BLACKROCK MUNIHOLDINGS NEW JERSEY QUALITY FUND, INC.

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 811-08621

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: 07/31/2015

Date of reporting period: 01/31/2015


Item 1 – Report to Stockholders


JANUARY 31, 2015

 

 

 

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

BlackRock MuniHoldings California Quality Fund, Inc. (MUC)

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

BlackRock MuniYield Investment Quality Fund (MFT)

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

BlackRock MuniYield New Jersey Quality Fund, Inc. (MJI)

BlackRock MuniYield Pennsylvania Quality Fund (MPA)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents     
     Page  

The Markets in Review

    3   

Semi-Annual Report:

 

Municipal Market Overview

    4   

The Benefits and Risks of Leveraging

    5   

Derivative Financial Instruments

    5   

Fund Summaries

    6   
Financial Statements:  

Schedules of Investments

    18   

Statements of Assets and Liabilities

    44   

Statements of Operations

    45   

Statements of Changes in Net Assets

    46   

Statements of Cash Flows

    49   

Financial Highlights

    50   

Notes to Financial Statements

    56   

Officers and Directors

    66   

Additional Information

    67   

 

                
2    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


The Markets in Review

Dear Shareholder,

Market volatility, while remaining below the long-term average level, increased over the course of 2014 and into 2015, driven largely by higher valuations in risk assets (such as equities and high yield bonds), escalating geopolitical risks, uneven global economic growth and expectations around policy moves from the world’s largest central banks. Surprisingly, U.S. interest rates trended lower through the period even as the U.S. Federal Reserve (the “Fed”) gradually reduced its bond buying program, which ultimately ended in October.

The first half of 2014 was generally a strong period for most asset classes; however, volatility ticked up in the summer as geopolitical tensions intensified in Ukraine and the Middle East and investors feared that better U.S. economic indicators may compel the Fed to increase short-term interest rates sooner than previously anticipated. Global credit markets tightened as the U.S. dollar strengthened versus other currencies, ultimately putting a strain on investor flows, and financial markets broadly weakened in the third quarter.

Several themes dominated the markets in the fourth quarter that resulted in the strong performance of U.S. markets versus other areas of the world. Economic growth strengthened considerably in the United States while the broader global economy showed signs of slowing. The European Central Bank and the Bank of Japan took aggressive measures to stimulate growth while the Fed moved toward tighter policy, causing further strengthening in the U.S. dollar. Fixed income investors piled into U.S. Treasuries where yields, although persistently low, were comparatively higher than yields on international sovereign debt, while equity investors favored the relative stability of U.S.-based companies amid rising global risks.

Oil prices, which had been gradually declining since mid-summer, suddenly plummeted in the fourth quarter due to a global supply-and-demand imbalance. Energy stocks sold off sharply and oil-exporting economies struggled, mainly within emerging markets. Conversely, the consumer sectors benefited from lower oil prices as savings at the gas pumps freed up discretionary income for other goods and services.

These trends shifted at the beginning of 2015. U.S. equity markets starkly underperformed international markets due to stretched valuations and uncertainty around the Fed’s pending rate hike. In addition, the stronger U.S. dollar began to hurt earnings of large cap companies. The energy sector continued to struggle, although oil prices showed signs of stabilizing toward the end of January as suppliers became more disciplined in their exploration and production efforts.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely 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 January 31, 2015  
    6-month     12-month  

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

    4.37     14.22

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

    4.72        4.41   

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

    (6.97     (0.43

Emerging market equities
(MSCI Emerging Markets
Index)

    (9.05     5.23   

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

Bill Index)

    0.01        0.03   

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

    9.29        12.25   

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

    4.36        6.61   

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

    4.51        8.81   

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

    (0.89     2.41   
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 January 31, 2015      

Municipal Market Conditions

Municipal bonds generated strong performance in 2014, thanks to a favorable supply-and-demand environment and declining interest rates. (Bond prices rise as rates fall.) Investor demand for municipal bonds was strong from the start of the year when U.S. economic data softened amid one of the harshest winters on record. Interest rates proceeded to move lower even as the U.S. Federal Reserve (the “Fed”) scaled back its open-market bond purchases. This surprising development, coupled with reassurance from the Fed that short-term rates would remain low for a considerable amount of time, resulted in strong demand for fixed income investments in 2014, with municipal bonds being one of the stronger performing sectors for the year. For the 12-month period ended January 31, 2015, municipal bonds garnered net inflows of approximately $32 billion (based on data from the Investment Company Institute).

From a historical perspective, total new issuance for the 12 months ended January 31, remained relatively strong at $342 billion (slightly higher than the $326 billion issued in the prior 12-month period). A noteworthy portion of new supply during this period was attributable to refinancing activity (roughly 45%) as issuers took advantage of lower interest rates to reduce their borrowing costs.

S&P Municipal Bond Index

Total Returns as of January 31, 2015

  6 months:   4.51%

12 months:   8.81%

A Closer Look at Yields

 

LOGO

From January 31, 2014 to January 31, 2015, yields on AAA-rated 30-year municipal bonds decreased by 135 basis points (“bps”) from 3.85% to 2.50%, while 10-year rates decreased 81 bps from 2.53% to 1.72% and 5-year rates decreased 16 bps from 1.10% to 0.94% (as measured by Thomson Municipal Market Data). Overall, the municipal yield curve remained relatively steep over the 12-month period even as the spread between 2- and 30-year maturities flattened by 146 bps and the spread between 2- and 10-year maturities flattened by 92 bps.

During the same time period, U.S. Treasury rates fell by 136 bps on 30-year bonds, 99 bps on 10-year bonds and 32 bps in 5-year issues. Accordingly, tax-exempt municipal bond performance was generally in line with Treasuries on both the long and short ends of the curve, while lagging in the intermediate portion of the curve as a result of increased supply. Municipals modestly outperformed Treasuries in the very short end of the curve as expectations around future Fed policy changes pressured short-term U.S. Treasury prices. Positive performance on the long end of the curve was driven largely by a supply/demand imbalance within the municipal market as investors sought income and incremental yield in an environment where opportunities had become 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. The municipal market continues to be an attractive avenue for investors seeking yield in the low-rate environment. However, opportunities have not been as broad-based as in 2011 and 2012, warranting a more flexible approach to security selection and yield curve positioning going forward.

Financial Conditions of Municipal Issuers Continue to Improve

Following an extended period of nation-wide austerity and de-leveraging as states sought to balance their budgets, solid revenue growth exceeding pre-recession levels coupled with the elimination of more than 625,000 jobs in recent years have put state and local governments in a better financial position. Many local municipalities, however, continue to face increased health care and pension costs passed down from the state level. BlackRock maintains the view that municipal bond defaults will remain minimal and in the periphery, and that the overall market is fundamentally sound. We continue to advocate careful credit research and believe that a thoughtful approach to structure and security selection remain imperative amid uncertainty in a modestly improving economic environment.

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.

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

 

                
4    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


The Benefits and Risks of Leveraging     

 

The Funds may utilize leverage to seek to enhance the yield 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 Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Fund’s 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 Fund’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, the Fund’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 the Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, the Fund’s financing cost of leverage is significantly lower than the income earned on the Fund’s 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 Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage. Furthermore, the value of the Fund’s 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 Fund’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Fund’s 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 Fund’s intended leveraging strategy will be successful.

Leverage also generally causes greater changes in the Funds’ NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the net asset value and market price of a Fund’s Common Shares than if the Fund were not leveraged. In addition, the Fund 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 Fund to incur losses. The use of leverage may limit the Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. The Fund 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.

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

Under the Investment Company Act of 1940 (the “1940 Act”), each Fund 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 Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund 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 Fund segregates or designates on its books and records cash or liquid assets having a value not less than the value of the Fund’s obligations under the TOB (including accrued interest), a TOB is not considered a senior security and is not subject to the foregoing limitations and requirements under the 1940 Act.

 

Derivative Financial Instruments     

 

The Funds may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities 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. Derivative financial instruments also involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Funds’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    5


Fund Summary as of January 31, 2015    BlackRock MuniHoldings California Quality Fund, Inc.
Fund Overview      

BlackRock MuniHoldings California Quality Fund, Inc.’s (MUC) (the “Fund”) investment objective is to provide shareholders with current income exempt from federal and California income taxes. The Fund 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. Under normal market conditions, the Fund invests at least 80% of its assets in investment grade municipal obligations with remaining maturities of one year or more at the time of investment. The Fund may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance      
Ÿ  

For the six-month period ended January 31, 2015, the Fund returned 10.28% based on market price and 6.00% based on NAV. For the same period, the closed-end Lipper California Municipal Debt Funds category posted an average return of 12.10% based on market price and 7.85% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

Municipal bonds generally delivered strong performance during the six-month period, with yields declining as prices rose. California issues gained an additional boost from the state’s improving credit profile. Longer-term municipal bonds generally outperformed shorter-term issues. In this environment, the Fund’s exposure to the long end of the yield curve had a positive impact on performance. Its positions in AA-rated issues, tax-backed bonds issued by local authorities, and the health care, transportation and utilities sectors also helped returns. Leverage on the Fund’s assets amplified the positive effect of falling rates on performance.

 

Ÿ  

There were no detractors from performance on an absolute basis as all areas of the Fund’s investment universe appreciated during the period.

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

 

Fund Information      

Symbol on New York Stock Exchange (“NYSE”)

   MUC

Initial Offering Date

   February 27, 1998

Yield on Closing Market Price as of January 31, 2015 ($15.05)1

  

5.38%

Tax Equivalent Yield2

  

10.96%

Current Monthly Distribution per Common Share3

  

$0.0675

Current Annualized Distribution per Common Share3

  

$0.8100

Economic Leverage as of January 31, 20154

  

35%

 

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

 

                
6    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


     BlackRock MuniHoldings California Quality Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary                                        
           
      1/31/15      7/31/14      Change      High      Low  

Market Price

     $15.05         $14.04         7.19%         $15.09         $13.98   

Net Asset Value

     $16.30         $15.82         3.03%         $16.30         $15.82   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments*      

 

Sector Allocation    1/31/15     7/31/14  

County/City/Special District/School District

     34     37

Utilities

     26        25   

Transportation

     13        14   

Health

     13        12   

Education

     7        6   

State

     7        6   

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 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.

 

Credit Quality Allocation1    1/31/15     7/31/14  

AAA/Aaa

     9     15

AA/Aa

     74        76   

A

     17        9   

 

  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.

 

   
Call/Maturity Schedule2        

Calendar Year Ended December 31,

  

2015

     8

2016

     9   

2017

     13   

2018

     13   

2019

     17   

 

  2   

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

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    7


Fund Summary as of January 31, 2015    BlackRock MuniHoldings New Jersey Quality Fund, Inc.

 

Fund Overview      

BlackRock MuniHoldings New Jersey Quality Fund, Inc.’s (MUJ) (the “Fund”) investment objective is to provide shareholders with current income exempt from federal income tax and New Jersey personal income taxes. The Fund seeks to achieve its investment objective by investing primarily in long-term, investment grade municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New Jersey personal income taxes. Under normal market conditions, the Fund invests at least 80% of its assets in municipal obligations with remaining maturities of one year or more at the time of investment. The Fund may invest directly in such securities or synthetically through the use of derivatives.

On December 5, 2014, the Boards of the Fund and BlackRock MuniYield New Jersey Quality Fund, Inc. (“MJI”) approved the reorganization of MJI with and into the Fund, with the Fund continuing as the surviving fund after the reorganization. At a special shareholder meeting on March 12, 2015, the requisite shareholders of the Fund approved the reorganization of MJI with and into the Fund, which is expected to be completed in April 2015.

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

 

Performance      
Ÿ  

For the six-month period ended January 31, 2015, the Fund returned 10.11% based on market price and 8.60% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of 8.91% based on market price and 7.86% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

The Fund’s duration positioning made the largest contribution to performance, as yields on municipal bonds decreased substantially during the period. (Bond prices rise as yields fall; duration measures sensitivity to interest rate movements). The income generated from the Fund’s holdings of New Jersey tax-exempt municipal bonds contributed to performance as well. The Fund’s exposure to the long end of the yield curve helped performance as the yield curve flattened substantially over the period (long-term rates fell much more than intermediate rates, while two-year rates rose). The Fund also benefited from its credit exposure as spreads generally tightened, especially in the tax-backed state, tax-backed local and health care sectors. In addition, the Fund’s use of leverage amplified the positive effect of falling rates on performance.

 

Ÿ  

There were no detractors from performance on an absolute basis as all areas of the Fund’s investment universe appreciated during the period.

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

 

Fund Information      

Symbol on NYSE

   MUJ

Initial Offering Date

   March 11, 1998

Yield on Closing Market Price as of January 31, 2015 ($15.07)1

   5.89%

Tax Equivalent Yield2

   11.43%

Current Monthly Distribution per Common Share3

   $0.074

Current Annualized Distribution per Common Share3

   $0.888

Economic Leverage as of January 31, 20154

   37%

 

  1   

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

 

  2   

Tax equivalent yield assumes the maximum 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 VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 5.

 

                
8    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


     BlackRock MuniHoldings New Jersey Quality Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary      

 

      1/31/15      7/31/14      Change      High      Low  

Market Price

   $ 15.07       $ 14.11         6.80    $ 15.18       $ 13.84   

Net Asset Value

   $ 16.58       $ 15.74         5.34    $ 16.58       $ 15.74   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments*      

 

Sector Allocation    1/31/15     7/31/14  

State

     24     22

Transportation

     22        23   

Education

     18        18   

County/City/Special District/School District

     16        14   

Health

     12        12   

Housing

     4        6   

Utilities

     3        3   

Corporate

     1        2   

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 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.

 

   
Call/Maturity Schedule3        

Calendar Year Ended December 31,

  

2015

     8

2016

     3   

2017

     7   

2018

     9   

2019

     3   

 

  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    1/31/15     7/31/14  

AAA/Aaa

     9     9

AA/Aa

     50        51   

A

     35        33   

BBB/Baa

     6        7   

NR2

              

 

  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   

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 advisor has deemed certain of these unrated securities as investment grade quality. As of January 31, 2015, and July 31, 2014, the market value of unrated securities deemed by the investment advisor to be of investment grade was $10,041, representing less than 1%, and $10,039, representing less than 1%, respectively, of the Fund’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    9

 


Fund Summary as of January 31, 2015    BlackRock MuniYield Investment Quality Fund

 

Fund Overview      

BlackRock MuniYield Investment Quality Fund’s (MFT) (the “Fund”) investment objective is to provide shareholders with as high a level of current income exempt from federal income taxes as is consistent with its investment policies and prudent investment management. The Fund seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). Under normal market conditions, the Fund invests primarily in long-term municipal obligations that are investment grade quality at the time of investment. The Fund may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance      
Ÿ  

For the six-month period ended January 31, 2015, the Fund returned 11.83% based on market price and 9.03% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 11.69% based on market price and 8.99% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

Municipal bonds generally delivered strong performance during the six-month period, with yields declining as prices rose. Long-term bonds outperformed their short-term counterparts, leading to a flattening of the yield curve. In this environment, the Fund’s duration positioning contributed positively to performance. The Fund’s longer dated holdings in the transportation, utilities and tax-backed sectors experienced the best price action on an absolute basis. The income generated from the Fund’s holdings of tax-exempt municipal bonds contributed to performance as well. Leverage on the Fund’s assets amplified the positive effect of falling rates on performance.

 

Ÿ  

There were no detractors from performance on an absolute basis as all areas of the Fund’s investment universe appreciated during the period.

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

 

Fund Information      

Symbol on NYSE

   MFT

Initial Offering Date

   October 30, 1992

Yield on Closing Market Price as of January 31, 2015 ($14.38)1

   5.92%

Tax Equivalent Yield2

   10.46%

Current Monthly Distribution per Common Share3

   $0.071

Current Annualized Distribution per Common Share3

   $0.852

Economic Leverage as of January 31, 20154

   36%

 

  1   

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

 

  2   

Tax equivalent yield assumes the maximum 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 VMTP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 5.

 

                
10    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


     BlackRock MuniYield Investment Quality Fund

 

Market Price and Net Asset Value Per Share Summary      

 

      1/31/15      7/31/14      Change      High      Low  

Market Price

   $ 14.38       $ 13.26         8.45%       $ 14.38       $ 13.18   

Net Asset Value

   $ 15.68       $ 14.83         5.73%       $ 15.68       $ 14.83   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments*      

 

Sector Allocation   1/31/15      7/31/14  

Transportation

    36      36

Utilities

    19         21   

County/City/Special District/School District

    19         18   

State

    11         9   

Health

    10         11   

Education

    2         2   

Housing

    2         2   

Tobacco

    1         1   

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 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.

 

Credit Quality Allocation1   1/31/15      7/31/14  

AAA/Aaa

    7      6

AA/Aa

    62         62   

A

    26         27   

BBB/Baa

    5         5   

 

  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.

 

   
Call/Maturity Schedule2        

Calendar Year Ended December 31,

  

2015

       

2016

     2

2017

     2   

2018

     11   

2019

     26   

 

  2   

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

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    11


Fund Summary as of January 31, 2015    BlackRock MuniYield Michigan Quality Fund, Inc.

 

Fund Overview      

BlackRock MuniYield Michigan Quality Fund, Inc.’s (MIY) (the “Fund”) investment objective is to provide shareholders with as high a level of current income exempt from federal and Michigan income taxes as is consistent with its investment policies and prudent investment management. The Fund seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Michigan income taxes. Under normal market conditions, the Fund invests primarily in long-term municipal obligations that are investment grade quality at the time of investment. The Fund may invest directly in such securities or synthetically through the use of derivatives.

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

 

Performance      
Ÿ  

For the six-month period ended January 31, 2015, the Fund returned 11.12% based on market price and 9.58% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of 8.27% based on market price and 7.81% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

The Fund’s duration positioning made the largest contribution to performance, as yields on municipal bonds decreased substantially during the period. (Bond prices rise as yields fall; duration measures sensitivity to interest rate movements). The income generated from the Fund’s holdings of Michigan tax-exempt municipal bonds contributed to performance as well. The Fund’s exposure to the long end of the yield curve helped performance as the yield curve flattened substantially over the period (long-term rates fell much more than intermediate rates, while two-year rates rose). The Fund also benefited from its credit exposure as spreads generally tightened, especially in the utilities sector. In addition, the Fund’s use of leverage amplified the positive effect of falling rates on performance.

 

Ÿ  

There were no detractors from performance on an absolute basis as all areas of the Fund’s investment universe appreciated during the period.

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

 

Fund Information      

Symbol on NYSE

   MIY

Initial Offering Date

   October 30, 1992

Yield on Closing Market Price as of January 31, 2015 ($14.51)1

   5.95%

Tax Equivalent Yield2

   10.98%

Current Monthly Distribution per Common Share3

   $0.072

Current Annualized Distribution per Common Share3

   $0.864

Economic Leverage as of January 31, 20154

   36%

 

  1   

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

 

  2   

Tax equivalent yield assumes the maximum marginal federal and state tax rate of 45.81%, 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 TOBs as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 5.

 

                
12    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


     BlackRock MuniYield Michigan Quality Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary                                        
           
      1/31/15      7/31/14      Change      High      Low  

Market Price

     $14.51         $13.47         7.72%         $14.56         $13.31   

Net Asset Value

     $16.19         $15.24         6.23%         $16.19         $15.24   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments*      

 

Sector Allocation    1/31/15     7/31/14  

Education

     23     21

Health

     19        18   

County/City/Special District/School District

     17        19   

State

     13        11   

Utilities

     10        13   

Transportation

     9        9   

Housing

     6        6   

Corporate

     3        3   

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 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.

 

 

Credit Quality Allocation1    1/31/15     7/31/14  

AAA/Aaa

     1     3

AA/Aa

     67        73   

A

     29        24   

BBB/Baa

     2          

N/R

     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.

   
Call/Maturity Schedule2        

Calendar Year Ended December 31,

  

2015

     6

2016

     6   

2017

     7   

2018

     13   

2019

     9   

 

  2   

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

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    13


Fund Summary as of January 31, 2015    BlackRock MuniYield New Jersey Quality Fund, Inc.

 

Fund Overview      

BlackRock MuniYield New Jersey Quality Fund, Inc.’s (MJI) (the “Fund”) investment objective is to provide shareholders with as high a level of current income exempt from federal income taxes and New Jersey personal income tax as is consistent with its investment policies and prudent investment management. The Fund seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New Jersey personal income taxes. Under normal market conditions, the Fund invests primarily in long-term municipal obligations that are investment grade quality at the time of investment. The Fund may invest directly in such securities or synthetically through the use of derivatives.

On December 5, 2014, the Boards of the Fund and BlackRock MuniHoldings New Jersey Quality Fund, Inc. (“MUJ’’) approved the reorganization of the Fund with and into MUJ, with MUJ continuing as the surviving fund after the reorganization. At a special shareholder meeting on March 12, 2015, the shareholders of the Fund approved the reorganization of the Fund with and into MUJ, which is expected to be completed in April 2015.

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

 

Performance      
Ÿ  

For the six-month period ended January 31, 2015, the Fund returned 8.67% based on market price and 9.08% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of 8.91% based on market price and 7.86% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV widened during the period, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

The Fund’s duration positioning made the largest contribution to performance, as yields on municipal bonds decreased substantially during the period. (Bond prices rise as yields fall; duration measures sensitivity to interest rate movements). The income generated from the Fund’s holdings of New Jersey tax-exempt municipal bonds contributed to performance as well. The Fund’s exposure to the long end of the yield curve helped performance as the yield curve flattened substantially over the period (long-term rates fell much more than intermediate rates, while two-year rates rose). The Fund also benefited from its credit exposure as spreads generally tightened, especially in the tax-backed state and health care sectors. In addition, the Fund’s use of leverage amplified the positive effect of falling rates on performance.

 

Ÿ  

There were no detractors from performance on an absolute basis as all areas of the Fund’s investment universe appreciated during the period.

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

 

Fund Information      

Symbol on NYSE

   MJI

Initial Offering Date

   October 30, 1992

Yield on Closing Market Price as of January 31, 2015 ($14.91)1

   5.96%

Tax Equivalent Yield2

   11.57%

Current Monthly Distribution per Common Share3

   $0.074

Current Annualized Distribution per Common Share3

   $0.888

Economic Leverage as of January 31, 20154

   36%

 

  1   

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

 

  2   

Tax equivalent yield assumes the maximum 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 VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 5.

 

                
14    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


     BlackRock MuniYield New Jersey Quality Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary                                        
           
      1/31/15      7/31/14      Change      High      Low  

Market Price

     $14.91         $14.15         5.37%         $14.98         $13.75   

Net Asset Value

     $16.51         $15.61         5.77%         $16.51         $15.61   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments*      

 

Sector Allocation    1/31/15     7/31/14  

Transportation

     23     24

Education

     22        22   

State

     18        17   

County/City/Special District/School District

     13        12   

Health

     11        11   

Housing

     5        6   

Utilities

     4        4   

Corporate

     4        4   

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 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.

 

 

Credit Quality Allocation1    1/31/15     7/31/14  

AAA/Aaa

     5     6

AA/Aa

     50        51   

A

     38        36   

BBB/Baa

     7        7   

 

  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.

 

   
Call/Maturity Schedule2        

Calendar Year Ended December 31,

  

2015

     7

2016

     3   

2017

     7   

2018

     8   

2019

     7   

 

  2  

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

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    15


Fund Summary as of January 31, 2015    BlackRock MuniYield Pennsylvania Quality Fund

 

Fund Overview      

BlackRock MuniYield Pennsylvania Quality Fund’s (MPA) (the “Fund”) investment objective is to provide shareholders with as high a level of current income exempt from federal and Pennsylvania income taxes as is consistent with its investment policies and prudent investment management. The Fund seeks to achieve its investment objective by investing at least 80% of its assets in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Pennsylvania income taxes. Under normal market conditions, the Fund invests primarily in long-term municipal obligations that are investment grade quality at the time of investment. The Fund may invest directly in such securities or synthetically through the use of derivatives.

On December 5, 2014, the Boards of the Fund and BlackRock Pennsylvania Strategic Municipal Trust (“BPS”) approved the reorganization of BPS with and into the Fund, with the Fund continuing as the surviving fund after the reorganization. At a special shareholder meeting on March 12, 2015, the requisite shareholders of the Fund approved the reorganization of BPS with and into the Fund, which is expected to be completed in April 2015.

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

 

Performance      
Ÿ  

For the six-month period ended January 31, 2015, the Fund returned 12.17% based on market price and 7.63% based on NAV. For the same period, the closed-end Lipper Pennsylvania Municipal Debt Funds category posted an average return of 8.72% based on market price and 7.76% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

 

Ÿ  

Municipal bonds generally delivered positive performance during the six-month period, with yields declining as prices rose. In this environment, the Fund’s duration exposure (sensitivity to interest rate movements) contributed positively to performance. The Fund’s exposure to long-maturity bonds benefited performance given that the yield curve flattened, with rates falling more significantly in the 20- to 30-year maturity range than for bonds of other maturities. In addition, the Fund’s exposure to zero-coupon bonds, which outperformed current-coupon bonds, benefited returns. The income generated from coupon payments on the Fund’s portfolio of Pennsylvania tax-exempt bonds also contributed to performance. The Fund’s positions in the health care sector provided the largest total returns for the period. Leverage on the Fund’s assets amplified the positive effect of falling rates on performance.

 

Ÿ  

There were no detractors from performance on an absolute basis as all areas of the Fund’s investment universe appreciated during the period.

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

 

Fund Information      

Symbol on NYSE

   MPA

Initial Offering Date

   October 30, 1992

Yield on Closing Market Price as of January 31, 2015 ($15.11)1

   5.88%

Tax Equivalent Yield2

   10.72%

Current Monthly Distribution per Common Share3

   $0.074

Current Annualized Distribution per Common Share3

   $0.888

Economic Leverage as of January 31, 20154

   35%

 

  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 45.14%, 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 monthly distribution per Common Share, declared on March 2, 2015, was decreased to $0.0715 per share. The yield on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

  4   

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

 

                
16    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


     BlackRock MuniYield Pennsylvania Quality Fund

 

Market Price and Net Asset Value Per Share Summary      

 

      1/31/15      7/31/14      Change      High      Low  

Market Price

   $ 15.11       $ 13.89         8.78%       $ 15.27       $ 13.85   

Net Asset Value

   $ 16.46       $ 15.77         4.38%       $ 16.46       $ 15.77   

 

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

 

LOGO

 

Overview of the Fund’s Total Investments*      

 

Sector Allocation    1/31/15     7/31/14  

County/City/Special District/School District

     25     25

Health

     19        17   

State

     15        16   

Education

     14        10   

Transportation

     8        11   

Corporate

     7        8   

Utilities

     7        7   

Housing

     5        6   

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 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.

 

 

Credit Quality Allocation1    1/31/15     7/31/14  

AAA/Aaa

     1     1

AA/Aa

     71        74   

A

     21        19   

BBB/Baa

     6        6   

N/R2

     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  

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 advisor has deemed certain of these unrated securities as investment grade quality. As of January 31, 2015 and July 31, 2014, the market value of unrated securities deemed by the investment advisor to be investment grade was $560,965, representing less than 1%, and $539,850, representing less than 1%, respectively, of the Fund’s total investments.

   
Call/Maturity Schedule3        

Calendar Year Ended December 31,

  

2015

     12

2016

     10   

2017

     6   

2018

     12   

2019

     12   

 

  3  

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

 

  *   Excludes short-term securities.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    17


Schedule of Investments January 31, 2015 (Unaudited)

  

BlackRock MuniHoldings California Quality Fund, Inc. (MUC)

(Percentages shown are based on Net Assets)

Municipal Bonds   

Par  

(000)

    Value  

California — 117.4%

                

Corporate — 0.4%

  

 

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

   $ 2,435      $ 2,923,145   

County/City/Special District/School District — 33.9%

  

Centinela Valley Union High School District, GO, Election of 2010, Series A, 5.75%, 8/01/41

     9,100        11,108,643   

City of Garden Grove California, COP, Series A, Financing Project (AMBAC), 5.50%, 3/01/26

     4,040        4,056,766   

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

     3,500        4,120,795   

County of Los Angeles California Sanitation Districts Financing Authority, Refunding RB, (BHAC), 5.00%, 10/01/34

     7,915        8,178,253   

County of Orange California Sanitation District, COP, Series A, 5.00%, 2/01/35

     2,500        2,859,100   

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

     2,665        3,291,621   

County of Ventura California Community College District, GO, Election of 2002, Series C, 5.50%, 8/01/33

     5,060        5,860,037   

Culver City Redevelopment Finance Authority California, Refunding, Tax Allocation Bonds, Series A (AGM), 5.60%, 11/01/25

     3,750        3,765,863   

Foothill-De Anza Community College District, GO, Election of 2006, Series C, 5.00%, 8/01/40

     30,000        34,807,500   

Garden Grove Unified School District, GO, Election of 2010, Series C, 5.25%, 8/01/40

     5,500        6,577,615   

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

     2,000        2,492,340   

Kern Community College District, GO, Safety Repair & Improvements, Series C:

    

5.25%, 11/01/32

     5,715        6,948,411   

5.75%, 11/01/34

     12,085        15,254,412   

Los Alamitos Unified School District, GO, Refunding, School Facilities Improvement, Series E, 5.25%, 8/01/39

     3,700        4,443,663   

Los Rios Community College District, GO, Election of 2008, Series A, 5.00%, 8/01/35

     11,000        12,775,290   

Oxnard Union High School District, GO, Refunding, Election of 2004, Series A (AGM), 5.00%, 8/01/35

     10,000        11,343,800   

Redlands Unified School District California, GO, Election of 2008 (AGM), 5.25%, 7/01/33

     5,000        5,670,150   

Riverside Community College District, GO, Election of 2004, Series C (AGM), 5.00%, 8/01/32

     8,750        9,603,825   

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

     10,750        11,457,565   

San Diego Regional Building Authority, RB, County Operations Center & Annex, Series A, 5.50%, 2/01/29

     905        1,058,217   
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

                

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

  

San Francisco California Bay Area Rapid Transit District, Refunding RB, Series A (NPFGC), 5.00%, 7/01/30

   $ 21,600      $ 22,033,080   

San Jose California Financing Authority, LRB, Convention Center Expansion & Renovation Project, Series A:

    

5.75%, 5/01/36

     2,560        2,714,522   

5.75%, 5/01/42

     4,500        5,444,955   

San Jose California Financing Authority, Refunding LRB, Convention Center Expansion & Renovation Project, Series A, 5.00%, 6/01/39

     9,350        10,937,723   

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

     5,635        6,659,499   

West Contra Costa California Unified School District, GO:

    

Election of 2010, Series A (AGM), 5.25%, 8/01/41

     5,390        6,280,105   

Election of 2010, Series B, 5.50%, 8/01/39

     3,195        3,862,499   

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

     2,500        3,022,300   
    

 

 

 
               226,628,549   

Education — 3.6%

    

California Educational Facilities Authority, RB:

    

California Institute of Technology, 5.00%, 11/01/39

     2,000        2,318,880   

University of Southern California, Series A, 5.25%, 10/01/38

     2,300        2,627,796   

California Municipal Finance Authority, RB, Emerson College, 6.00%, 1/01/42

     2,750        3,280,915   

Gavilan Joint Community College District, GO, Election of 2004:

    

Series D, 5.50%, 8/01/31

     2,170        2,581,410   

Series D, 5.75%, 8/01/35

     8,400        10,101,756   

Series L, 5.00%, 5/15/36

     3,030        3,232,738   
    

 

 

 
               24,143,495   

Health — 17.0%

    

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

    

Series A, 6.00%, 8/01/30

     2,305        2,843,886   

Series B, 6.25%, 8/01/39

     6,305        7,507,300   

California Health Facilities Financing Authority, RB:

    

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

     8,620        9,757,754   

Kaiser Permanente, Series A, 5.25%, 4/01/39

     7,275        7,577,786   

Providence Health Services, Series B, 5.50%, 10/01/39

     4,130        4,842,673   

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

     7,500        8,064,675   

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

     9,655        11,694,522   

 

Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.      GO    General Obligation Bonds
AGM    Assured Guaranty Municipal Corp.      HFA    Housing Finance Agency
AMT    Alternative Minimum Tax (subject to)      IDA    Industrial Development Authority
ARB    Airport Revenue Bonds      IDB    Industrial Development Board
BARB    Building Aid Revenue Bonds      ISD    Independent School District
COP    Certificates of Participation      LRB    Lease Revenue Bonds
EDA    Economic Development Authority      NPFGC    National Public Finance Guarantee Corp.
ERB    Education Revenue Bonds      RB    Revenue Bonds
GARB    General Airport Revenue Bonds      S/F    Single-Family

See Notes to Financial Statements.

 

                
18    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

BlackRock MuniHoldings California Quality Fund, Inc. (MUC)

(Percentages shown are based on Net Assets)

Municipal Bonds   

Par  

(000)

    Value  

California (continued)

                

Health (concluded)

  

California Health Facilities Financing Authority, Refunding RB:

    

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

   $ 3,700      $ 4,398,893   

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

     10,970        12,971,038   

St. Joseph’s Health System, Series A, 5.00%, 7/01/37

     10,000        11,688,800   

Stanford Hospital, Series A-3, 5.50%, 11/15/40

     3,065        3,749,537   

California Health Facilities Financing Authority, Refunding, Stanford Hospital and Clinics, Series A-2, 5.25%, 11/15/40

     3,000        3,603,540   

California Statewide Communities Development Authority, RB, Kaiser Permanente, Series B, 5.25%, 3/01/45

     12,505        13,045,591   

California Statewide Communities Development Authority, Refunding RB:

    

Kaiser Permanente, Series C, 5.25%, 8/01/31

     2,500        2,661,200   

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

     6,235        7,045,550   

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

     1,625        2,014,886   
    

 

 

 
               113,467,631   

State — 10.3%

    

State of California, GO, Various Purposes:

    

6.00%, 3/01/33

     5,000        6,194,600   

6.00%, 4/01/38

     27,765        33,559,000   

State of California Public Works Board, LRB:

    

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

     3,670        4,494,832   

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

     2,015        2,493,039   

Various Capital Projects, Series I, 5.00%, 11/01/38

     5,780        6,751,040   

State of California Public Works Board, RB, California State Prisons, Series C, 5.75%, 10/01/31

     1,205        1,502,840   

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

     13,000        13,814,190   
    

 

 

 
               68,809,541   

Transportation — 20.0%

    

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

     9,650        11,564,946   

City & County of San Francisco California Airports Commission, Refunding ARB, AMT:

    

2nd Series 34E (AGM), 5.75%, 5/01/24

     5,000        5,664,300   

Series A, 5.00%, 5/01/29

     6,435        7,444,973   

City of Los Angeles California Department of Airports, ARB, Los Angeles International Airport, Senior Series D, 5.25%, 5/15/29

     2,590        3,063,400   

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

    

Senior, 5.00%, 5/15/40

     5,250        6,043,958   

5.25%, 5/15/39

     5,845        6,745,714   

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

    

5.25%, 3/01/23

     3,785        4,451,463   

6.25%, 3/01/34

     1,400        1,670,242   

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

     6,345        7,074,992   

County of Sacramento California, ARB:

    

Senior Series A (AGC), 5.50%, 7/01/41

     8,190        9,338,320   
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

                

Transportation (concluded)

    

County of Sacramento California, ARB (concluded):

    

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

   $ 2,650      $ 3,039,789   

Senior Series B, AMT (AGM), 5.75%, 7/01/28

     13,275        15,151,156   

Senior Series B, AMT (AGM), 5.25%, 7/01/33

     19,530        21,212,509   

County of San Bernardino California Transportation Authority, RB, Series A, 5.25%, 3/01/40

     4,545        5,509,904   

County of San Mateo California Transportation Authority, Refunding RB, Series A (NPFGC), 5.00%, 6/01/32

     10,000        10,159,300   

Los Angeles County Metropolitan Transportation Authority, RB, (AMBAC):

    

5.00%, 7/01/15 (a)

     7,525        7,678,961   

5.00%, 7/01/35

     1,475        1,505,857   

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

     5,530        6,431,003   
    

 

 

 
               133,750,787   

Utilities — 32.2%

    

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

     2,200        2,634,896   

Bay Area Toll Authority, RB, 5.00%, 10/01/54

     3,925        4,506,920   

City of Los Angeles California Department of Water & Power, Refunding RB, Series A, 5.25%, 7/01/39

     16,000        18,511,520   

City of Los Angeles California Wastewater System, Refunding RB, Sub-Series A, 5.00%, 6/01/28

     2,000        2,336,120   

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

     8,600        9,362,304   

City of San Francisco California Public Utilities Commission Water, RB, Series B, 5.00%, 11/01/30

     10,000        11,693,800   

County of Los Angeles California Public Works Financing Authority, Refunding LRB, Multiple Capital Projects II, 5.00%, 8/01/42

     3,095        3,552,905   

County of Sacramento California Sanitation Districts Financing Authority, RB, 5.00%, 12/01/36

     1,010        1,069,257   

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

     4,000        4,876,520   

East Bay California Municipal Utility District Water System Revenue, RB, Series A (NPFGC):

    

5.00%, 6/01/15 (a)

     8,830        8,974,812   

5.00%, 6/01/35

     3,000        3,050,370   

East Bay California Municipal Utility District Water System Revenue, Refunding RB:

    

Series A (NPFGC), 5.00%, 6/01/17 (a)

     10,000        11,002,000   

Series A (NPFGC), 5.00%, 6/01/17 (a)

     6,670        7,305,651   

Sub-Series A (AGM), 5.00%, 6/01/37

     11,190        12,256,407   

Sub-Series A (AMBAC), 5.00%, 6/01/17 (a)

     5,000        5,463,050   

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

     2,505        2,819,828   

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

     10,000        12,078,100   

Imperial Irrigation District, Refunding RB, Electric System, 5.13%, 11/01/38

     9,500        10,725,215   

Los Angeles County Public Works Financing Authority, Refunding RB, Series A, 5.00%, 12/01/44 (b)

     3,150        3,709,503   

Los Angeles Department of Water & Power, RB:

    

Series A, 5.38%, 7/01/38

     9,375        10,826,250   

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

     7,500        7,945,350   

Metropolitan Water District of Southern California, RB, Series A:

    

5.00%, 7/01/35

     12,870        13,139,240   

5.00%, 7/01/37

     5,000        5,485,750   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    19


Schedule of Investments (continued)

  

BlackRock MuniHoldings California Quality Fund, Inc. (MUC)

(Percentages shown are based on Net Assets)

Municipal Bonds   

Par  

(000)

    Value  

California (concluded)

                

Utilities (concluded)

    

Sacramento County Sanitation Districts Financing Authority, Refunding RB, Series A, 5.00%, 12/01/34

   $ 6,470      $ 7,809,161   

San Diego Public Facilities Financing Authority Sewer, Refunding RB, Senior Series A:

    

5.25%, 5/15/34

     1,060        1,231,010   

5.25%, 5/15/39

     10,000        11,581,600   

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

     8,000        9,440,000   

San Juan Water District, Refunding RB, San Juan & Citrus Heights, 5.25%, 2/01/33

     7,325        8,678,880   

Santa Monica Community College District, GO, Series B, 5.00%, 8/01/44

     2,500        2,972,200   
    

 

 

 
               215,038,619   
Total Municipal Bonds — 117.4%        784,761,767   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
 

California — 36.0%

                

County/City/Special District/School District — 17.3%

  

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

     14,520        16,506,191   

County of Alameda California Joint Powers Authority, Refunding LRB, (AGM), 5.00%, 12/01/34

     13,180        14,564,427   

Desert Community College District California, GO, Series C (AGM), 5.00%, 8/01/37

     16,530        18,039,850   

Foothill-De Anza Community College District, GO, Series C, 5.00%, 8/01/40

     10,000        11,602,500   

Los Angeles Community College District California, GO:

    

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

     6,647        7,384,313   

Election of 2001, Series E-1, 5.00%, 8/01/33

     11,770        13,540,208   

Election of 2003, Series F-1, 5.00%, 8/01/33

     10,000        11,504,000   

Los Angeles Community College District California, GO, Refunding, Election of 2008, Series C, 6.00%, 8/01/33 (a)

     9,596        11,823,706   

Poway Unified School District, GO, Election of 2002, Improvement District 02, Series 1-B (AGM), 5.00%, 8/01/30

     10,000        10,706,000   
    

 

 

 
               115,671,195   

Education — 7.5%

    

Riverside Community College District, GO, Election of 2004, Series C (NPFGC), 5.00%, 8/01/32

     8,910        9,779,438   

Municipal Bonds Transferred to
Tender Option Bond Trusts (c)

  

Par  

(000)

    Value  

California (concluded)

                

Education (concluded)

    

University of California, RB:

    

5.25%, 5/15/44

   $ 10,210      $ 12,383,300   

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

     8,000        8,535,280   

Series O, 5.75%, 5/15/34

     11,190        13,269,214   

University of California, Refunding RB, 5.00%, 5/15/39

     5,000        5,853,100   
    

 

 

 
               49,820,332   

Health — 3.2%

    

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

     19,070        21,595,249   

Utilities — 8.0%

    

County of San Diego California Water Authority, COP, Refunding, Series A (AGM), 5.00%, 5/01/33

     16,740        18,679,831   

East Bay California Utility District, 5.00%, 6/01/44

     11,000        13,155,340   

East Bay Municipal Utility District, Refunding RB, Sub-Series A (AMBAC), 5.00%, 6/01/37

     14,510        15,877,713   

Rancho Water District Financing Authority, Refunding RB, Series A (AGM), 5.00%, 8/01/34

     5,008        5,651,280   
    

 

 

 
               53,364,164   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 36.0%
        240,450,940   

Total Long-Term Investments

(Cost — $935,833,217) — 153.4%

  

  

    1,025,212,707   
    
                  
Short-Term Securities    Shares         

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

     1,420,771        1,420,771   

Total Short-Term Securities

(Cost — $1,420,771) — 0.2%

  

  

    1,420,771   
Total Investments (Cost — $937,253,988) — 153.6%        1,026,633,478   
Other Assets Less Liabilities — 0.8%        5,120,873   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (16.4%)

   

    (109,310,471
VMTP Shares, at Liquidation Value — (38.0%)        (254,000,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 668,443,880   
 

 

 

 

 

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

 

Counterparty      Value        Unrealized
Appreciation
 

Citigroup Global Markets, Inc.

     $ 3,709,503         $ 49,908   

 

(c)   Represent bonds transferred to a TOB. In exchange for which the Fund received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

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

 

See Notes to Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (concluded)

  

BlackRock MuniHoldings California Quality Fund, Inc. (MUC)

 

(e)   During the six months ended January 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at July 31,
2014
       Net
Activity
       Shares Held
at January 31,
2015
       Income      Realized
Gains
 

BIF California Municipal Money Fund

       2,207,320           (786,549        1,420,771              $ 136   

 

Ÿ  

As of January 31, 2015, financial futures contracts outstanding were as follows:

 

Contracts
Short
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (500   10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 65,437,500      $ (1,630,915

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 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.

 

Ÿ  

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 statement purposes. 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 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. The three levels of the fair value hierarchy are as follows:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

  Ÿ  

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)

 

  Ÿ  

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)

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. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of January 31, 2015, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Municipal Bonds1

            $ 1,025,212,707              $ 1,025,212,707   

Short-Term Securities

  $ 1,420,771                          1,420,771   
 

 

 

 

Total

  $ 1,420,771         $ 1,025,212,707              $ 1,026,633,478   
 

 

 

 

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

  $ (1,630,915                     $ (1,630,915

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

       

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of January 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 678,000                        $ 678,000   

Liabilities:

                

TOB trust certificates

            $ (109,286,444             (109,286,444

VMTP Shares

              (254,000,000             (254,000,000
 

 

 

 

Total

  $ 678,000         $ (363,286,444           $ (362,608,444
 

 

 

 

During the six months ended January 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    21


Schedule of Investments January 31, 2015 (Unaudited)

  

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

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

New Jersey — 134.7%

                

Corporate — 1.5%

  

 

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

    

Series A, 5.70%, 10/01/39

   $ 2,500      $ 2,916,475   

Series B, 5.60%, 11/01/34

     2,150        2,469,942   
    

 

 

 
               5,386,417   

County/City/Special District/School District — 20.3%

  

Borough of Hopatcong New Jersey, GO, Refunding, Sewer (AMBAC), 4.50%, 8/01/33

     2,690        2,770,888   

Casino Reinvestment Development Authority, Refunding RB, 5.25%, 11/01/39

     7,880        8,783,048   

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

    

5.00%, 7/01/32

     4,605        4,881,346   

5.00%, 7/01/33

     1,395        1,477,361   

5.00%, 7/01/37

     1,470        1,546,881   

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

    

5.50%, 10/01/28

     4,840        6,522,287   

5.50%, 10/01/27

     250        335,198   

County of Hudson New Jersey Improvement Authority, RB:

    

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

     750        806,002   

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

     2,000        2,269,700   

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

     3,600        4,114,260   

County of Middlesex New Jersey Improvement Authority, RB, Senior Citizens Housing Project, AMT (AMBAC), 5.50%, 9/01/30

     500        501,935   

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

    

5.35%, 12/01/17

     5        5,021   

5.38%, 12/01/18

     5        5,021   

County of Union New Jersey, GO, Refunding:

    

4.00%, 3/01/29

     2,590        2,829,445   

4.00%, 3/01/30

     2,590        2,820,251   

4.00%, 3/01/31

     2,925        3,176,404   

County of Union New Jersey Utilities Authority, Refunding RB, Series A:

    

Resources Recovery Facility, Covanta Union, Inc., AMT, 5.25%, 12/01/31

     450        507,695   

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

     5,415        6,149,924   

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

    

4.25%, 3/01/34

     1,235        1,360,550   

4.25%, 3/01/35

     1,300        1,431,508   

4.30%, 3/01/36

     1,370        1,512,699   

Morristown Parking Authority, RB, (NPFGC):

    

5.00%, 8/01/30

     1,830        1,996,329   

5.00%, 8/01/33

     3,000        3,264,720   

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

    

5.50%, 3/01/21

     5,890        7,342,356   

5.50%, 3/01/22

     3,150        4,001,413   

Township of Irvington, GO, Refunding Series A (AGM), 5.00%, 7/15/33

     1,200        1,387,788   
    

 

 

 
               71,800,030   

Education — 29.1%

    

New Jersey EDA, LRB, Rutgers - The State University of New Jersey, College Avenue Redevelopment Project, 5.00%, 6/15/33

     2,185        2,589,968   
Municipal Bonds    Par  
(000)
    Value  

New Jersey (continued)

                

Education (concluded)

  

New Jersey Educational Facilities Authority, RB:

    

Higher Educational Capital Improvement Fund, Series A, 5.00%, 9/01/26

   $ 2,300      $ 2,662,687   

Higher Educational Capital Improvement Fund, Series A, 5.00%, 9/01/33

     4,310        4,888,876   

Montclair State University, Series A (AMBAC), 5.00%, 7/01/16 (b)

     1,200        1,279,464   

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

     2,880        3,067,286   

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

     2,625        2,770,897   

New Jersey Educational Facilities Authority, Refunding RB:

    

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

     9,740        10,853,185   

Montclair State University, Series A, 5.00%, 7/01/39

     11,055        13,116,647   

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

     3,775        3,860,655   

Montclaire State University, Series A, 5.00%, 7/01/44

     2,520        2,987,636   

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

     3,000        3,432,690   

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

     1,250        1,288,538   

Seton Hall University, Series D, 5.00%, 7/01/38

     360        412,492   

Seton Hall University, Series D, 5.00%, 7/01/43

     430        492,526   

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

     2,800        2,999,024   

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

     900        966,330   

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

     250        279,910   

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

     4,000        4,408,520   

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

    

4.00%, 12/01/28

     790        825,337   

4.50%, 12/01/28

     3,380        3,671,288   

4.00%, 12/01/29

     4,140        4,295,126   

4.00%, 12/01/29

     710        742,504   

4.50%, 12/01/29

     4,150        4,515,158   

4.63%, 12/01/30

     4,080        4,446,017   

4.00%, 12/01/31

     1,335        1,380,096   

4.25%, 12/01/32

     1,460        1,529,233   

4.13%, 12/01/35

     710        733,899   

4.50%, 12/01/36

     1,280        1,369,472   

New Jersey Higher Education Student Assistance Authority, Refunding RB, Series 1, AMT, 5.38%, 12/01/24

     1,500        1,717,560   

New Jersey Institute of Technology, RB, Series A, 5.00%, 7/01/42

     5,045        5,802,053   

Rutgers - The State University of New Jersey, Refunding RB, Series L:

    

5.00%, 5/01/30

     1,100        1,316,568   

5.00%, 5/01/43

     7,150        8,301,650   
    

 

 

 
               103,003,292   

Health — 19.0%

  

County of Camden Improvement Authority, Refunding RB, The Cooper Health Systen, Series A, 5.00%, 2/15/33

     1,420        1,620,476   

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


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)

                

Health (concluded)

  

New Jersey Health Care Facilities Financing Authority, RB:

    

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

   $ 10,775      $ 11,104,176   

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

     720        775,440   

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

     6,050        6,515,850   

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

     3,800        4,092,600   

Robert Wood Johnson University Hospital, Series A, 5.50%, 7/01/43

     4,885        5,855,942   

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

     3,035        3,454,528   

New Jersey Health Care Facilities Financing Authority, Refunding RB:

    

5.00%, 7/01/28

     2,130        2,545,819   

5.00%, 7/01/29

     510        608,211   

5.50%, 7/01/31

     2,880        3,444,134   

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

     3,080        3,721,687   

Catholic Health East Issue, 5.00%, 11/15/33

     1,375        1,590,531   

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

     1,500        1,622,055   

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

     5,480        5,936,539   

Meridian Health System Obligated Group, 5.00%, 7/01/25

     700        818,097   

Meridian Health System Obligated Group, 5.00%, 7/01/26

     1,590        1,848,884   

St. Barnabas Health Care System, Series A, 5.00%, 7/01/24

     1,820        2,102,300   

St. Barnabas Health Care System, Series A, 5.63%, 7/01/32

     4,010        4,699,560   

St. Barnabas Health Care System, Series A, 5.63%, 7/01/37

     3,560        4,128,924   

St. Luke’s Warren Hospital Obligated Group, 4.00%, 8/15/37

     440        452,839   
    

 

 

 
               66,938,592   

Housing — 6.9%

  

New Jersey Housing & Mortgage Finance Agency, RB:

    

Capital Fund Program, Series A (AGM), 5.00%, 5/01/27

     4,800        5,206,032   

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

     3,575        3,772,411   

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

     935        944,789   

S/F Housing, Series AA, 6.50%, 10/01/38

     775        805,814   

S/F Housing, Series B, 4.50%, 10/01/30

     6,735        7,332,799   

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

    

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

     2,400        2,562,648   

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

     3,015        3,198,222   

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

     580        593,294   
    

 

 

 
               24,416,009   

State — 29.4%

  

Garden State Preservation Trust, RB:

    

CAB, Series B (AGM), 0.00%, 11/01/23 (c)

     9,000        7,454,970   

CAB, Series B (AGM), 0.00%, 11/01/25 (c)

     10,000        7,700,400   

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

     1,960        2,043,437   

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

     2,730        2,846,216   

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

    

5.25%, 11/01/20

     5,000        6,081,250   

5.25%, 11/01/21

     7,705        9,541,564   
Municipal Bonds    Par  
(000)
    Value  

New Jersey (continued)

                

State (concluded)

  

New Jersey EDA, RB:

    

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

   $ 2,670      $ 2,680,867   

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

     1,785        2,214,132   

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

     4,000        4,999,360   

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

     7,500        9,431,625   

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

     11,105        11,316,106   

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

     2,775        3,313,350   

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

     25        29,317   

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

     7,000        7,029,400   

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

     1,770        1,926,061   

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

     705        767,160   

School Facilities Construction, Series UU, 5.00%, 6/15/30

     4,250        4,802,755   

School Facilities Construction, Series UU, 5.00%, 6/15/34

     985        1,102,186   

School Facilities Construction, Series UU, 5.00%, 6/15/40

     2,440        2,719,941   

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

     3,000        3,348,120   

New Jersey EDA, Refunding RB:

    

Cigarette Tax, 5.00%, 6/15/26

     895        1,018,089   

Cigarette Tax, 5.00%, 6/15/28

     1,520        1,713,602   

Cigarette Tax, 5.00%, 6/15/29

     2,000        2,250,140   

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

     1,000        1,241,020   

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

     4,500        5,052,510   

State of New Jersey, COP, Equipment Lease Purchase, Series A, 5.25%, 6/15/27

     1,080        1,218,856   
    

 

 

 
               103,842,434   

Transportation — 24.2%

    

Delaware River Port Authority, RB:

    

5.00%, 1/01/29

     1,250        1,494,025   

5.00%, 1/01/37

     4,465        5,231,640   

Series D (AGM), 5.00%, 1/01/40

     3,700        4,204,532   

New Jersey EDA, RB, Private Activity Bond, The Goethals Bridge Replacement Project, AMT:

    

5.13%, 1/01/34

     1,630        1,827,409   

5.38%, 1/01/43

     5,495        6,175,336   

New Jersey State Turnpike Authority, RB, Growth & Income Securities, Series B (AMBAC), 5.15%, 1/01/35 (d)

     7,615        8,155,360   

New Jersey State Turnpike Authority, Refunding RB:

    

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

     2,500        3,175,300   

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

     2,000        2,574,960   

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

     4,000        5,188,360   

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

     500        650,495   

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

     255        269,724   

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

     210        222,125   

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

     305        322,611   

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

     605        639,213   

New Jersey Transportation Trust Fund Authority, RB:

    

CAB, Transportation System, Series C (AMBAC), 0.00%, 12/15/36 (c)

     7,210        2,764,819   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    23


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)

  

New Jersey Transportation Trust Fund Authority, RB (concluded):

    

CAB, Transportation System, Series A, 0.00%, 12/15/35 (c)

   $ 6,000      $ 2,336,160   

CAB, Transportation System, Series C (AGM), 0.00%, 12/15/32 (c)

     4,050        1,916,460   

CAB, Transportation System, Series C (AMBAC), 0.00%, 12/15/35 (c)

     1,400        560,910   

Transportation Program, Series AA, 5.00%, 6/15/33

     2,150        2,378,567   

Transportation Program, Series AA, 5.25%, 6/15/33

     4,050        4,661,995   

Transportation Program, Series AA, 5.00%, 6/15/38

     1,660        1,843,463   

Transportation System, Series A, 6.00%, 6/15/35

     4,365        5,363,450   

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

     1,205        1,521,566   

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

     2,000        2,340,280   

Transportation System, Series B, 5.50%, 6/15/31

     765        900,428   

Transportation System, Series B, 5.25%, 6/15/36

     1,775        1,986,527   

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

    

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

     3,000        3,009,480   

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

     1,500        1,546,365   

Series 8, 6.00%, 12/01/42

     2,500        2,972,325   

Port Authority of New York & New Jersey, Refunding ARB, AMT:

    

178th Series, 5.00%, 12/01/33

     2,850        3,303,834   

Consolidated, 152nd Series, 5.75%, 11/01/30

     5,175        5,863,585   
    

 

 

 
               85,401,304   

Utilities — 4.3%

    

County of Essex New Jersey Utilities Authority, Refunding RB, (AGC), 4.13%, 4/01/22

     1,330        1,460,127   

North Hudson Sewerage Authority, Refunding RB, Series A (NPFGC), 5.13%, 8/01/20 (a)

     4,335        5,275,608   

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

    

0.00%, 9/01/28

     6,600        4,219,512   

0.00%, 9/01/29

     6,900        4,237,911   
    

 

 

 
               15,193,158   
Total Municipal Bonds in New Jersey              475,981,236   
    

Guam — 1.0%

                

State — 1.0%

  

Territory of Guam, RB, Business Privilege Tax Bonds:

    

Series A, 5.25%, 1/01/36

     305        347,996   

Series A, 5.13%, 1/01/42

     2,500        2,819,675   

Series B-1, 5.00%, 1/01/37

     395        442,190   
Total Municipal Bonds in Guam              3,609,861   
    

Puerto Rico — 0.5%

                

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        1,790,933   
    
Municipal Bonds    Par  
(000)
    Value  

U.S. Virgin Islands — 1.1%

                

State — 1.1%

  

 

Virgin Islands Public Finance Authority, Refunding RB, Series C, 5.00%, 10/01/39

   $ 3,360      $ 3,758,563   
Total Municipal Bonds — 137.3%              485,140,593   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
 

New Jersey — 18.8%

                

County/City/Special District/School District — 4.0%

  

County of Union New Jersey Utilities Authority, Refunding LRB, Resource Recovery Facility, Covanta Union, Inc., Series A, AMT, 5.25%, 12/01/31

     12,370        13,955,958   

Education — 0.3%

    

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

     990        1,128,171   

State — 4.9%

    

Garden State Preservation Trust, RB, Election of 2005, Series A (AGM), 5.75%, 11/01/28

     9,160        11,919,084   

New Jersey EDA, Refunding RB, 5.00%, 3/01/29 (f)

     4,780        5,367,023   
    

 

 

 
               17,286,107   

Transportation — 9.6%

    

New Jersey State Turnpike Authority, RB, Series A, 5.00%, 1/01/38 (f)

     5,200        5,950,256   

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

     1,900        2,126,861   

Port Authority of New York & New Jersey, ARB, Consolidated, 163rd Series, AMT, 5.00%, 7/15/39

     11,456        13,205,450   

Port Authority of New York & New Jersey, RB, Consolidated, 169th Series, AMT, 5.00%, 10/15/41

     5,500        6,121,280   

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

     5,998        6,657,450   
    

 

 

 
               34,061,297   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 18.8%
        66,431,533   

Total Long-Term Investments

(Cost — $495,844,589) — 156.1%

  

  

    551,572,126   
    
   
Short-Term Securities    Shares         

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

     1,694,553        1,694,553   

Total Short-Term Securities

(Cost — $1,694,553) — 0.5%

  

  

    1,694,553   
Total Investments (Cost — $497,539,142) — 156.6%        553,266,679   
Other Assets Less Liabilities — 2.1%        7,459,986   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (9.8%)

   

    (34,706,225
VRDP Shares, at Liquidation Value — (48.9%)        (172,700,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 353,320,440   
 

 

 

 

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

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

 

Notes to Schedule of investments

 

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

 

(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.

 

(c)   Zero-coupon bond.

 

(d)   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.

 

(e)   Represent bonds transferred to a TOB. In exchange for which the Fund received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(f)   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 agreement, which expires on June 15, 2019 to September 1, 2020 is $8,818,272.

 

(g)   During the six months ended January 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1904 Act, were as follows:

 

Affiliate      Shares Held
at July 31,
2014
       Net
Activity
       Shares Held
at January 31,
2015
       Income       

Realized

Gains

 

BIF New Jersey Municipal Money Fund

       4,710,150           (3,015,597        1,694,553                   $ 999   

 

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

 

Ÿ  

As of January 31, 2015, Financial futures contracts outstanding were as follows:

 

Contracts
Short
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (330   10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 43,188,750      $ (1,137,010
  (70   5-Year U.S. Treasury Note   Chicago Board of Trade   March 2015     8,494,063        (146,114
  Total              $ (1,283,124
         

 

 

 

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 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.

 

Ÿ  

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 statement purposes. 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 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. The three levels of the fair value hierarchy are as follows:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

  Ÿ  

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)

 

  Ÿ  

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)

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. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of January 31, 2015, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Municipal Bonds1

            $ 551,572,126                   $ 551,572,126   

Short-Term Securities

  $ 1,694,553                               1,694,553   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 1,694,553         $ 551,572,126                   $ 553,266,679   
 

 

 

      

 

 

      

 

 

      

 

 

 

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

  $ (1,283,124                          $ (1,283,124

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

       

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    25


Schedule of Investments (concluded)

  

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

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of January 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 511,000                             $ 511,000   

Liabilities:

                

TOB trust certificates

            $ (34,699,311                  (34,699,311

VRDP Shares

              (172,700,000                  (172,700,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 511,000         $ (207,399,311                $ (206,888,311
 

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended January 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments January 31, 2015 (Unaudited)

  

BlackRock MuniYield Investment Quality Fund (MFT)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

Alabama — 5.4%

  

 

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

    

6.13%, 6/01/34

   $ 1,500      $ 1,769,400   

6.00%, 6/01/39

     2,985        3,511,076   

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

     350        395,476   

Mobile Board of Water & Sewer Commissioners, RB, (NPFGC), 5.00%, 1/01/16 (a)

     1,500        1,566,240   
    

 

 

 
               7,242,192   

California — 20.3%

    

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

     1,960        2,239,339   

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 6.00%, 8/15/42

     1,150        1,392,926   

City & County of San Francisco California Airports Commission, Refunding ARB, 2nd Series A, AMT:

    

5.50%, 5/01/28

     720        879,948   

5.25%, 5/01/33

     560        658,644   

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

    

5.50%, 3/01/30

     1,600        1,834,368   

6.25%, 3/01/34

     1,250        1,491,288   

County of Sacramento California, ARB, Senior Series A (AGC), 5.50%, 7/01/41

     1,400        1,596,294   

Kern Community College District, GO, Safety, Repair & Improvement, Election of 2002, Series C, 5.50%, 11/01/33

     970        1,197,455   

Los Angeles Community College District California, GO, Election of 2001, Series A (NPFGC), 5.00%, 8/01/17 (a)

     2,780        3,088,163   

Redondo Beach Unified School District, GO, Election of 2008, Series E, 5.50%, 8/01/34

     1,000        1,198,880   

San Diego Public Facilities Financing Authority Water, Refunding RB, Series B (AGC), 5.38%, 8/01/34

     1,020        1,193,665   

State of California, GO, Refunding, Various Purposes, 5.00%, 11/01/43

     1,000        1,174,780   

State of California, GO, Various Purposes (AGC), 5.50%, 11/01/39

     3,450        4,072,000   

State of California Public Works Board, LRB, Various Capital Projects, Series I, 5.50%, 11/01/31

     1,000        1,239,810   

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

     490        588,500   

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

     370        456,673   

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

     2,235        2,681,508   
    

 

 

 
               26,984,241   

Colorado — 2.0%

    

City & County of Denver Colorado Airport System, ARB, Series A, AMT:

    

5.50%, 11/15/28

     500        604,325   

5.50%, 11/15/30

     225        270,295   

5.50%, 11/15/31

     270        323,657   

Colorado Health Facilities Authority, RB, Hospital, NCMC, Inc. Project, Series B (AGM), 6.00%, 5/15/26

     1,300        1,494,753   
    

 

 

 
               2,693,030   

Florida — 11.5%

    

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

     270        323,814   

County of Hillsborough Florida Aviation Authority, Refunding ARB, Tampa International Airport, Series A, AMT, 5.50%, 10/01/29

     1,170        1,397,694   
Municipal Bonds    Par  
(000)
    Value  

Florida (concluded)

    

County of Lee Florida, Refunding ARB, Series A, AMT, 5.38%, 10/01/32

   $ 1,000      $ 1,132,170   

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

     105        107,042   

County of Miami-Dade Florida, RB, Seaport:

    

Department, Series B, AMT, 6.00%, 10/01/26

     590        747,270   

Department, Series B, AMT, 6.00%, 10/01/27

     775        971,129   

Department, Series B, AMT, 6.25%, 10/01/38

     310        389,087   

Department, Series B, AMT, 6.00%, 10/01/42

     410        501,159   

Series A, 6.00%, 10/01/38

     1,840        2,283,955   

Series A, 5.50%, 10/01/42

     2,125        2,515,341   

County of Miami-Dade Florida, Refunding RB:

    

Seaport, Series D, AMT, 6.00%, 10/01/26

     735        930,922   

Water & Sewer System, Series B, 5.25%, 10/01/29

     500        607,425   

County of Miami-Dade Florida Aviation, Refunding ARB, Series A, AMT, 5.00%, 10/01/31

     2,165        2,473,946   

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

     710        848,408   
    

 

 

 
               15,229,362   

Hawaii — 1.0%

  

 

State of Hawaii, Department of Transportation, COP, AMT:

    

5.25%, 8/01/25

     250        302,015   

5.25%, 8/01/26

     810        972,065   
    

 

 

 
               1,274,080   

Illinois — 22.6%

  

 

City of Chicago Illinois, GARB, O’Hare International Airport, 3rd Lien:

    

Series A, 5.75%, 1/01/39

     770        911,072   

Series C, 6.50%, 1/01/41

     3,680        4,503,326   

City of Chicago Illinois, GO, Refunding, Series A:

    

Project, 5.25%, 1/01/33

     570        619,869   

5.25%, 1/01/29

     1,000        1,097,690   

City of Chicago Illinois, Refunding RB, Sales Tax, Series A, 5.25%, 1/01/38

     525        591,313   

City of Chicago Illinois Midway International Airport, Refunding ARB, 2nd Lien, Series A, AMT, 5.00%, 1/01/41

     385        430,472   

City of Chicago Illinois Transit Authority, RB:

    

Federal Transit Administration, Section 5309, Series A (AGC), 6.00%, 6/01/26

     1,400        1,637,398   

Sales Tax Receipts, 5.25%, 12/01/36

     1,000        1,160,200   

Sales Tax Receipts, 5.00%, 12/01/44

     1,830        2,143,076   

City of Chicago Illinois Transit Authority, Refunding RB, Federal Transit Administration, Section 5309 (AGM), 5.00%, 6/01/28

     3,000        3,338,280   

City of Chicago Illinois Wastewater Transmission, RB, 2nd Lien, 5.00%, 1/01/42

     1,375        1,538,364   

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

    

5.50%, 12/01/38

     1,500        1,783,980   

5.25%, 12/01/43

     2,700        3,136,509   

Illinois Finance Authority, RB, Carle Foundation, Series A, 6.00%, 8/15/41

     1,555        1,837,295   

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     940        1,124,607   

6.00%, 6/01/28

     270        323,355   

State of Illinois, GO:

    

5.25%, 2/01/31

     585        657,230   

5.25%, 2/01/32

     1,000        1,118,580   

5.50%, 7/01/33

     1,500        1,717,095   

5.50%, 7/01/38

     280        318,553   
    

 

 

 
               29,988,264   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    27


Schedule of Investments (continued)

  

BlackRock MuniYield Investment Quality Fund (MFT)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

Indiana — 4.0%

  

 

Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges East End Crossing Project, Series A, AMT, 5.00%, 7/01/40

   $ 375      $ 411,971   

Indianapolis Local Public Improvement Bond Bank, Refunding RB, Waterworks Project, Series A (AGC), 5.50%, 1/01/38

     4,310        4,907,323   
    

 

 

 
               5,319,294   

Louisiana — 3.0%

    

City of New Orleans Louisiana Aviation Board, Refunding GARB, Restructuring (AGC):

    

Series A-1, 6.00%, 1/01/23

     375        440,089   

Series A-2, 6.00%, 1/01/23

     160        186,971   

Lake Charles Harbor & Terminal District, RB, Series B, AMT, 5.50%, 1/01/29

     1,000        1,178,070   

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, 5.00%, 10/01/37

     1,105        1,308,618   

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

     805        890,185   
    

 

 

 
               4,003,933   

Maryland — 0.2%

    

Maryland Health & Higher Educational Facilities Authority, Refunding RB, 5.00%, 7/01/45 (b)

     195        225,923   

Massachusetts — 2.3%

  

Massachusetts Educational Financing Authority, RB, Education Loan, Issue I, AMT, 5.00%, 1/01/26

     880        1,012,889   

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

     1,910        2,025,784   
    

 

 

 
               3,038,673   

Michigan — 2.7%

    

City of Detroit Michigan Water Supply System, RB, 2nd Lien, Series B (AGM), 6.25%, 7/01/36

     1,800        2,017,422   

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

     1,265        1,597,480   
    

 

 

 
               3,614,902   

Minnesota — 2.7%

    

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

     3,000        3,552,480   

Mississippi — 1.4%

    

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

     1,190        1,599,015   

Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Improvement Project, 5.25%, 8/01/38

     260        308,984   
    

 

 

 
               1,907,999   

Nevada — 4.2%

    

County of Clark Nevada, ARB, Las Vegas-McCarran International Airport, Series A (AGM), 5.25%, 7/01/39

     2,375        2,719,304   

County of Clark Nevada, GO, Limited Tax, 5.00%, 6/01/38

     1,000        1,109,810   

County of Clark Nevada Water Reclamation District, GO, Series A, 5.25%, 7/01/34

     1,500        1,734,810   
    

 

 

 
               5,563,924   

New Jersey — 6.3%

    

New Jersey EDA, RB:

    

Private Activity Bond, The Goethals Bridge Replacement Project, AMT, 5.38%, 1/01/43

     1,000        1,123,810   
Municipal Bonds    Par  
(000)
    Value  

New Jersey (concluded)

    

New Jersey EDA, RB (concluded):

    

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

   $ 980      $ 1,170,120   

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

     20        23,454   

School Facilities Construction, Series UU, 5.00%, 6/15/40

     585        652,117   

The Goethals Bridge Replacement Project, AMT (AGM), 5.00%, 1/01/31

     530        600,426   

New Jersey Health Care Facilities Financing Authority, RB, Virtua Health, Series A (AGC), 5.50%, 7/01/38

     1,400        1,593,522   

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

    

Series A, 5.50%, 6/15/41

     1,195        1,377,620   

Series AA, 5.50%, 6/15/39

     1,600        1,865,872   
    

 

 

 
               8,406,941   

New York — 7.0%

    

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 6/15/40

     1,545        1,811,327   

City of New York New York Transitional Finance Authority, BARB, Fiscal 2015, Series S-1, 5.00%, 7/15/43

     270        318,992   

City of New York New York Transitional Finance Authority Building Aid, BARB, Fiscal 2009, Series S-4 (AGC), 5.50%, 1/15/29

     2,000        2,332,800   

New York State Dormitory Authority, Refunding RB, Series C, 5.00%, 3/15/42

     1,590        1,865,722   

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 166th Series, 5.25%, 7/15/36

     2,500        2,916,000   
    

 

 

 
               9,244,841   

Ohio — 1.4%

    

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

     1,500        1,797,585   

Pennsylvania — 1.6%

    

Pennsylvania Turnpike Commission, RB, Sub-Series A, 6.00%, 12/01/41

     2,000        2,163,500   

South Carolina — 4.9%

    

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

     1,470        1,778,186   

County of Charleston South Carolina Airport District, ARB, Series A, AMT:

    

5.50%, 7/01/26

     1,810        2,198,498   

6.00%, 7/01/38

     1,155        1,399,594   

5.50%, 7/01/41

     1,000        1,175,810   
    

 

 

 
               6,552,088   

Texas — 19.6%

    

Austin Community College District Public Facility Corp., RB, Educational Facilities Project, Round Rock Campus, 5.25%, 8/01/33

     2,250        2,539,823   

Central Texas Turnpike System, Refunding RB, Series C (b):

    

5.00%, 8/15/37

     650        740,955   

5.00%, 8/15/42

     305        346,608   

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

     930        1,104,933   

City of Frisco Texas ISD, GO, School Building (AGC), 5.50%, 8/15/41

     1,210        1,445,708   

City of Houston Texas Utility System, Refunding RB, Combined 1st Lien, Series A (AGC):

    

6.00%, 11/15/35

     2,700        3,247,236   

6.00%, 11/15/36

     2,055        2,460,061   

5.38%, 11/15/38

     1,000        1,152,970   

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

BlackRock MuniYield Investment Quality Fund (MFT)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

Texas (concluded)

    

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Christus Health, Series A (AGC):

    

6.50%, 1/01/19 (a)

   $ 265      $ 320,539   

6.50%, 7/01/37

     835        968,082   

Dallas-Fort Worth International Airport, ARB, Joint Improvement, Series H, AMT, 5.00%, 11/01/37

     980        1,093,249   

Dallas-Fort Worth International Airport, Refunding RB, Joint Revenue, Series E, 5.50%, 11/01/27

     2,500        3,082,150   

Lower Colorado River Authority, Refunding RB, 5.50%, 5/15/33

     730        886,351   

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

     2,750        3,314,107   

North Texas Tollway Authority, Refunding RB, 1st Tier:

    

(AGM), 6.00%, 1/01/43

     1,000        1,195,090   

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

     1,400        1,618,120   

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

     420        500,354   
    

 

 

 
               26,016,336   

Virginia — 1.2%

    

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

     380        436,111   

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

     1,000        1,214,890   
    

 

 

 
               1,651,001   

Washington — 1.5%

    

City of Seattle Washington Municipal Light & Power, Refunding RB, Series A, 5.25%, 2/01/36

     1,000        1,170,630   

State of Washington, GO, Various Purposes, Series B, 5.25%, 2/01/36

     725        859,190   
    

 

 

 
               2,029,820   
Total Municipal Bonds — 126.8%              168,500,409   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
 

District of Columbia — 0.7%

    

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 6.00%, 10/01/18 (a)(d)

     760        903,632   

Florida — 2.3%

    

County of Hillsborough Florida Aviation Authority, ARB, Tampa International Airport, Series A, AMT (AGC), 5.50%, 10/01/38

     2,499        2,819,352   

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

     206        210,731   
    

 

 

 
               3,030,083   

Kentucky — 0.9%

    

Kentucky State Property & Building Commission, Refunding RB, Project No. 93 (AGC), 5.25%, 2/01/27

     1,002        1,159,304   

Nevada — 7.2%

    

County of Clark Nevada Water Reclamation District, GO:

    

Limited Tax, 6.00%, 7/01/38

     2,010        2,341,489   

Series B, 5.50%, 7/01/29

     1,994        2,353,590   

Las Vegas Valley Water District, GO, Refunding, Series C, 5.00%, 6/01/28

     4,200        4,920,594   
    

 

 

 
               9,615,673   
Municipal Bonds Transferred to
Tender Option Bond Trusts (c)
   Par  
(000)
    Value  

New Jersey — 2.2%

    

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

   $ 1,610      $ 1,744,130   

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

     1,000        1,119,401   
    

 

 

 
               2,863,531   

New York — 12.4%

    

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

    

Series BB, 5.25%, 6/15/44

     2,999        3,510,440   

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

     1,095        1,283,584   

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

     1,000        1,134,812   

Hudson Yards Infrastructure Corp., RB, Fiscal 2012, Series A, 5.75%, 2/15/47 (d)

     1,000        1,175,617   

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

     3,000        3,530,490   

New York Liberty Development Corp., Refunding RB, 4 World Trade Center Project, 5.75%, 11/15/51 (d)

     1,770        2,112,566   

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

     3,250        3,736,233   
    

 

 

 
               16,483,742   

Texas — 2.3%

    

City of San Antonio Texas Public Service Board, Refunding RB, Series A, 5.25%, 2/01/31 (d)

     2,609        3,006,266   

Utah — 0.8%

    

City of Riverton Utah, RB, IHC Health Services, Inc., 5.00%, 8/15/41

     1,004        1,129,940   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 28.8%
        38,192,171   

Total Long-Term Investments

(Cost — $181,657,165) — 155.6%

  

  

    206,692,580   
    
                  
Short-Term Securities    Shares         

FFI Institutional Tax-Exempt Fund, 0.03% (e)(f)

     1,882,660        1,882,660   

Total Short-Term Securities

(Cost — $1,882,660) — 1.4%

             1,882,660   
Total Investments (Cost — $183,539,825) — 157.0%        208,575,240   
Other Assets Less Liabilities — 0.2%        302,177   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (14.7%)

   

    (19,513,698
VMTP Shares, at Liquidation Value — (42.5%)        (56,500,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 132,863,719   
    

 

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    29


Schedule of Investments (continued)

  

BlackRock MuniYield Investment Quality Fund (MFT)

 

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

 

Counterparty      Value        Unrealized
Appreciation
 

Barclays Capital, Inc.

     $ 1,087,563         $ 15,361   

Morgan Stanley & Co. LLC

       225,923           1,761   

 

(c)   Represent bonds transferred to a TOB in exchange for which the Fund received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(d)   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 agreement, which expires from October1, 2016 to November 15, 2019 is $4,627,661.

 

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

 

(f)   During the six months ended January 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at July 31,
2014
       Net
Activity
       Shares Held
at January 31,
2015
       Income  

FFI Institutional Tax-Exempt Fund

       2,565,273           (682,613        1,882,660         $ 317   

 

Ÿ  

As of January 31, 2015, financial futures contracts outstanding were as follows:

 

Contracts
Short
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (195   10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 25,520,625      $ (698,733

 

Ÿ  

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 statement purposes. 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 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. The three levels of the fair value hierarchy are as follows:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access.

 

  Ÿ  

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).

 

  Ÿ  

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).

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. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of January 31, 2015, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 206,692,580                   $ 206,692,580   

Short-Term Securities

  $ 1,882,660                               1,882,660   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 1,882,660         $ 206,692,580                   $ 208,575,240   
 

 

 

      

 

 

      

 

 

      

 

 

 

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

       

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments2                 

Liabilities:

                

Interest rate contracts

  $ (698,733                          $ (698,733

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

       

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (concluded)

  

BlackRock MuniYield Investment Quality Fund (MFT)

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of January 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 265,000                             $ 265,000   

Liabilities:

                

TOB trust certificates

            $ (19,509,342                  (19,509,342

VMTP Shares

              (56,500,000                  (56,500,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 265,000         $ (76,009,342                $ (75,744,342
 

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended January 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    31


Schedule of Investments January 31, 2015 (Unaudited)

  

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

Michigan — 134.2%

                

Corporate — 4.9%

  

 

County of Monroe EDC Michigan, Refunding RB, Detroit Edison Co. Project, Series AA (NPFGC), 6.95%, 9/01/22

   $ 10,695      $ 14,403,812   

County/City/Special District/School District — 22.5%

  

Anchor Bay School District, GO, Refunding, (Q-SBLF):

    

4.38%, 5/01/27

     960        1,058,218   

4.50%, 5/01/29

     900        990,423   

Charter Township of Canton Michigan, GO, Capital Improvement (AGM):

    

5.00%, 4/01/25

     1,840        2,001,975   

5.00%, 4/01/26

     2,000        2,177,420   

5.00%, 4/01/27

     500        540,750   

City of Oak Park Michigan, GO, Street Improvement (NPFGC), 5.00%, 5/01/30

     500        524,065   

Columbia Michigan School District, GO, Unlimited Tax, School Building & Site (Q-SBLF), 5.00%, 5/01/38

     3,215        3,757,821   

Comstock Park Public Schools, GO, School Building & Site, Series B (Q-SBLF):

    

5.50%, 5/01/36

     750        887,415   

5.50%, 5/01/41

     1,355        1,602,125   

County of Genesee Michigan, GO, Refunding, Series A (NPFGC), 5.00%, 5/01/19

     600        606,210   

Dearborn Brownfield Redevelopment Authority, GO, Limited Tax, Redevelopment, Series A (AGC), 5.50%, 5/01/39

     3,300        3,781,701   

Dearborn School District, GO, Series A (Q-SBLF):

    

5.00%, 5/01/32

     930        1,103,687   

5.00%, 5/01/33

     990        1,170,635   

5.00%, 5/01/34

     745        878,385   

Flint EDC, RB, Michigan Department of Human Services Office Building Project, 5.25%, 10/01/41

     3,070        3,390,784   

Fraser Public School District Michigan, GO:

    

Refunding(Q-SBLF), 5.00%, 5/01/29 (a)

     950        1,140,741   

School Building & Site (AGM) (Q-SBLF), 5.00%, 5/01/15 (b)

     2,000        2,024,640   

Goodrich Area School District Michigan, GO, School Building & Site (Q-SBLF):

    

5.50%, 5/01/32

     600        715,062   

5.50%, 5/01/36

     1,200        1,419,864   

5.50%, 5/01/41

     1,575        1,862,248   

Harper Creek Community School District Michigan, GO, Refunding, (AGM) (Q-SBLF), 5.00%, 5/01/22

     1,125        1,138,219   

Hudsonville Public Schools, GO, School Building & Site (Q-SBLF), 5.25%, 5/01/41

     4,100        4,662,274   

L’Anse Creuse Public Schools Michigan, GO, School Building & Site (AGM) (Q-SBLF) (b):

    

5.00%, 5/01/15

     1,600        1,619,712   

5.00%, 5/01/15

     3,000        3,036,960   

Lincoln Consolidated School District Michigan, GO, Refunding, (NPFGC) (Q-SBLF), 4.63%, 5/01/28

     3,650        3,806,329   

Livonia Public Schools School District Michigan, GO, Series I (AGM), 5.00%, 5/01/43

     3,090        3,553,315   

Montrose Community Schools, GO, (NPFGC) (Q-SBLF), 6.20%, 5/01/17

     625        662,138   

Romulus Community Schools, GO, Unlimited Tax, Refunding (AGM) (Q-SBLF):

    

4.25%, 5/01/27

     1,200        1,324,260   

4.50%, 5/01/29

     1,025        1,139,185   

Roseville Community Schools, GO, Refunding(Q-SBLF), 5.00%, 5/01/34 (a)

     3,780        4,442,823   

Thornapple Kellogg School District Michigan, GO, Refunding, School Building & Site (NPFGC) (Q-SBLF), 5.00%, 5/01/17 (b)

     2,500        2,749,325   

Troy School District, GO, (Q-SBLF), 5.00%, 5/01/28

     1,240        1,493,840   
Municipal Bonds    Par  
(000)
    Value  

Michigan (continued)

                

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

  

Van Dyke Public Schools Michigan, GO, School Building & Site (AGM) (Q-SBLF), 5.00%, 5/01/28

   $ 1,250      $ 1,387,112   

Walled Lake Consolidated School District, GO, (Q-SBLF):

    

5.00%, 5/01/37

     1,770        2,074,847   

5.00%, 5/01/40

     1,630        1,902,471   
    

 

 

 
               66,626,979   

Education — 23.4%

    

Central Michigan University, Refunding RB, 5.00%, 10/01/39

     620        732,518   

Grand Valley State University, RB, (NPFGC), 5.50%, 2/01/18

     1,115        1,175,511   

Michigan Finance Authority, Refunding RB:

AMT, 4.00%, 11/01/28

AMT, 4.00%, 11/01/29

AMT, 4.00%, 11/01/30

AMT, 4.00%, 11/01/31

    
 
 
 
5,425
3,660
1,770
1,955
  
  
  
  
   
 
 
 
5,583,139
3,752,525
1,808,834
1,995,918
  
  
  
  

Michigan State University, Refunding RB, General:

    

Series A, 5.00%, 8/15/41

     4,980        5,836,062   

Series C, 5.00%, 2/15/40

     4,700        5,351,561   

Michigan Technological University, Refunding RB, Series A, 5.00%, 10/01/34

     1,340        1,535,077   

Oakland University, RB, General, Series A:

    

5.00%, 3/01/38

     8,485        9,767,508   

5.00%, 3/01/43

     13,865        15,906,898   

University of Michigan, RB, Series A, 5.00%, 4/01/39

     2,125        2,540,544   

Wayne State University, RB, Series A, 5.00%, 11/15/40

     2,000        2,318,740   

Western Michigan University, Refunding RB, General:

    

5.00%, 11/15/39

     1,085        1,247,034   

University and College Improvements, 5.25%, 11/15/40

     2,100        2,410,527   

University and College Improvements, 5.25%, 11/15/43

     5,255        6,224,968   

University and College Improvements (AGM), 5.25%, 11/15/33

     620        723,422   
    

 

 

 
               68,910,786   

Health — 28.7%

    

Grand Traverse County Hospital Finance Authority, RB, Series A:

    

5.00%, 7/01/44

     1,075        1,234,089   

5.00%, 7/01/47

     1,365        1,563,717   

Kalamazoo Hospital Finance Authority, RB, Bronson Methodist Hospital (AGM), 5.25%, 5/15/36

     4,750        5,283,852   

Kent Hospital Finance Authority Michigan, Refunding RB, Spectrum Health, Series A, 5.00%, 11/15/29

     4,500        5,250,555   

Michigan Finance Authority, RB, Sparrow Obligated Group, 5.00%, 11/15/36

     1,550        1,718,423   

Michigan Finance Authority, Refunding RB:

    

5.00%, 6/01/39

     930        1,070,625   

Hospital, Oakwood Obligated Group, 5.00%, 8/15/31

     930        1,083,701   

Trinity Health Credit Group, 5.00%, 12/01/31

     3,100        3,554,739   

Trinity Health Credit Group, 5.00%, 12/01/35

     4,100        4,646,612   

Trinity Health Credit Group, 5.00%, 12/01/39

     3,350        3,765,601   

Michigan State Hospital Finance Authority, RB:

    

Ascension Health Senior Credit Group, 5.00%, 11/15/25

     3,700        4,256,961   

McLaren Health Care, Series C, 5.00%, 8/01/35

     1,000        1,021,910   

MidMichigan Obligated Group, Series A, 5.00%, 4/15/16 (b)

     620        655,315   

MidMichigan Obligated Group, Series A, 5.00%, 4/15/16 (b)

     3,550        3,752,208   

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

Michigan (continued)

                

Health (concluded)

  

Michigan State Hospital Finance Authority,
Refunding RB:

    

Henry Ford Health System, Series A, 5.25%, 11/15/46

   $ 2,500      $ 2,609,125   

Hospital, Oakwood Obligated Group, 5.00%, 11/01/32

     4,000        4,579,280   

Hospital, Oakwood Obligated Group, Series A, 5.00%, 7/15/17 (b)

     600        663,774   

Hospital, Oakwood Obligated Group, Series A, 5.00%, 7/15/17 (b)

     3,260        3,606,505   

Hospital, Oakwood Obligated Group, Series A, 5.00%, 7/15/17 (b)

     630        696,963   

Hospital, Sparrow Obligated Group, 5.00%, 11/15/31

     3,100        3,369,700   

McLaren Health Care, Series A, 5.00%, 6/01/35

     1,390        1,559,149   

McLaren Health Care, Series A, 5.75%, 5/15/38

     4,500        5,085,450   

Trinity Health Credit Group, Series A, 6.25%, 12/01/28

     930        1,086,947   

Trinity Health Credit Group, Series C, 4.00%, 12/01/32

     3,850        4,091,280   

Trinity Health Credit, Series A, 6.50%, 12/01/33

     1,000        1,181,550   

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital:

    

Series D, 5.00%, 9/01/39

     11,000        12,662,540   

Series V, 8.25%, 9/01/18 (b)

     1,000        1,262,830   

Series W, 6.00%, 8/01/19 (b)

     925        1,129,730   

State of Michigan Hospital Finance Authority, Refunding RB, Henry Ford Health, 5.75%, 11/15/39

     1,965        2,258,335   
    

 

 

 
               84,701,466   

Housing — 9.3%

    

Michigan State HDA, RB:

    

Deaconess Tower, AMT (Ginnie Mae), 5.25%, 2/20/48

     1,000        1,021,610   

Series A, 4.75%, 12/01/25

     4,235        4,594,679   

Series A, 4.45%, 10/01/34

     620        662,420   

Series A, 4.63%, 10/01/39

     2,165        2,308,128   

Series A, 4.75%, 10/01/44

     3,100        3,300,539   

Williams Pavilion, AMT (Ginnie Mae), 4.75%, 4/20/37

     3,575        3,651,898   

Michigan State HDA, Refunding RB:

    

Rental Housing, Series D, 4.50%, 10/01/48

     6,230        6,595,639   

Series A, 6.05%, 10/01/41

     4,825        5,386,775   
    

 

 

 
               27,521,688   

State — 15.3%

    

Michigan State Building Authority, Refunding RB, 5.00%, 10/15/31

     1,000        1,061,520   

Michigan Finance Authority, Refunding RB,
5.00%, 10/01/39

     3,350        3,878,128   

Michigan State Finance Authority, RB, Local Government Loan Program, Series F, 5.00%, 4/01/31

     1,000        1,107,920   

Michigan Strategic Fund, Refunding RB, Cadillac Place Office Building Project, 5.25%, 10/15/31

     4,350        5,040,649   

State of Michigan, COP, (AMBAC), 0.00%, 6/01/22 (c)(d)

     3,000        2,683,620   

State of Michigan Building Authority, RB, Local Government Loan Program, Series F, 5.25%, 10/01/41

     6,085        6,759,096   

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

    

Series I, 6.25%, 10/15/38

     3,900        4,583,163   
Municipal Bonds    Par  
(000)
    Value  

Michigan (continued)

                

State (concluded)

  

State of Michigan Building Authority, Refunding RB, Facilities Program (concluded):

    

Series I (AGC), 5.25%, 10/15/24

   $ 4,000      $ 4,692,920   

Series I (AGC), 5.25%, 10/15/25

     2,000        2,338,500   

Series I (AGC), 5.25%, 10/15/26

     600        699,942   

Series I-A, 5.50%, 10/15/45

     1,250        1,458,375   

Series II (AGM), 5.00%, 10/15/26

     4,500        5,198,670   

State of Michigan Trunk Line Fund, RB:

    

5.00%, 11/15/33

     1,850        2,173,528   

5.00%, 11/15/36

     3,125        3,636,438   
    

 

 

 
               45,312,469   

Transportation — 13.5%

    

State of Michigan, RB, GAB (AGM), 5.25%, 9/15/27

     5,250        5,830,493   

Wayne County Airport Authority, RB, Detroit Metropolitan Wayne County Airport, AMT (NPFGC):

    

5.25%, 12/01/25

     6,270        6,502,053   

5.25%, 12/01/26

     6,300        6,533,163   

5.00%, 12/01/34

     4,435        4,574,569   

5.00%, 12/01/39

     915        1,033,218   

Wayne County Airport Authority, Refunding RB, AMT (AGC):

    

5.75%, 12/01/25

     4,000        4,570,240   

5.75%, 12/01/26

     1,000        1,142,560   

5.38%, 12/01/32

     8,700        9,840,396   
    

 

 

 
               40,026,692   

Utilities — 16.6%

    

City of Detroit Michigan Sewage Disposal System, Refunding RB, Senior Lien, Series A, 5.25%, 7/01/39

     1,645        1,811,309   

City of Detroit Michigan Water Supply System, RB, Senior Lien, Series A (NPFGC), 5.00%, 7/01/34

     1,425        1,429,945   

City of Detroit Michigan Water Supply System, Refunding RB, 2nd Lien, Series C (AGM), 5.00%, 7/01/29

     10,470        10,823,677   

City of Holland Michigan Electric Utility System, RB, Series A:

    

5.00%, 7/01/33

     1,860        2,161,785   

5.00%, 7/01/39

     7,575        8,761,548   

City of Lansing Michigan, RB, Board of Water & Light Utilities System, Series A:

    

5.00%, 7/01/27

     1,970        2,309,470   

5.00%, 7/01/31

     4,230        4,891,530   

5.00%, 7/01/37

     2,065        2,361,493   

5.50%, 7/01/41

     3,000        3,604,560   

City of Port Huron Michigan, RB, Water Supply System:

    

5.25%, 10/01/31

     310        347,485   

5.63%, 10/01/40

     1,000        1,133,640   

Michigan Finance Authority, Refunding RB, Senior Lien, Detroit Water and Sewer, Series C-3:

    

5.00%, 7/01/31

     620        716,125   

5.00%, 7/01/32

     3,255        3,742,436   

5.00%, 7/01/33

     1,860        2,130,370   

Michigan Municipal Bond Authority, RB, State Clean Water Revolving Fund:

    

5.00%, 10/01/27

     1,250        1,338,412   

Pooled Project, 5.00%, 10/01/27

     1,240        1,470,739   
    

 

 

 
               49,034,524   
Total Municipal Bonds in Michigan              396,538,416   
    

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    33


Schedule of Investments (continued)

  

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

Guam — 3.2%

                

State — 3.2%

  

 

Territory of Guam, RB:

    

Business Privilege Tax Bonds, Series A, 5.25%, 1/01/36

   $ 500      $ 570,485   

Business Privilege Tax Bonds, Series A, 5.13%, 1/01/42

     4,850        5,470,169   

Business Privilege Tax Bonds, Series B-1, 5.00%, 1/01/32

     925        1,047,211   

Business Privilege Tax Bonds, Series B-1, 5.00%, 1/01/37

     665        744,448   

Limited Obligation Bonds, Section 30, Series A, 5.63%, 12/01/29

     1,400        1,563,562   
Total Municipal Bonds in Guam              9,395,875   
    

U.S. Virgin Islands — 2.1%

                

State — 2.1%

  

 

Virgin Islands Public Finance Authority, Refunding RB, Series C, 5.00%, 10/01/39

     5,540        6,197,155   
Total Municipal Bonds — 139.5%              412,131,446   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
 

Michigan — 16.6%

                

County/City/Special District/School District — 4.2%

  

Lakewood Public Schools Michigan, GO, School Building & Site (AGM) (Q-SBLF), 5.00%, 5/01/37

     6,771        7,294,990   

Portage Public Schools Michigan, GO, School Building & Site (AGM), 5.00%, 5/01/31

     4,650        5,123,184   
    

 

 

 
               12,418,174   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
   Par  
(000)
    Value  

Michigan (concluded)

                

Education — 12.3%

    

Michigan State University, Refunding RB, General, Series A, 5.00%, 8/15/38

   $ 6,220      $ 7,325,481   

Saginaw Valley State University, Refunding RB, General (AGM), 5.00%, 7/01/31

     7,500        8,320,125   

Wayne State Univeristy, RB, General, Series A, 5.00%, 11/15/40

     6,190        7,176,500   

Wayne State University, Refunding RB, General (AGM), 5.00%, 11/15/35

     12,207        13,681,710   
    

 

 

 
               36,503,816   

Health — 0.1%

    

Michigan Finance Authority, RB, Hospital, Trinity Health Credit Group, 5.00%, 12/01/39

     190        213,571   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 16.6%
        49,135,561   

Total Long-Term Investments

(Cost — $418,324,710) — 156.1%

  

  

    461,267,007   
    
   
Short-Term Securities    Shares         

FFI Institutional Tax-Exempt Fund, 0.03% (f)(g)

     2,435,167        2,435,167   

Total Short-Term Securities

(Cost — $2,435,167) — 0.8%

             2,435,167   
Total Investments (Cost — $420,759,877) — 156.9%        463,702,174   
Liabilities in Excess of Other Assets — (0.0)%        (145,529

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (8.0%)

   

    (23,490,857
VRDP Shares, at Liquidation Value — (48.9%)        (144,600,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 295,465,788   
    

 

 

 

 

Notes to Schedule of investments

 

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

 

Counterparty      Value        Unrealized
Appreciation
 

Stifel Nicolaus & Co., Inc.

     $ 5,583,564         $ 90,457   

 

(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.

 

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

 

(d)   Zero-coupon bond.

 

(e)   Represent bonds transferred to a TOB. In exchange for which the Fund received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(f)   During the six months ended January 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at July 31,
2014
       Net
Activity
       Shares Held
at January 31,
2015
       Income  

BIF Michigan Municipal Money Fund

       3,889,640           (3,889,640                    

FFI Institutional Tax-Exempt Fund

                 2,435,167           2,435,167         $ 172   

 

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

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (concluded)

  

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

Ÿ  

As of January 31, 2015, financial futures contracts outstanding were as follows:

 

Contracts
Short
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (240   10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 31,410,000      $ (808,568
  (55   5-Year U.S. Treasury Note   Chicago Board of Trade   March 2015     6,673,906        (114,803
  Total              $ (923,371
         

 

 

 

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 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.

 

Ÿ  

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 statement purposes. 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 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. The three levels of the fair value hierarchy are as follows:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

  Ÿ  

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)

 

  Ÿ  

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)

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. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of January 31, 2015, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy :

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Municipal Bonds1

            $ 461,267,007                   $ 461,267,007   

Short-Term Securities

  $ 2,435,167                               2,435,167   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 2,435,167         $ 461,267,007                   $ 463,702,174   
 

 

 

      

 

 

      

 

 

      

 

 

 

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

  $ (923,371                          $ (923,371

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

       

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of January 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

   

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 375,000                             $ 375,000   

Liabilities:

                

TOB trust certificates

            $ (23,487,000                  (23,487,000

VRDP Shares

              (144,600,000                  (144,600,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 375,000         $ (168,087,000                $ (167,712,000
 

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended January 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    35


Schedule of Investments January 31, 2015 (Unaudited)

  

BlackRock MuniYield New Jersey Quality Fund, Inc. (MJI)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

New Jersey — 124.1%

                

Corporate — 5.5%

  

 

New Jersey EDA, Refunding RB:

    

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

   $ 5,000      $ 5,832,950   

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

     1,000        1,148,810   

United Water of New Jersey, Inc., Series B (AMBAC), 4.50%, 11/01/25

     1,000        1,101,470   
    

 

 

 
               8,083,230   

County/City/Special District/School District — 16.5%

  

Borough of Hopatcong New Jersey, GO, Refunding, Sewer (AMBAC), 4.50%, 8/01/33

     750        772,553   

Casino Reinvestment Development Authority, Refunding RB, 5.25%, 11/01/39

     3,250        3,622,450   

City of Perth Amboy New Jersey, GO, CAB, Refunding (AGM), 5.00%, 7/01/35

     1,250        1,320,488   

County of Essex New Jersey Improvement Authority, Refunding RB, AMT (NPFGC), 4.75%, 11/01/32

     1,000        1,048,570   

County of Hudson New Jersey, COP, Refunding, (NPFGC), 6.25%, 12/01/16

     1,000        1,088,380   

County of Hudson New Jersey Improvement Authority, RB:

    

CAB, Series A-1 (NPFGC), 0.00%, 12/15/32 (a)

     1,000        535,940   

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

     250        268,668   

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

     1,000        1,134,850   

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

     1,400        1,599,990   

County of Monmouth New Jersey Improvement Authority, Refunding RB, Governmental Loan (AMBAC):

    

5.25%, 12/01/15

     5        5,019   

5.00%, 12/01/17

     5        5,015   

5.00%, 12/01/18

     5        5,014   

5.00%, 12/01/19

     5        5,013   

County of Union New Jersey, GO, Refunding:

    

4.00%, 3/01/29

     1,060        1,157,997   

4.00%, 3/01/30

     1,060        1,154,234   

4.00%, 3/01/31

     1,200        1,303,140   

County of Union New Jersey Utilities Authority, Refunding RB, Series A:

    

Resources Recovery Facility, Covanta Union, Inc., AMT, 5.25%, 12/01/31

     200        225,642   

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

     2,155        2,447,477   

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

    

4.25%, 3/01/34

     300        330,498   

4.25%, 3/01/35

     300        330,348   

4.30%, 3/01/36

     300        331,248   

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

    

5.50%, 3/01/21

     1,540        1,919,733   

5.50%, 3/01/22

     1,050        1,333,804   

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

     1,720        1,753,282   

Township of Irvington, GO, Refunding, Series A (AGM), 5.00%, 7/15/33

     500        578,245   
    

 

 

 
               24,277,598   

Education — 31.0%

  

New Jersey EDA, LRB, Rutgers - The State University of New Jersey, College Avenue Redevelopment Project, 5.00%, 6/15/33

     880        1,043,099   
Municipal Bonds    Par  
(000)
    Value  

New Jersey (continued)

                

Education (concluded)

  

New Jersey Educational Facilities Authority, RB, Series A:

    

Higher Educational Capital Improvement Fund, 5.00%, 9/01/26

   $ 1,000      $ 1,157,690   

Higher Educational Capital Improvement Fund, 5.00%, 9/01/33

     2,060        2,336,679   

Montclair State University (AMBAC), 5.00%, 7/01/16 (c)

     1,600        1,705,952   

New Jersey Educational Facilities Authority, Refunding RB:

    

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

     3,805        4,239,873   

Montclair State University, Series A, 5.00%, 7/01/39

     4,500        5,339,205   

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

     2,765        2,827,738   

Montclaire State University, Series A, 5.00%, 7/01/44

     1,020        1,209,281   

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

     1,000        1,144,230   

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

     1,250        1,288,538   

Rowan University, Series B (AGC), 5.00%, 7/01/26

     2,575        2,892,266   

Seton Hall University, Series D, 5.00%, 7/01/38

     140        160,413   

Seton Hall University, Series D, 5.00%, 7/01/43

     170        194,720   

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

     1,500        1,610,550   

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

     1,115        1,228,875   

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

    

4.00%, 12/01/28

     710        741,758   

4.50%, 12/01/28

     1,170        1,270,831   

4.00%, 12/01/29

     290        303,276   

4.00%, 12/01/29

     1,575        1,634,015   

4.50%, 12/01/29

     1,550        1,686,385   

4.63%, 12/01/30

     1,475        1,607,322   

4.00%, 12/01/31

     290        299,796   

4.25%, 12/01/32

     590        617,978   

4.13%, 12/01/35

     290        299,761   

4.50%, 12/01/36

     525        561,698   

New Jersey Higher Education Student Assistance Authority, Refunding RB, Series 1, AMT, 5.50%, 12/01/26

     1,800        2,051,316   

New Jersey Institute of Technology, RB, Series A, 5.00%, 7/01/42

     1,900        2,185,114   

Rutgers - The State University of New Jersey, Refunding RB, Series L:

    

5.00%, 5/01/30

     465        556,549   

5.00%, 5/01/43

     2,850        3,309,049   
    

 

 

 
               45,503,957   

Health — 14.7%

    

County of Camden Improvement Authority, Refunding RB, The Cooper Health Systen, Series A, 5.00%, 2/15/33

     580        661,884   

New Jersey Health Care Facilities Financing Authority, RB:

    

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

     700        753,900   

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

     975        1,050,075   

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

     940        1,012,380   

Robert Wood Johnson University Hospital, Series A, 5.50%, 7/01/43

     2,220        2,661,247   

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

     1,000        1,138,230   

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

BlackRock MuniYield New Jersey Quality Fund, Inc. (MJI)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

New Jersey (continued)

                

Health (concluded)

    

New Jersey Health Care Facilities Financing Authority, Refunding RB:

    

5.00%, 7/01/28

   $ 870      $ 1,039,841   

5.00%, 7/01/29

     205        244,477   

5.50%, 7/01/31

     1,175        1,405,159   

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

     1,100        1,329,174   

Catholic Health East Issue, 5.00%, 11/15/33

     550        636,213   

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

     2,315        2,507,863   

Meridian Health System Obligated Group, 5.00%, 7/01/25

     300        350,613   

Meridian Health System Obligated Group, 5.00%, 7/01/26

     2,130        2,476,807   

St. Barnabas Health Care System, Series A, 5.00%, 7/01/24

     1,820        2,102,300   

St. Barnabas Health Care System, Series A, 5.63%, 7/01/32

     440        515,662   

St. Barnabas Health Care System, Series A, 5.63%, 7/01/37

     1,300        1,507,753   

St. Luke’s Warren Hospital Obligated Group, 4.00%, 8/15/37

     180        185,252   
    

 

 

 
               21,578,830   

Housing — 7.5%

    

New Jersey Housing & Mortgage Finance Agency, RB:

    

Capital Fund Program, Series A (AGM), 5.00%, 5/01/27

     1,970        2,136,642   

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

     1,425        1,503,688   

M/F Housing, Series A, AMT (NPFGC), 4.90%, 11/01/35

     820        820,738   

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

     400        404,188   

S/F Housing, Series AA, 6.50%, 10/01/38

     260        270,338   

S/F Housing, Series B, 4.50%, 10/01/30

     2,720        2,961,427   

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

    

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

     1,070        1,142,514   

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

     1,205        1,278,228   

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

     425        434,741   
    

 

 

 
               10,952,504   

State — 19.3%

    

Garden State Preservation Trust, RB (AGM):

    

CAB, Series B, 0.00%, 11/01/23 (a)

     6,725        5,570,519   

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

     2,605        2,715,895   

New Jersey EDA, RB:

    

CAB, Motor Vehicle Surcharge, Series A (NPFGC), 0.00%, 7/01/21 (a)

     2,325        1,984,155   

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

     1,000        1,249,840   

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

     7,000        7,133,070   

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

     1,185        1,414,890   

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

     15        17,590   

School Facilities Construction, Series KK, 5.00%, 3/01/38

     380        419,277   

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

     1,040        1,131,697   

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

     365        397,182   

School Facilities Construction, Series UU, 5.00%, 6/15/30

     750        847,545   
Municipal Bonds    Par  
(000)
    Value  

New Jersey (continued)

                

State (concluded)

    

New Jersey EDA, RB (concluded):

    

School Facilities Construction, Series UU, 5.00%, 6/15/34

   $ 405      $ 453,183   

School Facilities Construction, Series UU, 5.00%, 6/15/40

     1,000        1,114,730   

New Jersey EDA, Refunding RB:

    

Cigarette Tax, 5.00%, 6/15/26

     355        403,823   

Cigarette Tax, 5.00%, 6/15/28

     910        1,025,907   

Cigarette Tax, 5.00%, 6/15/29

     1,195        1,344,458   

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

     500        561,390   

State of New Jersey, COP, Equipment Lease Purchase, Series A, 5.25%, 6/15/27

     500        564,285   
    

 

 

 
               28,349,436   

Transportation — 23.7%

    

Delaware River Port Authority, RB:

    

5.00%, 1/01/29

     750        896,415   

5.00%, 1/01/37

     2,865        3,356,921   

Series D, 5.05%, 1/01/35

     1,430        1,626,882   

Series D (AGM), 5.00%, 1/01/40

     1,500        1,704,540   

New Jersey EDA, RB, The Goethals Bridge Replacement Project, AMT:

    

Private Activity Bond, 5.13%, 1/01/34

     660        739,933   

5.38%, 1/01/43

     2,235        2,511,715   

New Jersey State Turnpike Authority, RB, Growth & Income Securities, Series B (AMBAC), 5.15%, 1/01/35 (d)

     3,005        3,218,235   

New Jersey State Turnpike Authority, Refunding RB, Series A (AGM), 5.25%, 1/01/29

     2,000        2,574,960   

New Jersey Transportation Trust Fund Authority, RB:

    

CAB, Transportation System, Series C (AGM), 0.00%, 12/15/32 (a)

     4,750        2,247,700   

CAB, Transportation System, Series C (AMBAC), 0.00%, 12/15/35 (a)

     2,760        1,105,794   

Transportation Program, Series AA, 5.00%, 6/15/33

     850        940,364   

Transportation Program, Series AA, 5.25%, 6/15/33

     1,640        1,887,820   

Transportation Program, Series AA, 5.00%, 6/15/38

     680        755,154   

Transportation System, Series A, 6.00%, 6/15/35

     2,000        2,457,480   

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

     780        912,709   

Transportation System, Series B, 5.50%, 6/15/31

     390        459,042   

Transportation System, Series B, 5.25%, 6/15/36

     725        811,398   

Port Authority of New York & New Jersey, ARB:

    

Consolidated, 93rd Series, 6.13%, 6/01/94

     1,000        1,230,770   

Special Project, JFK International Air Terminal LLC Project, Special Project, Series 8, 6.00%, 12/01/42

     1,500        1,783,395   

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

     2,000        2,266,120   

Port Authority of New York & New Jersey, Refunding RB, AMT, 5.00%, 12/01/33

     1,155        1,338,922   
    

 

 

 
               34,826,269   

Utilities — 5.9%

    

County of Essex New Jersey Utilities Authority, Refunding RB, (AGC), 4.13%, 4/01/22

     670        735,553   

North Hudson Sewerage Authority, Refunding RB, Series A (NPFGC), 5.13%, 8/01/20 (b)

     1,710        2,081,036   

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

    

0.00%, 9/01/26

     4,100        2,886,072   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    37


Schedule of Investments (continued)

  

BlackRock MuniYield New Jersey Quality Fund, Inc. (MJI)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

New Jersey (concluded)

                

Utilities (concluded)

    

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

    

0.00%, 9/01/29

   $ 2,750      $ 1,689,022   

0.00%, 9/01/33

     2,350        1,226,348   
    

 

 

 
               8,618,031   
Total Municipal Bonds in New Jersey              182,189,855   
    

Guam — 3.4%

                

State — 3.4%

  

 

Territory of Guam, RB, Business Privilege Tax Bonds:

    

Series A, 5.25%, 1/01/36

     120        136,916   

Series A, 5.13%, 1/01/42

     4,100        4,624,267   

Series B-1, 5.00%, 1/01/37

     155        173,518   
Total Municipal Bonds in Guam              4,934,701   
    

Puerto Rico — 2.9%

                

Health — 2.9%

  

 

Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, RB, Hospital De La Concepcion, Series A, 6.13%, 11/15/30

     4,220        4,329,762   
    

U.S. Virgin Islands — 1.0%

                

State — 1.0%

  

 

Virgin Islands Public Finance Authority, Refunding RB, Series C, 5.00%, 10/01/39

     1,375        1,538,103   
Total Municipal Bonds — 131.4%              192,992,421   
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
 

New Jersey — 23.1%

                

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

  

County of Union New Jersey Utilities Authority, Refunding LRB, Resource Recovery Facility, Covanta Union, Inc., Series A, AMT, 5.25%, 12/01/31

     4,930        5,562,075   

Education — 3.1%

    

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

     4,003        4,563,964   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
   Par  
(000)
    Value  

New Jersey (concluded)

                

State — 4.4%

    

Garden State Preservation Trust, RB, Election of 2005, Series A (AGM), 5.75%, 11/01/28

   $ 3,300      $ 4,293,993   

New Jersey EDA, Refunding RB, 5.00%, 3/01/29 (f)

     1,918        2,153,539   
    

 

 

 
               6,447,532   

Transportation — 11.8%

    

New Jersey State Turnpike Authority, RB, Series A, 5.00%, 1/01/38 (f)

     4,100        4,691,548   

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

     760        850,745   

Port Authority of New York & New Jersey, ARB, Consolidated, 163rd Series, AMT, 5.00%, 7/15/39

     4,089        4,712,940   

Port Authority of New York & New Jersey, RB, Consolidated, 169th Series, AMT, 5.00%, 10/15/41

     4,500        5,008,320   

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

     1,829        2,030,522   
    

 

 

 
               17,294,075   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 23.1%
        33,867,646   

Total Long-Term Investments

(Cost — $204,047,986) — 154.5%

  

  

    226,860,067   
    
   
Short-Term Securities    Shares         

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

     820,225        820,225   

Total Short-Term Securities

(Cost — $820,225) — 0.6%

             820,225   
Total Investments (Cost — $204,868,211) — 155.1%        227,680,292   
Other Assets Less Liabilities — 1.1%        1,592,683   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (12.3%)

   

    (18,047,364
VRDP Shares, at Liquidation Value — (43.9%)        (64,400,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 146,825,611   
    

 

 

 

 

Notes to Schedule of investments

 

(a)   Zero-coupon bond.

 

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

 

(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)   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.

 

(e)   Represent bonds transferred to a TOB. In exchange for which the Fund received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(f)   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 agreement, which expires from June 15, 2019 to September 1, 2020 is $5,090,139.

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (concluded)

  

BlackRock MuniYield New Jersey Quality Fund, Inc. (MJI)

 

(g)   During the six months ended January 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at July 31,
2014
      

Net

Activity

       Shares Held
at January 31,
2015
       Income        Realized
Gains
 

BIF New Jersey Municipal Money Fund

       2,535,160           (1,714,935        820,225                   $ 621   

 

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

 

Ÿ  

As of January 31, 2015, financial futures contracts outstanding were as follows:

 

Contracts
Short
    Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (120   10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 15,705,000      $ (434,559
  (60   5-Year U.S. Treasury Note   Chicago Board of Trade   March 2015     7,280,625        (125,240
  Total              $ (559,799
         

 

 

 

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 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.

 

Ÿ  

Fair Value Measurements — Various inputs are used in determining the fair value of investments derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. 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 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. The three levels of the fair value hierarchy are as follows:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

  Ÿ  

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)

 

  Ÿ  

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)

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. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of January 31, 2015, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Municipal Bonds1

            $ 226,860,067                   $ 226,860,067   

Short-Term Securities

  $ 820,225                               820,225   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 820,225         $ 226,860,067                   $ 227,680,292   
 

 

 

      

 

 

      

 

 

      

 

 

 

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

  $ (559,799                          $ (559,799

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

       

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of January 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:    
     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 217,000                             $ 217,000   

Liabilities:

                

TOB trust certificates

            $ (18,044,269                  (18,044,269

VRDP Shares

              (64,400,000                  (64,400,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 217,000         $ (82,444,269                $ (82,227,269
 

 

 

      

 

 

      

 

 

      

 

 

 

During the six months ended January 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    39


Schedule of Investments January 31, 2015 (Unaudited)

  

BlackRock MuniYield Pennsylvania Quality Fund (MPA)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

Pennsylvania — 116.5%

                

Corporate — 11.0%

    

County of Beaver Pennsylvania IDA, Refunding RB, First Energy (a):

    

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

   $ 3,235      $ 3,399,726   

Nuclear Energy Corp. Project, Mandatory Put Bonds, Series A, 3.38%, 1/01/35

     1,200        1,212,552   

County of Delaware Pennsylvania IDA, Refunding RB, Water Facilities, Aqua Pennsylvania, Inc. Project, Series B, AMT (NPFGC), 5.00%, 11/01/36

     2,520        2,592,526   

Pennsylvania Economic Development Financing Authority, RB:

    

American Water Co. Project, 6.20%, 4/01/39

     1,300        1,532,492   

Aqua Pennsylvania, Inc. Project, Series A, AMT, 6.75%, 10/01/18

     1,300        1,545,557   

Aqua Pennsylvania, Inc. Project, Series B, 4.50%, 12/01/42

     2,630        2,828,013   

Waste Management, Inc. Project, Series A, AMT, 5.10%, 10/01/27

     1,200        1,242,168   

Pennsylvania Economic Development Financing Authority, Refunding RB, Amtrak Project, Series A, AMT, 5.00%, 11/01/41

     5,865        6,516,425   
    

 

 

 
               20,869,459   

County/City/Special District/School District — 37.5%

  

Boyertown Area School District, GO, 5.00%, 10/01/43

     1,850        2,112,274   

Bristol Township School District, GO, 5.00%, 6/01/40

     775        895,962   

Chambersburg Area School District, GO:

    

5.25%, 9/01/15 (b)

     640        659,155   

5.25%, 3/01/27

     1,860        1,911,262   

(NPFGC), 5.25%, 3/01/26

     2,115        2,175,341   

City of Philadelphia Pennsylvania, GO, Refunding, Series A:

    

(AGM), 5.25%, 12/15/32

     5,000        5,617,750   

(AGC), 5.00%, 8/01/24

     2,000        2,275,380   

City of Pittsburgh Pennsylvania, GO, Series B, 5.00%, 9/01/26

     970        1,150,837   

County of Lycoming Pennsylvania Water & Sewer Authority, RB, (AGM), 5.00%, 11/15/41

     400        439,000   

County of York Pennsylvania, GO, Refunding, 5.00%, 3/01/36

     400        462,428   

East Stroudsburg Area School District, GO, Refunding, Series A (AGM), 5.00%, 9/01/25

     3,000        3,289,320   

East Stroudsburg Area School District, GO, Series A:

    

7.75%, 9/01/17 (b)

     960        1,134,682   

7.75%, 9/01/17 (b)

     985        1,165,629   

7.75%, 9/01/27

     55        64,669   

Erie County Conventional Center Authority, RB, 5.00%, 1/15/36

     8,850        8,881,063   

Lower Merion School District, GO, Refunding, Series A, 3.25%, 11/15/27

     2,035        2,117,275   

Marple Newtown School District, GO, (AGM), 5.00%, 6/01/31

     3,500        4,003,685   

Northeastern School District York County, GO, Series B (NPFGC), 5.00%, 4/01/32

     1,585        1,703,669   

Philadelphia Redevelopment Authority, RB, Quality Redevelopment Neighborhood, Series B, AMT (NPFGC), 5.00%, 4/15/27

     4,645        4,682,857   

Philadelphia School District, GO, Series E:

    

6.00%, 9/01/18 (b)

     50        59,134   

6.00%, 9/01/38

     3,250        3,710,557   

Philipsburg-Osceola Pennsylvania Area School District, GO, (AGM), 5.00%, 4/01/41

     755        801,229   

Shaler Area School District Pennsylvania, GO, CAB (Syncora), 0.00%, 9/01/30 (c)

     6,145        3,746,545   
Municipal Bonds    Par  
(000)
    Value  

Pennsylvania (continued)

                

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

  

State Public School Building Authority, RB (AGM):

    

Community College, Allegheny County Project, 5.00%, 7/15/34

   $ 1,880      $ 2,123,968   

Corry Area School District, CAB, 0.00%, 12/15/22 (c)

     1,640        1,355,099   

Corry Area School District, CAB, 0.00%, 12/15/23 (c)

     1,980        1,562,220   

Corry Area School District, CAB, 0.00%, 12/15/24 (c)

     1,980        1,499,058   

Corry Area School District, CAB, 0.00%, 12/15/25 (c)

     1,770        1,291,587   

State Public School Building Authority, Refunding RB:

    

Harrisburg School District Project, Series A (AGC), 5.00%, 11/15/33

     1,065        1,188,008   

School District Philadelphia Project, Series B (AGM), 5.00%, 6/01/26

     1,500        1,604,325   

Township of Bristol Pennsylvania School District, GO, 5.25%, 6/01/43

     5,120        6,042,470   

Township of Falls Authority Pennsylvania, RB, Water & Sewer Authority, 5.00%, 12/01/37

     1,070        1,223,363   
    

 

 

 
               70,949,801   

Education — 12.8%

    

County of Adams Pennsylvania IDA, Refunding RB, Gettysburg College, 5.00%, 8/15/26

     100        115,643   

County of Chester Pennsylvania IDA, Refunding RB, Renaissance Academy Charter, 5.00%, 10/01/34

     135        146,463   

Pennsylvania Higher Educational Facilities Authority, RB:

    

Drexel University, Series A (NPFGC), 5.00%, 5/01/37

     1,500        1,638,885   

Shippensburg University Student Services, Student Housing, 5.00%, 10/01/44

     1,195        1,259,470   

Pennsylvania Higher Educational Facilities Authority, RB,University of Science Philadelphia (d):

    

5.00%, 11/01/21

     335        402,941   

5.00%, 11/01/22

     575        698,746   

5.00%, 11/01/24

     890        1,095,759   

5.00%, 11/01/26

     1,475        1,817,864   

5.00%, 11/01/28

     845        1,021,774   

5.00%, 11/01/30

     940        1,124,071   

5.00%, 11/01/31

     665        793,185   

5.00%, 11/01/33

     2,060        2,438,257   

5.00%, 11/01/36

     1,245        1,459,850   

Pennsylvania Higher Educational Facilities Authority, Refunding RB:

    

Drexel University, Series A, 5.25%, 5/01/41

     2,750        3,133,873   

La Salle University, 5.00%, 5/01/37

     985        1,088,740   

La Salle University, 5.00%, 5/01/42

     1,600        1,765,072   

State System of Higher Education, Series AL, 5.00%, 6/15/35

     280        321,703   

Thomas Jefferson University, 4.00%, 3/01/37

     375        392,471   

Widener University, Series A, 5.25%, 7/15/33

     1,360        1,556,479   

Widener University, Series A, 5.50%, 7/15/38

     340        390,748   

Swarthmore Borough Authority, Refunding RB, Swarthmore College Project, 5.00%, 9/15/38

     830        985,111   

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

    

5.00%, 7/01/35

     385        415,134   

5.00%, 7/01/45

     200        213,434   
    

 

 

 
               24,275,673   

Health — 19.4%

    

County of Allegheny Pennsylvania Hospital Development Authority, RB, Health Center, UPMC Health, Series B (NPFGC), 6.00%, 7/01/26

     2,000        2,635,560   

County of Berks Pennsylvania Municipal Authority, Refunding RB, Reading Hospital & Medical Center, Series A, 5.00%, 11/01/40

     765        865,093   

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (continued)

  

BlackRock MuniYield Pennsylvania Quality Fund (MPA)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)
    Value  

Pennsylvania (continued)

                

Health (concluded)

  

County of Centre Pennsylvania Hospital Authority, RB, Mount Nittany Medical Center Project, 7.00%, 11/15/46

   $ 2,020      $ 2,495,932   

County of Cumberland Pennsylvania Municipal Authority, Refunding RB, Diakon Lutheran, 6.38%, 1/01/39

     500        560,965   

County of Lancaster Hospital Authority, Refunding RB (d):

    

Health Center Masonic Village Project, 5.00%, 11/01/28

     475        560,590   

Health Center Masonic Village Project, 5.00%, 11/01/35

     325        377,007   

County of Lehigh Pennsylvania, RB, Lehigh Valley Health Network, Series A (AGM), 5.00%, 7/01/33

     7,995        8,651,470   

County of Montgomery Pennsylvania Higher Education & Health Authority, Refunding RB, Abington Memorial Hospital Obligated Group, Series A, 5.13%, 6/01/33

     490        542,954   

County of Montgomery Pennsylvania IDA, RB, Acts Retirement-Life Community:

    

Series A, 4.50%, 11/15/36

     55        55,706   

Series A-1, 6.25%, 11/15/29

     235        274,435   

County of Montgomery Pennsylvania IDA, Refunding RB, Acts Retirement-Life Communities:

    

5.00%, 11/15/27

     690        765,086   

5.00%, 11/15/28

     445        491,827   

Lancaster IDA, Refunding RB:

    

5.38%, 5/01/28

     420        468,665   

5.75%, 5/01/35

     745        843,653   

Pennsylvania Higher Educational Facilities Authority, RB, University of Pennsylvania Health System, Series A, 4.00%, 8/15/39

     7,600        7,968,068   

Philadelphia Hospitals & Higher Education Facilities Authority, Refunding RB, Presbyterian Medical Center, 6.65%, 12/01/19 (e)

     2,055        2,372,785   

Pocono Mountains Industrial Park Authority, RB, St Lukes Hospital Monroe Project , 4.00%, 8/15/45 (d)

     2,055        2,066,816   

South Fork Municipal Authority, Refunding RB, Conemaugh Valley Memorial Hospital, Series B (AGC), 5.38%, 7/01/20 (b)

     1,840        2,246,769   

Southcentral General Authority, Refunding RB, Wellspan Health Obligation Group, Series A, 5.00%, 6/01/44

     2,130        2,483,985   
    

 

 

 
               36,727,366   

Housing — 6.3%

    

Pennsylvania HFA, RB, S/F Mortgage, Series 114-C:

    

3.65%, 10/01/37

     1,915        1,968,639   

3.70%, 10/01/42

     3,010        3,066,979   

Pennsylvania HFA, Refunding RB, S/F Mortgage:

    

Series 092-A, AMT, 4.75%, 4/01/31

     595        596,226   

Series 096-A, AMT, 4.70%, 10/01/37

     2,045        2,069,908   

Series 099-A, AMT, 5.15%, 4/01/38

     855        899,965   

Series 110-B, 4.75%, 10/01/39

     220        220,141   

Philadelphia Housing Authority, RB, Capital Fund Program, Series A (AGM), 5.50%, 12/01/18

     3,000        3,038,490   
    

 

 

 
               11,860,348   

State — 5.9%

    

Commonwealth of Pennsylvania, GO, 1st Series:

    

5.00%, 11/15/24

     1,000        1,199,900   

5.00%, 4/01/26

     1,140        1,381,258   

5.00%, 6/01/28

     2,300        2,739,024   

5.00%, 6/15/29

     1,000        1,214,280   

Pennsylvania Economic Development Financing Authority, Refunding RB, Unemployment Compensation, Series B, 5.00%, 7/01/23

     600        611,970   
Municipal Bonds    Par  
(000)
    Value  

Pennsylvania (concluded)

                

State (concluded)

    

Pennsylvania Turnpike Commission, RB, Oil Franchise Tax, Remarketing, Series C (NPFGC), 5.00%, 12/01/32

   $ 3,600      $ 4,056,300   
    

 

 

 
               11,202,732   

Transportation — 12.7%

    

City of Philadelphia Pennsylvania, ARB, Series A:

    

5.00%, 6/15/40

     2,500        2,831,350   

AMT (AGM), 5.00%, 6/15/37

     5,595        5,968,242   

Delaware River Port Authority, RB:

    

5.00%, 1/01/29

     475        567,730   

5.00%, 1/01/37

     1,970        2,308,249   

Series D (AGM), 5.00%, 1/01/40

     1,560        1,772,722   

Pennsylvania Turnpike Commission, RB:

    

CAB, Sub-Series A-3, 0.00%, 12/01/42 (c)

     4,100        1,254,477   

CAB, Sub-Series A-3 (AGM), 0.00%, 12/01/40 (c)

     1,100        409,651   

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

     700        757,225   

Pennsylvania Turnpike Commission, Refunding RB, Sub-Series B (AGM), 5.25%, 6/01/39

     3,500        3,986,570   

Southeastern Pennsylvania Transportation Authority, RB, Capital Grant Receipts:

    

5.00%, 6/01/28

     1,570        1,796,975   

5.00%, 6/01/29

     2,080        2,375,027   
    

 

 

 
               24,028,218   

Utilities — 10.9%

    

Allegheny County Sanitary Authority, Refunding RB, Series A (NPFGC), 5.00%, 12/01/30

     5,000        5,182,150   

City of Philadelphia Pennsylvania Gas Works, RB:

    

1998 General Ordinance, 4th Series (AGM), 5.00%, 8/01/32

     3,300        3,310,857   

9th Series, 5.25%, 8/01/40

     1,430        1,661,517   

City of Philadelphia Pennsylvania Water & Wastewater, RB:

    

Series A, 5.25%, 1/01/36

     700        789,572   

Series C (AGM), 5.00%, 8/01/40

     3,000        3,436,860   

County of Allegheny Pennsylvania Sanitary Authority, RB, Sewer Improvement, 5.25%, 12/01/41

     1,215        1,446,543   

County of Delaware Pennsylvania Regional Water Quality Control Authority, RB, Sewer Improvements, 5.00%, 5/01/33

     350        411,162   

Pennsylvania Economic Development Financing Authority, RB, Philadelphia Biosolids Facility, 6.25%, 1/01/32

     1,420        1,582,803   

Reading Area Water Authority Pennsylvania, RB, (AGM), 5.00%, 12/01/27

     2,680        2,909,247   
    

 

 

 
               20,730,711   
Total Municipal Bonds in Pennsylvania              220,644,308   
    

Guam — 0.5%

                

State — 0.5%

  

 

Territory of Guam, RB, Limited Obligation Bonds, Section 30, Series A, 5.63%, 12/01/29

     805        899,048   
Total Municipal Bonds — 117.0%              221,543,356   

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    41


Schedule of Investments (continued)

  

BlackRock MuniYield Pennsylvania Quality Fund (MPA)

(Percentages shown are based on Net Assets)

Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
   Par  
(000)
    Value  

Pennsylvania — 37.6%

                

Education — 8.9%

  

Pennsylvania Higher Educational Facilities Authority, RB:

    

Series AE (NPFGC), 4.75%, 6/15/32

   $ 8,845      $ 9,260,532   

University of Pennsylvania Health System, Series A, 5.75%, 8/15/41

     4,270        5,116,869   

University of Pittsburgh, RB, The Commonwealth System of Higher Education, Capital Project, Series B, 5.00%, 9/15/28

     2,202        2,534,291   
    

 

 

 
               16,911,692   

Health — 10.0%

    

Geisinger Authority Pennsylvania, RB, Health System:

    

Series A, 5.13%, 6/01/34

     2,500        2,836,225   

Series A, 5.25%, 6/01/39

     3,128        3,559,849   

Series A-1, 5.13%, 6/01/41

     6,272        7,135,890   

Philadelphia Hospitals & Higher Education Facilities Authority, RB, The Children’s Hospital of Philadelphia Project, Series C, 5.00%, 7/01/41

     4,680        5,298,649   
    

 

 

 
               18,830,613   

Housing — 1.7%

    

Pennsylvania HFA, Refunding RB, S/F Mortgage, Series 115A, AMT, 4.20%, 10/01/33

     3,000        3,194,190   

State — 17.0%

    

Commonwealth of Pennsylvania, GO, Series 1, 5.00%, 3/15/28

     5,203        5,918,262   

Pennsylvania Turnpike Commission, RB, Oil Franchise Tax, Senior Series C (NPFGC), 5.00%, 12/01/32

     10,000        11,267,500   
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
   Par  
(000)
    Value  

Pennsylvania (concluded)

                

State (concluded)

    

State Public School Building Authority, Refunding RB, School Distric of Philadelphia Project, Series B (AGM), 5.00%, 6/01/26

   $ 14,026      $ 15,001,746   
    

 

 

 
               32,187,508   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 37.6%
        71,124,003   

Total Long-Term Investments

(Cost — $268,359,315) — 154.6%

  

  

    292,667,359   
    
   
Short-Term Securities    Shares         

BIF Pennsylvania Municipal Money Market Fund, 0.00% (g)(h)

     12,533,847        12,533,847   

Total Short-Term Securities

(Cost — $12,533,847) — 6.6%

             12,533,847   
Total Investments (Cost — $280,893,162) — 161.2%        305,201,206   
Liabilities in Excess of Other Assets — (6.6)%        (12,495,770

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (19.6%)

   

    (37,072,235
VRDP Shares, at Liquidation Value — (35.0%)        (66,300,000
    

 

 

 
Net Assets Applicable to Common Shares — 100.0%      $ 189,332,783   
    

 

 

 

 

Notes to Schedule of Investments      

 

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

 

(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.

 

(c)   Zero-coupon bond.

 

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

 

Counterparty      Value        Unrealized
Appreciation
 

Merrill Lynch, Pierce, Fenner & Smith, Inc.

     $ 10,852,447         $ 157,443   

Wells Fargo Securities, LLC

       937,597           2,990   

 

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

 

(f)   Represent bonds transferred to a TOB. In exchange for which the Fund received cash and residual interest certificates. These bonds serve as collateral in a financing transaction. See Note 3 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs.

 

(g)   During the six months ended January 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

 

Affiliate      Shares Held
at July 31,
2014
       Net
Activity
       Shares Held
at January 31,
2015
       Income

BIF Pennsylvania Municipal Money Fund

       1,714,474           10,819,373           12,533,847        

 

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

 

Ÿ  

As of January 31, 2015, financial futures contracts outstanding were as follows:

 

Contracts Short     Issue   Exchange   Expiration   Notional
Value
    Unrealized
Depreciation
 
  (155   10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 20,285,625      $ (526,217

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 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.

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Schedule of Investments (concluded)

  

BlackRock MuniYield Pennsylvania Quality Fund (MPA)

 

Ÿ  

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 statement purposes. 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 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. The three levels of the fair value hierarchy are as follows:

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

  Ÿ  

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)

 

  Ÿ  

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)

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. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of January 31, 2015, the following tables summarize the Fund’s investments and derivative instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 292,667,359              $ 292,667,359   

Short-Term Securities

  $ 12,533,847                          12,533,847   
 

 

 

 

Total

  $ 12,533,847         $ 292,667,359              $ 305,201,206   
 

 

 

 

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

  $ (526,217                     $ (526,217

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

       

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of January 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

   

     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 211,000                        $ 211,000   

Liabilities:

                

TOB trust certificates

            $ (37,066,212             (37,066,212

VRDP Shares

              (66,300,000             (66,300,000
 

 

 

 

Total

  $ 211,000         $ (103,366,212           $ (103,155,212
 

 

 

 

During the six months ended January 31, 2015, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    43


Statements of Assets and Liabilities     
January 31, 2015 (Unaudited)   BlackRock
MuniHoldings
California
Quality
Fund, Inc.
(MUC)
    BlackRock
MuniHoldings
New Jersey
Quality
Fund, Inc.
(MUJ)
    BlackRock
MuniYield
Investment
Quality
Fund
(MFT)
    BlackRock
MuniYield
Michigan
Quality
Fund, Inc.
(MIY)
    BlackRock
MuniYield
New Jersey
Quality
Fund, Inc.
(MJI)
    BlackRock
MuniYield
Pennsylvania
Quality
Fund
(MPA)
 
           
Assets                                                

Investments at value — unaffiliated1

  $ 1,025,212,707      $ 551,572,126      $ 206,692,580      $ 461,267,007      $ 226,860,067      $ 292,667,359   

Investments at value — affiliated2

    1,420,771        1,694,553        1,882,660        2,435,167        820,225        12,533,847   

Cash pledged for financial futures contracts

    678,000        511,000        265,000        375,000        217,000        211,000   

Interest receivable

    13,666,191        4,501,870        2,188,149        5,109,348        1,667,543        2,671,874   

Investments sold receivable

    2,170,698        4,381,183        374,705        1,354,698        454,884        1,269,444   

Deferred offering costs

    15,462        322,283               251,836        216,737        196,378   

TOB trust receivable

    10,605,000                                      

Prepaid expenses

    22,876        12,975        6,336        11,498        6,316        8,054   
 

 

 

 

Total assets

    1,053,791,705        562,995,990        211,409,430        470,804,554        230,242,772        309,557,956   
 

 

 

 
           
Accrued Liabilities                                                

Investments purchased payable

    18,089,787               1,654,909        5,493,107               15,677,742   

Income dividends payable — Common Shares

    2,767,668        1,576,638        601,596        1,313,921        658,239        851,328   

Investment advisory fees payable

    475,596        251,487        88,256        194,419        96,709        123,505   

Variation margin payable on financial futures contracts

    343,750        259,141        134,063        190,352        110,156        106,563   

Officer’s and Directors’ fees payable

    256,635        3,651        1,333        2,691        1,454        2,065   

Interest expense and fees payable

    24,027        6,914        4,356        3,857        3,095        6,023   

Reorganization costs payable

           97,921                      45,606        29,076   

Other accrued expenses payable

    103,918        80,487        51,856        53,419        57,633        62,659   
 

 

 

 

Total accrued liabilities

    22,061,381        2,276,239        2,536,369        7,251,766        972,892        16,858,961   
 

 

 

 
           
Other Liabilities                                                

TOB trust certificates

    109,286,444        34,699,311        19,509,342        23,487,000        18,044,269        37,066,212   

VRDP Shares, at liquidation value of $100,000 per share3,4

           172,700,000               144,600,000        64,400,000        66,300,000   

VMTP Shares, at liquidation value of $100,000 per share3,4

    254,000,000               56,500,000                        
 

 

 

 

Total other liabilities

    363,286,444        207,399,311        76,009,342        168,087,000        82,444,269        103,366,212   
 

 

 

 

Total liabilities

    385,347,825        209,675,550        78,545,711        175,338,766        83,417,161        120,225,173   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 668,443,880      $ 353,320,440      $ 132,863,719      $ 295,465,788      $ 146,825,611      $ 189,332,783   
 

 

 

 
           
Net Assets Applicable to Common Shareholders Consist of   

Paid-in capital5,6

  $ 586,006,297      $ 299,214,869      $ 118,012,879      $ 261,336,487      $ 125,356,076      $ 170,185,735   

Undistributed net investment income

    6,029,108        4,338,635        1,925,850        2,065,845        2,169,897        1,429,455   

Accumulated net realized loss

    (11,340,100     (4,677,477     (11,411,692     (9,955,470     (2,952,644     (6,064,234

Net unrealized appreciation/depreciation

    87,748,575        54,444,413        24,336,682        42,018,926        22,252,282        23,781,827   
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 668,443,880      $ 353,320,440      $ 132,863,719      $ 295,465,788      $ 146,825,611      $ 189,332,783   
 

 

 

 

Net asset value per Common Share

  $ 16.30      $ 16.58      $ 15.68      $ 16.19      $ 16.51      $ 16.46   
 

 

 

 

1    Investments at cost — unaffiliated

  $ 935,833,217      $ 495,844,589      $ 181,657,165      $ 418,324,710      $ 204,047,986      $ 268,359,315   

2    Investments at cost — affiliated

  $ 1,420,771      $ 1,694,553      $ 1,882,660      $ 2,435,167      $ 820,225      $ 12,533,847   

3   Preferred Shares outstanding:

           

Par value $0.05 per share

                  565                      663   

Par value $0.10 per share

    2,540        1,727               1,446        644          

4    Preferred Shares authorized

    18,140        9,847        1,000,000        8,046        3,584        1,000,000   

5    Common Shares outstanding, par value $0.10 per share

    41,002,483        21,305,921        8,473,184        18,248,909        8,895,127        11,504,433   

6    Common Shares authorized

    199,981,860        199,990,153        unlimited        199,991,954        199,996,416        unlimited   

 

 

See Notes to Financial Statements.      
                
44    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Statements of Operations     

Six Months Ended January 31, 2015 (Unaudited)

  BlackRock
MuniHoldings
California
Quality Fund,
Inc.
(MUC)
    BlackRock
MuniHoldings
New Jersey
Quality Fund,
Inc.
(MUJ)
    BlackRock
MuniYield
Investment
Quality Fund
(MFT)
    BlackRock
MuniYield
Michigan
Quality Fund,
Inc.
(MIY)
    BlackRock
MuniYield
New Jersey
Quality Fund,
Inc.
(MJI)
    BlackRock
MuniYield
Pennsylvania
Quality Fund
(MPA)
 
           
Investment Income                                                

Interest

  $ 20,441,538      $ 11,649,223      $ 4,568,837      $ 9,666,927      $ 4,844,833      $ 6,129,977   

Income — affiliated

                  317        172                 
 

 

 

 

Total income

    20,441,538        11,649,223        4,569,154        9,667,099        4,844,833        6,129,977   
 

 

 

 
           
Expenses                                                

Investment advisory

    2,787,331        1,527,356        518,333        1,142,699        567,147        726,464   

Professional

    59,811        49,339        28,214        41,593        31,820        31,158   

Accounting services

    63,300        40,664        18,001        33,282        19,312        23,560   

Reorganization costs

           197,921                      230,606        189,076   

Transfer agent

    20,649        15,813        11,044        15,445        11,427        14,503   

Officer and Directors

    28,937        15,259        5,708        12,664        6,285        8,249   

Custodian

    21,910        13,622        5,322        12,107        6,048        8,459   

Registration

    7,202        4,722        4,725        4,721        4,725        4,721   

Printing

    6,430        4,598        3,104        4,215        3,160        3,341   

Liquidity fees

           8,867                      3,306          

Remarketing fees on Preferred Shares

           8,707                      3,246          

Miscellaneous

    45,031        45,316        33,055        42,598        34,354        33,100   
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    3,040,601        1,932,184        627,506        1,309,324        921,436        1,042,631   

Interest expense, fees and amortization of offering costs1

    1,676,896        922,666        381,879        789,084        365,097        451,920   
 

 

 

 

Total expenses

    4,717,497        2,854,850        1,009,385        2,098,408        1,286,533        1,494,551   

Less fees waived by Manager

    (767     (64,411     (67     (5,724     (950     (4

Less reorganization costs reimbursed by Manager

           (100,000                   (185,000     (160,000
 

 

 

 

Total expenses after fees waived and reimbursed

    4,716,730        2,690,439        1,009,318        2,092,684        1,100,583        1,334,547   
 

 

 

 

Net investment income

    15,724,808        8,958,784        3,559,836        7,574,415        3,744,250        4,795,430   
 

 

 

 
           
Realized and Unrealized Gain (Loss)                                                
Net realized gain (loss) from:            

Investments

    3,650,677        908,854        530,211        1,260,216        300,524        120,055   

Financial futures contracts

    (1,463,700     (517,351     (178,013     (343,939     (229,831     (438,191

Capital gain distributions received from affiliated investment companies

    136        999                      621          
 

 

 

 
    2,187,113        392,502        352,198        916,277        71,314        (318,136
 

 

 

 
Net change in unrealized appreciation/depreciation on:            

Investments

    20,359,181        19,375,161        7,646,891        17,698,670        8,665,017        8,989,815   

Financial futures contracts

    (1,729,878     (1,370,923     (732,568     (983,331     (596,203     (484,974
 

 

 

 
    18,629,303        18,004,238        6,914,323        16,715,339        8,068,814        8,504,841   
 

 

 

 

Net realized and unrealized gain

    20,816,416        18,396,740        7,266,521        17,631,616        8,140,128        8,186,705   
 

 

 

 

Net Increase in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ 36,541,224      $ 27,355,524      $ 10,826,357      $ 25,206,031      $ 11,884,378      $ 12,982,135   
 

 

 

 

1    Related to TOBs, VRDP Shares and/or VMTP Shares.

       

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    45


Statements of Changes in Net Assets     
    BlackRock MuniHoldings California
Quality Fund, Inc. (MUC)
        BlackRock MuniHoldings New
Jersey Quality Fund, Inc. (MUJ)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
January 31,
2015
(Unaudited)
    Year Ended
July 31,
2014
        Six Months Ended
January 31,
2015
(Unaudited)
   

Year Ended,
July 31,

2014

 
         
Operations                                    

Net investment income

  $ 15,724,808      $ 33,646,813        $ 8,958,784      $ 18,404,986   

Net realized gain (loss)

    2,187,113        (5,213,873       392,502        (3,999,407

Net change in unrealized appreciation/depreciation

    18,629,303        60,314,952          18,004,238        30,881,185   
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    36,541,224        88,747,892          27,355,524        45,286,764   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders From1                                    

Net investment income

    (16,934,025     (35,180,130       (9,459,829     (18,919,661

Net realized gain

                           (107,719
 

 

 

     

 

 

 

Decrease in net assets resulting from distributions to Common Shareholders

                    (9,459,829     (19,027,380
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase in net assets applicable to Common Shareholders

    19,607,199        53,567,762          17,895,695        26,259,384   

Beginning of period

    648,836,681        595,268,919          335,424,745        309,165,361   
 

 

 

     

 

 

 

End of period

  $ 668,443,880      $ 648,836,681        $ 353,320,440      $ 335,424,745   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 6,029,108      $ 7,238,325        $ 4,338,635      $ 4,839,680   
 

 

 

     

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
46    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Statements of Changes in Net Assets     

 

    BlackRock MuniYield Investment
Quality Fund (MFT)
        BlackRock MuniYield Michigan
Quality Fund, Inc. (MIY)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
January 31,
2015
(Unaudited)
    Year Ended,
July 31,
2014
        Six Months Ended
January 31,
2015
(Unaudited)
    Year Ended
July 31,
2014
 
         
Operations                                    

Net investment income

  $ 3,559,836      $ 7,185,349        $ 7,574,415      $ 15,640,397   

Net realized gain (loss)

    352,198        (4,394,548       916,277        (6,246,638

Net change in unrealized appreciation/depreciation

    6,914,323        14,787,871          16,715,339        26,779,661   
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    10,826,357        17,578,672          25,206,031        36,173,420   
 

 

 

     

 

 

 
         
Distributions to Shareholders From1                                    

Net investment income

    (3,609,576     (7,219,153       (7,883,529     (16,371,077
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase in net assets applicable to Common Shareholders

    7,216,781        10,359,519          17,322,502        19,802,343   

Beginning of period

    125,646,938        115,287,419          278,143,286        258,340,943   
 

 

 

     

 

 

 

End of period

  $ 132,863,719      $ 125,646,938        $ 295,465,788      $ 278,143,286   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 1,925,850      $ 1,975,590        $ 2,065,845      $ 2,374,959   
 

 

 

     

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    47


Statements of Changes in Net Assets     
    BlackRock MuniYield New Jersey
Quality Fund, Inc. (MJI)
        BlackRock MuniYield Pennsylvania
Quality Fund (MPA)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:   Six Months Ended
January 31,
2015
(Unaudited)
    Year Ended
July 31,
2014
        Six Months Ended
January 31,
2015
(Unaudited)
    Year Ended
July 31,
2014
 
         
Operations                                    

Net investment income

  $ 3,744,250      $ 7,687,982        $ 4,795,430      $ 9,991,517   

Net realized gain (loss)

    71,314        (1,914,017       (318,136     (2,283,420

Net change in unrealized appreciation/depreciation

    8,068,814        13,971,862          8,504,841        16,109,329   
 

 

 

     

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    11,884,378        19,745,827          12,982,135        23,817,426   
 

 

 

     

 

 

 
         
Distributions to Common Shareholders From1                                    

Net investment income

    (3,949,436     (7,898,872       (5,107,968     (10,215,936

Net realized gain

           (38,170                
 

 

 

     

 

 

 

Decrease in net assets resulting from distributions to Common Shareholders

    (3,949,436     (7,937,042                
 

 

 

     

 

 

 
         
Net Assets Applicable to Common Shareholders                                    

Total increase in net assets applicable to Common Shareholders

    7,934,942        11,808,785          7,874,167        13,601,490   

Beginning of period

    138,890,669        127,081,884          181,458,616        167,857,126   
 

 

 

     

 

 

 

End of period

  $ 146,825,611      $ 138,890,669        $ 189,332,783      $ 181,458,616   
 

 

 

     

 

 

 

Undistributed net investment income, end of period

  $ 2,169,897      $ 2,375,083        $ 1,429,455      $ 1,741,993   
 

 

 

     

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
48    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Statements of Cash Flows     
Six Months Ended January 31, 2015 (Unaudited)   BlackRock
MuniHoldings
California
Quality
Fund, Inc.
(MUC)
    BlackRock
MuniHoldings
New Jersey
Quality
Fund, Inc.
(MUJ)
    BlackRock
MuniYield
Investment
Quality
Fund
(MFT)
    BlackRock
MuniYield
Michigan
Quality
Fund, Inc.
(MIY)
    BlackRock
MuniYield
New Jersey
Quality
Fund, Inc.
(MJI)
    BlackRock
MuniYield
Pennsylvania
Quality
Fund
(MPA)
 
           
Cash Provided by Operating Activities                                                

Net increase in net assets resulting from operations

  $ 36,541,224      $ 27,355,524      $ 10,826,357      $ 25,206,031      $ 11,884,378      $ 12,982,135   

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

           

(Increase) decrease in interest receivable

    (92,199     (110,244     (4,351     28,543        (71,473     98,383   

Decrease in variation margin receivable on financial futures contracts

    19,264        9,608        3,703        6,562        3,984        6,656   

Decrease in prepaid expenses

    12,016        14,344        18,789        15,602        18,525        17,751   

Increase in cash pledged for financial futures contracts

    (116,000     (231,000     (157,000     (165,000     (59,000     (36,000

Increase in investment advisory fees payable

    11,476        11,671        2,516        5,382        3,164        2,789   

Increase (decrease) in interest expense and fees payable

    (5,959     532        (852     (1,306     (64     (679

Decrease in other accrued expenses payable

    (43,544     (16,282     (21,914     (32,050     (18,266     (15,533

Increase in variation margin payable on financial futures contracts

    343,750        259,141        134,063        190,352        110,156        106,563   

Increase (decrease) in Officer’s and Directors’ fees payable

    12,134        (745     (319     (953     (354     (361

Net realized gain on investments

    (3,650,677     (908,854     (530,211     (1,260,216     (300,524     (120,055

Net unrealized gain on investments

    (20,359,181     (19,375,161     (7,646,891     (17,698,670     (8,665,017     (8,989,815

Amortization of premium and accretion of discount on investments

    2,786,810        (77,600     348,159        638,441        (187,232     180,895   

Proceeds from sales of long-term investments

    115,396,228        35,044,538        8,767,035        39,375,425        12,404,443        19,458,663   

Purchases of long-term investments

    (125,010,757     (35,635,306     (8,057,196     (39,883,918     (12,937,969     (7,853,123

Net proceeds from sales (purchases) of short-term securities

    786,549        3,015,597        682,613        1,454,473        1,714,935        (10,819,373
 

 

 

 

Net cash provided by operating activities

    6,631,134        9,355,763        4,364,501        7,878,698        3,899,686        5,018,896   
 

 

 

 
           
Cash Used for Financing Activities                                                

Cash payments for reorganization costs

           97,921                      45,606        29,076   

Proceeds from TOB trust certificates

    19,295,000                                      

Repayments of TOB trust certificates

    (8,885,000            (774,415                     

Cash dividends paid to Common Shareholders

    (17,098,035     (9,459,829     (3,609,576     (7,883,529     (3,949,436     (5,107,968

Amortization of deferred offering costs

    56,901        6,145        19,490        4,831        4,144        3,758   
 

 

 

 

Net cash used for financing activities

    (6,631,134     (9,355,763     (4,364,501     (7,878,698     (3,899,686     (5,075,134
 

 

 

 
           
Cash                                                

Net increase (decrease) in cash

                                       (56,238

Cash at beginning of period

                                       56,238   
 

 

 

 

Cash at end of period

                                         
 

 

 

 
           
Supplemental Disclosure of Cash Flow Information                                                

Cash paid during the period for interest and fees

  $ 1,625,954      $ 915,989      $ 363,241      $ 785,559      $ 361,017      $ 448,841   
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    49


Financial Highlights    BlackRock MuniHoldings California Quality Fund, Inc.  (MUC)

 

   

Six Months Ended
January 31,
2015

(Unaudited)

    Year Ended July 31,  
      2014     2013     2012     2011     2010  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 15.82      $ 14.52      $ 16.41      $ 14.27      $ 14.55      $ 13.21   
 

 

 

 

Net investment income1

    0.38        0.82        0.86        0.95        0.97        0.92   

Net realized and unrealized gain (loss)

    0.51        1.34        (1.82     2.13        (0.33     1.24   

Distributions to AMPS Shareholders from net investment income

                         (0.01     (0.02     (0.03
 

 

 

 

Net increase (decrease) from investment operations

    0.89        2.16        (0.96     3.07        0.62        2.13   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.41     (0.86     (0.93     (0.93     (0.90     (0.79
 

 

 

 

Net asset value, end of period

  $ 16.30      $ 15.82      $ 14.52      $ 16.41      $ 14.27      $ 14.55   
 

 

 

 

Market price, end of period

  $ 15.05      $ 14.04      $ 13.31      $ 16.36      $ 13.15      $ 14.04   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                                

Based on net asset value

    6.00% 4      15.94%        (6.16)%        22.26%        4.88%        16.96%   
 

 

 

 

Based on market price

    10.28% 4      12.25%        (13.71)%        32.27%        0.16%        22.40%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.43% 5      1.57%        1.64%        1.48% 6      1.38% 6      1.23% 6 
 

 

 

 

Total expenses after fees waived

    1.43% 5      1.51%        1.56%        1.39% 6      1.25% 6      1.12% 6 
 

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs7

    0.92% 5      0.93%        0.92%        1.01% 6,8      1.02% 6      0.98% 6 
 

 

 

 

Net investment income

    4.75% 5      5.44%        5.27%        6.14% 6      6.93% 6      6.52% 6 
 

 

 

 

Distributions to AMPS Shareholders

                         0.06%        0.16%        0.18%   
 

 

 

 

Net investment income to Common Shareholders

    4.75% 5      5.44%        5.27%        6.08%        6.77%        6.34%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 668,444      $ 648,837      $ 595,269      $ 671,077      $ 583,400      $ 594,734   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                              $ 254,000      $ 254,000   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period (000)

                              $ 82,421      $ 83,538   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 254,000      $ 254,000      $ 254,000      $ 254,000                 
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 363,167      $ 355,448      $ 334,358      $ 364,204                 
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 109,286      $ 88,271      $ 172,316      $ 185,775      $ 179,443      $ 181,855   
 

 

 

 

Asset coverage, end of period per $1,000 of borrowings

  $ 7,116      $ 8,350      $ 4,455      $ 4,612      $ 4,251      $ 4,270   
 

 

 

 

Portfolio turnover rate

    10%        25%        34%        46%        24%        25%   
 

 

 

 

 

  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   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOBs and/or VMTP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares, respectively.

 

  8   

For the year ended July 31, 2012, the total expense ratio after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.97%.

 

 

See Notes to Financial Statements.      
                
50    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Financial Highlights    BlackRock MuniHoldings New Jersey Quality Fund, Inc.  (MUJ)

 

   

Six Months Ended
January 31,
2015

(Unaudited)

    Year Ended July 31,  
      2014     2013     2012     2011     2010  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 15.74      $ 14.51      $ 16.54      $ 14.73      $ 15.19      $ 14.40   
 

 

 

 

Net investment income1

    0.42        0.86        0.86        0.83        0.93        1.00   

Net realized and unrealized gain (loss)

    0.86        1.27        (2.00     1.87        (0.47     0.67   
Distributions to AMPS Shareholders from:            

Net investment income

                                (0.03     (0.03

Net realized gain

                                       (0.00 )2 
 

 

 

 

Net increase (decrease) from investment operations

    1.28        2.13        (1.14     2.70        0.43        1.64   
 

 

 

 

Distributions to Common Shareholders from:3

           

Net investment income

    (0.44     (0.89     (0.89     (0.89     (0.89     (0.84

Net realized gain

           (0.01                          (0.01
 

 

 

 

Total distributions to Common Shareholders

    (0.44     (0.90     (0.89     (0.89     (0.89     (0.85
 

 

 

 

Net asset value, end of period

  $ 16.58      $ 15.74      $ 14.51      $ 16.54      $ 14.73      $ 15.19   
 

 

 

 

Market price, end of period

  $ 15.07      $ 14.11      $ 13.30      $ 16.05      $ 13.74      $ 15.05   
 

 

 

 
           
Total Return Applicable to Common Shareholders4                                    

Based on net asset value

    8.60% 5      15.79%        (7.19)%        18.96%        3.28%        11.95%   
 

 

 

 

Based on market price

    10.11% 5      13.24%        (12.33)%        23.76%        (2.77)%        19.37%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.65% 6,10      1.64%        1.61%        1.81%        1.21% 7      1.13% 7 
 

 

 

 

Total expenses after fees waived and/or reimbursed

    1.55% 6,10      1.57%        1.58%        1.78%        1.17% 7      1.08% 7 
 

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs8

    1.02% 6,9,10      1.25% 9      1.33% 9      1.43% 9      1.11% 7      1.05% 7 
 

 

 

 

Net investment income

    5.17% 6      5.78%        5.28%        5.28%        6.36% 7      6.71% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                0.21%        0.22%   
 

 

 

 

Net investment income to Common Shareholders

    5.17% 6      5.78%        5.28%        5.28%        6.15%        6.49%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable Common Shareholders, end of period (000)

  $  353,320      $  335,425      $  309,165      $  351,837      $  313,084      $  322,681   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 172,700   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 71,713   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 172,700      $ 172,700      $ 172,700      $ 172,700      $ 172,700          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 304,586      $ 294,224      $ 279,019      $ 303,727      $ 281,288          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 34,699      $ 34,699      $ 38,231      $ 29,719      $ 13,263      $ 13,263   
 

 

 

 

Asset coverage, end of period per $1,000 of borrowings

  $ 11,182      $ 10,667      $ 9,087      $ 12,839      $ 24,606      $ 25,330   
 

 

 

 

Portfolio turnover rate

    7%        16%        10%        17%        12%        13%   
 

 

 

 

 

  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   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8   

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

  9   

For the six months ended January 31, 2015 and the years ended July 31, 2014, July 31, 2013 and July 31, 2012, the total expense ratio after fees waived and/or reimbursed and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.01%, 0.95%, 0.93% and 1.01%, respectively.

 

  10  

Includes reorganization costs associated with the Fund’s merger. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs would have been 1.53% and 0.96%, respectively.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    51


Financial Highlights    BlackRock MuniYield Investment Quality Fund (MFT)

 

   

Six Months Ended

January 31,
2015
(Unaudited)

    Year Ended July 31,  
      2014     2013     2012     2011     2010  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 14.83      $ 13.61      $ 15.73      $ 13.40      $ 13.87      $ 12.83   
 

 

 

 

Net investment income1

    0.42        0.85        0.84        0.87        0.91        0.92   

Net realized and unrealized gain (loss)

    0.86        1.22        (2.11     2.32        (0.49     0.98   
Distributions to AMPS Shareholders from net investment income                          (0.01     (0.04     (0.04
 

 

 

 

Net increase (decrease) from investment operations

    1.28        2.07        (1.27     3.18        0.38        1.86   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.43     (0.85     (0.85     (0.85     (0.85     (0.82
 

 

 

 

Net asset value, end of period

  $ 15.68      $ 14.83      $ 13.61      $ 15.73      $ 13.40      $ 13.87   
 

 

 

 

Market price, end of period

  $ 14.38      $ 13.26      $ 12.20      $ 15.47      $ 12.39      $ 14.28   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                    

Based on net asset value

    9.03% 4      16.40%        (8.41)%        24.51%        3.20%        14.99%   
 

 

 

 

Based on market price

    11.83% 4      16.10%        (16.52)%        32.43%        (7.32)%        28.72%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.55% 5      1.67%        1.72%        1.58% 6      1.23% 6      1.19% 6 
 

 

 

 

Total expenses after fees waived

    1.55% 5      1.67%        1.72%        1.58% 6      1.23% 6      1.19% 6 
 

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs7

    0.96% 5      1.00%        1.00%        1.08% 6,8      1.11% 6      1.09% 6 
 

 

 

 

Net investment income

    5.47% 5      6.04%        5.36%        5.94% 6      6.91% 6      6.80% 6 
 

 

 

 

Distributions to AMPS Shareholders

                         0.08%        0.28%        0.29%   
 

 

 

 

Net investment income to Common Shareholders

    5.47% 5      6.04%        5.36%        5.86%        6.63%        6.51%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $  132,864      $  125,647      $  115,287      $  133,160      $  113,423      $  117,341   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                              $ 56,525      $ 56,525   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period (000)

                         $ 75,165      $ 76,900   
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 56,500      $ 56,500      $ 56,500      $ 56,500                 
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 335,157      $ 322,384      $ 304,049      $ 335,681                 
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 19,509      $ 20,284      $ 28,192      $ 34,106      $ 15,680      $ 16,200   
 

 

 

 

Asset coverage, end of period per $1,000 of borrowings

  $ 7,810      $ 7,194      $ 5,089      $ 4,904      $ 8,234      $ 8,243   
 

 

 

 

Portfolio turnover rate

    5%        32%        51%        43%        29%        38%   
 

 

 

 

 

  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   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOBs and/or VMTP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VMTP Shares, respectively.

 

  8   

For the year ended July, 31, 2012, the total expense ratio after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.05%.

 

 

See Notes to Financial Statements.      
                
52    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Financial Highlights    BlackRock MuniYield Michigan Quality Fund, Inc.  (MIY)

 

   

Six Months Ended
January 31,
2015

(Unaudited)

    Year Ended July 31,  
      2014     2013     2012     2011     2010  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 15.24      $ 14.16      $ 16.18      $ 14.63      $ 14.92      $ 13.93   
 

 

 

 

Net investment income1

    0.42        0.86        0.90        0.87        0.93        0.98   

Net realized and unrealized gain (loss)

    0.96        1.12        (2.00     1.61        (0.26     0.94   

Distributions to AMPS Shareholders from net investment income

                                (0.04     (0.05
 

 

 

 

Net increase (decrease) from investment operations

    1.38        1.98        (1.10     2.48        0.63        1.87   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.43     (0.90     (0.92     (0.93     (0.92     (0.88
 

 

 

 

Net asset value, end of period

  $ 16.19      $ 15.24      $ 14.16      $ 16.18      $ 14.63      $ 14.92   
 

 

 

 

Market price, end of period

  $ 14.51      $ 13.47      $ 12.57      $ 16.05      $ 13.39      $ 14.55   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                    

Based on net asset value

    9.58% 4      15.24%        (7.09)%        17.60%        4.78%        14.31%   
 

 

 

 

Based on market price

    11.12% 4      14.74%        (16.86)%        27.46%        (1.67)%        26.76%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.46% 5      1.54%        1.50%        1.72%        1.37% 6      1.07% 6 
 

 

 

 

Total expenses after fees waived

    1.46% 5      1.54%        1.50%        1.72%        1.36% 6      1.07% 6 
 

 

 

 

Total expenses after fees waived and excluding interest expense, fees and amortization of offering costs7

    0.91% 5      0.93%        0.89%        1.38% 8      1.23% 6      1.03% 6 
 

 

 

 

Net investment income

    5.27% 5      5.94%        5.62%        5.65%        6.48% 6      6.72% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.25%        0.31%   
 

 

 

 

Net investment income to Common Shareholders

    5.27% 5      5.94%        5.62%        5.65%        6.23%        6.41%   
 

 

 

 
           
Supplemental Data                                                

Net assets applicable to Common Shareholders, end of period (000)

  $ 295,466      $ 278,143      $ 258,341      $ 294,804      $ 266,326      $ 271,609   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 144,650   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 71,945   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 144,600      $ 144,600      $ 144,600      $ 144,600      $ 144,600          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 304,333      $ 292,354      $ 278,659      $ 303,876      $ 284,181          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 23,487      $ 23,487      $ 34,876      $ 29,568      $ 16,190      $ 16,190   
 

 

 

 

Asset coverage, end of period per $1,000 of borrowings

  $ 13,580      $ 12,842      $ 8,407      $ 10,970      $ 17,450      $ 17,776   
 

 

 

 

Portfolio turnover rate

    9%        22%        17%        19%        16%        15%   
 

 

 

 

 

  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   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

  8   

For the year ended July 31, 2012, the total expense ratio after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.98%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    53


Financial Highlights    BlackRock MuniYield New Jersey Quality Fund, Inc.  (MJI)

 

   

Six Months Ended
January 31,

2015
(Unaudited)

    Year Ended July 31,  
      2014     2013     2012     2011     2010  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 15.61      $ 14.29      $ 16.35      $ 14.53      $ 15.00      $ 14.07   
 

 

 

 

Net investment income1

    0.42        0.86        0.86        0.82        0.91        0.98   

Net realized and unrealized gain (loss)

    0.92        1.35        (2.01     1.89        (0.48     0.94   

Distributions to VRDP Shareholders from net realized gain

                  (0.00 )2                      
Distributions to AMPS shareholders from:            

Net investment income

                                (0.04     (0.04

Net realized gain

                                       (0.01
 

 

 

 

Net increase (decrease) from investment operations

    1.34        2.21        (1.15     2.71        0.39        1.87   
 

 

 

 

Distributions to Common Shareholders from:3

           

Net investment income

    (0.44     (0.89     (0.88     (0.89     (0.86     (0.84

Net realized gain

           (0.00 )2      (0.03                   (0.10
 

 

 

 

Total distributions to Common Shareholders

    (0.44     (0.89     (0.91     (0.89     (0.86     (0.94
 

 

 

 

Net asset value, end of period

  $ 16.51      $ 15.61      $ 14.29      $ 16.35      $ 14.53      $ 15.00   
 

 

 

 

Market price, end of period

  $ 14.91      $ 14.15      $ 13.27      $ 16.31      $ 13.16      $ 14.92   
 

 

 

 
           
Total Return Applicable to Common Shareholders4                                    

Based on net asset value

    9.08% 5      16.64%        (7.41)%        19.32%        3.10%        13.90%   
 

 

 

 

Based on market price

    8.67% 5      13.85%        (13.81)%        31.42%        (6.12)%        24.34%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.79% 6,10      1.58%        1.54%        1.71% 7      1.13% 7      1.06% 7 
 

 

 

 

Total expenses after fees waived and/or reimbursed

    1.53% 6,10      1.58%        1.53%        1.70% 7      1.12% 7      1.05% 7 
 

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs8

    1.02% 6,9,10      1.25% 9      1.29% 9      1.38% 7,9      1.08% 7      1.02% 7 
 

 

 

 

Net investment income

    5.21% 6      5.86%        5.34%        5.31% 7      6.32% 7      6.64% 7 
 

 

 

 

Distributions to AMPS Shareholders

                                0.31%        0.29%   
 

 

 

 

Net investment income to Common Shareholders

    5.21% 6      5.86%        5.34%        5.31%        6.01%        6.35%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $ 146,826      $ 138,891      $ 127,082      $ 144,942      $ 128,481      $ 132,281   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 64,475   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period

                                     $ 76,294   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 64,400      $ 64,400      $ 64,400      $ 64,400      $ 64,400          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 327,990      $ 315,669      $ 297,332      $ 325,065      $ 299,505          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 18,044      $ 18,044      $ 20,545      $ 14,371      $ 4,684      $ 4,684   
 

 

 

 

Asset coverage, end of period per $1,000 of borrowings

  $ 9,137      $ 8,697      $ 7,186      $ 11,086      $ 28,428      $ 29,239   
 

 

 

 

Portfolio turnover rate

    6%        17%        11%        21%        12%        12%   
 

 

 

 

 

  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   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8   

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

  9   

For the six months ended January 31, 2015 and the years ended July 31, 2014, July 31, 2013 and July 31, 2012, the total expense ratio after fees waived and/or reimbursed and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.02%, 0.98%, 0.93% and 0.99%, respectively.

 

  10  

Includes reorganization costs associated with the Fund’s merger. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs would have been 1.47% and 0.96%, respectively.

 

 

See Notes to Financial Statements.      
                
54    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Financial Highlights    BlackRock MuniYield Pennsylvania Quality Fund, Inc.  (MPA)

 

 

   

Six Months Ended
January 31,
2015

(Unaudited)

    Year Ended July 31,  
      2014     2013     2012     2011     2010  
           
Per Share Operating Performance                                   

Net asset value, beginning of period

  $ 15.77      $ 14.59      $ 16.57      $ 14.97      $ 15.38      $ 14.28   
 

 

 

 

Net investment income1

    0.42        0.87        0.90        0.85        0.92        0.92   

Net realized and unrealized gain (loss)

    0.71        1.20        (1.99     1.66        (0.38     1.02   

Distributions to AMPS Shareholders from net investment income

                                (0.03     (0.03
 

 

 

 

Net increase (decrease) from investment operations

    1.13        2.07        (1.09     2.51        0.51        1.91   
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.44     (0.89     (0.89     (0.91     (0.92     (0.81
 

 

 

 

Net asset value, end of period

  $ 16.46      $ 15.77      $ 14.59      $ 16.57      $ 14.97      $ 15.38   
 

 

 

 

Market price, end of period

  $ 15.11      $ 13.89      $ 13.07      $ 15.98      $ 13.94      $ 15.26   
 

 

 

 
           
Total Return Applicable to Common Shareholders3                                    

Based on net asset value

    7.63% 4      15.39%        (6.78)%        17.34%        3.84%        14.18%   
 

 

 

 

Based on market price

    12.17% 4      13.45%        (13.42)%        21.53%        (2.55)%        25.70%   
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders                                   

Total expenses

    1.60% 5,8      1.48%        1.53%        1.65%        1.37% 6      1.15% 6 
 

 

 

 

Total expenses after fees waived and/or reimbursed

    1.43% 5,8      1.48%        1.53%        1.65%        1.36% 6      1.15% 6 
 

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs7

    0.95% 5,8      0.95%        0.94%        1.28% 9      1.14% 6      1.00% 6 
 

 

 

 

Net investment income

    5.15% 5      5.79%        5.46%        5.38%        6.24% 6      6.17% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                0.18%        0.22%   
 

 

 

 

Net investment income to Common Shareholders

    5.15% 5      5.79%        5.46%        5.38%        6.06%        5.95%   
 

 

 

 
           
Supplemental Data                                   

Net assets applicable to Common Shareholders, end of period (000)

  $ 189,333      $ 181,459      $ 167,857      $ 190,562      $ 171,938      $ 176,530   
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                                     $ 66,350   
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period (000)

                                     $ 91,517   
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 66,300      $ 66,300      $ 66,300      $ 66,300      $ 66,300          
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 385,570      $ 373,693      $ 353,178      $ 387,425      $ 359,333          
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 37,066      $ 37,066      $ 53,010      $ 50,860      $ 33,765      $ 38,445   
 

 

 

 

Asset coverage, end of period per $1,000 of borrowings

  $ 6,108      $ 5,896      $ 4,167      $ 4,747      $ 6,092      $ 5,592   
 

 

 

 

Portfolio turnover rate

    7%        16%        8%        23%        11%        6%   
 

 

 

 

 

  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   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 3 and Note 9 of the Notes to Financial Statements for details of municipal bonds transferred to TOBs and VRDP Shares, respectively.

 

  8   

Includes reorganization costs associated with the Fund’s merger. Without these costs, total expenses and total expenses after fees waived and/or reimbursed and excluding interest expense, fees and amortization of offering costs would have been 1.40% and 0.92%, respectively.

 

  9   

For the year ended July 31, 2012, the total expense ratio after fees waived and/or reimbursed and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 0.99%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    55


Notes to Financial Statements (Unaudited)     

1. Organization:

The following are registered under the 1940 Act, as closed-end management investment companies and referred to herein collectively as the “Funds”:

 

Fund Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock MuniHoldings California Quality Fund, Inc

  MUC    Maryland    Non-diversified

BlackRock MuniHoldings New Jersey Quality Fund, Inc

  MUJ    Maryland    Non-diversified

BlackRock MuniYield Investment Quality Fund

  MFT    Massachusetts    Non-diversified

BlackRock MuniYield Michigan Quality Fund, Inc.

  MIY    Maryland    Non-diversified

BlackRock MuniYield New Jersey Quality Fund, Inc.

  MJI    Maryland    Non-diversified

BlackRock MuniYield Pennsylvania Quality Fund

  MPA    Massachusetts    Non-diversified

The Board of Directors and Board of Trustees of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board”, and the directors/trustees thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the NAVs of their Common Shares on a daily basis.

2. Significant Accounting Policies:

The Funds’ 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 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 Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Funds:

Valuation: The Funds’ investments are valued at fair value 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 Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments at market value using independent dealers or pricing services under policies approved by 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 provide oversight of the pricing function for the Funds for all financial instruments.

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments. Financial futures contracts traded on exchanges are valued at their last sale price. Investments in open-end registered investment companies are valued at NAV each business day.

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 Value Investments”). When determining the price for Fair Value Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund 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 Value Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., financial futures contracts), or certain borrowings (e.g., TOBs) that would be “senior securities” for 1940 Act purposes, the Fund may segregate or designate on its books and records cash or liquid securities having a market value at least equal to the amount of the Fund’s 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 Fund 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. Dividend income is recorded on the ex-dividend date. 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 and paid monthly. Distributions of capital gains are recorded on the ex-dividend date. 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 9.

 

                
56    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Notes to Financial Statements (continued)     

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the independent Directors (“Independent Directors”) 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 Directors. This has the same economic effect for the Independent Directors as if the Independent Directors 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 Fund. Deferred compensation liabilities are included in officer’s and director’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Funds have an arrangement with the custodians whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodians impose fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

3. Securities and Other Investments:

Zero-Coupon Bonds: The Funds may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.

Forward Commitments and When-Issued Delayed Delivery Securities: The Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Funds may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, the Funds are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.

Municipal Bonds Transferred to TOB Trusts: The Funds leverage their assets through the use of TOB Trusts. The Funds transfer municipal bonds into a special purpose entity (“TOB Trust”). Other funds managed by the investment advisor may also contribute municipal bonds to a TOB Trust into which a Fund has contributed bonds. A TOB typically issues two classes of beneficial interests: short-term floating rate certificates (“TOB Trust Certificates”), which are sold to third party investors, and residual certificates (“TOB Residuals”), which are generally issued to the participating funds that contributed the municipal bonds to the TOB Trust. If multiple funds participate in the same TOB Trust, the rights and obligations under the TOB Residual will be shared among the funds ratably in proportion to their participation in the Trust.

The municipal bonds transferred to a TOB Trust typically are high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB transaction includes 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. The Funds, as TOB Residual holders, would be responsible for the payment of the credit enhancement fee and for reimbursement of any payments of principal and interest made by the credit enhancement provider.

The Residuals held by a Fund include the right of a Fund (subject to the non-occurrence of certain termination events enumerated below, and a specified number of days’ prior notice), to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates at par plus accrued interest. Thereafter, that Fund may withdraw a corresponding share of the municipal bonds from the TOB Trust. The TOB Trust may also be collapsed without the consent of a Fund, upon the occurrence of tender option termination events (“TOTEs”) and mandatory termination events (“MTEs”), as defined in the TOB Trust agreements. TOTEs may include the bankruptcy or default of the issuer of the municipal bond, a substantial downgrade in credit quality of the issuer of the municipal bond, failure of any scheduled payment of principal or interest on the underlying bonds, and 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 bond. 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 Certificate holders would be paid senior to the Residual holders (i.e., the Funds). In contrast, in the case of a TOTE, after payment of fees, the TOB Trust Certificate holders and Residual holders would be paid equally in proportion to the respective face values of their certificates. During the six months ended January 31, 2015, no TOB Trusts in which the Funds participated were terminated without the consent of the Funds.

The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less transaction expenses, is paid to a Fund. The Funds typically invest the cash received in additional municipal bonds. Each Fund’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    57


Notes to Financial Statements (continued)     

reporting purposes; therefore, the municipal bonds deposited into a TOB Trust are presented in the Funds’ Schedules of Investments and the TOB Trust Certificates are shown in other liabilities in the Statements of Assets and Liabilities. The carrying amount of each Fund’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.

The Funds may invest in TOB Trusts on either a non-recourse or recourse basis. TOB Trusts are typically supported by a liquidity facility provided by a 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 from the Liquidity Provider of par plus accrued interest on any business day prior to the occurrence of the termination events described above.

When a Fund invests in TOB Trusts on a non-recourse basis, and the Liquidity Provider is required to make a payment under the liquidity facility, the Liquidity Provider will typically liquidate all or a portion of the municipal securities held in the TOB Trust and then fund, on a net basis, the balance, if any, of the amount owed under the liquidity facility over the liquidation proceeds (the “Liquidation Shortfall”). If a Fund invests in a TOB Trust on a recourse basis, the Fund will typically enter into a reimbursement agreement with the Liquidity Provider where the Fund is required to repay the Liquidity Provider the amount of any Liquidation Shortfall. As a result, a Fund investing in a recourse TOB 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 the Funds at January 31, 2015, 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 the Funds at January 31, 2015.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by the Funds on an accrual basis. Interest expense incurred on the secured borrowing and other expenses related to remarketing, administration and trustee services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. The TOB Trust Certificates have interest rates that generally reset weekly and their holders have the option to tender such certificates to the TOB for redemption at par at each reset date. At January 31, 2015, the aggregate value of the underlying municipal bonds transferred to TOB Trusts, the related liability for TOB Trust Certificates and the range of interest rates on the liability for TOB Trust Certificates were as follows:

 

     Underlying
Municipal
Bonds
Transferred to
TOBs
     Liability For
TOB Trust
Certificates
     Range of
Interest Rates
 

MUC

  $ 240,450,940       $ 109,286,444         0.02% - 0.17%   

MUJ

  $ 66,431,533       $ 34,699,311         0.02% - 0.17%   

MFT

  $ 38,192,171       $ 19,509,342         0.02% - 0.25%   

MIY

  $ 49,135,561       $ 23,487,000         0.02% - 0.17%   

MJI

  $ 33,867,646       $ 18,044,269         0.02% - 0.17%   

MPA

  $ 71,124,003       $ 37,066,212         0.03% - 0.22%   

For the six months ended January 31, 2015, the Funds’ average TOB Trust Certificates outstanding and the daily weighted average interest rate, including fees, were as follows:

 

     Average TOB
Trust
Certificates
Outstanding
     Daily
Weighted
Average
Interest Rate
 

MUC

  $ 95,200,574         0.60%   

MUJ

  $ 34,699,311         0.64%   

MFT

  $ 19,941,360         0.66%   

MIY

  $ 23,487,000         0.53%   

MJI

  $ 18,044,269         0.66%   

MPA

  $ 37,066,212         0.63%   

Should short-term interest rates rise, the Funds’ investments in TOB transactions may adversely affect the Funds’ 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 Funds’ NAVs per share.

While the Funds’ investment policies and restrictions expressly permit investments in inverse floating rate securities such as Residuals, they generally do not allow the Funds to borrow money for purposes of making investments. The Funds’ management believes that the Funds’ restrictions on borrowings do not apply to secured borrowings. For accounting purposes, the Funds’ transfer of municipal bonds to a TOB Trust are deemed secured borrowings.

4. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to economically hedge their exposure to certain risks such as interest rate risk. These contracts may be transacted on an exchange.

Financial Futures Contracts: The Funds invest in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk). Financial futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the

 

                
58    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Notes to Financial Statements (continued)     

particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

Upon entering into a financial futures contract, the Funds 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 on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin. Variation margin is recorded by the Funds as unrealized appreciation or depreciation and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.

The following is a summary of the Funds’ derivative financial instruments categorized by risk exposure:

 

     Fair Values of Derivative Financial Instruments as of January 31, 2015  
        Value  
        MUC   MUJ          MFT  
     Statements of Assets and Liabilities Location   Derivative
Assets
    Derivative
Liabilities
        Derivative
Assets
    Derivative
Liabilities
        Derivative
Assets
    Derivative
Liabilities
 

Interest rate contracts

  Net unrealized appreciation/depreciation1          $ (1,630,915              $ (1,283,124              $ (698,733
        MIY   MJI          MPA  
        Value  
     Statements of Assets and Liabilities Location   Derivative
Assets
    Derivative
Liabilities
        Derivative
Assets
    Derivative
Liabilities
        Derivative
Assets
    Derivative
Liabilities
 

Interest rate contracts

  Net unrealized appreciation/depreciation1          $ (923,371              $ (559,799              $ (526,217

 

  1  

Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

 

The Effect of Derivative Financial Instruments in the Statements of Operations
Six Months Ended January 31, 2015
 
    Net Realized Loss From          Net Change in Unrealized Appreciation/Depreciation on  
    MUC      MUJ      MFT          MUC      MUJ      MFT  
Interest rate contracts:                   

Financial futures contracts

  $ (1,463,700    $ (517,351    $ (178,013        $ (1,729,878    $ (1,370,923    $ (732,568
    Net Realized Loss From          Net Change in Unrealized Appreciation/Depreciation on  
    MIY      MJI      MPA          MIY      MJI      MPA  
Interest rate contracts:                   

Financial futures contracts

  $ (343,939    $ (229,831    $ (438,191        $ (983,331    $ (596,203    $ (484,974

For the six months ended January 31, 2015, the average quarterly balances of outstanding derivative financial instruments were as follows:

 

     MUC      MUJ      MFT      MIY      MJI      MPA  
Financial futures contracts:                 

Average notional value of contracts — short

  $ 64,308,594       $ 38,793,242       $ 21,289,570       $ 27,887,109       $ 16,863,086       $ 15,955,344   

Counterparty Credit Risk: 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.

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund.

With exchange-traded futures, there is less counterparty credit risk to the Funds 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 Fund 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) of the clearing broker or clearinghouse. 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

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    59


Notes to Financial Statements (continued)     

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 Funds.

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock, Inc. (“BlackRock”).

Each Fund entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Funds’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Fund’s portfolio and provides the necessary personnel, facilities, equipment and certain other services to the operations of each Fund. For such services, each Fund pays the Manager a monthly fee based on a percentage of each Fund’s average daily net assets at the following annual rates:

 

     MUC      MUJ      MFT      MIY      MJI      MPA  

Investment advisory fee

    0.55%         0.55%         0.50%         0.50%         0.50%         0.50%   

Average daily net assets are the average daily value of each Fund’s total assets minus its total accrued liabilities.

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Fund’s investments in other affiliated investment companies, if any. These amounts are included in fees waived by Manager in the Statements of Operations. For the six months ended January 31, 2015 the amounts waived were:

 

     MUC      MUJ      MFT      MIY      MJI      MPA  

Amounts waived

  $ 417       $ 2,163       $ 67       $ 5,724       $ 950       $ 4   

The Manager, for MUC and MUJ, voluntarily agreed to waive its investment advisory fee on the proceeds of the Preferred Shares and TOBs that exceed 35% of total assets minus the sum of its accrued liabilities. This amount is included in fees waived by Manager in the Statements of Operations. For the six months ended January 31, 2015, the waivers were:

 

MUC

  $ 350   

MUJ

  $ 62,248   

Certain officers and/or Directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in officer and directors in the Statements of Operations.

6. Purchases and Sales:

For the six months ended January 31, 2015, purchases and sales of investments, excluding short-term securities were as follows:

 

     MUC      MUJ      MFT      MIY      MJI      MPA  

Purchases

  $ 136,058,786       $ 35,635,306       $ 9,712,105       $ 45,377,025       $ 12,937,969       $ 23,530,865   

Sales

  $ 101,655,891       $ 39,425,721       $ 9,126,371       $ 40,730,123       $ 12,859,327       $ 20,728,107   

7. Income Tax Information:

It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds’ U.S. federal tax returns remains open for each of the four years ended July 31, 2014. The statutes of limitations on each Fund’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 Funds’ facts and circumstances and does not believe that there are any uncertain tax positions that require recognition of a tax liability.

As of July 31, 2014, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires July 31,   MUC      MUJ      MFT      MIY      MJI      MPA  

2016

                          $ 1,401,889                   

2017

  $ 6,504,940                         2,031,132               $ 1,066,968   

2018

                  $ 4,616,682                         893,908   

2019

                                            50,303   

No expiration1

    6,704,230       $ 3,805,742         6,128,990         6,520,645       $ 2,198,376         1,448,538   
 

 

 

 

Total

  $ 13,209,170       $ 3,805,742       $ 10,745,672       $ 9,953,666       $ 2,198,376       $ 3,459,717   
 

 

 

 

 

  1   

Must be utilized prior to losses subject to expiration.

 

                
60    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Notes to Financial Statements (continued)     

As of January 31, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

     MUC      MUJ      MFT      MIY      MJI      MPA  

Tax cost

  $ 828,047,301       $ 463,144,060       $ 164,296,244       $ 397,323,199       $ 187,178,357       $ 244,567,264   
 

 

 

 

Gross unrealized appreciation

  $ 89,397,580       $ 56,197,037       $ 25,038,477       $ 43,040,021       $ 22,949,141       $ 24,329,977   

Gross unrealized depreciation

    (97,847      (773,729      (268,823      (148,046      (491,475      (762,247
 

 

 

 

Net unrealized appreciation

  $ 89,299,733       $ 55,423,308       $ 24,769,654       $ 42,891,975       $ 22,457,666       $ $23,567,730   
 

 

 

 

8. Principal Risks:

MUC, MUJ, MIY, MJI, and MPA invest a substantial amount of their assets in issuers located in a single state or limited number of states. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

The Funds invest a significant portion of their assets in fixed-income securities and/or uses derivatives tied to the fixed income markets. See the Schedules of Investments for these securities and derivatives. 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 Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

As of January 31, 2015, MUC and MPA invested a significant portion of their assets in securities in the county/city/special district/school district sector. MIY and MJI invested a significant portion of their assets in securities in the education sector. MIY invested a significant portion of their assets in securities in the health sector. MUJ invested a significant portion of their assets in securities in the state sector. MUJ, MFT and MJI invested a significant portion of their assets in securities in the transportation sector. MUC invested a significant portion of their assets in securities in the utilities sector. Changes in economic conditions affecting such sectors would have a greater impact on the Funds and could affect the value, income and/or liquidity of positions in such securities.

The Funds 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 Funds 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 fund.

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 prohibit banking entities from engaging in proprietary trading of certain instruments and limit such entities’ investments in, and relationships with, “covered funds” as defined in the Volcker Rule. The Volcker Rule precludes banking entities and their affiliates from sponsoring existing TOB Trusts as such Trusts have been structured to date. In response to these restrictions, market participants have developed a new structure for TOB Trusts designed to ensure that no banking entity is sponsoring the TOB Trust for purposes of the Volcker Rule. In such a structure, certain responsibilities that previously belonged to the sponsor bank will be performed by the Funds. The Funds may utilize the service providers in meeting these responsibilities. This structure remains untested. It is possible that regulators could take positions that could limit the market for such newly structured TOB Trust transactions or the Fund’s ability to hold Residuals. Under the new TOB Trust structure, the Funds will have certain additional duties and responsibilities, which may give rise to certain additional risks including compliance, securities law and operational risks.

There can be no assurance that the Funds can successfully enter into restructured TOB Trust transactions in order to refinance their existing Residual holdings prior to the compliance date for the Volcker Rule, which may require that the Funds unwind existing TOB Trusts. There can be no assurance that alternative forms of leverage will be available to the Funds and any alternative forms of leverage may be more or less advantageous to the Funds than existing TOB leverage.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    61


Notes to Financial Statements (continued)     

TOB transactions constitute an important component of the municipal bond market. Accordingly, implementation of the Volcker Rule 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 Funds. The ultimate impact of these rules on the TOB market and the overall municipal market is not yet certain.

9. Capital Share Transactions:

MFT and MPA are authorized to issue an unlimited number of Common Shares and 1 million Preferred Shares. The par value for each Fund’s Common Shares is $0.10. The par value for each Fund’s Preferred Shares outstanding is $0.05. Each Fund’s Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without approval of Common Shareholders.

MUC, MUJ, MIY and MJI are authorized to issue 200 million shares, par value $0.10 per share, all of which were initially classified as Common Shares. Each Fund’s Board is authorized, however, to reclassify any unissued Common Shares as Preferred Shares without approval of Common Shareholders.

Common Shares

For the six months ended January 31, 2015 and year ended July 31, 2014, shares issued and outstanding remained constant for the Funds.

Preferred Shares

Each Fund’s Preferred Shares rank prior to the Fund’s Common Shares as to the payment of dividends by the Fund and distribution of assets upon dissolution or liquidation of the Fund. The 1940 Act prohibits the declaration of any dividend on the Fund’s Common Shares or the repurchase of the Fund’s Common Shares if the Fund 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, the Fund 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 the Fund 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 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. However, the holders of Preferred Shares, voting as a separate class, are also entitled to elect two Directors for each Fund. In addition, the 1940 Act requires that along with approval by shareholders that might otherwise be required, the approval of the holders of a majority of any outstanding Preferred Shares, voting separately as a class would be required to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Fund’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

MUJ, MIY, MJI and MPA (collectively, the “VRDP Funds”), have issued Series W-7 VRDP Shares, $100,000 liquidation value 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”) and include a liquidity feature, pursuant to a liquidity agreement, that allows the holders of VRDP Shares to have their shares purchased by the liquidity provider in the event of a failed remarketing. The VRDP Funds are required to redeem the VRDP Shares owned by the liquidity provider after six months of continuous, unsuccessful remarketing. Upon the occurrence of the first unsuccessful remarketing, the VRDP Funds are required to segregate liquid assets to fund the redemption. The VRDP Shares are subject to certain restrictions on transfer.

As of January 31, 2015, the VRDP Shares outstanding were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Maturity Date  

MUJ

    6/30/11         1,727       $ 172,700,000         7/01/41   

MIY

    4/21/11         1,446       $ 144,600,000         5/01/41   

MJI

    6/30/11         644       $ 64,400,000         7/01/41   

MPA

    5/19/11         663       $ 66,300,000         6/01/41   

The VRDP Funds entered into a fee agreement with the liquidity provider that may require an initial commitment and 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 MUJ, MIY, MJI and MPA and the liquidity provider are scheduled to expire, unless renewed or terminated in advance, as follows:

 

     MUJ      MIY      MJI      MPA  

Expiration Date

    4/19/17         7/09/15         4/19/17         7/09/15   

In the event the fee agreement is not renewed or is terminated in advance, and the VRDP Funds do 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. The VRDP Funds are required to redeem any VRDP Shares purchased by the liquidity provider six months after the purchase date. Immediately after the purchase of

 

                
62    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Notes to Financial Statements (continued)     

any VRDP Shares by the liquidity provider, the VRDP Funds are required to begin to segregate liquid assets with the VRDP Fund’s custodian to fund the redemption. There is no assurance the VRDP Funds will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Each VRDP Fund is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, each VRDP Fund is required to begin to segregate liquid assets with the Fund’s custodian to fund the redemption. In addition, each VRDP Fund is required to redeem certain of its outstanding VRDP Shares if it fails to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, the VRDP Shares may be redeemed, in whole or in part, at any time at the option of the VRDP Funds. The redemption price per VRDP Share is equal to the liquidation value per share plus any outstanding unpaid 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 a long-term rating 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 January 31, 2015, the VRDP Shares were assigned a long-term rating of Aa2 from Moody’s under its new ratings methodology. The VRDP Shares continue to be assigned a long-term rating of AAA from Fitch.

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 related based upon either short-term rating. The liquidity provider may be terminated prior to the scheduled termination date if the liquidity provider fails to maintain short-term debt ratings in one of the two highest rating categories. The short-term ratings on the VRDP Shares were withdrawn by Moody’s, Fitch and/or S&P at the commencement of the special rate period, as described below.

For financial reporting purposes, the VRDP Shares are considered debt of the issuer; therefore, the liquidation value, which approximates fair value, of the VRDP 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 Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP Shares are generally classified as tax-exempt income for tax-reporting purposes.

The VRDP Funds may incur remarketing fees of 0.10% on the aggregate principal amount of all the VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. All of the remarketable VRDP Shares that were tendered for remarketing during the six months ended January 31, 2015 were successfully remarketed.

For the six months ended January 31, 2015, the annualized dividend rates for the VRDP Shares were as follows:

 

     MUJ      MIY      MJI      MPA  

Rate

    0.92%         0.99%         0.92%         0.99%   

On June 21, 2012, MIY and MPA commenced a three-year term ending June 24, 2015 (“special rate period”) with respect to their 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.

On April 17, 2014, MUJ and MJI commenced a three-year term ending April 19, 2017 (“special rate period”) with respect to their 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 liquidity and fee agreements remain in effect for the duration of the special rate period and the VRDP shares are still subject to mandatory redemption by the VRDP Funds on maturity date. The VRDP Shares will not be remarketed or subject to optional or mandatory tender events during such time. During the special rate period, the VRDP Funds are required to maintain the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares. MIY and MPA will not pay any liquidity and remarketing fees during the special rate period and MUJ and MJI will pay each of the liquidity provider and remarketing agent a nominal fee at the annual rate of 0.01% during the special rate period. Each VRDP Fund instead will pay dividends monthly based on the sum of Securities Industry and Financial Markets Association (SIFMA) Municipal Swap Index and a percentage per annum based on the long-term ratings assigned to the VRDP Shares. The short-term ratings were withdrawn by Moody’s, Fitch and/or S&P. Short-term ratings may be re-assigned upon the termination of the special rate period when the VRDP Shares revert back to remarketable securities.

If the VRDP Funds 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

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    63


Notes to Financial Statements (continued)     

on the time remaining in the special rate period, subject to certain exceptions for redemptions that are required to maintain minimum asset coverage requirements. After June 24, 2015 for MIY and MPA and April 19, 2017 for MUJ and MJI the holder of the VRDP Shares and the VRDP Funds 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.

As of the six months ended January 31, 2015, VRDP Shares issued and outstanding remained constant.

VMTP Shares

MUC and MFT (collectively, the “VMTP Funds”), 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.

As of the six months ended January 31, 2015, the VMTP Shares outstanding were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Term Date  

MUC

    3/22/12         2,540       $ 254,000,000         4/01/15   

MFT

    12/16/11         565       $ 56,500,000         12/31/15   

Each VMTP Fund is required to redeem its VMTP Shares on the term date, unless earlier redeemed or repurchased or unless extended. The term date for VMTP Shares of MFT was extended to December 31, 2015 in June 2014. There is no assurance that the term of a Fund’s VMTP Shares will be extended further or that a Fund’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 term date, each VMTP Fund is required to begin to segregate liquid assets with the Fund’s custodian to fund the redemption. In addition, each VMTP Fund is required to redeem certain of its outstanding VMTP Shares if it fails to maintain certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, a Fund’s VMTP Shares may be redeemed, in whole or in part, at any time at the option of the Fund. The redemption price per VMTP Share is equal to the liquidation value per share plus any outstanding unpaid dividends and applicable redemption premium. If the Fund redeems the VMTP Shares on a date that is one year or more prior to the term date and the VMTP Shares are rated above A1/A+ by Moody’s and Fitch, respectively, then such redemption is 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 to the term date, subject to certain exceptions for redemptions that are required to maintain minimum asset coverage requirements. The VMTP Shares are subject to certain restrictions on transfer, and a Fund 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 document generally require the consent of the holders of VMTP Shares.

Dividends on the VMTP Shares are declared daily and payable monthly at a variable rate set weekly at a fixed rate spread to the SIFMA Municipal Swap Index. The fixed spread is determined based on the long-term preferred share rating assigned to the VMTP Shares by Moody’s and Fitch. At the date of issuance, the VMTP Shares for each Fund 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 January 31, 2015, the VMTP Shares were assigned a long-term rating of Aa1 and 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 Fund fails to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and maintaining certain asset coverage and leverage requirements.

As of the six months ended January 31, 2015, the annualized dividend rates for the VRDP Shares were as follows:

 

     MUC      MFT  

Rate

    1.04%         1.04%   

For financial reporting purposes, the VMTP Shares are considered debt of the issuer; therefore the liquidation value, which approximates fair value, of the VMTP 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 VMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VMTP Shares are treated as equity for tax purposes. Dividends paid to holders of the VMTP Shares are generally classified as tax-exempt income for tax-reporting purposes.

As of the six months ended January 31, 2015, VMTP Shares issued and outstanding remained constant.

Offering Costs: The Funds incurred costs in connection with the issuance of VRDP Shares and/or VMTP Shares. For VRDP Shares, these costs were recorded as a deferred charge and will be amortized over the 30-year life of the VRDP Shares with the exception of upfront fees paid to the liquidity provider which were amortized over the life of the liquidity agreement. For VMTP Shares, these costs were recorded as a deferred charge and will be amortized over the 3-year life of the VMTP Shares. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.

 

                
64    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Notes to Financial Statements (concluded)     

10. 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:

Each Fund paid a net investment income dividend on March 2, 2015, to Common Shareholders of record on February 13, 2015:

 

    

Common

Dividend

Per Share

 

MUC

  $ 0.0675   

MUJ

  $ 0.0740   

MFT

  $ 0.0710   

MIY

  $ 0.0720   

MJI

  $ 0.0740   

MPA

  $ 0.0740   

Additionally, the Funds declared a net investment income dividend on March 2, 2015 payable to Common Shareholders of record on March 13, 2015 for the same amounts noted above, except the amount for MPA was $0.0715.

The dividends declared on Preferred Shares for the period February 1, 2015 to February 28, 2105, were as follows:

 

     Preferred
Shares
     Series     

Dividends

Declared

 

MUC

    VMTP Shares         W-7       $ 198,746   

MUJ

    VRDP Shares         W-7       $ 119,234   

MFT

    VMTP Shares         W-7       $ 44,209   

MIY

    VRDP Shares         W-7       $ 107,598   

MJI

    VRDP Shares         W-7       $ 44,463   

MPA

    VRDP Shares         W-7       $ 49,335   

At a special shareholder meeting on March 12, 2015, shareholders of MUJ, MJI, BPS and MPA approved their respective reorganization.

Reorganization costs incurred by MUJ, MJI and MPA in connection with their respective reorganizations were expensed by each respective Fund. The Manager reimbursed a portion of the reorganization costs for each Fund, which is shown as reorganization costs reimbursed by Manager in the Statements of Operations.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    65


Officers and Directors     

Richard E. Cavanagh, Chairman of the Board and Director

Karen P. Robards, Vice Chairperson of the Board, Chairperson of the Audit Committee and Director

Michael J. Castellano, Director and Member of the Audit Committee

Frank J. Fabozzi, Director and Member of the Audit Committee

Kathleen F. Feldstein, Director

James T. Flynn, Director and Member of the Audit Committee

Jerrold B. Harris, Director

R. Glenn Hubbard, Director

W. Carl Kester, Director and Member of the Audit Committee

Barbara G. Novick, Director

John M. Perlowski, Director, President and Chief Executive Officer

Robert C. Crothers, Vice President

Neal Andrews, Chief Financial Officer

Jay Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Effective September 5, 2014, Brendan Kyne resigned as a Vice President of each Fund.

Effective December 31, 2014, Paul L. Audet and Henry Gabbay resigned as Directors of the Funds. Effective December 31, 2014, Barbara G. Novick and John M. Perlowski were appointed to serve as Directors of the Fund.

 

         

Investment Advisor

BlackRock Advisors, LLC

Wilmington, DE 19809

 

Custodian

State Street Bank and
Trust Company

Boston, MA 02110

 

 

VRDP Tender and Paying
Agent and VMTP Redemption
and Paying Agent

The Bank of New York Mellon

New York, NY 10289

 

Independent Registered
Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

 

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

 

Transfer Agent

Common Shares

Computershare Trust
Company, N.A.

Canton, MA 02021

 

VRDP Liquidity Providers

Citibank, N.A.1

New York, NY 10179

 

Bank of America, N.A.2

New York, NY 10036

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

New York, NY 10036

 
   

VRDP Remarketing Agents

Citigroup Global Markets Inc.1

New York, NY 10179

 

Merrill Lynch, Pierce, Fenner & Smith Incorporated2

New York, NY 10036

   
   

Accounting Agent

State Street Bank and
Trust Company

Boston, MA 02110

   

 

  1   

For MIY and MPA.

 

  2   

For MUJ and MJI.

 

                
66    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Additional Information     
Dividend Policy

Each Fund’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 Funds may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The Funds’ 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 Funds do not make available copies of their Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund’s offerings and the information contained in each Fund’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds 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 Advisors, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Funds 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 Funds at (800) 882-0052.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    67


Additional Information (continued)     
General Information (concluded)

Availability of Quarterly Schedule of Investments

The Funds 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 Funds’ 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, DC. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds 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 Funds voted proxies relating to securities held in the Funds’ 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 Fund Updates

BlackRock will update performance and certain other data for the Funds 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 Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

 

Shelf Offering Program

From time-to-time, each Fund may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Fund may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Fund’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Fund to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market. The Funds have not filed a registration statement with respect to any Shelf Offerings. This report is not an offer to sell Fund Common Shares and is not a solicitation of an offer to buy Fund Common Shares. If a Fund files a registration statement with respect to any Shelf Offering, the prospectus contained therein will contain more complete information about the Fund and should be read carefully before investing.

 

                
68    SEMI-ANNUAL REPORT    JANUARY 31, 2015   


Additional Information (concluded)     

 

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.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2015    69


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 Funds 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.

 

 

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Item 2 – Code of Ethics – Not Applicable to this semi-annual report

 

Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report

 

Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report

 

Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

 

Item 6 – Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

Item 8 – Portfolio Managers of Closed-End Management Investment Companies
  (a) Not Applicable to this semi-annual report
  (b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

 

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 – Not Applicable to this semi-annual report

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) –    Certifications – Attached hereto

 

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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: April 2, 2015

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: April 2, 2015

 

By:

/s/ Neal J. Andrews

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

Date: April 2, 2015

 

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