748      $ 85,139      $ 89,251   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of year (000)

                $ 625      $ 19,100      $ 42,900   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of year (000)

                $ 3,454,938      $ 136,438      $ 77,011   
 

 

 

 

Borrowings outstanding, end of year (000)

         $ 134      $ 190      $ 280      $ 470   
 

 

 

 

Portfolio turnover rate

    7%        14%        1%        9%        32%   
 

 

 

 

 

  1  

Based on average Common Shares outstanding.

 

  2  

Amount is greater than $(0.005) per share.

 

  3  

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4  

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5  

Does not reflect the effect of dividends to AMPS Shareholders.

 

  6  

Interest expense and fees relate to TOB Trusts. See Note 4 of the Notes to Financial Statements for details.

 

  7   

The total expense ratio after fees waived and paid indirectly and excluding interest expense, fees and remarketing fees was as follows:

 

    Year Ended July 31,  
    2015     2014     2013     2012  
       

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and remarketing fees

    0.67%        0.73%        0.87%        0.97%   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    JULY 31, 2016    61


Financial Highlights    BlackRock Municipal 2030 Target Term Trust (BTT)

 

    Year Ended July 31,    

Period
August 30, 20121
to July 31,

2013

 
    2016     2015     2014    
       
Per Share Operating Performance   

Net asset value, beginning of period

  $ 22.73      $ 21.99      $ 18.75      $ 23.88 2 
 

 

 

 

Net investment income3

    1.03        1.09        1.12        0.80   

Net realized and unrealized gain (loss)

    2.58        0.61        3.23        (4.95
 

 

 

 

Net increase (decrease) from investment operations

    3.61        1.70        4.35        (4.15
 

 

 

 
Distributions to Common Shareholders:4        

From net investment income

    (0.96     (0.96     (1.09     (0.87

From return of capital

                  (0.02     (0.11
 

 

 

 

Total distributions to Common Shareholders

    (0.96     (0.96     (1.11     (0.98
 

 

 

 

Net asset value, end of period

  $ 25.38      $ 22.73      $ 21.99      $ 18.75   
 

 

 

 

Market price, end of period

  $ 24.24      $ 20.80      $ 19.57      $ 18.42   
 

 

 

 
       
Total Return Applicable to Common Shareholders5                                

Based on net asset value

    16.57%        8.32%        24.50%        (18.00)% 6 
 

 

 

 

Based on market price

    21.67%        11.37%        12.78%        (23.05)% 6 
 

 

 

 
       
Ratios to Average Net Assets Applicable to Common Shareholders                                

Total expenses

    1.17%        1.14%        1.22%        0.99% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.09%        1.06%        1.21%        0.99% 7 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs8

    0.61%        0.62%        0.72%        0.64% 7 
 

 

 

 

Net investment income to Common Shareholders

    4.30%        4.77%        5.61%        3.78% 7 
 

 

 

 
       
Supplemental Data                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 1,789,120      $ 1,602,414      $ 1,550,376      $ 1,321,835   
 

 

 

 

RVMTP Shares outstanding at $5,000,000 liquidation value, end of period (000)

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

 

 

 

Asset coverage per RVMTP Shares at $5,000,000 liquidation value, end of period

  $  16,927,465      $  15,682,760      $  15,335,837      $  13,812,236   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 184,115      $ 184,120      $ 184,120      $ 238,705   
 

 

 

 

Portfolio turnover rate

    42%        12%        6%        39%   
 

 

 

 

 

  1   

Commencement of operations.

 

  2   

Net asset value, beginning of period, reflects a deduction of $1.125 per share sales charge from the initial offering price of $25.00 per share.

 

  3   

Based on average Common Shares outstanding.

 

  4   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  5   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  6   

Aggregate total return.

 

  7   

Annualized.

 

  8   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or RVMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

 

See Notes to Financial Statements.      
                
62    ANNUAL REPORT    JULY 31, 2016   


Financial Highlights    BlackRock Municipal Income Investment Trust (BBF)

 

    Year Ended July 31,  
    2016     2015     2014     2013     2012  
         
Per Share Operating Performance                                        

Net asset value, beginning of year

  $ 15.14      $ 15.09      $ 13.89      $ 15.91      $ 13.40   
 

 

 

 

Net investment income1

    0.84        0.87        0.87        0.85        0.86   

Net realized and unrealized gain (loss)

    0.36        0.05        1.20        (2.00     2.55   

Distributions to AMPS Shareholders from net investment income

                                (0.00 )2 
 

 

 

 

Net increase (decrease) from investment operations

    1.20        0.92        2.07        (1.15     3.41   
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.87     (0.87     (0.87     (0.87     (0.90
 

 

 

 

Net asset value, end of year

  $ 15.47      $ 15.14      $ 15.09      $ 13.89      $ 15.91   
 

 

 

 

Market price, end of year

  $ 16.00      $ 13.44      $ 13.48      $ 12.47      $ 16.25   
 

 

 

 
         
Total Return Applicable to Common Shareholders4                                        

Based on net asset value

    8.40%        6.76%        16.06%        (7.56 )%      26.21%   
 

 

 

 

Based on market price

    26.29%        6.09%        15.49%        (18.75 )%      35.59%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders                                        

Total expenses

    2.01% 5      1.76%        1.85%        1.83%        1.99% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly

    2.01% 5      1.76%        1.85%        1.83%        1.99% 6 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees, and amortization of offering costs7,8

    1.45% 5      1.50%        1.56%        1.49%        1.61% 6 
 

 

 

 

Net investment income

    5.50%        5.65%        6.09%        5.41%        5.89% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.02%   
 

 

 

 

Net investment income to Common Shareholders

    5.50%        5.65%        6.09%        5.41%        5.87%   
 

 

 

 
         
Supplemental Data                                        

Net assets applicable to Common Shareholders, end of year (000)

  $ 157,965      $ 101,509      $ 101,163      $ 93,145      $ 106,627   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of year (000)

  $ 52,000      $ 34,200      $ 34,200      $ 34,200      $ 34,200   
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of year

  $  403,780      $  396,809      $  395,798      $  372,353      $  411,775   
 

 

 

 

Borrowings outstanding, end of year (000)

  $ 47,193      $ 29,682      $ 29,682      $ 34,096      $ 33,466   
 

 

 

 

Portfolio turnover rate

    17%        11%        22%        33%        39%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Includes reorganization costs associated with the Trust’s reorganization. Without these costs, total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense would have been 1.83%, 1.83% and 1.26%, respectively, for the year ended July 31, 2016.

 

  6   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

The total expense ratio after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was as follows:

 

    Year Ended July 31,  
    2016     2015     2014     2013     2012  
         

Total expenses after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees

    1.38%        1.17%        1.19%        1.17%        1.31%   
 

 

 

 

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    JULY 31, 2016    63


Financial Highlights    BlackRock New Jersey Municipal Income Trust (BNJ)

 

    Year Ended July 31,  
    2016     2015     2014     2013     2012  
         
Per Share Operating Performance                                        

Net asset value, beginning of year

  $ 15.55      $ 15.61      $ 14.36      $ 16.17      $ 14.07   
 

 

 

 

Net investment income1

    0.86        0.86        0.88        0.88        0.95   

Net realized and unrealized gain (loss)

    0.90        (0.01     1.27        (1.75     2.11   

Distributions to AMPS Shareholders from net investment income

                                (0.01
 

 

 

 

Net increase (decrease) from investment operations

    1.76        0.85        2.15        (0.87     3.05   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.90     (0.91     (0.90     (0.94     (0.95
 

 

 

 

Net asset value, end of year

  $ 16.41      $ 15.55      $ 15.61      $ 14.36      $ 16.17   
 

 

 

 

Market price, end of year

  $ 16.79      $ 14.61      $ 14.68      $ 13.67      $ 17.67   
 

 

 

 
         
Total Return Applicable to Common Shareholders3                                        

Based on net asset value

    11.81%        5.79%        16.01%        (5.82)%        22.25%   
 

 

 

 

Based on market price

    21.76%        5.69%        14.60%        (17.95)%        33.30%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders                                        

Total expenses

    1.81%        1.80%        1.89%        1.81%        1.47% 4 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.81%        1.79%        1.89%        1.81%        1.46% 4 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs5

    1.15%        1.15%        1.18%        1.13%        1.18% 4,6 
 

 

 

 

Net investment income

    5.45%        5.43%        5.96%        5.51%        6.28% 4 
 

 

 

 

Distributions to AMPS Shareholders

                                0.08%   
 

 

 

 

Net investment income to Common Shareholders

    5.45%        5.43%        5.96%        5.51%        6.20%   
 

 

 

 
         
Supplemental Data                                        

Net assets applicable to Common Shareholders, end of year (000)

  $ 125,819      $ 119,171      $ 119,509      $ 109,950      $ 123,497   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of year (000)

  $ 59,100      $ 59,100      $ 59,100      $ 59,100      $ 59,100   
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of year

  $  312,891      $  301,643      $  302,215      $  286,040      $  308,962   
 

 

 

 

Borrowings outstanding, end of year (000)

  $ 17,890      $ 17,301      $ 17,301      $ 17,302      $ 10,634   
 

 

 

 

Portfolio turnover rate

    11%        12%        20%        9%        20%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  5   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  6   

For the year ended July 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.14%.

 

 

See Notes to Financial Statements.      
                
64    ANNUAL REPORT    JULY 31, 2016   


Financial Highlights    BlackRock New York Municipal Income Trust (BNY)

 

    Year Ended July 31,  
    2016     2015     2014     2013     2012  
         
Per Share Operating Performance                                        

Net asset value, beginning of year

  $ 14.97      $ 14.68      $ 13.47      $ 15.53      $ 13.87   
 

 

 

 

Net investment income1

    0.75        0.79        0.81        0.87        0.93   

Net realized and unrealized gain (loss)

    1.02        0.33        1.23        (2.06     1.73   

Distributions to AMPS Shareholders from net investment income

                                (0.01
 

 

 

 

Net increase (decrease) from investment operations

    1.77        1.12        2.04        (1.19     2.65   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.80     (0.83     (0.83     (0.87     (0.99
 

 

 

 

Net asset value, end of year

  $ 15.94      $ 14.97      $ 14.68      $ 13.47      $ 15.53   
 

 

 

 

Market price, end of year

  $ 16.71      $ 14.54      $ 13.79      $ 13.16      $ 16.73   
 

 

 

 
         
Total Return Applicable to Common Shareholders3                                        

Based on net asset value

    12.13%        8.00%        15.98%        (8.18)%        19.62%   
 

 

 

 

Based on market price

    21.02%        11.67%        11.51%        (16.73)%        25.87%   
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders                                        

Total expenses

    1.75%        1.73%        1.82%        1.85%        1.49% 4 
 

 

 

 

Total expenses after fees waived and paid indirectly

    1.75%        1.73%        1.82%        1.84%        1.49% 4 
 

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense, fees and amortization of offering costs5

    1.11%        1.12%        1.13%        1.14%        1.18% 4,6 
 

 

 

 

Net investment income

    4.89%        5.24%        5.89%        5.71%        6.34% 4 
 

 

 

 

Distributions to AMPS Shareholders

                                0.08%   
 

 

 

 

Net investment income to Common Shareholders

    4.89%        5.24%        5.89%        5.71%        6.26%   
 

 

 

 
         
Supplemental Data                                        

Net assets applicable to Common Shareholders, end of period (000)

  $  206,414      $  193,299      $ 189,548      $ 173,976      $ 200,020   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of year (000)

  $ 94,500      $ 94,500      $ 94,500      $ 94,500      $ 94,500   
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of year

  $ 318,428      $ 304,549      $  300,580      $  284,102      $  311,661   
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 31,780      $ 28,961      $ 28,461      $ 31,620      $ 32,847   
 

 

 

 

Portfolio turnover rate

    14%        11%        26%        23%        24%   
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Does not reflect the effect of dividends to AMPS Shareholders.

 

  5   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  6   

For the year ended July 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.13%.

 

See Notes to Financial Statements.      
                
   ANNUAL REPORT    JULY 31, 2016    65


Notes to Financial Statements     

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies. BlackRock California Municipal Income Trust, BlackRock Municipal 2030 Target Term Trust (formerly known as “BlackRock Municipal Target Term Trust), BlackRock Municipal Income Investment Trust, BlackRock New, Jersey Municipal Income Trust, BlackRock New York Municipal Income Trust (collectively, the “Income Trusts”) and together with BlackRock Florida Municipal 2020 Term Trust are referred to herein collectively as the “Trusts”, or individually, a “Trust”:

 

Fund Name   Herein
Referred To As
     Organized      Diversification
Classification
 

BlackRock California Municipal Income Trust

    BFZ         Delaware         Non-diversified   

BlackRock Florida Municipal 2020 Term Trust

    BFO         Delaware         Non-diversified   

BlackRock Municipal 2030 Target Term Trust

    BTT         Delaware         Non-diversified   

BlackRock Municipal Income Investment Trust

    BBF         Delaware         Non-diversified   

BlackRock New Jersey Municipal Income Trust

    BNJ         Delaware         Non-diversified   

BlackRock New York Municipal Income Trust

    BNY         Delaware         Non-diversified   

The Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the trustees thereof are collectively referred to throughout this report as “Trustees.” The Trusts determine and make available for publication the NAVs of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Reorganization: The Board and shareholders of BBF and Board and shareholders of BlackRock Municipal Bond Investment Trust (“BIE”) approved the reorganization of the BIE into BBF. As a result, BBF acquired substantially all of the assets and assumed substantially all of the liabilities of BIE in exchange for an equal aggregate value of newly-issued Common Shares and Preferred Shares of BBF. The purpose of the transaction was to combine two funds managed by the Manager with the same or substantially similar (but not identical) investment objectives, investment policies, strategies, risks and restrictions. The reorganization was a tax-free event and was effective on May 16, 2016.

Each BIE Common Shareholder of received Common Shares of BBF in an amount equal to the aggregate net asset value of such Common Shares, as determined at the close of business on May 13, 2016, less the cost of BIE’s of reorganization. Cash was distributed for any fractional Common shares.

Each BIE VRDP Shareholder received on a one-for-one basis one newly issued VRDP Share of BBF, par value $0.001 per share and with a liquidation preference of $100,000 per share, in exchange for each BIE VRDP Share held by such BIE VRDP Shareholder.

The reorganization was accomplished by a tax-free exchange of Common Shares and VRDP Shares of BBF in the following amounts and at the following conversion ratios:

 

Target Fund   Shares Prior to
Reorganization
     Conversion
Ratio
     Shares of
BBF
 

BIE Common Shares

    3,338,684         1.04878969         3,501,574   

BIE VRDP Shares

    178         1         178   

BIE’s common net assets and composition of common net assets on May 13, 2016, the valuation date of the reorganization, was as follows:

 

     BIE  

Net assets Applicable to Common Shares

  $ 53,855,412   

Paid-in-capital

  $ 46,862,621   

Undistributed net investment income

  $ 270,481   

Accumulated net realized loss

  $ (3,094,350

Net unrealized appreciation (depreciation)

  $ 9,816,660   

For financial reporting purposes, assets received and shares issued by BBF were recorded at fair value. However, the cost basis of the investments being received from BIE were carried forward to align ongoing reporting of BBF’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The net assets applicable to Common Shareholders of BBF before the acquisition were $103,135,598. The aggregate net assets of BBF immediately after the acquisition amounted to $156,991,010. BIE’s fair value and cost of investments prior to the reorganization were as follows:

 

Target Fund  

Fair Value of
Investments and
Derivative

Financial

Instruments

     Cost of
Investments
     TOB Trust
Certificates
     Preferred
Shares Value
 

BIE

  $ 86,823,654       $ 77,006,994       $ 16,235,808       $ 17,800,000   

 

                
66    ANNUAL REPORT    JULY 31, 2016   


Notes to Financial Statements (continued)     

 

In connection with the reorganizations, BBF investment advisory fee was reduced by 3 basis points, from 0.60% of BBF’s average weekly managed assets to 0.57% of BBF’s average weekly net assets as defined in Note 6.

Assuming the acquisition had been completed on August 1, 2015, the beginning of the fiscal reporting period of BBF, the pro forma results of operations for the year ended July 31, 2016, are as follows:

 

 

Net investment income: $8,410,064

 

 

Net realized and change in unrealized gain (loss) on investments: $3,935,649

 

 

Net increase in net assets resulting from operations: $12,345,713

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 BBF that have been included in BBF’s Statement of Operations since May 16, 2016.

Reorganization costs incurred in connection with the reorganization were expensed by BBF.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., futures contracts), or certain borrowings (e.g., TOB Trust transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Distributions: Distributions from net investment income are declared monthly and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Distributions to Preferred Shareholders are accrued and determined as described in Note 10.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in officer’s and trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standard: The Trusts have adopted the Financial Accounting Standards Board Accounting Standards Update, “Simplifying the Presentation of Debt Issuance Costs.” Under the new standard, a Trust is required to present such costs in the Statements of Assets and Liabilities as a direct deduction from the carrying value of the related debt liability. This change in accounting policy had no impact on the net assets of the Trusts.

The deferred offering costs that are now presented as a deduction from the VRDP and RVMTP Shares at liquidation value in the Statements of Assets and Liabilities and amortization included in interest expense, fees and amortization of offering costs in the Statement of Operations were as follows:

 

     BFZ      BTT      BBF      BNJ      BNY  

Deferred offering costs

          $ 451,160       $ 299,328                   

Amortization of deferred offering costs

  $ 51,796       $ 46,796       $ 13,486       $ 31,948       $ 37,770   

 

                
   ANNUAL REPORT    JULY 31, 2016    67


Notes to Financial Statements (continued)     

 

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

Through May 31, 2016, the Trusts had an arrangement with their custodian whereby credits were earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. Credits previously earned may be utilized until December 31, 2016. Under current arrangements effective June 1, 2016, the Trusts no longer earn credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Trust’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the report date). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of each Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

 

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

 

 

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

 

Futures contracts traded on exchanges are valued at their last sale price.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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

 

 

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

 

 

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

 

 

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically

 

                
68    ANNUAL REPORT    JULY 31, 2016   


Notes to Financial Statements (continued)     

 

categorized as Level 3. The fair value hierarchy for each Trust’s investments and derivative financial instruments has been included in the Schedules of Investments.

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

4. Securities and Other Investments:

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Trust may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Trust may be required to pay more at settlement than the security is worth. In addition, a Trust is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Trust assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a Trust’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Municipal Bonds Transferred to TOB Trusts: Certain Trust’s leverage their assets through the use of TOB Trust transactions. The Trusts transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust generally issues two classes of beneficial interests: short-term floating rate interests (“TOB Trust Certificates”), which are sold to third party investors, and residual inverse floating rate interests (“TOB Residuals”), which are generally issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that generally reset weekly and their holders have the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a Trust generally provide the Trust with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The Trusts may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment adviser may also contribute municipal bonds to a TOB Trust into which each Trust has contributed bonds. If multiple BlackRock advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residuals will be shared among the funds ratably in proportion to their participation in the TOB Trust.

TOB Trusts are generally supported by a liquidity facility provided by a third party bank or other financial institution (the “Liquidity Provider”) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment of par plus accrued interest on any business day. The tendered TOB Trust Certificates may be purchased by the Liquidity Provider and are usually remarketed by a Remarketing Agent, which is typically an affiliated entity of the Liquidity Provider. The Remarketing Agent may also purchase the tendered TOB Trust Certificates for its own account in the event of a failed remarketing.

The TOB Trust may be collapsed without the consent of a Trust, upon the occurrence of tender option termination events (“TOTEs”) or mandatory termination events (“MTEs”), as defined in the TOB Trust agreements. TOTEs include the bankruptcy or default of the issuer of the municipal bonds held in the TOB Trust, a substantial downgrade in the credit quality of the issuer of the municipal bonds held in the TOB Trust, failure of any scheduled payment of principal or interest on the municipal bonds, and/or a judgment or ruling that interest on the municipal bond is subject to federal income taxation. MTEs may include, among other things, a failed remarketing of the TOB Trust Certificates, the inability of the TOB Trust to obtain renewal of the liquidity support agreement and a substantial decline in the market value of the municipal bonds held in the TOB Trust. Upon the occurrence of a TOTE or an MTE, the TOB Trust would be liquidated with the proceeds applied first to any accrued fees owed to the trustee of the TOB Trust, the Remarketing Agent and the Liquidity Provider. In the case of an MTE, after the payment of fees, the TOB Trust Certificates holders would be paid before the TOB Residuals holders (i.e., the Trusts). In contrast, in the case of a TOTE, after payment of fees, the TOB Trust Certificates holders and the TOB Residuals holders would be paid pro rata in proportion to the respective face values of their certificates. During the year ended July 31, 2016, no TOB Trusts in which a Trust participated were terminated without the consent of a Trust.

While a Trust’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they generally restrict the ability of a Trust to borrow money for purposes of making investments. Each Trust’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less certain transaction expenses, is paid to a Trust. A Trust typically invests the cash received in additional municipal bonds. The municipal bonds deposited into a TOB Trust are presented in a Trusts Schedules of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates would be shown as Loan for TOB Trust Certificates.

 

                
   ANNUAL REPORT    JULY 31, 2016    69


Notes to Financial Statements (continued)     

 

Volcker Rule Impact: On December 10, 2013, regulators published final rules implementing section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Volcker Rule”), which precludes banking entities and their affiliates from sponsoring and investing in TOB Trusts. Banking entities subject to the Volcker Rule were required to fully comply by July 21, 2015, with respect to investments in and relationships with TOB Trusts established after December 31, 2013 (“Non-Legacy TOB Trusts”), and by July 21, 2017, with respect to investments in and relationships with TOB Trusts established prior to December 31, 2013 (“Legacy TOB Trusts”).

As a result, a new structure for TOB Trusts has been designed in which no banking entity would sponsor the TOB Trust. Specifically, a Trust establishes, structures and “sponsors” the TOB Trusts in which it holds TOB Residuals. In such a structure, certain responsibilities that previously belonged to a third party bank are performed by, or on behalf of, the Trust. The Trusts have restructured any Non-Legacy TOB Trusts and are in the process of restructuring Legacy TOB Trusts in conformity with regulatory guidelines. Until all restructurings are completed, a Trust may, for a period of time, hold TOB Residuals in both Legacy TOB Trusts and new or restructured non-bank sponsored TOB Trusts.

Under the new TOB Trust structure, the Liquidity Provider or Remarketing Agent will no longer purchase the tendered TOB Trust Certificates even in the event of failed remarketing. This may increase the likelihood that a TOB Trust will need to be collapsed and liquidated in order to purchase the tendered TOB Trust Certificates. The TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on the number of days the loan is outstanding.

Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a Trust’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a Trust’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates or Loan for TOB Trust Certificates, approximates its fair value.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a Trust on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to comply with the Volcker Rule, a Trust incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of deferred offering costs in the Statements of Operations.

For the year ended July 31, 2016, the following table is a summary of each Trust’s TOB Trusts:

 

    

Underlying
Municipal

Bonds

Transferred to

TOB Trusts1

    

Liability for

TOB Trust

Certificates2

    

Range of

Interest Rates
on TOB Trust
Certificates at
period end

     Average TOB
Trust
Certificates
Outstanding
     Daily Weighted
Average
Rate of Interest
and Other Expenses
on TOB Trusts
 

BFZ

  $ 409,782,942       $ 181,645,774         0.46% - 0.64%       $ 169,316,355         0.79%   

BFO

                          $ 10,384         0.64%   

BTT

  $ 405,912,310       $ 184,114,916         0.46% - 0.50%       $ 184,118,131         1.12%   

BBF

  $ 89,775,672       $ 47,192,958         0.46% - 0.69%       $ 33,849,608         0.79%   

BNJ

  $ 32,038,666       $ 17,889,909         0.47% - 0.69%       $ 17,435,975         0.92%   

BNY

  $ 61,198,821       $ 31,345,202         0.44% - 0.59%       $ 30,323,004         0.79%   

 

  1   

The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB Trust transaction may include a credit enhancement feature that provides for the timely payment of principal and interest on the bonds to the TOB Trust by a credit enhancement provider in the event of default of the municipal bond. The TOB Trust would be responsible for the payment of the credit enhancement fee and the Trusts, as TOB Residual holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The municipal bonds transferred to TOB Trusts with a credit enhancement are identified in the Schedules of Investments including the maximum potential amounts owed by the Trusts.

 

  2   

The Trusts may invest in TOB Trusts that are structured on a non-recourse or recourse basis. When a Fund invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility. In such an event, the Liquidity Provider will typically either (i) fund the full amount owed under the liquidity facility and be subsequently reimbursed from only the proceeds of the liquidation of all or a portion of the municipal bonds held in the TOB Trust or the remarketing of the TOB Trust Certificates, or (ii) liquidate all or a portion of the municipal bonds held in the TOB Trust and then fund the balance, if any, of the amount owed under the liquidity facility over the liquidation proceeds (the “Liquidation Shortfall”). If a Trust invests in a TOB Trust on a recourse basis, a Trust will usually enter into a reimbursement agreement with the Liquidity Provider where a Trust is required to reimburse the Liquidity Provider the amount of any Liquidation Shortfall. As a result, if a Trust invests in a recourse TOB Trust, a Trust will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a Trust at July 31, 2016, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a Trust at July 31, 2016.

 

                
70    ANNUAL REPORT    JULY 31, 2016   


Notes to Financial Statements (continued)     

 

For the year ended July 30, 2016, the following table is a summary of each Trust’s Loan for TOB Trust Certificates:

 

    

Loan
Outstanding
at period end

     Interest Rates
on Loan at
period end
     Average
Loan
Outstanding
     Daily Weighted
Average
Rate of Interest
and  Other Expenses
on Loan
 

BFZ

  $ 2,045,025         0.25%       $ 455,116         0.79%   

BNY

  $ 435,000         0.25%       $ 171,516         0.78%   

5. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as interest rate risk. Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange over-the-counter (“OTC”).

Futures Contracts: Certain Trusts invest in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. 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 market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations 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 futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory

Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

For such services, each Trust, except BTT, pays the Manager a monthly fee, which is determined by calculating a percentage of each Trust’s average weekly managed assets, based on the following annual rates:

 

     BFZ      BFO      BBF      BNJ      BNY  

Investment advisory fee

    0.58%         0.50%         0.57%         0.60%         0.60%   

BTT pays the Manager a monthly fee based on a percentage of BTT’s average daily managed assets at an annual rate of 0.40%.

“Managed assets” and “net assets” each mean the total assets of the Trust minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

Waivers

The Manager, voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds. These amounts are included in fees waived by the Manager in the Statements of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investments in other affiliated investment companies, if any. For the year ended July 31, 2016, the amounts waived were as follows:

 

     BFZ      BFO      BTT      BBF      BNJ      BNY  

Amounts waived

  $ 1,243       $ 451       $ 12,291       $ 92       $ 250       $ 2,574   

 

                
   ANNUAL REPORT    JULY 31, 2016    71


Notes to Financial Statements (continued)     

 

Prior to July 1, 2016, the Manager voluntarily agreed to waive a portion of its investment advisory fees equal to the annual rate of 0.05% of BTT’s average daily managed assets. This amount is included in fees waived by the Manager in the Statements of Operations. During the year ended July 31, 2016, the Manager waived $1,194,957 pursuant to this agreement.

Officers and Trustees

Certain officers and/or trustees of the Trusts are officers and/or trustees of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

Other Transactions

The Trusts may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended July 31, 2016, the purchase and sale transactions which resulted in net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchases      Sales      Net Realized Gain  

BNY

  $ 1,462,356                   

7. Purchases and Sales:

For the year ended July 31, 2016, purchases and sales of investments, excluding short-term securities, were as follows:

 

     BFZ      BFO      BTT      BBF      BNJ      BNY  

Purchases

  $ 285,798,786       $ 7,810,406       $ 1,168,502,400       $ 35,279,131       $ 22,223,479       $ 48,270,067   

Sales

  $ 252,211,384       $ 5,809,404       $ 1,083,068,111       $ 31,673,260       $ 22,708,662       $ 44,471,831   

8. Income Tax Information:

It is the Trusts’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for each of the four years ended July 31, 2016. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of July 31, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

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. As of period end, the following permanent differences attributable to the amortization methods on fixed income securities, distributions received from a regulated investment company, non-deductible expenses, the sale of bonds received from tender option bond trusts and the retention of tax-exempt income were reclassified to the following accounts:

 

     BFZ      BFO      BTT      BBF      BNJ      BNY  

Paid-in capital

          $ 228,000       $ (31,355    $ (217,271                

Undistributed net investment income

  $ (112,413    $ (227,399    $ (320,001    $ 217,265       $ (10,803    $ (512

Accumulated net realized loss

  $ 112,413       $ (601    $ 351,356       $ 6       $ 10,803       $ 512   

The tax character of distributions paid was as follows:

 

             BFZ      BFO      BTT      BBF      BNJ      BNY  

Tax-exempt income1

    7/31/16       $ 29,134,487       $ 2,110,271       $ 73,709,829       $ 6,679,688       $ 7,454,253       $ 11,289,934   
    7/31/15       $ 29,359,946       $ 2,427,463       $ 72,897,438       $ 5,869,296       $ 7,503,893       $ 11,653,202   

Ordinary income2

    7/31/16       $ 6,483               $ 112,218               $ 40,113       $ 2,355   
    7/31/15       $ 73       $ 25       $ 513       $ 3       $ 103,925       $ 2,087   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

    7/31/16       $ 29,140,970       $ 2,110,271       $ 73,822,047       $ 6,679,688       $ 7,494,366       $ 11,292,289   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
    7/31/15       $ 29,360,019       $ 2,427,488       $ 72,897,951       $ 5,869,299       $ 7,607,818       $ 11,655,289   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  1   

The Trusts designate these amounts paid during the fiscal year ended July 31, 2016, as exempt-interest dividends.

 

  2   

Ordinary income consists primarily of taxable income recognized from market discount. Additionally, all ordinary income distributions are comprised of interest related dividends for non-U.S. residents and are eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

 

                
72    ANNUAL REPORT    JULY 31, 2016   


Notes to Financial Statements (continued)     

 

As of period end, the tax components of accumulated net earnings were as follows:

 

     BFZ      BFO      BTT      BBF      BNJ      BNY  

Undistributed tax-exempt Income

  $ 1,139,567       $ 2,228,374       $ 6,397,170       $ 345,992       $ 779,802       $ 1,659,366   

Undistributed ordinary income

                    8,726                 23,183         1,642   

Capital loss carryforwards

    (3,104,212      (1,258,581      (40,292,789      (12,993,926      (2,921,210      (11,774,065

Net unrealized gains1

    76,483,043         4,407,107         151,785,851         28,899,594         19,075,276         32,897,314   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

  $ 74,518,398       $ 5,376,900       $ 117,898,958       $ 16,251,660       $ 16,957,051       $ 22,784,257   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  1   

The differences between book-basis and tax-basis net unrealized gains were attributable primarily to the tax deferral of losses on wash sales, amortization and accretion methods of premiums and discounts on fixed income securities, the accrual of income on securities in default, the treatment of residual interests in tender option bond trusts and the deferral of compensation to Trustees.

As of July 31, 2016, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:

 

Expires July 31,   BFZ      BFO      BTT      BBF      BNJ      BNY  

No expiration date1

          $ 807,377       $ 40,292,789       $ 5,264,870       $ 2,051,379       $ 5,902,450   

2017

            389,104                 150,549                 2,408,109   

2018

  $ 3,104,212         62,100                 6,927,043         842,367         1,480,575   

2019

                            651,464         27,464         1,982,931   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

  $ 3,104,212       $ 1,258,581       $ 40,292,789       $ 12,993,926       $ 2,921,210       $ 11,774,065   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  1   

Must be utilized prior to losses subject to expiration.

During the year ended July 31, 2016, the Trusts listed below utilized the following amounts of their respective capital loss carryforward:

 

BFZ

  $ 8,606,298   

BTT

  $ 29,581,075   

BNY

  $ 695,650   

As of July 31, 2016, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

            BFZ             BFO      BTT      BBF      BNJ      BNY  

Tax cost

    $ 612,624,030         $ 83,160,504       $ 2,458,844,888       $ 180,279,719       $ 164,814,961       $ 265,377,126   
   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Gross unrealized appreciation

    $ 76,813,335         $ 5,159,825       $ 162,663,152       $ 29,475,592       $ 21,002,606       $ 33,678,860   

Gross unrealized depreciation

      (263,853        (731,948      (10,877,301      (544,407      (1,909,310      (754,093
   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net unrealized appreciation

    $ 76,549,482         $ 4,427,877       $ 151,785,851       $ 28,931,185       $ 19,093,296       $ 32,924,767   
   

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

9. Principal Risks:

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Trust’s ability to buy or sell bonds. As a result, a Trust may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Trust needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.

In the normal course of business, certain Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers of securities owned by the Trusts. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

The Trusts may hold a significant amount of bonds subject to calls by the issuers at defined dates and prices. When bonds are called by issuers and the Trusts reinvest the proceeds received, such investments may be in securities with lower yields than the bonds originally held, and correspondingly, could adversely impact the yield and total return performance of a Trust.

There is no assurance that BFO will achieve its investment objective and BFO may return less than $15.00 per share. As BFO approaches its scheduled termination date, it is expected that the maturity of BFO’s portfolio securities will shorten, which is likely to reduce BFO’s income and distributions to shareholders.

 

                
   ANNUAL REPORT    JULY 31, 2016    73


Notes to Financial Statements (continued)     

 

It is possible that regulators could take positions that could limit the market for non-bank sponsored TOB Trust transactions or the Trusts’ ability to hold TOB Residuals. Under the new TOB Trust structure, the Trusts will have certain additional duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.

There can be no assurance that the Trusts can successfully enter into restructured TOB Trust transactions in order to refinance their existing TOB Residuals holdings prior to the compliance date for the Volcker Rule, which may require that the Trusts unwind existing TOB Trusts. There can be no assurance that alternative forms of leverage will be available to the Trusts and any alternative forms of leverage may be more or less advantageous to the Trusts than existing TOB leverage.

Should short-term interest rates rise, the Trusts’ investments in TOB Trust transactions may adversely affect the Trusts’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect the Trusts’ NAVs per share.

The SEC and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”), which take effect in December 2016. The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect the Trusts’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

TOB Trust transactions constitute an important component of the municipal bond market. Accordingly, implementation of the Volcker Rule and Risk Retention Rules may adversely impact the municipal market, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. Any such developments could adversely affect the Trusts. The ultimate impact of these rules on the TOB Trust market and the overall municipal market is not yet certain.

Counterparty Credit Risk: Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

With exchange-traded futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

Concentration Risk: BFZ, BFO and BNJ invest a substantial amount of their assets in issuers located in a single state or limited number of states. This may subject each Trust to the risk that economic, political or social issues impacting a particular state or group of states could have an adverse and disproportionate impact on the income from, or the value or liquidity of, the Trusts’ respective portfolios. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.

As of period end, BFZ and BFO invested a significant portion of their assets in securities in the county, city, special district and school district sector. BNJ invested a significant portion of its assets in securities in the transportation sector. Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

The Trusts invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

10. Capital Share Transactions:

Each Trust is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. The par value for the Trust’s Common Shares is $0.001. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without approval of Common Shareholders.

 

                
74    ANNUAL REPORT    JULY 31, 2016   


Notes to Financial Statements (continued)     

 

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,   BFZ      BBF      BNJ      BNY  

2016

    18,396         2,331         4,172         33,994   

2015

                    4,837           

Preferred Shares

Each Trust’s Preferred Shares rank prior to the Trust’s Common Shares as to the payment of dividends by the Trust and distribution of assets upon dissolution or liquidation of a Trust. The 1940 Act prohibits the declaration of any dividend on a Trust’s Common Shares or the repurchase of a Trust’s Common Shares if a Trust fails to maintain the asset coverage of at least 200% of the liquidation preference of the outstanding Preferred Shares. In addition, pursuant to the Preferred Shares’ governing instruments, a Trust is restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with the Preferred Shares or repurchasing such shares if a Trust fails to declare and pay dividends on the Preferred Shares, redeem any Preferred Shares required to be redeemed under the Preferred Shares’ governing instruments or comply with the basic maintenance amount requirement of the agencies rating the Preferred Shares.

The holders of Preferred Shares have voting rights equal to the voting rights of the holders of Common Shares (one vote per share) and will vote together with holders of Common Shares (one vote per share) as a single class on certain matters. However, the holders of Preferred Shares, voting as a separate class, are also entitled to elect two Trustees to the Board of each Trust. The holders of Preferred Shares are also entitled to elect the full Board of Directors if dividends on the Preferred Shares are not paid for a period of two years. The holders of Preferred Shares are also generally entitled to a separate class vote to amend the Preferred Share governing documents. In addition, the 1940 Act requires the approval of the holders of a majority of any outstanding Preferred Shares, voting as a separate class, to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Trust’s sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.

VRDP Shares

BBF has issued Series W-7 VRDP Shares, $100,000 liquidation preference per share, in a privately negotiated offering. The VRDP Shares were offered to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act of 1933, as amended, (the “Securities Act”). The VRDP Shares include a liquidity feature and are currently in a special rate period, each as described below.

As of the period end, the VRDP Shares outstanding of BBF were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Maturity Date  

BBF

    9/15/11         342       $ 34,200,000         10/01/41   
      5/16/16         178       $ 17,800,000         10/01/41   

Redemption Terms: BBF is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, BBF is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, BBF is required to redeem certain of its outstanding VRDP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, the VRDP Shares may also be redeemed, in whole or in part, at any time at the option of BBF. The redemption price per VRDP Share is equal to the liquidation value per share plus any outstanding unpaid dividends.

Liquidity Feature: BBF entered into a fee agreement with the liquidity provider that requires a per annum liquidity fee payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations.

The fee agreement between BBF and the liquidity provider is scheduled to expire on December 4, 2015. BBF renewed the fee agreement which is scheduled to expire on October 22, 2018 unless renewed or terminated in advance.

In the event the fee agreement is not renewed or is terminated in advance, and BBF does not enter into a fee agreement with an alternate liquidity provider, the VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the fee agreement. In the event of such mandatory purchase, BBF is required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, BBF is required to begin to segregate liquid assets with its custodian to fund the redemption. There is no assurance BBF will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Remarketing: BBF may incur remarketing fees of 0.10% on the aggregate principal amount of all the Trust’s VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. During any special rate period (as described below), BBF may incurr no remarketing fees.

 

                
   ANNUAL REPORT    JULY 31, 2016    75


Notes to Financial Statements (continued)     

 

Dividends: Dividends on the VRDP Shares are payable monthly at a variable rate set weekly by the remarketing agent. Such dividend rates are generally based upon a spread over a base rate and cannot exceed a maximum rate. In the event of a failed remarketing, the dividend rate of the VRDP Shares will be reset to a maximum rate. The maximum rate is determined based on, among other things, the long-term preferred share rating assigned to the VRDP Shares and the length of time that the VRDP Shares fail to be remarketed. At the date of issuance, the VRDP Shares were assigned long-term ratings of Aaa from Moody’s and AAA from Fitch. Subsequent to the issuance of the VRDP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of period end, the VRDP Shares were assigned a long-term rating of Aa1 from Moody’s under its new ratings methodology. The VRDP Shares continue to be assigned a long-term rating of AAA from Fitch.

For the year ended July 31, 2016, the annualized dividend rate for BBF’s VRDP Shares was 0.92%.

Ratings: The short-term ratings on the VRDP Shares are directly related to the short-term ratings of the liquidity provider for such VRDP Shares. Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares as rated by Moody’s, Fitch and/or S&P. A change in the short-term credit rating of the liquidity provider or the VRDP Shares may adversely affect the dividend rate paid on such shares, although the dividend rate paid on the VRDP Shares is not directly based upon either short-term rating.

Special Rate Period: On October 22, 2015, BBF commenced a three-year term ending April 18, 2018 (the “special rate period”), with respect to the VRDP Shares. The implementation of the special rate period resulted in a mandatory tender of the VRDP Shares prior to the commencement of the special rate period. The mandatory tender event was not the result of a failed remarketing. The short-term ratings on the VRDP Shares for BBF were withdrawn by Moody’s, Fitch and/or S&P at the commencement of the special rate period. Prior to April 18, 2018, the holder of the VRDP Shares and BBF may mutually agree to extend the special rate period. If the special rate period is not extended, the VRDP Shares will revert back to remarketable securities and will be remarketed and available for purchase by qualified institutional investors.

During the special rate period, the liquidity and fee agreements remain in effect and the VRDP Shares remain subject to mandatory redemption by BBF on the maturity date. The VRDP Shares will not be remarketed or subject to optional or mandatory tender events during the special rate period. During the special rate period, BBF is required to comply with the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares as is required when the VRDP Shares are not in a special rate period. BBF will not pay any fees to the liquidity provider and remarketing agent during the special rate period. BBF will also pay dividends monthly based on the sum of the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index rate and a percentage per annum based on the long-term ratings assigned to the VRDP Shares.

If BBF redeems the VRDP Shares on a date that is one year or more before the end of the special rate period and the VRDP Shares are rated above A1/A by Moody’s and Fitch, respectively, then such redemption is subject to a redemption premium payable to the holder of the VRDP Shares based on the time remaining in the special rate period, subject to certain exceptions for redemptions that are required to maintain minimum asset coverage requirements.

For the year ended July 31, 2016, VRDP Shares issued and outstanding of BBF remained constant.

VMTP Shares

BFZ, BNJ and BNY define collectively, the “VMTP Trusts, have issued Series W-7 VMTP Shares, $100,000 liquidation value per share, in a privately negotiated offering and sale of VMTP Shares exempt from registration under the Securities Act. The VMTP Shares are subject to certain restrictions on transfer, and VMTP Trusts may also be required to register the VMTP Shares for sale under the Securities Act under certain circumstances. In addition, amendments to the VMTP governing documents generally require the consent of the holders of VMTP Shares.

As of period end, the VMTP Shares outstanding of each Trust were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Term Date  

BFZ

    3/22/12         1,713       $ 171,300,000         3/30/19   

BNJ

    3/22/12         591       $ 59,100,000         3/30/19   

BNY

    3/22/12         945       $ 94,500,000         3/30/19   

Redemption Terms: Each VMTP Trust is required to redeem its VMTP Shares on the term redemption date, unless earlier redeemed or repurchased or unless extended. There is no assurance that the term of a Trust’s VMTP Shares will be extended further or that a Trust’s VMTP Shares will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the VMTP Shares. Six months prior to the term redemption date, each VMTP Trust is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, each VMTP Trust is required to redeem certain of its outstanding VMTP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, a Trust’s VMTP Shares may be redeemed, in whole or in part, at any time at the option of the Trust. The redemption price per VMTP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends and applicable redemption premium. If the Trusts redeem the VMTP Shares prior to the term redemption date and the VMTP Shares have long-term ratings above A1/A+ or its equivalent by the ratings agencies then rating the VMTP Shares, then such redemption may be subject to a prescribed redemption premium (up to 3% of the liquidation preference) payable to the holder of the VMTP Shares based on the time remaining until the term redemption date, subject to certain exceptions for redemptions that are required to comply with minimum asset coverage requirements.

 

                
76    ANNUAL REPORT    JULY 31, 2016   


Notes to Financial Statements (continued)     

 

Dividends: Dividends on the VMTP Shares are declared daily and payable monthly at a variable rate set weekly at a fixed rate spread to the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index. The fixed spread is determined based on the long-term preferred share rating assigned to the VMTP Shares by the ratings agencies then rating the VMTP Shares. At the date of issuance, the VMTP Shares were assigned long-term ratings of Aaa from Moody’s and AAA from Fitch. Subsequent to the issuance of the VMTP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of period end, the VMTP Shares were assigned a long-term rating of Aa2 from Moody’s under its new rating methodology. The VMTP Shares continue to be assigned a long-term rating of AAA from Fitch. The dividend rate on the VMTP Shares is subject to a step-up spread if the Trusts fail to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and complying with certain asset coverage and leverage requirements.

For the year ended July 31, 2016 the average annualized dividend rates for the VMTP Shares were as follows:

 

BFZ   BNJ    BNY
1.07%   1.08%    1.07%

For the year end July 31, 2016, VMTP Shares issued and outstanding of BFZ, BNJ and BNY remained constant.

RVMTP Shares

BTT has issued Series W-7 RVMTP Shares, $5,000,000 liquidation preference per share, in a privately negotiated offering and sale of RVMTP Shares exempt from registration under the Securities Act. The RVMTP Shares are subject to certain restrictions on transfer outside of a remarketing. Amendments to the RVMTP governing documents generally require the consent of the holders of RVMTP Shares.

As of period end, the RVMTP Shares outstanding were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Term Date  

BTT

    1/10/2013         50       $ 250,000,000         12/31/2030   
    1/30/2013         50       $ 250,000,000         12/31/2030   
      2/20/2013         50       $ 250,000,000         12/31/2030   

Redemption Terms: BTT is required to redeem its RVMTP Shares on the term redemption date or within six months of an unsuccessful remarketing, unless earlier redeemed or repurchased. There is no assurance that BTT’s RVMTP Shares will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the RVMTP Shares. In addition, BTT is required to redeem certain of its outstanding RVMTP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, BTT’s RVMTP Shares may be redeemed, in whole or in part, at any time at the option of BTT. The redemption price per RVMTP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends. The RVMTP Shares are subject to certain restrictions on transfer outside of a remarketing. The RVMTP Shares are subject to remarketing upon 90 days’ notice by holders of the RVMTP Shares and 30 days’ notice by BTT. Each remarketing must be at least six months apart from the last remarketing. A holder of RVMTP Shares may submit notice of remarketing only if such holder requests a remarketing of at least the lesser of (i) $100,000,000 of RVMTP Shares or (ii) all of the RVMTP Shares held by such holder.

Dividends: Dividends on the RVMTP Shares are declared daily and payable monthly at a variable rate set weekly at a fixed rate spread to the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index. The initial fixed rate spread was agreed upon by the initial purchaser and BTT on the initial date of issuance for the RVMTP Shares. The initial fixed rate spread may be adjusted at each remarketing or upon the agreement of BTT and all of the holders of the RVMTP Shares. In the event that all of the RVMTP Shares submitted for remarketing are not successfully remarketed, a failed remarketing would occur, and all holders would retain their RVMTP Shares. In the event of a failed remarketing, the fixed rate spread would be set at the fixed rate spread applicable to such failed remarketing. BTT has the right to reject any fixed spread determined at a remarketing, and such rejection would result in a failed remarketing and the fixed rate spread would be set at the fixed rate spread applicable to such failed remarketing. The fixed rate spread applicable due to a failed remarketing depends on whether the remarketing was pursuant to a mandatory or non-mandatory tender. In the case of a failed remarketing following a mandatory tender, the failed remarketing spread would be the sum of the last applicable spread in effect immediately prior to the failed remarketing date for such failed remarketing plus 0.75%. In the case of a failed remarketing not associated with a mandatory tender, the failed remarketing spread would be the sum of the last applicable spread in effect immediately prior to the failed remarketing date for such failed remarketing plus 0.25%.

For the year ended July 31, 2016, the average annualized dividend rate for BTT’s RVMTP Shares was 0.80%.

Remarketing: In the event of a failed remarketing that is not subsequently cured, BTT will be required to redeem the RVMTP Shares subject to such failed remarketing on a date that is approximately six months from the remarketing date for such failed remarketing, provided that no redemption of any RVMTP Share may occur within one year of the date of issuance of such RVMTP Share. At the date of issuance and as of period end, the RVMTP Shares were assigned long-term ratings of Aa1 from Moody’s and AAA from Fitch. The dividend rate on the RVMTP Shares is subject to a step-up spread if BTT fails to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and complying with certain asset coverage and leverage requirements.

 

                
   ANNUAL REPORT    JULY 31, 2016    77


Notes to Financial Statements (concluded)     

 

During the year ended July 31, 2016, no RVMTP Shares were tendered for remarketing.

For the year ended July 31, 2016, RVMTP Shares issued and outstanding of BTT remained constant.

Offering Costs: The Trusts incurred costs in connection with the issuance of VRDP, VMTP and RVMTP Shares, which were recorded as a direct deduction from the carrying value of the related debt liability and will be amortized over the life of the VRDP, VMTP and RVMTP Shares with the exception of upfront fees paid to the liquidity provider which were amortized over the life of the liquidity agreement. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.

Financial Reporting: The VRDP, VMTP and RVMTP Shares are considered debt of the issuer; therefore the liquidation value, which approximates fair value of the VRDP, VMTP and RVMTP Shares, is recorded as a liability in the Statements of Assets and Liabilities. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends accrued and paid on the VRDP, VMTP and RVMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP, VMTP and RVMTP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP, VMTP and RVMTP Shares are generally classified as tax-exempt income for tax-reporting purposes.

11. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:

 

     Common Dividend Per Share            Preferred Shares3  
     Paid1      Declared2            Shares    Series      Declared  

BFZ

  $  0.067200       $ 0.067200        VMTP      W-7       $ 203,547   

BFO

  $ 0.031000       $ 0.031000        N/A      N/A         N/A   

BTT

  $ 0.080000       $ 0.080000        RVMTP      W-7       $ 719,672   

BBF

  $ 0.072375       $ 0.072375        VRDP      W-7       $ 60,908   

BNJ

  $ 0.069600       $ 0.069600        VMTP      W-7       $ 70,226   

BNY

  $ 0.060000       $ 0.060000              VMTP      W-7       $ 112,290   

 

  1   

Net investment income dividend paid on September 1, 2016 to Common Shareholders of record on August 15, 2016.

 

  2   

Net investment income dividend declared on September 1, 2016, payable to Common Shareholders of record on September 15, 2016.

 

  3   

Dividends declared for period August 1, 2016 to August 31, 2016.

 

                
78    ANNUAL REPORT    JULY 31, 2016   


Report of Independent Registered Public Accounting Firm     

 

To the Shareholders and Board of Trustees of BlackRock California Municipal Income Trust, BlackRock Florida Municipal 2020 Term Trust, BlackRock 2030 Municipal Target Term Trust (formerly BlackRock Municipal Target Term 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 Municipal 2030 Target Term Trust (formerly BlackRock Municipal Target Term Trust), BlackRock Municipal Income Investment Trust, BlackRock New Jersey Municipal Income Trust, and BlackRock New York Municipal Income Trust (“each a “Trust”) as of July 31, 2016, and the related statements of operations and cash flows 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 accompanying statement of assets and liabilities, including the schedule of investments, of BlackRock Florida Municipal 2020 Term Trust (collectively with each Trust, the “Trusts”) as of July 31, 2016, and the related statement 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. 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, 2016, 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 Municipal 2030 Target Term Trust, BlackRock Municipal Income Investment Trust, BlackRock New Jersey Municipal Income Trust, and BlackRock New York Municipal Income Trust, as of July 31, 2016, and the results of their operations and cash flows 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. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Florida Municipal 2020 Term Trust as of July 31, 2016, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

September 26, 2016

 

Important Tax Information (Unaudited)

BlackRock Municipal Bond Investment Trust (BIE) designated all distributions paid with respect to the fiscal period ended May 16, 2016 as tax-exempt interest dividends.

 

                
   ANNUAL REPORT    JULY 31, 2016    79


Disclosure of Investment Advisory Agreements     

 

The Board of Trustees (the “Board,” 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 Municipal Income Investment Trust (“BBF”), BlackRock New Jersey Municipal Income Trust (“BNJ”), BlackRock New York Municipal Income Trust (“BNY”) and BlackRock Municipal 2030 Target Term Trust (“BTT” and together with BFZ, BFO, BBF, BNJ and BNY, each a “Trust,” and, collectively, the “Trusts”) met in person on April 28, 2016 (the “April Meeting”) and June 9-10, 2016 (the “June Meeting”) to consider the approval of each Trust’s investment advisory agreement (each an “Agreement,” and, collectively, the “Agreements”) with BlackRock Advisors, LLC (the “Manager”), each Trust’s investment advisor. The Manager is also referred to herein as “BlackRock”.

Activities and Composition of the Board

On the date of the June Meeting, the Board of each Trust consisted of eleven individuals, nine of whom were not “interested persons” of the Trust as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of its Trust 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 Chair of each 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 chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of the Agreement for its Trust on an annual basis. Each Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement for its Trust and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, each Board assessed, among other things, the nature, extent and quality of the services provided to its Trust by BlackRock, BlackRock’s personnel and affiliates, including, as applicable; investment management, administrative, and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

Each Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement for its Trust, including the services and support provided by BlackRock to the Trust and its shareholders. BlackRock also furnished additional information to each Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters each Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, paid to BlackRock and its affiliates by the Trust for services; (c) Trust operating expenses and how BlackRock allocates expenses to the Trust; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Trust’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Trust’s compliance with its 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 Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Trust’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Trust; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

The Board of each of BFZ, BFO, BBF, BNJ, and BNY considered BlackRock’s efforts during the past several years with regard to the redemption of outstanding auction rate preferred securities (“AMPS”). As of the date of this report, each of BFZ, BFO, BBF, BNJ, and BNY has redeemed all of its outstanding AMPS.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, each Board requested and received materials specifically relating to the Agreement for its Trust. Each Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided to the Board of each Trust in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on Trust fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Trust as compared with a peer group of funds as determined by Broadridge1 and a customized peer group selected by BlackRock (“Customized Peer Group”) for BFZ, BBF, BNJ and BNY, as well as the performance of

 

 

1   

Trusts are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

 

                
80    ANNUAL REPORT    JULY 31, 2016   


Disclosure of Investment Advisory Agreements (continued)     

 

BTT as compared with its custom benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Trust’s Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; and (f) a summary of aggregate amounts paid by the Trust to BlackRock.

At the April Meeting, each Board reviewed materials relating to its consideration of the Agreement for its Trust. As a result of the discussions that occurred during the April Meeting, and as a culmination of each Board’s year-long deliberative process, each Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and its Trust for a one-year term ending June 30, 2017. In approving the continuation of the Agreement for its Trust, each Board considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Trust; (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 Trust; (d) the Trust’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Trust; and (g) other factors deemed relevant by the Board Members.

Each Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, services related to the valuation and pricing of Trust portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. Each Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. Each Board did not identify any particular information as determinative, 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: Each Board, 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 its Trust. Throughout the year, each Board compared its Trust’s performance to the performance of a comparable group of closed-end funds, relevant benchmark, and performance metrics, as applicable. Each Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by its Trust’s portfolio management team discussing the Trust’s performance and the Trust’s investment objective(s), strategies and outlook.

Each Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and its Trust’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. Each Board engaged in a review of BlackRock’s compensation structure with respect to the Trust’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, each Board considered the quality of the administrative and other non-investment advisory services provided to its Trust. BlackRock and its affiliates provide each Trust with certain administrative, shareholder, and other services (in addition to any such services provided to the Trust by third parties) and officers and other personnel as are necessary for the operations of the Trust. In particular, BlackRock and its affiliates provide each Trust with administrative services including, among others: (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 Trust; (iii) oversight of 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; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Trust, such as tax reporting, fulfilling regulatory filing requirements and call center services. Each Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Trusts and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Trust. In preparation for the April Meeting, the Board of each Trust was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Trust’s performance. Each Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board of each Trust received and reviewed information regarding the investment performance, based on net asset value (NAV), of the Trust as compared to other funds in its applicable Broadridge category and a Customized Peer Group for BFZ, BBF, BNJ and BNY and the performance of BTT as compared with its custom benchmark. Each Board was provided with a description

 

                
   ANNUAL REPORT    JULY 31, 2016    81


Disclosure of Investment Advisory Agreements (continued)     

 

of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. Each Board was provided with information on the composition of the Broadridge performance universes and expense universes. Each Board and its Performance Oversight Committee regularly review, and meet with Trust management to discuss, the performance of its Trust throughout the year.

In evaluating performance, each Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, each Board recognized that it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect long-term performance disproportionately.

The Board of BNJ noted that for each of the one-, three- and five-year periods reported, BNJ ranked first out of three funds against its Customized Peer Group Composite. BlackRock believes that the Customized Peer Group Composite is an appropriate performance metric for BNJ. The Composite measures a blend of total return and yield.

The Board of BFO noted that for each of the one-, three- and five-year periods reported, BFO ranked in the fourth quartile against its Performance Universe Composite. BlackRock believes that the Composite is an appropriate performance metric for BFO. The Composite measures a blend of total return and yield. The Board of BFO and BlackRock reviewed and discussed the reasons for BFO’s performance during these periods. 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 peer funds within the Performance Universe generally do not have a similar specific maturity goal.

The Board of BFZ noted that for the one-, three- and five-year periods reported, BFZ ranked in the fourth, third and fourth quartiles, respectively, against its Customized Peer Group Composite. BlackRock believes that the Customized Peer Group Composite is an appropriate performance metric for BFZ. The Composite measures a blend of total return and yield. The Board of BFZ and BlackRock reviewed and discussed the reasons for BFZ’s underperformance during these periods. The Board of BFZ was informed that, among other things, the primary detractors from performance during these periods were a below market dividend distribution rate, the portfolio management team’s higher quality bias during an environment of significant tightening in quality spreads, and a below benchmark duration posture.

The Board of BBF noted that for the one-, three- and five-year periods reported, BBF ranked in fourth, fourth, and second quartiles, respectively, against its Customized Peer Group Composite. BlackRock believes that the Customized Peer Group Composite is an appropriate performance metric for BBF. The Composite measures a blend of total return and yield. The Board of BBF and BlackRock reviewed and discussed the reasons for BBF’s underperformance during the one- and three-year periods. The Board of BBF was informed that, among other things, BBF’s longer duration posture and greater use of leverage during a rising rate environment were the primary detractors from performance.

The Board of BNY noted that for the one-, three- and five-year periods reported, BNY ranked in the second, fourth and fourth quartiles, respectively, against its Customized Peer Group Composite. BlackRock believes that the Customized Peer Group Composite is an appropriate performance metric for BNY. The Composite measures a blend of total return and yield. The Board of BNY also noted BNY’s improved performance during the one-year period. The Board of BNY and BlackRock reviewed and discussed the reasons for BNY’s underperformance during three- and five-year periods. The Board of BNY was informed that, among other things, prolonged low interest rates, and resulting low replacement yields, and the portfolio management team’s decision to reduce leverage and avoid the Tobacco and Puerto Rico sectors detracted from BNY’s performance over the three- and five-year periods.

The Board of BTT noted that for each of the one-year, three-year and since-inception periods reported, BTT underperformed its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BTT. The Board of BTT and BlackRock reviewed and discussed the reasons for BTT’s underperformance during these periods. The Board of BTT was informed that, among other things, BTT’s overweight duration positioning was the primary detractor from performance during these periods. BTT’s overweight positions in the healthcare, corporate and transportation sectors coupled with underweight positions in state and local tax-based sectors also detracted from performance.

The Boards of BFZ, BBF, BNY and BTT and BlackRock discussed BlackRock’s strategy for improving the investment performance of these Trusts. Discussions covered topics such as: investment risks undertaken by these Trusts; performance attribution; the investment personnel of these Trusts; and the resources appropriate to support the investment processes of these Trusts.

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 Trusts: Each Board, including the Independent Board Members, reviewed its Trust’s contractual management fee rate compared with the other funds in its Broadridge category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Trust’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of other funds in its Broadridge category. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. Each Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

 

                
82    ANNUAL REPORT    JULY 31, 2016   


Disclosure of Investment Advisory Agreements (continued)     

 

Each Board received and reviewed statements relating to BlackRock’s financial condition. Each Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to its Trust. Each Board reviewed BlackRock’s profitability with respect to its Trust and other funds the Board currently oversees for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. Each Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. Each Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. Each Board 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, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund level is difficult.

Each Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. Each Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. Each Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, each Board considered the cost of the services provided to its Trust by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of its Trust and the other funds advised by BlackRock and its affiliates. As part of its analysis, each Board reviewed BlackRock’s methodology in allocating its costs of managing its Trust, to the Trust. Each Board may receive and review information from independent third parties as part of its annual evaluation. Each Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Trust’s Agreement and to continue to provide the high quality of services that is expected by the Board. Each Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing its Trust in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

The Boards of BFZ and BBF noted that each Trust’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile relative to the Expense Peers.

The Board of BFO noted that BFO’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio ranked in the second and first quartiles, respectively, relative to the Expense Peers.

The Board of BNJ noted that BNJ’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio each ranked in the third quartile, relative to the Expense Peers.

The Board of BNY noted that BNY’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the second quartile, relative to the Expense Peers.

The Board of BTT noted that BTT’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers. The Board of BTT also noted that BlackRock had voluntarily agreed to waive a portion of the advisory fee payable by BTT. The waiver was implemented on June 9, 2014. After discussions between the Board of BTT, including the Independent Board Members, and BlackRock, the Board of BTT and BlackRock agreed to remove the voluntary advisory fee waiver. This adjustment was implemented on July 1, 2016.

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 Trust increase. Each Board also considered the extent to which its Trust benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Trust to more fully participate in these economies of scale. The Board considered the Trust’s asset levels and whether the current fee was appropriate.

Based on each Board’s review and consideration of the issue, each Board concluded 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. They are typically priced at scale at a fund’s inception.

E. Other Factors Deemed Relevant by the Board Members: Each Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with its Trust, 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 Trust, including for administrative, securities lending and cash management services. Each Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. Each Board 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. Each Board further noted that it had considered the investment by BlackRock’s funds in affiliated exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds to BlackRock.

 

                
   ANNUAL REPORT    JULY 31, 2016    83


Disclosure of Investment Advisory Agreements (concluded)     

 

In connection with its consideration of the Agreement for its Trust, each Board also received information regarding BlackRock’s brokerage and soft dollar practices. Each Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

Each Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Trust shares in the secondary market if they believe that the Trust’s fees and expenses are too high or if they are dissatisfied with the performance of the Trust.

Each Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included the redemption of AMPS for the BlackRock closed-end funds with AMPS outstanding, including the completion of the redemption of AMPS for BFO; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the redemption efforts related to AMPS; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and its Trust for a one-year term ending June 30, 2017. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, each Board, including the Independent Board Members, was satisfied that the terms of Agreement for its Trust were fair and reasonable and in the best interest of the Trust and its shareholders. In arriving at its decision to approve the Agreement for its Trust, each Board 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 this determination. The contractual fee arrangements for each Trust reflect the results of several years of review by the Trust’s 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.

 

                
84    ANNUAL REPORT    JULY 31, 2016   


Automatic Dividend Reinvestment Plans     

 

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 and other distributions reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Trust’s Common 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 name 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, BBF, BNJ and BNY declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Trusts (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Trust’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“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 acquired 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 price 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. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

After BFO and BTT declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts by the purchase of outstanding shares on the open market or on BFO’s or BTT’s primary exchange (“open-market purchases”). BFO and BTT will not issue any new shares under the Reinvestment Plan.

You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.

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. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, 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 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 all distributions. The automatic reinvestment of all distributions will not relieve participants of any federal, state or local 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 are subject to a $2.50 sales fee and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P.O. Box 30170, College Station, TX 77842-3170, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 211 Quality Circle, Suite 210, College Station, TX 77845.

 

                
   ANNUAL REPORT    JULY 31, 2016    85


Officers and Trustees     

 

Name, Address1
and Year of Birth
  Position(s)
Held with
the Trust
  Length
of Time
Served3
  Principal Occupation(s) During Past Five Years   Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen4
  Public Company and
Other Investment
Company Directorships
During Past Five Years
Independent Trustees2               

Richard E. Cavanagh

 

1946

  Chair of the Board and Trustee  

Since

2007

  Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; 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; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.  

74 RICs consisting of

74 Portfolios

  None

Karen P. Robards

 

1950

  Vice Chair of the Board and Trustee  

Since

2007

  Principal of Robards & Company, LLC (consulting and private investing firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Investment Banker at Morgan Stanley from 1976 to 1987.  

74 RICs consisting of

74 Portfolios

  AtriCure, Inc. (medical devices); Greenhill & Co., Inc.

Michael J. Castellano

 

1946

  Trustee  

Since

2011

  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 Religious (non-profit) from 2009 to June 2015; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015.  

74 RICs consisting of

74 Portfolios

  None

Cynthia L. Egan

 

1955

  Trustee  

Since

2016

  Advisor, U.S. Department of the Treasury from 2014 to 2015; a President at T. Rowe Price Group, Inc. from 2007 to 2012.   74 RICs consisting of 74 Portfolios   Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016

Frank J. Fabozzi

 

1948

  Trustee  

Since

2007

  Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.  

74 RICs consisting of

74 Portfolios

  None

Jerrold B. Harris

 

1942

  Trustee  

Since

2007

  Trustee, Ursinus College from 2000 to 2012; Director, Ducks Unlimited — Canada (conservation) since 2015; Director, Waterfowl Chesapeake (conservation) since 2014; Director, Ducks Unlimited, Inc. since 2013; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.  

74 RICs consisting of

74 Portfolios

  BlackRock Capital Investment Corp. (business development company)

R. Glenn Hubbard

 

1958

  Trustee   Since
2007
  Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.  

74 RICs consisting of

74 Portfolios

  ADP (data and information services); Metropolitan Life Insurance Company (insurance)

 

                
86    ANNUAL REPORT    JULY 31, 2016   


Officers and Trustees (continued)     

 

Name, Address1
and Year of Birth
 

Position(s)

Held with
the Trust

  Length
of Time
Served3
  Principal Occupation(s) During Past Five Years   Number of BlackRock-
Advised Registered
Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen4
  Public Company and
Other Investment
Company Directorships
During Past Five Years
Independent Trustees2               

W. Carl Kester

 

1951

  Trustee  

Since

2007

  George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008, Deputy Dean for Academic Affairs from 2006 to 2010, Chairman of the Finance Unit, from 2005 to 2006, Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.  

74 RICs consisting of

74 Portfolios

  None

Catherine A. Lynch

 

1961

  Trustee  

Since

2016

  Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.   74 RICs consisting of 74 Portfolios   None
Interested Trustees5               

Barbara G. Novick

 

1960

  Trustee  

Since

2014

  Vice Chairman of BlackRock, Inc. since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock, Inc. from 1988 to 2008.   100 RICs consisting of 218 Portfolios   None

John M. Perlowski

 

1964

  Trustee, President and Chief Executive Officer   Since 2014 (Trustee); Since 2011 (President and Chief Executive Officer)   Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Fund and Accounting Services 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.   128 RICs consisting of 316 Portfolios   None
 

1    The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

 

2    Each Independent Trustee will serve until his or her successor is elected and qualifies, or until his or her earlier death, resignation, retirement or removal, or until December 31 of the year in which he or she turns 75. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

 

3    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 certain Independent [Directors/Trustees] as joining the Board in 2007, each [Director/Trustee] first became a member of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998.

 

4    For purposes of this chart, “RICs” refers to investment companies registered under the 1940 Act and “Portfolios” refers to the investment programs of the BlackRock-advised funds. The Closed-End Complex is comprised of 74 RICs. Mr. Perlowski and Ms. Novick are also board members of certain complexes of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is also a board member of the BlackRock Equity-Liquidity Complex.

 

5    Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Trusts based on their positions with BlackRock and its affiliate. Mr. Perlowski and Ms. Novick are also board members of certain complexes of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex, and Ms. Novick is a board member of the BlackRock Equity-Liquidity Complex. Interested Trustees serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Trustee by action of a majority of the Trustees upon a finding of good cause therefor.

 

                
   ANNUAL REPORT    JULY 31, 2016    87


Officers and Trustees (concluded)     

 

 

Name, Address1
and Year of Birth
  Position(s)
Held with
the Trust
  Length
of Time
Served as
an Officer
  Principal Occupation(s) During Past Five Years
Officers Who Are Not Trustees2     

Jonathan Diorio

 

1980

  Vice President   Since
2015
  Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015; Director of Deutsche Asset & Wealth Management from 2009 to 2011.

Neal J. Andrews

 

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 (U.S.) Inc. from 1992 to 2006.

Jay M. Fife

 

1970

  Treasurer   Since
2007
  Managing Director of BlackRock, Inc. since 2007; 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.

Charles Park

 

1967

  Chief Compliance Officer   Since
2014
  Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.

Janey Ahn

 

1975

  Secretary   Since
2012
  Director of BlackRock, Inc. since 2009; Vice President of BlackRock, Inc. from 2008 to 2009; Assistant Secretary of the funds in the Closed-End Complex 2008 to 2012.
 

1    The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

 

2    Officers of the Trusts serve at the pleasure of the Board.

 

Effective April 1, 2016, Cynthia L. Egan was appointed to serve as a Trustee of the Trusts.

As of the date of this report:

 

 

The portfolio managers of BBF are Ted Jaeckel, Michael Perilli and Walter O’Connor.

 

The portfolio managers of BNJ are Ted Jaeckel, Walter O’Connor and Timothy Browse.

 

The portfolio managers of BFO are Phillip Soccio and Ted Jaeckel.

 

The portfolio managers of BBF are Ted Jaeckel and Michael Perilli.

 

The portfolio managers of BNJ are Walter O’Connor and Timothy Browse.

 

The portfolio managers of BNY are Timothy Browse and Walter O’Connor.

 

The portfolio managers of BTT are Phillip Soccio and Ted Jaeckel.

 

       
Investment Adviser BlackRock Advisors, LLC Wilmington, DE 19809  

Transfer Agent

Common Shares:

Computershare Trust Company, N.A.

Canton, MA 02021

 

VRDP Liquidity Provider

Barclays Bank PLC

New York, NY 10019

  Independent Registered Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116

Custodian and Accounting Agent

State Street Bank and Trust Company

Boston, MA 02110

 

VRDP Tender and Paying Agent, RVMTP Tender and Paying Agent and VMTP Redemption and Paying Agent

The Bank of New York Mellon

New York, NY 10289

 

VRDP Remarketing Agent

Barclays Capital, Inc.

New York, NY 10019

 

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

Boston, MA 02116

 

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

                
88    ANNUAL REPORT    JULY 31, 2016   


Additional Information     

 

Proxy Results

The Annual Meeting of Shareholders was held on July 26, 2016 for shareholders of record on May 31, 2016, to elect trustee nominees for each Trust. There were no broker non-votes with regard to any of the Trusts.

Approved the Trustees as follows:

 

     

Catherine A. Lynch1

  

Richard E. Cavanagh2

  

Cynthia L. Egan2

      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain

BFZ

   28,890,844    686,459    0    28,890,407      686,896    0    28,893,959       683,344    0

BFO

     4,627,394    434,320    0      4,631,252      430,462    0      4,627,394       434,320    0

BBF

     9,254,028    182,223    0      9,265,795      170,456    0      9,246,374       189,877    0

BTT

   64,194,152    998,713    0    64,143,473    1,049,392    0    64,151,614    1,041,251    0

BNJ

     6,661,511    201,628    0      6,641,210       221,929    0      6,669,806       193,333    0

BNY

   10,862,846    460,875    0    10,834,383      489,338    0    10,866,390       457,331    0
    

Jerrold B. Harris2

  

Barbara G. Novick2

              
      Votes For    Votes
Withheld
   Abstain    Votes For    Votes
Withheld
   Abstain               

BFZ

   28,878,782       698,521    0    28,872,188       705,115    0         

BFO

     4,631,252       430,462    0      4,627,394       434,320    0         

BBF

     9,274,695       161,556    0      9,260,628       175,623    0         

BTT

   64,065,380    1,127,485    0    64,150,173    1,042,692    0         

BNJ

     6,605,222       257,917    0      6,658,788       204,351    0         

BNY

   10,846,768       476,953    0    10,875,231       448,490    0               

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 Michael J. Castellano, Frank J. Fabozzi, R. Glenn Hubbard, W. Carl Kester, John M. Perlowski, and Karen P. Robards.

 

  1   

Class II.

 

  2   

Class III.

At a joint special meeting of shareholders of BlackRock Municipal Income Investment Trust (the “Trust”) held on Monday, March 21, 2016, Trust shareholders were asked to vote on the following proposals:

Preferred Shareholders

Proposal 1(C). The preferred shareholders of the Trust were asked to vote as a separate class to approve an Agreement and Plan of Reorganization between BlackRock Municipal Bond Investment Trust and the Trust and the transactions contemplated therein, including the issuance of additional VRDP shares.

With respect to this Proposal, the shares of the Trust were voted as follows:

 

For    Against    Abstain

342

     

Common and Preferred Shareholders

Proposal 2. The common and preferred shareholders of the Trust were asked to vote as a single class to approve the issuance of additional shares of common stock of the Trust in connection with the Agreement and Plan of Reorganization between BlackRock Municipal Bond Investment Trust and the Trust.

With respect to this Proposal, the shares of the Trust were voted as follows:

 

For    Against    Abstain

3,442,319

   255,912    85,869

 

                
   ANNUAL REPORT    JULY 31, 2016    89


Additional Information (continued)     

 

 

 

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The portion of distributions that exceeds a Trust’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Trust’s taxable income and net capital gains, but not in excess of a Trust’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. Except as described on page 88, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Effective September 26, 2016 onwards, BlackRock implemented a new methodology for calculating “effective duration” for BlackRock municipal bond portfolios. The new methodology replaces the model previously used by BlackRock to evaluate municipal bond duration, a common indicator of an investment’s sensitivity to interest rate movements. The new methodology will be applied to the Trust’s duration reported for any periods after September 26, 2016.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts, including each Trust’s effective duration and additional information about the new methodology, may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

 

                
90    ANNUAL REPORT    JULY 31, 2016   


Additional Information (concluded)     

 

General Information (concluded)

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 882-0052; and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

                
   ANNUAL REPORT    JULY 31, 2016    91


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

LOGO

 

CEF-BK6-7/16-AR    LOGO


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, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, by calling 1-800-882-0052, option 4.

 

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:

Michael Castellano

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.

 

2


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

  $ 31,088      $ 31,088      $ 0      $ 0      $ 14,892      $ 14,892      $ 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

   $ 2,129,000       $ 2,391,000   

 

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  Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

(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.,

 

3


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

   $ 14,892       $ 14,892   

Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,129,000 and $2,391,000, 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.

 

4


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, 2016.

 

  (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, CFA, 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.

 

Portfolio Manager

  

Biography

Theodore R. Jaeckel, Jr., CFA    Managing Director of 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, CFA

   Managing Director of BlackRock since 2006; Managing Director of MLIM from 2003 to 2006; Director of MLIM from 1998 to 2003.

 

5


  (a)(2) As of July 31, 2016:

 

     (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., CFA

   33      0         0         0         0         0   
   $25.57 Billion    $ 0       $ 0       $ 0       $ 0       $ 0   

Walter O’Connor, CFA

   41      0         0         0         0         0   
   $22.48 Billion    $ 0       $ 0       $ 0       $ 0       $ 0   

 

  (iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock 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 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 furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock 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, 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 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 with respect to the same securities. Moreover, BlackRock 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. Currently, the portfolio managers of this fund are not entitled to receive a portion of incentive fees of other accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock 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

 

6


ensure reasonable efficiency in client transactions and provide BlackRock 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, 2016:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of July 31, 2016.

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 firm.

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 Funds or other accounts managed by the portfolio managers are measured. 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 a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are: a combination of market-based indices (e.g., Standard & Poor’s Municipal Bond Index), certain customized indices and certain fund industry peer groups.

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 portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in BlackRock, Inc. 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 discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.

 

7


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. The portfolio managers of this Fund have unvested long-term incentive awards.

Deferred Compensation Program — A portion of the compensation paid to eligible United States-based BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation program.

Other Compensation Benefits. In addition to base salary 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 up to the Internal Revenue Service limit ($265,000 for 2016). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a 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 of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

 

  (a)(4) Beneficial Ownership of Securities – As of July 31, 2016.

 

Portfolio Manager

   Dollar Range of Equity Securities
of the Fund Beneficially Owned

Theodore R. Jaeckel, Jr., CFA

   None

Walter O’Connor, CFA

   None

(b) Not Applicable

 

8


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

 

9


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 3, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ John M. Perlowski

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of BlackRock California Municipal Income Trust
Date: October 3, 2016
By:  

/s/ Neal J. Andrews

  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of BlackRock California Municipal Income Trust
Date: October 3, 2016

 

10