UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-21037

 

Name of Fund: BlackRock New York Municipal Bond Trust (BQH)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 08/31/2012

 

Date of reporting period: 05/31/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments May 31, 2012 (Unaudited)

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds


Par
(000)


Value


New York — 122.1%








Corporate — 16.2%

 

 

 

 

 

 

 

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

 

$

750

 

$

825,015

 

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

 

 

100

 

 

110,198

 

Monroe County Industrial Development
Corp., Refunding RB, University of
Rochester Project, Series A, 5.00%,
7/01/41

 

 

975

 

 

1,071,993

 

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

 

 

 

 

 

 

 

7.63%, 8/01/25

 

 

750

 

 

765,315

 

7.75%, 8/01/31

 

 

1,000

 

 

1,027,740

 

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

 

 

1,100

 

 

1,235,465

 

Port Authority of New York & New Jersey,
RB, Continental Airlines Inc. and
Eastern Air Lines Inc. Project,
LaGuardia, AMT, 9.13%, 12/01/15

 

 

1,695

 

 

1,712,848

 

Suffolk County Industrial Development
Agency New York, RB, KeySpan, Port
Jefferson, AMT, 5.25%, 6/01/27

 

 

500

 

 

517,985

 

 

 

 

 

 

 

7,266,559

 

County/City/Special District/School District — 35.1%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

4.38%, 10/01/30

 

 

250

 

 

263,925

 

4.63%, 10/01/40

 

 

140

 

 

147,869

 

City of New York New York, GO:

 

 

 

 

 

 

 

Series A-1, 4.75%, 8/15/25

 

 

500

 

 

561,740

 

Series D, 5.38%, 6/01/12 (c)

 

 

1,395

 

 

1,395,000

 

Series D, 5.38%, 6/01/32

 

 

140

 

 

140,560

 

Sub-Series G-1, 5.00%,
4/01/28

 

 

400

 

 

469,536

 

Sub-Series G-1, 6.25%,
12/15/31

 

 

250

 

 

306,565

 

Sub-Series I-1, 5.38%,
4/01/36

 

 

450

 

 

514,076

 

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

 

 

 

 

 

 

 

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

 

 

750

 

 

788,738

 

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

 

 

1,100

 

 

1,111,418

 

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

 

 

350

 

 

366,387

 

Monroe County Industrial Development
Corp., Refunding RB, University of
Rochester Project, Series A, 5.00%,
7/01/31

 

 

500

 

 

570,865

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

New York City Industrial Development
Agency, RB, PILOT:

 

 

 

 

 

 

 

CAB, Yankee Stadium (AGC), 5.13%,
3/01/41 (d)

 

$

5,155

 

$

1,200,960

 

CAB, Yankee Stadium (AGC), 5.13%,
3/01/42 (d)

 

 

500

 

 

110,955

 

CAB, Yankee Stadium (AGC), 5.19%,
3/01/43 (d)

 

 

2,000

 

 

413,280

 

CAB, Yankee Stadium (AGC), 5.27%,
3/01/45 (d)

 

 

950

 

 

172,710

 

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

 

 

100

 

 

113,252

 

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

 

 

500

 

 

497,790

 

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

 

 

175

 

 

178,474

 

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

 

 

500

 

 

558,500

 

New York Convention Center
Development Corp., RB, Hotel Unit
Fee Secured (AMBAC):

 

 

 

 

 

 

 

5.00%, 11/15/44

 

 

1,015

 

 

1,054,747

 

4.75%, 11/15/45

 

 

500

 

 

509,715

 

New York Liberty Development Corp.,
Refunding RB:

 

 

 

 

 

 

 

4 World Trade Center Project,
Series 2011, 5.00%,
11/15/31

 

 

750

 

 

839,887

 

4 World Trade Center Project,
Series 2011, 5.75%,
11/15/51

 

 

340

 

 

391,078

 

7 World Trade Center Project,
Series 2012, Class 2,
5.00%, 9/15/43

 

 

550

 

 

598,340

 

7 World Trade Center Project,
Series 2012, Class 3,
5.00%, 3/15/44

 

 

520

 

 

550,077

 

Second Priority, Bank of
America Tower at One
Bryant Park Project, 5.63%,
7/15/47

 

 

1,350

 

 

1,490,035

 

Second Priority, Bank of
America Tower at One
Bryant Park Project, 6.38%,
7/15/49

 

 

285

 

 

320,511

 

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

 

 

150

 

 

164,793

 

 

 

 

 

 

 

15,801,783

 

 

 

 

 

 

 

 

 

 

BLACKROCK NEW YORK MUNICIPAL BOND TRUST

MAY 31, 2012

1


 

 

 

 

Schedule of Investments (continued)

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Education — 28.9%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

7.00%, 5/01/25

 

$

200

 

$

46,002

 

7.00%, 5/01/35

 

 

130

 

 

29,901

 

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

 

 

500

 

 

544,665

 

Dutchess County Industrial
Development Agency New York,
Refunding RB, Bard College Civic
Facility, Series A-2, 4.50%, 8/01/36

 

 

500

 

 

505,025

 

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

 

 

200

 

 

216,464

 

New York City Trust for Cultural
Resources, RB, Juilliard School, Series
A, 5.00%, 1/01/39

 

 

550

 

 

607,992

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

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

 

 

300

 

 

352,566

 

New York University, Series 1
(BHAC), 5.50%, 7/01/31

 

 

245

 

 

313,884

 

New York University, Series B,
5.00%, 7/01/42

 

 

1,990

 

 

2,252,561

 

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

 

 

325

 

 

380,217

 

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

 

 

1,750

 

 

1,944,635

 

University of Rochester, Series
A, 0.00%, 7/01/39 (f)

 

 

175

 

 

178,316

 

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

 

 

215

 

 

238,452

 

New York State Dormitory Authority,
Refunding RB:

 

 

 

 

 

 

 

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

 

 

125

 

 

142,505

 

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

 

 

150

 

 

168,980

 

New York University, Series A,
5.00%, 7/01/37

 

 

445

 

 

505,747

 

New York University, Series A,
5.00%, 7/01/42

 

 

1,750

 

 

1,980,895

 

Rockefeller University, Series
B, 4.00%, 7/01/38

 

 

415

 

 

435,733

 

Skidmore College, Series A,
5.00%, 7/01/28

 

 

250

 

 

284,798

 

Teachers College, Series A,
5.00%, 7/01/31

 

 

325

 

 

372,054

 

Teachers College. Series A,
5.50%, 3/01/39

 

 

350

 

 

390,404

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Education (concluded)

 

 

 

 

 

 

 

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

 

$

150

 

$

154,665

 

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

 

 

100

 

 

114,795

 

Trust for Cultural Resources, Refunding
RB, Carnegie Hall, Series A, 4.75%,
12/01/39

 

 

550

 

 

589,385

 

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

 

 

250

 

 

279,458

 

 

 

 

 

 

 

13,030,099

 

Health — 13.7%

 

 

 

 

 

 

 

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

 

 

350

 

 

391,937

 

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

 

 

150

 

 

145,284

 

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

 

 

275

 

 

312,197

 

New York State Dormitory Authority, RB:

 

 

 

 

 

 

 

New York State Association for
Retarded Children Inc., Series B
(AMBAC), 6.00%, 7/01/32

 

 

185

 

 

214,415

 

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

 

 

220

 

 

249,282

 

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

 

 

260

 

 

280,865

 

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

 

 

450

 

 

504,558

 

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

 

 

500

 

 

572,195

 

New York State Dormitory Authority,
Refunding RB:

 

 

 

 

 

 

 

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

 

 

315

 

 

350,352

 

North Shore-Long Island
Jewish Health System,
Series A, 5.00%, 5/01/32

 

 

1,000

 

 

1,102,730

 

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

 

 

250

 

 

279,983

 

 

 

 

 

 

 

 

 

 

BLACKROCK NEW YORK MUNICIPAL BOND TRUST

MAY 31, 2012

2


 

 

 

 

Schedule of Investments (continued)

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (continued)

 

 

 

 

 

 

 

Health (concluded)

 

 

 

 

 

 

 

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

 

$

200

 

$

209,918

 

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

 

 

260

 

 

263,658

 

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

 

 

750

 

 

804,690

 

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

 

 

500

 

 

503,120

 

 

 

 

 

 

 

6,185,184

 

Housing — 5.4%

 

 

 

 

 

 

 

New York Mortgage Agency, Refunding
RB, Series 101, AMT, 5.40%,
4/01/32

 

 

1,930

 

 

1,931,718

 

New York State HFA, RB, Highland
Avenue Senior Apartments, Series A,
AMT (SONYMA), 5.00%, 2/15/39

 

 

500

 

 

512,165

 

 

 

 

 

 

 

2,443,883

 

State — 7.7%

 

 

 

 

 

 

 

New York State, GO, Series E, 3.75%,
12/15/31

 

 

1,725

 

 

1,799,848

 

New York State Dormitory Authority,
ERB:

 

 

 

 

 

 

 

Series B, 5.75%, 3/15/36

 

 

300

 

 

356,808

 

Series C, 5.00%, 12/15/31

 

 

250

 

 

283,197

 

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

 

 

350

 

 

377,139

 

New York State Dormitory Authority, RB,
Mental Health Services Facilities
Improvement, Series A (AGM), 5.00%,
2/15/22

 

 

335

 

 

387,816

 

State of New York, GO, Series A, 5.00%,
2/15/39

 

 

250

 

 

277,750

 

 

 

 

 

 

 

3,482,558

 

Tobacco — 2.8%

 

 

 

 

 

 

 

TSASC Inc. New York, RB, Tobacco
Settlement, Asset-Backed, Series 1,
5.75%, 7/15/12 (c)

 

 

1,250

 

 

1,258,400

 

Transportation — 5.1%

 

 

 

 

 

 

 

Metropolitan Transportation Authority,
RB:

 

 

 

 

 

 

 

Series 2008C, 6.50%,
11/15/28

 

 

700

 

 

896,707

 

Series A, 5.63%, 11/15/39

 

 

250

 

 

282,613

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York (concluded)

 

 

 

 

 

 

 

Transportation (concluded)

 

 

 

 

 

 

 

New York Liberty Development Corp.,
RB, 1 World Trade Center Port
Authority, Consolidated, Series 2011,
5.00%, 12/15/41

 

$

500

 

$

555,660

 

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

 

 

500

 

 

554,875

 

 

 

 

 

 

 

2,289,855

 

Utilities — 7.2%

 

 

 

 

 

 

 

Long Island Power Authority, RB:

 

 

 

 

 

 

 

Series A (AGM), 5.00%, 5/01/36

 

 

250

 

 

275,683

 

Series C (CIFG), 5.25%, 9/01/29

 

 

500

 

 

593,900

 

Long Island Power Authority, Refunding
RB, Series A, 5.50%, 4/01/24

 

 

250

 

 

299,142

 

New York City Municipal Water Finance
Authority, Refunding RB, Second
General Resolution, Series EE, 4.00%,
6/15/45

 

 

380

 

 

383,443

 

New York State Environmental Facilities
Corp., Refunding RB, Revolving Funds,
New York City Water Project, Series D,
5.13%, 6/15/31

 

 

1,000

 

 

1,003,680

 

New York State Power Authority, RB,
Series A, 5.00%, 11/15/38

 

 

600

 

 

684,882

 

 

 

 

 

 

 

3,240,730

 

Total Municipal Bonds in New York

 

 

 

 

 

54,999,051

 

 

 

 

 

 

 

 

 

Multi-State — 6.2%

 

 

 

 

 

 

 

Housing — 6.2%

 

 

 

 

 

 

 

Centerline Equity Issuer Trust, 7.20%,
10/31/14 (g)(h)

 

 

2,500

 

 

2,781,025

 

Puerto Rico — 8.5%

 

 

 

 

 

 

 

State — 8.5%

 

 

 

 

 

 

 

Commonwealth of Puerto Rico, GO,
Public Improvement, Series A, 5.13%,
7/01/31

 

 

1,725

 

 

1,730,554

 

Puerto Rico Commonwealth
Infrastructure Financing Authority, RB,
CAB, Series A (AMBAC) (d):

 

 

 

 

 

 

 

6.14%, 7/01/37

 

 

2,000

 

 

438,540

 

6.27%, 7/01/44

 

 

2,000

 

 

275,600

 

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

 

 

1,000

 

 

1,109,360

 

Puerto Rico Sales Tax Financing Corp.,
Refunding RB, CAB, Series A (NPFGC),
5.63%, 8/01/41 (d)

 

 

1,400

 

 

277,144

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

3,831,198

 

 

 

 

 

 

 

 

 

Total Municipal Bonds – 136.8%

 

 

 

 

 

61,611,274

 

 

 

 

 

 

 

 

 

 

BLACKROCK NEW YORK MUNICIPAL BOND TRUST

MAY 31, 2012

3


 

 

 

 

Schedule of Investments (continued)

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

New York — 23.3%

 

 

 

 

 

 

 

County/City/Special District/School District — 10.3%

 

 

 

 

 

 

 

New York City Transitional Finance
Authority, RB, Future Tax Secured,
Sub-Series D-1, 5.00%, 11/01/38

 

$

825

 

$

932,712

 

New York Liberty Development Corp.,
Refunding RB, 7 World Trade Center
Project, Series 2012, Class 1:

 

 

 

 

 

 

 

4.00%, 9/15/35

 

 

2,490

 

 

2,527,026

 

5.00%, 9/15/40

 

 

1,050

 

 

1,185,104

 

 

 

 

 

 

 

4,644,842

 

Transportation — 3.4%

 

 

 

 

 

 

 

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

 

 

700

 

 

805,861

 

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

 

 

630

 

 

716,556

 

 

 

 

 

 

 

1,522,417

 

Utilities — 9.6%

 

 

 

 

 

 

 

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

 

 

405

 

 

488,762

 

New York City Municipal Water Finance
Authority, Refunding RB, Second
General Resolution:

 

 

 

 

 

 

 

Fiscal 2011, Series HH, 5.00%,
6/15/32

 

 

990

 

 

1,140,648

 

Fiscal 2012, Series BB, 5.00%,
6/15/44

 

 

1,500

 

 

1,676,469

 

Suffolk County Water Authority,
Refunding RB, 3.00%, 6/01/25

 

 

1,006

 

 

1,033,241

 

 

 

 

 

 

 

4,339,120

 

Total Municipal Bonds in New York

 

 

 

 

 

10,506,379

 

 

 

 

 

 

 

 

 

Puerto Rico — 1.3%

 

 

 

 

 

 

 

State — 1.3%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp.,
Sales Tax Refunding RB, Sales Tax,
Series C, 5.25%, 8/01/40

 

 

520

 

 

575,328

 

Total Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts – 24.6%

 

 

 

 

 

11,081,707

 

Total Long-Term Investments
(Cost – $68,026,217) – 161.4%

 

 

 

 

 

72,692,981

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

Value

 

BIF New York Municipal Money Fund,
0.00% (j)(k)

 

 

428,774

 

$

428,774

 

Total Short-Term Securities (Cost – $428,774) – 0.9%

 

 

 

 

 

428,774

 

Total Investments (Cost - $68,454,991*) – 162.3%

 

 

 

 

 

73,121,755

 

Other Assets Less Liabilities – 1.3%

 

 

 

 

 

568,153

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable – (14.5)%

 

 

 

 

 

(6,543,856

)

VRDP Shares, at Liquidation Value – (49.1)%

 

 

 

 

 

(22,100,000

)

Net Assets Applicable to Common Shares – 100.0%

 

 

 

 

$

45,046,052

 

 

 

 

 

*

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

 

 

 

 

 

 

 

 

Tax cost

 

 

 

 

$

61,786,881

 

Gross unrealized appreciation

 

 

 

 

$

5,300,963

 

Gross unrealized depreciation

 

 

 

 

 

(507,029

)

Net unrealized appreciation

 

 

 

 

$

4,793,934

 

 

 

(a)

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

 

 

(b)

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

 

 

(c)

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

 

 

(d)

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

 

 

(e)

Non-income producing security.

 

 

(f)

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

 

 

(g)

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

 

 

(h)

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

 

 

(i)

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

 

 

(j)

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
August 31,
2011

 

Net
Activity

 

Shares
Held at
May 31,
2012

 

Income

 

BIF New York
Municipal
Money Fund

 

 

951,715

 

 

(522,941

)

 

428,774

 

$

7

 

 

 

(k)

Represents the current yield as of report date.


 

 

 

 

 

 

 

 

 

BLACKROCK NEW YORK MUNICIPAL BOND TRUST

MAY 31, 2012

4


 

 

 

 

Schedule of Investments (concluded)

BlackRock New York Municipal Bond Trust (BQH)

 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

13

 

10-Year US
Treasury
Note

 

Chicago
Board of
Trade

 

September
2012

 

$

1,741,188

 

$

(15,259

)

 

 

 

Portfolio Abbreviations

 

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

 

 

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

BHAC

Berkshire Hathaway Assurance Corp.

CAB

Capital Appreciation Bonds

CIFG

CDC IXIS Financial Guaranty

ERB

Education Revenue Bonds

FHA

Federal Housing Administration

GO

General Obligation Bonds

HFA

Housing Finance Agency

LRB

Lease Revenue Bonds

MRB

Mortgage Revenue Bonds

NPFGC

National Public Finance Guarantee Corp.

PILOT

Payment in Lieu of Taxes

RB

Revenue Bonds

SONYMA

State of New York Mortgage Agency

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

 

•

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

 

 

 

 

 

•

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

 

 

 

 

 

•

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

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

—

 

$

72,692,981

 

 

—

 

$

72,692,981

 

Short-Term
Securities

 

$

428,774

 

 

—

 

 

—

 

 

428,774

 

Total

 

$

428,774

 

$

72,692,981

 

 

—

 

$

73,121,755

 

 

 

 

 

1

See above Schedule of Investments for values in each sector.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(15,259

)

 

—

 

 

—

 

$

(15,259

)

 

 

2

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

$

14,799

 

 

—

 

 

—

 

$

14,799

 

Cash pledged
as collateral
for financial
futures
contracts

 

 

35,000

 

 

—

 

 

—

 

 

35,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

TOB trust
certificates

 

$

—

 

 

(6,540,940

)

 

—

 

 

(6,540,940

)

VRDP shares

 

 

—

 

 

(22,100,000

)

 

—

 

 

(22,100,000

)

Total

 

$

49,799

 

 

(28,640,940

)

 

—

 

 

(28,591,141

)

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

 

 

 

 

 

 

 

 

 

BLACKROCK NEW YORK MUNICIPAL BOND TRUST

MAY 31, 2012

5

Item 2 –

Controls and Procedures

 

 

2(a) –

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

 

 

2(b) –

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

 

 

Item 3 –

Exhibits

 

 

 

Certifications – Attached hereto

 

 

 

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

 

 

 

BlackRock New York Municipal Bond Trust

 

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