BLACKROCK MUNIHOLDINGS NEW JERSEY QUALITY FUND, INC.

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 811-08621

Name of Fund: BlackRock MuniHoldings New Jersey Quality Fund, Inc. (MUJ)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock MuniHoldings New Jersey Quality Fund, Inc., 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: 07/31/2013

Date of reporting period: 04/30/2013

Item 1    –    Schedule of Investments

Schedule of Investments April 30, 2013 (Unaudited)    BlackRock MuniHoldings New Jersey Quality Fund, Inc. (MUJ)
   (Percentages shown are based on Net Assets)

 

Municipal Bonds

    Par
(000)		      Value  

New Jersey – 127.7%

      

Corporate – 2.2%

      

New Jersey EDA, RB, Waste Management of New Jersey, Mandatory Put Bonds, Series A, AMT,

      

5.30%, 6/01/15(a)

    $ 2,500       $ 2,622,650   

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

      

Series A, 5.70%, 10/01/39

      2,500         2,791,150   

Series B, 5.60%, 11/01/34

      2,150         2,442,550   
     

 

 

  
        7,856,350   
     

 

 

  

County/City/Special District/School District – 15.5%

      

Borough of Hopatcong New Jersey, GO, Refunding, Sewer (AMBAC),

      

4.50%, 8/01/33

      2,690         2,832,839   

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

      

5.00%, 7/01/32

      4,605         4,965,111   

5.00%, 7/01/33

      1,395         1,501,257   

5.00%, 7/01/37

      1,470         1,562,404   

County of Union New Jersey, GO, Refunding:

      

4.00%, 3/01/29

      2,590         2,812,947   

4.00%, 3/01/30

      2,590         2,799,660   

4.00%, 3/01/31

      2,925         3,151,132   

Edgewater Borough Board of Education, GO, Refunding (AGM):

      

4.25%, 3/01/34

      1,235         1,354,536   

4.25%, 3/01/35

      1,300         1,424,969   

4.30%, 3/01/36

      1,370         1,505,055   

Essex County Improvement Authority, RB, County Correctional Facility Project, Series A (NPFGC),

      

5.00%, 10/01/13(b)

      4,400         4,488,484   

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

      

5.50%, 10/01/27

      250         329,798   

5.50%, 10/01/28

      4,840         6,409,806   

Hudson County Improvement Authority, RB:

      

County Secured, County Services Building Project (AGM), 5.00%, 4/01/27

      750         833,677   

Harrison Parking Facility Project, Series C (AGC), 5.25%, 1/01/39

      2,000         2,218,620   

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

      3,600         3,994,992   

Middlesex County Improvement Authority, RB, Senior Citizens Housing Project, AMT (AMBAC),

      

5.50%, 9/01/30

      500         501,755   

Monmouth County Improvement Authority, RB, Governmental Loan (AMBAC):

      

5.35%, 12/01/17

      5         5,019   

5.38%, 12/01/18

      5         5,019   

Morristown Parking Authority, RB (NPFGC):

      

5.00%, 8/01/30

      1,830         1,969,720   

5.00%, 8/01/33

      3,000         3,214,200   

New Jersey State Transit Corp., COP, Subordinate, Federal Transit Administration Grants, Series A (AGM),

      

5.00%, 9/15/21

      2,000         2,196,380   

Newark Housing Authority, Refunding RB, Newark Redevelopment Project (NPFGC),

      

4.38%, 1/01/37

      620         625,090   

Union County Improvement Authority, RB, Family Court Building Project,

      

4.00%, 5/01/37

      3,575         3,675,815   
     

 

 

  
        54,378,285   
     

 

 

  

Education – 21.2%

      

New Jersey EDA, RB, International Center For Public Health Project, University of Medicine and Dentistry (AMBAC),

      

6.00%, 6/01/32

      5,000         5,008,550   

New Jersey Educational Facilities Authority, RB:

      

Montclair State University, Series A (AMBAC), 5.00%, 7/01/21

      1,200         1,352,832   

Montclair State University, Series A (AMBAC), 5.00%, 7/01/22

      2,880         3,239,107   

Richard Stockton College, Series F (NPFGC), 5.00%, 7/01/31

      2,625         2,872,826   

Rowan University, Series C (NPFGC), 5.00%, 7/01/14(b)

      3,260         3,436,757   

Rowan University, Series C (NPFGC), 5.13%, 7/01/14(b)

      3,615         3,816,247   

New Jersey Educational Facilities Authority, Refunding RB:

      

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

      9,740         10,737,181   

Montclair State University, Series J (NPFGC), 4.25%, 7/01/30

      3,775         3,895,725   

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

      3,000         3,369,930   

Ramapo College, Series B, 5.00%, 7/01/37

      845         959,252   

Ramapo College, Series I (AMBAC), 4.25%, 7/01/31

      1,250         1,297,838   

Ramapo College, Series I (AMBAC), 4.25%, 7/01/36

      900         929,754   

 

    BLACKROCK MUNIHOLDINGS NEW JERSEY QUALITY FUND, INC.    APRIL 30, 2013   1

Schedule of Investments (continued)    BlackRock MuniHoldings New Jersey Quality Fund, Inc. (MUJ)
   (Percentages shown are based on Net Assets)

 

Municipal Bonds

    Par
(000)		      Value  

New Jersey (continued)

      

Education (concluded)

      

New Jersey Educational Facilities Authority, Refunding RB (concluded):

      

Stevens Institute of Technology, Series A, 5.00%, 7/01/27

    $ 2,800       $ 2,992,892   

Stevens Institute of Technology, Series A, 5.00%, 7/01/34

      900         949,761   

William Paterson University, Series C (AGC), 5.00%, 7/01/28

      250         283,095   

William Paterson University, Series C (AGC), 4.75%, 7/01/34

      4,000         4,308,880   

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

      

4.50%, 12/01/28

      3,380         3,562,959   

4.50%, 12/01/29

      4,150         4,330,567   

4.63%, 12/01/30

      4,080         4,277,962   

4.00%, 12/01/23

      500         531,720   

New Jersey Institute of Technology, RB, Series A,

      

5.00%, 7/01/42

      5,045         5,774,406   

University of Medicine & Dentistry of New Jersey, COP (NPFGC),

      

5.00%, 6/15/29

      2,000         2,034,720   

University of Medicine & Dentistry of New Jersey, RB, Series A (AMBAC),

      

5.50%, 12/01/27

      4,740         4,756,685   
     

 

 

  
        74,719,646   
     

 

 

  

Health – 15.4%

      

New Jersey Health Care Facilities Financing Authority, RB:

      

Greystone Park Psychiatric Hospital (AMBAC), 5.00%, 9/15/15(b)

      10,775         11,930,080   

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

      755         814,018   

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

      6,260         6,749,344   

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

      3,870         4,172,518   

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

      3,035         3,372,583   

New Jersey Health Care Facilities Financing Authority, Refunding RB:

      

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

      3,080         3,787,568   

AHS Hospital Corp., Series A (AMBAC), 6.00%, 7/01/13(c)

      4,000         4,037,960   

Barnabas Health, Series A, 5.00%, 7/01/24

      1,820         2,101,172   

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

      1,740         1,859,816   

Barnabas Health, Series A, 5.63%, 7/01/32

      1,100         1,248,060   

Barnabas Health, Series A, 5.63%, 7/01/37

      3,060         3,451,160   

Hackensack University Medical (AGC), 5.13%, 1/01/27

      1,500         1,648,155   

Hackensack University Medical (AGM), 4.63%, 1/01/30

      5,480         5,890,891   

Kennedy Health System, 5.00%, 7/01/42

      360         396,976   

Meridian Health System Obligation, 5.00%, 7/01/25

      700         815,136   

Meridian Health System Obligation, 5.00%, 7/01/26

      1,590         1,836,323   
     

 

 

  
        54,111,760   
     

 

 

  

Housing – 8.7%

      

New Jersey State Housing & Mortgage Finance Agency, RB:

      

Capital Fund Program, Series A (AGM), 4.70%, 11/01/25

      9,245         9,606,387   

M/F Housing, Series A, 4.55%, 11/01/43

      3,575         3,723,398   

M/F Housing, Series A, AMT (NPFGC), 4.85%, 11/01/39

      935         947,613   

Series AA, 6.50%, 10/01/38

      1,435         1,490,793   

Series B, 4.50%, 10/01/30

      7,005         7,634,539   

New Jersey State Housing & Mortgage Finance Agency, Refunding RB, AMT:

      

M/F Housing, Series 2, 4.60%, 11/01/38

      3,420         3,454,098   

M/F Housing, Series 2, 4.75%, 11/01/46

      3,015         3,038,969   

S/F Housing, Series T, 4.70%, 10/01/37

      660         679,787   
     

 

 

  
        30,575,584   
     

 

 

  

State – 33.7%

      

Garden State Preservation Trust, RB (AGM):

      

CAB, Series B, 2.60%, 11/01/23(d)

      9,000         6,864,840   

CAB, Series B, 2.81%, 11/01/25(d)

      10,000         7,050,400   

Election of 2005, Series A, 5.80%, 11/01/15(b)

      1,960         2,219,798   

Election of 2005, Series A, 5.80%, 11/01/15(b)

      2,730         3,091,862   

Garden State Preservation Trust, Refunding RB, Series C (AGM):

      

5.25%, 11/01/20

      5,000         6,377,250   

5.25%, 11/01/21

      7,705         9,941,684   

 

2   BLACKROCK MUNIHOLDINGS NEW JERSEY QUALITY FUND, INC.    APRIL 30, 2013    

Schedule of Investments (continued)    BlackRock MuniHoldings New Jersey Quality Fund, Inc. (MUJ)
   (Percentages shown are based on Net Assets)

 

Municipal Bonds

    Par
(000)		      Value  

New Jersey (continued)

      

State (continued)

      

New Jersey EDA, RB:

      

Cigarette Tax (Radian), 5.50%, 6/15/14(b)

    $ 585       $ 619,223   

Cigarette Tax (Radian), 5.75%, 6/15/14(b)

      3,180         3,374,966   

Liberty State Park Project, Series C (AGM), 5.00%, 3/01/22

      2,670         2,867,206   

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

      1,785         2,208,688   

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

      4,000         4,995,280   

Motor Vehicle Surcharge, Series A (NPFGC), 5.25%, 7/01/26

      7,500         9,352,275   

Motor Vehicle Surcharge, Series A (NPFGC), 5.25%, 7/01/33

      11,105         11,640,261   

Motor Vehicle Surcharge, Series A (NPFGC), 5.00%, 7/01/34

      2,000         2,084,140   

School Facilities Construction (AGC), 6.00%, 12/15/18(b)

      945         1,214,486   

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

      1,855         2,209,138   

School Facilities Construction, Series KK, 5.00%, 3/01/29

      1,500         1,743,975   

School Facilities Construction, Series L (AGM), 5.00%, 3/01/15(b)

      9,000         9,753,120   

School Facilities Construction, Series O, 5.25%, 3/01/15(b)

      1,420         1,548,056   

School Facilities Construction, Series Y, 5.00%, 9/01/33

      3,000         3,365,430   

School Facilities, Series U, 5.00%, 9/01/37

      5,000         5,453,000   

School Facilities, Series U (AMBAC), 5.00%, 9/01/37

      2,000         2,181,200   

New Jersey EDA, Refunding RB:

      

Cigarette Tax, 5.00%, 6/15/26

      895         1,025,124   

Cigarette Tax, 5.00%, 6/15/28

      1,520         1,722,114   

Cigarette Tax, 5.00%, 6/15/29

      2,000         2,247,500   

School Facilities Construction, Series N-1 (NPFGC), 5.50%, 9/01/27

      1,000         1,309,580   

New Jersey Sports & Exposition Authority, Refunding RB (NPFGC):

      

5.50%, 3/01/21

      5,890         7,124,956   

5.50%, 3/01/22

      3,150         3,847,567   

State of New Jersey, COP, Equipment Lease Purchase, Series A,

      

5.25%, 6/15/27

      1,080         1,222,808   
     

 

 

  
        118,655,927   
     

 

 

  

Tobacco – 1.2%

      

Tobacco Settlement Financing Corp. New Jersey, RB,

      

7.00%, 6/01/13(b)

      4,000         4,023,280   
     

 

 

  

Transportation – 23.7%

      

Delaware River Port Authority, RB, Series D (AGM),

      

5.00%, 1/01/40

      3,700         4,129,940   

Delaware River Port Authority, Refunding RB, Port District Project:

      

5.00%, 1/01/26

      1,745         1,998,130   

5.00%, 1/01/27

      1,300         1,478,165   

New Jersey State Turnpike Authority, RB, Growth & Income Securities, Series B (AMBAC),

      

0.00%, 1/01/15(e)

      7,615         7,330,275   

New Jersey State Turnpike Authority, Refunding RB:

      

Series A (AGM), 5.25%, 1/01/26

      4,900         6,208,839   

Series A (AGM), 5.25%, 1/01/29

      2,000         2,573,760   

Series A (AGM), 5.25%, 1/01/30

      4,000         5,179,760   

Series A (BHAC), 5.25%, 1/01/29

      500         643,440   

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

      605         696,500   

Series C (NPFGC), 6.50%, 1/01/16(c)

      305         353,818   

Series C (NPFGC), 6.50%, 1/01/16(c)

      255         296,037   

Series C (NPFGC), 6.50%, 1/01/16(c)

      2,715         2,922,996   

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

      

CAB, Series A, 4.56%, 12/15/35(d)

      6,000         2,163,300   

CAB, Series C (AGM), 4.44%, 12/15/32(d)

      4,050         1,710,680   

CAB, Series C (AMBAC), 4.63%, 12/15/35(d)

      1,400         497,014   

CAB, Series C (AMBAC), 4.59%, 12/15/36(d)

      7,210         2,467,839   

CAB, Series C (BHAC), 3.82%, 12/15/31(d)

      5,000         2,471,100   

Series A, 6.00%, 6/15/35

      4,365         5,331,018   

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

      2,000         2,386,460   

Series A (NPFGC), 5.75%, 6/15/24

      1,205         1,576,044   

Series B, 5.50%, 6/15/31

      1,425         1,690,292   

New Jersey Transportation Trust Fund Authority, Refunding RB, Transportation System, Series A (AGM),

      

5.25%, 12/15/20

      10,750         13,353,005   

 

    BLACKROCK MUNIHOLDINGS NEW JERSEY QUALITY FUND, INC.    APRIL 30, 2013   3

Schedule of Investments (continued)    BlackRock MuniHoldings New Jersey Quality Fund, Inc. (MUJ)
   (Percentages shown are based on Net Assets)

 

Municipal Bonds

    Par
(000)		      Value  

New Jersey (concluded)

      

Transportation (concluded)

      

Port Authority of New York & New Jersey, RB, JFK International Air Terminal, Special Project:

      

Series 6, AMT (NPFGC), 6.25%, 12/01/15

    $ 1,500       $ 1,628,895   

Series 6, AMT (NPFGC), 5.75%, 12/01/25

      3,000         3,011,520   

Series 8, 6.00%, 12/01/42

      2,500         2,927,150   

Port Authority of New York & New Jersey, Refunding RB, Consolidated, 152nd, AMT,

      

5.75%, 11/01/30

      5,175         6,021,371   

South Jersey Transportation Authority, Refunding RB, Series A:

      

5.00%, 11/01/28

      1,025         1,186,069   

5.00%, 11/01/29

      1,025         1,181,507   
     

 

 

  
        83,414,924   
     

 

 

  

Utilities – 6.1%

      

Essex County Utilities Authority, Refunding RB (AGC),

      

4.13%, 4/01/22

      2,000         2,166,060   

North Hudson Sewerage Authority, Refunding RB, Series A (NPFGC),

      

5.13%, 8/01/20(c)

      4,335         5,463,357   

Rahway Valley Sewerage Authority, RB, CAB, Series A (NPFGC)(d):

      

3.92%, 9/01/28

      6,600         3,638,976   

3.99%, 9/01/29

      6,900         3,618,774   

Union County Utilities Authority, Refunding RB, Series A:

      

Covanta Union, AMT, 5.25%, 12/01/31

      450         502,645   

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

      5,415         6,207,377   
     

 

 

  
        21,597,189   
     

 

 

  

Total Municipal Bonds in New Jersey

         449,332,945   
     

 

 

  

Guam – 1.1%

      

State – 1.0%

      

Government of Guam Business Privilege Tax Revenue, RB, Series A,

      

5.13%, 1/01/42

      2,500         2,789,525   

Territory of Guam, RB, Series B-1,

      

5.00%, 1/01/37

      700         775,691   
     

 

 

  
        3,565,216   
     

 

 

  

Utilities – 0.1%

      

Guam Power Authority, Refunding RB, Series A,

      

5.00%, 10/01/34

      325         359,697   
     

 

 

  

Total Municipal Bonds in Guam

         3,924,913   
     

 

 

  

Puerto Rico – 7.3%

      

Health – 0.5%

      

Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, RB, Hospital De La Concepcion, Series A,

      

6.50%, 11/15/20 $

      1,750         1,758,873   
     

 

 

  

State – 5.2%

      

Commonwealth of Puerto Rico, GO, Refunding, Public Improvement, Series C,

      

6.00%, 7/01/39

      1,730         1,788,284   

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

      

6.50%, 7/01/37(d)

      4,000         851,960   

Puerto Rico Sales Tax Financing Corp., RB:

      

First Sub-Series A, 5.50%, 8/01/42

      1,300         1,367,925   

First Sub-Series B, 6.00%, 8/01/42

      2,500         2,736,400   

Puerto Rico Sales Tax Financing Corp., Refunding RB:

      

CAB, Series A (NPFGC), 5.64%, 8/01/41(d)

      9,500         1,974,765   

CAB, Series A (NPFGC), 5.65%, 8/01/42(d)

      5,500         1,076,515   

First Sub-Series A-1, 5.25%, 8/01/43

      2,130         2,224,018   

First Sub-Series C (AGM), 5.13%, 8/01/42

      6,120         6,478,265   
     

 

 

  
        18,498,132   
     

 

 

  

Transportation – 1.2%

      

Puerto Rico Highway & Transportation Authority, Refunding RB, Series CC (AGC),

      

5.50%, 7/01/31

      3,750         4,147,612   
     

 

 

  

Utilities – 0.4%

      

Puerto Rico Electric Power Authority, Refunding RB, Series VV (NPFGC),

      

5.25%, 7/01/26

      1,325         1,374,767   
     

 

 

  

Total Municipal Bonds in Puerto Rico

         25,779,384   
     

 

 

  

Total Municipal Bonds – 136.1%

         479,037,242   
     

 

 

  

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

              

New Jersey – 20.4%

      

Education – 0.3%

      

Rutgers State University of New Jersey, Refunding RB, Series F,

      

5.00%, 5/01/39

      990         1,139,097   
     

 

 

  

 

4   BLACKROCK MUNIHOLDINGS NEW JERSEY QUALITY FUND, INC.    APRIL 30, 2013    

Schedule of Investments (continued)    BlackRock MuniHoldings New Jersey Quality Fund, Inc. (MUJ)
   (Percentages shown are based on Net Assets)

 

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

    Par
(000)		      Value  

New Jersey (continued)

      

Housing – 1.5%

      

New Jersey State Housing & Mortgage Finance Agency, RB, Capital Fund Program, Series A (AGM),

      

5.00%, 5/01/27

    $ 4,790       $ 5,254,870   
     

 

 

  

State – 5.1%

      

Garden State Preservation Trust, RB, Election of 2005, Series A (AGM),

      

5.75%, 11/01/28

      9,160         12,364,076   

New Jersey EDA, Refunding RB,

      

5.00%, 3/01/29(g)

      4,782         5,568,984   
     

 

 

  
        17,933,060   
     

 

 

  

Transportation – 9.6%

      

New Jersey State Turnpike Authority, RB, Series A,

      

5.00%, 1/01/38(g)

      5,200         5,828,732   

New Jersey Transportation Trust Fund Authority, RB, Series B,

      

5.25%, 6/15/36(g)

      1,900         2,170,826   

Port Authority of New York & New Jersey, RB, Consolidated, AMT:

      

169th Series,5.00%, 10/15/41

      5,500         6,177,380   

163rd Series, 5.00%, 7/15/39

      11,456         12,899,411   

Port Authority of New York & New Jersey, Refunding RB, 152nd, AMT,

      

5.25%, 11/01/35

      5,998         6,605,870   
     

 

 

  
        33,682,219   
     

 

 

  

Utilities – 3.9%

      

Union County Utilities Authority, Refunding LRB, Covanta Union, Series A, AMT,

      

5.25%, 12/01/31

      12,370         13,817,166   
     

 

 

  

Total Municipal Bonds in New Jersey

         71,826,412   
     

 

 

  

Puerto Rico – 0.7%

      

State – 0.7%

      

Puerto Rico Sales Tax Financing Corp., Refunding RB, Series C,

      

5.25%, 8/01/40

     2,270         2,459,366   
     

 

 

  

Total Municipal Bonds Transferred to Tender Option Bond (TOB) Trusts – 21.1%

         74,285,778   
     

 

 

  

Total Long-Term Investments
(Cost – $503,953,395) – 157.2%

         553,323,020   
     

 

 

  
      Shares         

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

      3,639,579         3,639,579   
     

 

 

  

Total Short-Term Securities
(Cost – $3,639,579) – 1.0%

         3,639,579   
     

 

 

  

Total Investments (Cost – $507,592,974*) – 158.2%

         556,962,599   

Other Assets Less Liabilities – 1.8%

         6,010,371   

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable – (10.9)%

         (38,254,783 ) 

VRDP Shares, at Liquidation Value – (49.1)%

         (172,700,000 ) 
     

 

 

  

Net Assets Applicable to Common Shares – 100.0%

       $ 352,018,187   
     

 

 

  

 

* As of April 30, 2013, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

    $ 469,632,032   
  

 

 

  

Gross unrealized appreciation

    $ 50,076,193   

Gross unrealized depreciation

      (976,302 ) 
  

 

 

  

Net unrealized appreciation

    $ 49,099,891   
  

 

 

  

Notes to Schedule of Investments

 

(a) Variable rate security. Rate shown is as of report date.

 

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

 

(c) Security is collateralized by Municipal or US Treasury obligations.

 

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

 

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

 

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

 

(g) All or a portion of security is subject to a recourse agreement, which may require the Fund to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Fund could ultimately be required to pay under the agreements, which expire from 6/15/19 to 9/01/20, is $8,819,672.

 

    BLACKROCK MUNIHOLDINGS NEW JERSEY QUALITY FUND, INC.    APRIL 30, 2013   5

Schedule of Investments (continued)    BlackRock MuniHoldings New Jersey Quality Fund, Inc. (MUJ)
  

 

(h) Investments in issuers considered to be an affiliate of the Fund during the period ended April 30, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate

    Shares Held at
July  31,
2012		      Net Activity     Shares Held at
April  30,
2013		      Income  

BIF New Jersey Municipal Money Fund

      4,620,110         (980,531 )      3,639,579       $ 4   

 

(i) Represents the current yield as of report date.

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
  COP   Certificates of Participation
  EDA   Economic Development Authority
  GO   General Obligation Bonds
  LRB   Lease Revenue Bonds
  M/F   Multi-Family
  NPFGC   National Public Finance Guarantee Corp.
  Radian   Radian Financial Guaranty
  RB   Revenue Bonds
  S/F   Single-Family

 

•  

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

 

•  

Financial futures contracts as of April 30, 2013 were as follows:

 

Contracts
Sold		   

Issue

    Exchange    Expiration    Notional Value      Unrealized
Depreciation		  
(170)    10-Year US Treasury Note    Chicago Board of Trade    June 2013    $ 22,671,094       $ (337,566 ) 

 

6   BLACKROCK MUNIHOLDINGS NEW JERSEY QUALITY FUND, INC.    APRIL 30, 2013    

Schedule of Investments (concluded)    BlackRock MuniHoldings New Jersey Quality Fund, Inc. (MUJ)
  

 

•  

Fair Value Measurements – Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques 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 that the Fund 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 the Fund’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 level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’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 instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of April 30, 2013:

 

      Level 1      Level 2      Level 3      Total  

Assets:

            

Investments:

            

Long-Term Investments1

      –       $ 553,323,020         –       $ 553,323,020   

Short-Term Securities

    $ 3,639,579         –         –         3,639,579   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 3,639,579       $ 553,323,020         –       $ 556,962,599   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

1 

See above Schedule of Investments for values in each sector.

 

      Level 1     Level 2      Level 3      Total  

Derivative Financial Instruments2

           

Liabilities:

           

Interest rate contracts

    $ (337,566 )      –         –       $ (337,566 ) 

 

2 

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

Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of April 30, 2013, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1      Level 2     Level 3      Total  

Assets:

           

Cash pledged for financial futures contracts

    $ 224,000         –        –       $ 224,000   

Liabilities:

           

TOB trust certificates

      –       $ (38,230,676 )      –         (38,230,676 ) 

VDRP shares

      –         (172,700,000 )      –         (172,700,000 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

Total

    $ 224,000       $ (210,930,676 )      –       $ (210,706,676 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

There were no transfers between levels during the period ended April 30, 2013.

 

    BLACKROCK MUNIHOLDINGS NEW JERSEY QUALITY FUND, INC.    APRIL 30, 2013   7

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 MuniHoldings New Jersey Quality Fund, Inc.

  
By:  

/s/ John M. Perlowski

    
  John M. Perlowski    
  Chief Executive Officer (principal executive officer) of BlackRock MuniHoldings New Jersey Quality Fund, Inc.

Date: June 24, 2013

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 MuniHoldings New Jersey Quality Fund, Inc.
Date: June 24, 2013    
By:  

/s/ Neal J. Andrews

    
  Neal J. Andrews    
  Chief Financial Officer (principal financial officer) of BlackRock MuniHoldings New Jersey Quality Fund, Inc.

Date: June 24, 2013