N-CSRS 1 f3095d1.htm BLACKROCK MUNIYIELD QUALITY FUND III, INC.

UNITEDSTATES

SECURITIESANDEXCHANGECOMMISSION

Washington,D.C.20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT

COMPANIES

Investment Company Act file number: 811-06540

Name of Fund: BlackRock MuniYield Quality Fund III, Inc. (MYI)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock MuniYield Quality Fund III, 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: 07/31/2020

Date of reporting period: 01/31/2020

Item 1 – Report to Stockholders

 

LOGO   JANUARY 31, 2020

 

  

2020 Semi-Annual Report

(Unaudited)

 

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

BlackRock MuniYield California Quality Fund, Inc. (MCA)

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of each Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call Computershare at (800) 699-1236 to request that you continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC or its affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

 

Not FDIC Insured • May Lose Value • No Bank Guarantee

The Markets in Review

Dear Shareholder,

U.S. equities and bonds both delivered impressive returns over the last 12 months, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. Investors were further encouraged by the apparent cessation of trade hostilities between the United States and China late in 2019, although some of these gains were reversed in January 2020, as the spread of the coronavirus injected uncertainty into markets.

Returns for most securities were particularly strong in the second half of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that has characterized this economic cycle. In the United States, large-cap stocks led the broader market, while small-cap equities still posted healthy returns. Emerging market stocks, however, were constrained by coronavirus fears, losing most of their gains near the end of the reporting period.

Fixed-income securities played an important role in diversified portfolios by delivering strong returns amid economic uncertainty, as interest rates declined (and bond prices rose). Long-term bonds, particularly long-term Treasuries, generally posted the strongest returns, as inflation remained low despite an uptick late in the reporting period. Investment-grade and high-yield corporate bonds also posted solid returns, as the credit fundamentals in corporate markets remained relatively solid.

Continuing the shift toward looser monetary policy that began in early 2019, the U.S. Federal Reserve (the “Fed”) increased efforts to stimulate economic activity. The Fed reduced interest rates three times during the reporting period, from July 2019 to October 2019. In December 2019, the Fed further reassured markets by indicating that it is unlikely to reverse course and tighten monetary policy in the near future. Following in the Fed’s footsteps, the European Central Bank announced aggressive economic stimulus measures, including lower interest rates and the return of its bond purchasing program. The Bank of Japan continued its accommodative monetary policy, while China committed to looser credit conditions and an increase in fiscal spending.

The outpouring of global economic stimulus led to a sharp rally in risk assets throughout the world despite the headwind of rising geopolitical and trade tensions. Hopes continued to remain high as the current economic expansion became the longest in U.S. history.

Looking ahead, we believe there are reasons to remain cautious about the U.S. economy, most notably the uncertainty around the duration of the impact of the coronavirus-driven economic contraction, the U.S. presidential election and future earnings growth. At this time we are watching the developments around the world very closely to assess the full extent of the risks of economic disruption that could result from the global pandemic. Corporate earnings underperformed in 2019, but action by the Fed led to outstanding equity returns. With the future of monetary policy and consumer behaviors uncertain, earnings deterioration could act as a drag on equities.

Overall, we favor moderately increasing investment risk to benefit from expected growth. We are neutral on U.S. equities, but we favor emerging market and Japanese equities, which could benefit from an uptick in global trade and investment. Increasing cyclical exposure through value-style investing and maintaining a meaningful emphasis on high-quality companies through quality factors also makes sense for diversified investors. In fixed income, extremely low yields and inflation risk limit the effectiveness of many bond classes as a counterweight in portfolios. We favor higher-yielding bonds from emerging markets, where central banks have more room for further accommodation, while strategically using U.S. Treasuries as stabilizers.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. 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, 2020
     6-month   12-month

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

  9.31%   21.68%

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

  3.26   9.21

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

  6.12   12.10

Emerging market equities
(MSCI Emerging Markets Index)

  3.36   3.81

3-month Treasury bills
(ICE BofAML 3-Month U.S. Treasury Bill Index)

  0.98   2.22

U.S. Treasury securities
(ICE BofAML 10-Year U.S. Treasury Index)

  5.13   12.15

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

  4.20   9.64

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

  3.08   8.21

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

  3.43   9.40
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT

Table of Contents

 

      Page  

The Markets in Review

     2  

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

     14  

Statements of Assets and Liabilities

     40  

Statements of Operations

     41  

Statements of Changes in Net Assets

     42  

Statements of Cash Flows

     44  

Financial Highlights

     45  

Notes to Financial Statements

     49  

Director and Officer Information

     58  

Additional Information

     59  

Glossary of Terms Used in this Report

     61  

 

 

          3  

Municipal Market Overview  For the Reporting Period Ended January 31, 2020

 

Municipal Market Conditions

 

Municipal bonds posted strong total returns during the period, buoyed by a combination of rallying interest rates and a favorable technical backdrop. Interest rates moved lower in 2019 as the Fed turned more dovish on the back of slowing global growth and trade uncertainties, indicated a commitment to sustain the current economic expansion, and executed a mid-cycle adjustment consisting of three 0.25% rate cuts. This dynamic was compounded in early 2020 as elevated event risks, led by increased U.S. conflict with Iran and a coronavirus pandemic, spurred a flight to quality. At the same time,

 

 

S&P Municipal Bond Index

Total Returns as of January 31, 2020

  6 months: 3.08%

12 months: 8.21%

municipal bond technicals remained supportive with historically robust demand outpacing moderate supply. During the 12 months ended January 31, 2020, municipal bond funds experienced net inflows totaling $98 billion (based on data from the Investment Company Institute). Broadly, investors favored the tax-exempt income, diversification, quality, and value of municipal bonds given that tax reform ultimately lowered the top individual tax rate just 2.6% while eliminating deductions. For the same 12-month period, total new issuance was slightly above average from a historical perspective at $409 billion, but was boosted by robust taxable municipal supply. Taxable municipal bond issuance picked up late in 2019, as issuers advance refunded tax-exempt debt using taxable municipal bonds for cost savings. While increasing issuance totals, this dynamic ultimately shrank the size of the tax-exempt market and provided a positive technical tailwind for the natural buyer of the asset class.

A Closer Look at Yields

 

LOGO

From January 31, 2019 to January 31, 2020, yields on AAA-rated 30-year municipal bonds decreased by 122 basis points (“bps”) from 3.02% to 1.80%, while ten-year rates decreased by 102 bps from 2.17% to 1.15% and five-year rates decreased by 92 bps from 1.76% to 0.84% (as measured by Thomson Municipal Market Data). As a result, the municipal yield curve flattened over the 12-month period with the spread between two- and 30-year maturities flattening by 40 bps, compared to 14 bps of steepening in the comparable U.S. Treasury curve.

During the same time period, tax-exempt municipal bonds outperformed duration-matched U.S. Treasuries, most notably in the long end of the yield curve. Consequently, relative valuations remained stretched versus history. Given that the corporate tax rate was lowered much more than the individual rate, institutions now have less incentive to own tax-exempt municipal bonds, while individuals are more incentivized. In a more retail-driven market, lower municipal-to-Treasury ratios are likely sustainable as individuals are focused more on generating tax-free income and less concerned with relative valuations. The asset class is known for its lower relative volatility and preservation of principal with an emphasis on income as tax rates rise.

Financial Conditions of Municipal Issuers

Most states and localities are on solid footing as tax receipts are increasing steadily and spending levels are rebounding from post-recession lows. Rising healthcare expenditures and legacy pension costs are plaguing a handful of high-profile credits. Essential service revenue bonds continue to benefit from deleveraging. Several private-public partnerships and off-balance sheet projects have made headlines for cost-overruns that are calling into question their value add. More caution is warranted in the non-profit sectors, especially less-selective private education credits that are dealing with competitive pressures and are burdened with outsized debt. Merger and acquisition activity has been elevated in the hospital sector, providing opportunities to generate performance. Additionally, high yield remains an important driver of performance. BlackRock maintains the view that municipal bond defaults will remain minimal and the overall market is fundamentally sound. However, we continue to advocate careful credit research and believe that a thoughtful approach to structure and security selection remains imperative amid uncertainty in a modestly improving economic environment.

The opinions expressed are those of BlackRock as of January 31, 2020 and are subject to change at any time due to changes in market or economic conditions. The comments should not be construed as a recommendation of any individual holdings or market sectors. Investing involves risk, including loss of principal. Bond values fluctuate in price so the value of your investment can go down depending on market conditions. Fixed income risks include interest-rate and credit risk. Typically, when interest rates rise, there is a corresponding decline in bond values. Credit risk refers to the possibility that the bond issuer will not be able to make principal and interest payments. There may be less information on the financial condition of municipal issuers than for public corporations. The market for municipal bonds may be less liquid than for taxable bonds. Some investors may be subject to Alternative Minimum Tax (“AMT”). Capital gains distributions, if any, are taxable.

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

 

 

4    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

The Benefits and Risks of Leveraging

 

The Funds may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can 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 Funds (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Funds’ shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) 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, a 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 a Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Fund’s financing cost of leverage is significantly lower than the income earned on a Fund’s longer-term investments acquired from such 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 Funds’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Funds had not used leverage. Furthermore, the value of the Funds’ 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 Funds’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Funds’ intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Fund’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Fund’s Common Shares than if the Fund were not leveraged. In addition, each 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 a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each 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. Moreover, to the extent the calculation of the Funds’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Funds’ investment adviser will be higher than if the Funds did not use leverage.

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 (“TOB Trusts”) as described in the Notes to Financial Statements.

Under the Investment Company Act of 1940, as amended (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 a Fund’s obligations under the TOB Trust (including accrued interest), then the TOB Trust is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.

Derivative Financial Instruments

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

 

 

THE BENEFITS AND RISKS OF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS      5  
Fund Summary  as of January 31, 2020    BlackRock MuniHoldings Quality Fund II, Inc.

 

Fund Overview

BlackRock MuniHoldings Quality Fund II, Inc.’s (MUE) (the “Fund”) investment objective is to provide shareholders with current income exempt from U.S. federal income taxes. The Fund seeks to achieve its investment objective by investing primarily in long-term, investment grade municipal obligations exempt from U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). The municipal obligations in which the Fund primarily invests are either rated investment grade quality, or are considered by the Fund’s investment adviser to be of comparable quality, at the time of investment. 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 up to 20% of its managed assets in securities that are rated below investment grade, or are considered by the Fund’s investment adviser to be of comparable quality, at the time of purchase. The Fund may invest directly in securities or synthetically through the use of derivatives.

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

Fund Information

 

Symbol on New York Stock Exchange (“NYSE”)

  MUE

Initial Offering Date

  February 26, 1999

Yield on Closing Market Price as of January 31, 2020 ($13.05)(a)

  4.05%

Tax Equivalent Yield(b)

  6.84%

Current Monthly Distribution per Common Share(c)

  $0.0440

Current Annualized Distribution per Common Share(c)

  $0.5280

Leverage as of January 31, 2020(d)

  37%

 

  (a)

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.

 
  (b)

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.80%, 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.

 
  (c) 

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

 
  (d) 

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 5.

 

Performance

Returns for the six months ended January 31, 2020 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MUE(a)(b)

    5.14      4.72

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    4.81        5.01  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

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

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

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

After moving sideways for much of the period, municipal bonds finished with positive returns thanks to their rally in January. In fact, January represented the highest one-month return for U.S. municipal issues in six years (as measured by the S&P Municipal Bond Index). The gains for the broader bond market reflected the backdrop of weaker economic data and worries about the spread of coronavirus. (Bond prices rise as yields fall.) The favorable combination of robust investor demand and relatively limited new-issue supply provided an additional tailwind for tax-exempt securities.

Positions in high yield debt, which outperformed on the strength of solid credit fundamentals and investors’ appetite for yield, contributed to Fund performance. The Fund’s holdings in Puerto Rico were particularly strong performers. At the sector level, transportation issues and tobacco issues were key contributors. Positions in longer-term bonds, which outpaced short-term debt, also added value. In addition, the Fund’s use of leverage aided results by enhancing income and amplifying the effect of the rising market.

The Fund sought to manage interest rate risk using U.S. Treasury futures. Since U.S. Treasury yields fell, as prices rose, this strategy detracted from Fund performance. Reinvestment risk continued to be a headwind since the proceeds from bonds that matured or were called needed to be reinvested at lower yields compared to bonds that were issued when yields were higher.

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.

 

 

6    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
Fund Summary  as of January 31, 2020 (continued)    BlackRock MuniHoldings Quality Fund II, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

      01/31/20      07/31/19      Change      High      Low  

Market Price

   $ 13.05      $ 12.67        3.00    $ 13.05      $ 12.42  

Net Asset Value

     14.28        13.92        2.59        14.28        13.84  

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

 

LOGO

Overview of the Fund’s Total Investments *

 

SECTOR ALLOCATION

 

Sector   01/31/20     07/31/19  

Transportation

    37     40

County/City/Special District/School District

    17       17  

Statee

    13       10  

Utilities

    12       11  

Health

    11       11  

Education

    6       7  

Tobacco

    2       2  

Housing

    2       2  

 

   

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

 

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2020

    3

2021

    16  

2022

    4  

2023

    21  

2024

    4  

 

  (c) 

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 ALLOCATION (a)

 

Credit Rating   01/31/20     07/31/19  

AAA/Aaa

    4     1

AA/Aa

    40       46  

A

    35       38  

BBB/Baa

    11       10  

BB/Ba

    1        

N/R(b)

    9       5  

 

  (a) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings 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.

 
  (b)

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

 
 

 

 

FUND SUMMARY      7  
Fund Summary  as of January 31, 2020    BlackRock MuniYield California Quality Fund, Inc.

 

Fund Overview

BlackRock MuniYield California Quality Fund, Inc.’s (MCA) (the “Fund”) investment objective is to provide shareholders with as high a level of current income exempt from U.S. federal and California 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 U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax) and California income taxes. Under normal market conditions, the Fund invests primarily in long-term municipal obligations that are investment grade quality, or are considered by the Fund’s investment adviser to be of comparable quality, at the time of investment. The Fund may invest up to 20% of its managed assets in securities that are rated below investment grade, or are considered by the Fund’s investment adviser to be of comparable quality, at the time of purchase. The Fund may invest directly in securities or synthetically through the use of derivatives.

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

Fund Information

 

Symbol on NYSE

  MCA

Initial Offering Date

  October 30, 1992

Yield on Closing Market Price as of January 31, 2020 ($14.74)(a)

  3.74%

Tax Equivalent Yield(b)

  8.15%

Current Monthly Distribution per Common Share(c)

  $0.0460

Current Annualized Distribution per Common Share(c)

  $0.5520

Leverage as of January 31, 2020(d)

  39%

 

  (a) 

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.

 
  (b) 

Tax equivalent yield assumes the maximum marginal U.S. federal and state tax rate of 54.10%, 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.

 
  (c) 

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

 
  (d) 

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 5.

 

Performance

Returns for the six months ended January 31, 2020 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MCA(a)(b)

    5.14      4.77

Lipper California Municipal Debt Funds(c)

    5.74        5.32  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

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

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

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

After moving sideways for much of the period, municipal bonds finished with positive returns thanks to a rally in January. In fact, January represented the highest one-month return for the broader U.S. municipal bond market in six years (as measured by the S&P Municipal Bond Index). The bond market’s advance reflected the backdrop of weaker economic data and worries about the spread of coronavirus. (Bond prices rise as interest rates fall.) The favorable combination of robust investor demand and relatively limited new-issue supply also provided a tailwind for the tax-exempt market.

California municipal debt finished slightly ahead of the national index, as the repeal of state and local tax deductions was a continued source of demand in high-tax states.

An allocation to bonds with maturities of 20 years and above helped performance, as longer-term issues outperformed. The Fund’s use of leverage aided results by enhancing income and amplifying the effect of rising prices. At the sector level, transportation and school district issues were strong contributors. Performance in the tax-backed space was highlighted by strength in Puerto Rico bonds backed by sales taxes. Positions in AA and A rated debt further contributed to Fund performance.

The Fund sought to manage interest rate risk using U.S. Treasury futures. Since U.S. Treasury yields fell, as prices rose, this strategy detracted from Fund performance. Reinvestment risk continued to be a headwind since the proceeds from bonds that matured or were called needed to be reinvested at lower yields compared to bonds that were issued when yields were higher. In addition, positions in shorter-term bonds lagged relative to those with longer-dated maturities.

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.

 

 

8    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
Fund Summary  as of January 31, 2020 (continued)    BlackRock MuniYield California Quality Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

     01/31/20     07/31/19      Change      High      Low  

Market Price

  $ 14.74     $ 14.29        3.15    $ 14.79      $ 13.86  

Net Asset Value

    16.23       15.79        2.79        16.23        15.72  

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

 

LOGO

Overview of the Fund’s Total Investments *

 

SECTOR ALLOCATION

 

Sector   01/31/20     07/31/19  

County/City/Special District/School District

    32     36

Transportation

    18       18  

Health

    17       18  

Utilities

    13       14  

Education

    11       9  

State

    4       2  

Tobacco

    2       1  

Housing

    2       1  

Corporate

    1       1  

 

   

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

 

CALL/MATURITY SCHEDULE (b)

 

Calendar Year Ended December 31,

       

2020

    7

2021

    9  

2022

    3  

2023

    6  

2024

    7  

 

  (b)

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 ALLOCATION (a)

 

Credit Rating   01/31/20     07/31/19  

AAA/Aaa

    6     4

AA/Aa

    65       74  

A

    17       14  

BBB/Baa

    6       3  

BB/Ba

    1        

N/R

    5       5  

 

  (a) 

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

 
 

 

 

FUND SUMMARY      9  
Fund Summary  as of January 31, 2020    BlackRock MuniYield New York Quality Fund, Inc.

 

Fund Overview

BlackRock MuniYield New York Quality Fund, Inc.’s (MYN) (the “Fund”) investment objective is to provide shareholders with as high a level of current income exempt from U.S. federal income taxes and New York State and New York City personal 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 U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax) and New York State and New York City personal income taxes. Under normal market conditions, the Fund invests primarily in long-term municipal obligations that are investment grade quality, or are considered by the Fund’s investment adviser to be of comparable quality, at the time of investment. The Fund may invest up to 20% of its managed assets in securities that are rated below investment grade, or are considered by the Fund’s investment adviser to be of comparable quality, at the time of purchase. The Fund may invest directly in securities or synthetically through the use of derivatives.

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

Fund Information

 

Symbol on NYSE

  MYN

Initial Offering Date

  February 28, 1992

Yield on Closing Market Price as of January 31, 2020 ($13.41)(a)

  3.80%

Tax Equivalent Yield(b)

  7.54%

Current Monthly Distribution per Common Share(c)

  $0.0425

Current Annualized Distribution per Common Share(c)

  $0.5100

Leverage as of January 31, 2020(d)

  38%

 

  (a) 

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.

 
  (b) 

Tax equivalent yield assumes the maximum marginal U.S. federal and state tax rate of 49.62%, 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.

 
  (c) 

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

 
  (d) 

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 5.

 

Performance

Returns for the six months ended January 31, 2020 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MYN(a)(b)

    3.65      4.65

Lipper New York Municipal Debt Funds(c)

    5.82        4.57  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

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

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

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

After moving sideways for much of the period, municipal bonds finished with positive returns thanks to their rally in January. In fact, January represented the highest one-month return for U.S. municipal issues in six years (as measured by the S&P Municipal Bond Index). The gains for the broader bond market reflected the backdrop of weaker economic data and worries about the spread of coronavirus. (Bond prices rise as yields fall.) The favorable combination of robust investor demand and relatively limited new-issue supply provided an additional tailwind for tax-exempt securities.

Trends in the New York market reflected those on the national level, with falling yields, strong inflows, and limited new-issue supply. While the state underperformed the broader U.S. market, New York still produced a solid return as investors in high-tax states continued to seek shelter in tax-exempt bonds.

The Fund’s use of leverage aided results by enhancing income and amplifying the effect of the rising market. Positions in the tax-backed, transportation, and housing sectors also contributed to Fund performance. On the negative side, the Fund’s use of U.S. Treasury futures to manage interest rate risk detracted from results at a time of falling yields.

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.

 

 

10    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
Fund Summary  as of January 31, 2020 (continued)    BlackRock MuniYield New York Quality Fund, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

     01/31/20     07/31/19      Change      High      Low  

Market Price

  $ 13.41     $ 13.19        1.67    $ 13.46      $ 12.69  

Net Asset Value

    14.76       14.38        2.64        14.76        14.26  

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

 

LOGO

Overview of the Fund’s Total Investments *

 

SECTOR ALLOCATION

 

Sector   01/31/20     07/31/19  

Transportation

    24     25

County/City/Special District/School District

    20       17  

Education

    14       16  

Utilities

    13       13  

State

    13       13  

Housing

    7       7  

Health

    5       5  

Corporate

    2       2  

Tobacco

    2       2  

 

   

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

 

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2020

    8

2021

    15  

2022

    9  

2023

    8  

2024

    7  

 

  (c) 

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 ALLOCATION (a)

 

Credit Rating   01/31/20     07/31/19  

AAA/Aaa

    12     11

AA/Aa

    58       58  

A

    19       24  

BBB/Baa

    5       5  

BB/Ba

    1        

N/R(b)

    5       2  

 

  (a) 

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

 
  (b)

The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of January 31, 2020 and July 31, 2019, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% and 1%, respectively, of the Fund’s total investments.

 
 

 

 

FUND SUMMARY      11  
Fund Summary  as of January 31, 2020    BlackRock MuniYield Quality Fund III, Inc.

 

Fund Overview

BlackRock MuniYield Quality Fund III, Inc.’s (MYI) (the “Fund”) investment objective is to provide shareholders with as high a level of current income exempt from U.S. 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 U.S. federal income taxes (except that the interest may be subject to the U.S. federal alternative minimum tax). Under normal market conditions, the Fund invests primarily in long-term municipal obligations that are investment grade quality, or are considered by the Fund’s investment adviser to be of comparable quality, at the time of investment. The Fund may invest up to 20% of its managed assets in securities that are rated below investment grade, or are considered by the Fund’s investment adviser to be of comparable quality, at the time of purchase. The Fund may invest directly in securities or synthetically through the use of derivatives.

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

Fund Information

 

Symbol on NYSE

  MYI

Initial Offering Date

  March 27, 1992

Yield on Closing Market Price as of January 31, 2020 ($14.05)(a)

  3.80%

Tax Equivalent Yield(b)

  6.42%

Current Monthly Distribution per Common Share(c)

  $0.0445

Current Annualized Distribution per Common Share(c)

  $0.5340

Leverage as of January 31, 2020(d)

  36%

 

  (a) 

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.

 
  (b) 

Tax equivalent yield assumes the maximum marginal U.S. federal tax rate of 40.80%, 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.

 
  (c) 

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

 
  (d) 

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Fund, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments on page 5.

 

Performance

Returns for the six months ended January 31, 2020 were as follows:

 

    Returns Based On  
     Market Price      NAV  

MYI(a)(b)

    6.60      5.97

Lipper General & Insured Municipal Debt Funds (Leveraged)(c)

    4.81        5.01  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

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

 
  (c) 

Average return. Returns reflect reinvestment of dividends and/or distributions at NAV on the ex-dividend date as calculated by Lipper.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

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

After moving sideways for much of the period, municipal bonds finished with positive returns thanks to their rally in January. In fact, January represented the highest one-month return for U.S. municipal issues in six years (as measured by the S&P Municipal Bond Index). The gains for the broader bond market reflected the backdrop of weaker economic data and worries about the spread of coronavirus. (Bond prices rise as yields fall.) The favorable combination of robust investor demand and relatively limited new-issue supply provided an additional tailwind for tax-exempt securities.

The Fund’s use of leverage aided results by enhancing income and amplifying the effect of the rising market. An allocation to longer-term debt, which outpaced shorter-dated issues, was an additional positive. A weighting in bonds rated A and below was also additive at a time in which lower-quality issues outpaced the broader market. Similarly, the Fund’s positions in zero coupon securities made a positive contribution. Zero coupon issues benefited from both tightening yield spreads and their above-average interest rate sensitivity. An allocation to the state tax-backed sector, particularly Puerto Rico sales tax securities, also added value.

The Fund sought to manage interest rate risk using U.S. Treasury futures. Given that U.S. Treasury yields fell, as prices rose, this strategy detracted from Fund performance. In addition, the ongoing loss of higher-yielding securities from bond calls and maturities negatively impacted the Fund’s yield.

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.

 

 

12    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
Fund Summary  as of January 31, 2020 (continued)    BlackRock MuniYield Quality Fund III, Inc.

 

Market Price and Net Asset Value Per Share Summary

 

     01/31/20     07/31/19      Change      High      Low  

Market Price

  $ 14.05     $ 13.44        4.54    $ 14.05      $ 13.20  

Net Asset Value

    15.39       14.81        3.92        15.39        14.77  

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

 

LOGO

Overview of the Fund’s Total Investments *

 

SECTOR ALLOCATION

 

Sector   01/31/20     07/31/19  

Transportation

    31     31

State

    22       19  

Health

    14       15  

County/City/Special District/School District

    13       14  

Utilities

    10       11  

Education

    6       6  

Tobacco

    3       2  

Corporate

    1       2  

 

   

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

 

CALL/MATURITY SCHEDULE (c)

 

Calendar Year Ended December 31,

       

2020

    2

2021

    8  

2022

    4  

2023

    8  

2024

    9  

 

  (c) 

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 ALLOCATION (a)

 

Credit Rating   01/31/20     07/31/19  

AAA/Aaa

    3     3

AA/Aa

    44       45  

A

    27       29  

BBB/Baa

    18       17  

BB/Ba

    1        

N/R(b)

    7       6  

 

  (a) 

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

 
  (b) 

The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of January 31, 2020 and July 31, 2019, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% and 1%, respectively, of the Fund’s total investments.

 
 

 

 

FUND SUMMARY      13  

Schedule of Investments  (unaudited)

January 31, 2020

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 124.8%

 

Alabama — 0.3%  

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

  $ 940     $ 997,810  
   

 

 

 
Arizona — 2.5%  

Arizona IDA, RB:

   

Leman Academy of Excellence-East Tucson And Central Tucson Projects, Series A, 5.00%, 07/01/39(a)

    465       489,324  

Leman Academy of Excellence-East Tucson And Central Tucson Projects, Series A, 5.00%, 07/01/49(a)

    525       545,606  

Leman Academy of Excellence-East Tucson And Central Tucson Projects, Series A, 5.00%, 07/01/54(a)

    405       420,131  

Odyssey Preparatory Academy Project,
4.38%, 07/01/39(a)

    550       557,381  

S/F Housing, NCCU Properties LLC-North Carolina Central University Project, Series A (BAM), 4.00%, 06/01/44

    730       806,095  

City of Phoenix Civic Improvement Corp., ARB, Junior Lien Airport Revenue Bonds, Series B, AMT,
3.25%, 07/01/49

    1,135       1,185,644  

County of Maricopa Arizona IDA, Refunding RB, Legacy Traditional Schools Project(a):

   

5.00%, 07/01/39

    195       223,220  

5.00%, 07/01/49

    280       313,676  

5.00%, 07/01/54

    170       189,574  

Salt Verde Financial Corp., RB, Senior, 5.00%, 12/01/37

    2,450       3,382,641  
   

 

 

 
    8,113,292  
California — 16.9%  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 6.00%, 08/15/20(b)

    2,865       2,943,128  

California Municipal Finance Authority, ARB, Senior Lien, Linxs APM Project, AMT, 5.00%, 12/31/43

    1,400       1,678,628  

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

   

2nd, 5.50%, 05/01/28

    1,800       2,053,818  

2nd, 5.25%, 05/01/33

    1,410       1,591,284  

5.00%, 05/01/44

    1,860       2,124,455  

City of San Jose California, Refunding ARB, Norman Y Mineta San Jose International Airport SJC, Series A-1, AMT, 5.50%, 03/01/30

    4,045       4,233,780  

City of Sunnyvale California, Refunding RB,
5.25%, 04/01/20(b)

    450       453,267  

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

    4,500       5,481,090  

Emery Unified School District, GO, Election of 2010, Series A (AGM), 5.50%, 08/01/21(b)

    1,875       2,004,244  

Kern Community College District, GO, Safety, Repair & Improvement, Series C, 5.50%, 11/01/23(b)

    2,445       2,862,264  

Los Angeles Community College District California, GO, Election of 2008, Series C, 5.25%, 08/01/20(b)

    2,000       2,043,240  

Redondo Beach Unified School District, GO, Election of 2008, Series E, 5.50%, 08/01/21(b)

    2,670       2,853,883  

Regents of the University of California Medical Center Pooled Revenue, Refunding RB, Series J:

   

5.25%, 05/15/23(b)

    5,905       6,743,982  

5.25%, 05/15/38

    1,675       1,892,884  

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

   

5.50%, 11/01/30

    5,000       5,843,750  

5.50%, 11/01/31

    3,130       3,654,776  

5.50%, 11/01/33

    3,000       3,495,900  

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 09/01/33

    1,260       1,449,441  
Security   Par
(000)
    Value  
California (continued)  

Township of Washington California Health Care District, GO, Election of 2004, Series B, 5.50%, 08/01/40

  $ 940     $ 1,106,991  
   

 

 

 
    54,510,805  
Colorado — 2.2%  

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

   

5.50%, 11/15/28

    1,500       1,735,875  

5.50%, 11/15/30

    565       652,360  

5.50%, 11/15/31

    675       778,437  

Colorado Educational & Cultural Facilities Authority, RB, Rocky Mountain School of Expeditionary Learning, 5.00%, 03/01/50(a)

    790       871,489  

Colorado Educational & Cultural Facilities Authority, Refunding RB, Rocky Mountain Classical Academy Project, 5.00%, 10/01/59(a)

    1,050       1,158,276  

Haskins Station Metropolitan District, GO, Series A, 5.00%, 12/01/49

    925       954,350  

STC Metropolitan District No 2, GO, Refunding, Series A, 5.00%, 12/01/38

    715       780,337  
   

 

 

 
    6,931,124  
Connecticut — 1.0%  

State of Connecticut, GO, Series A, 5.00%, 04/15/38

    1,690       2,083,330  

State of Connecticut Health & Educational Facility Authority, Refunding RB, Sacred Heart University Issue, Series I-1, 5.00%, 07/01/42

    1,015       1,219,685  
   

 

 

 
    3,303,015  
Delaware — 0.5%  

State of Delaware Health Facilities Authority, RB, Beebe Medical Center Project, 5.00%, 06/01/43

    1,400       1,677,074  
   

 

 

 
Florida — 16.9%  

Central Florida Expressway Authority, Refunding RB, Senior Lien, 5.00%, 07/01/48

    4,730       5,790,513  

County of Broward Florida Airport System Revenue, ARB, Series A, AMT:

   

5.13%, 10/01/23(b)

    5,665       6,475,831  

5.00%, 10/01/45

    1,440       1,665,907  

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

    2,995       3,445,118  

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

    2,500       2,651,625  

County of Lee Florida HFA, RB, S/F Housing, Multi-County Program, Series A-2, AMT (Ginnie Mae, Fannie Mae & Freddie Mac), 6.00%, 09/01/40

    125       127,924  

County of Miami-Dade Florida, RB, Seaport Department:

   

Series A, 5.38%, 10/01/33

    1,765       2,027,085  

Series A, 5.50%, 10/01/42

    3,000       3,419,880  

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

    800       930,088  

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

    1,060       1,227,120  

County of Miami-Dade Florida, Refunding RB, Water & Sewer System, Series B, 5.25%, 10/01/23(b)

    3,130       3,615,807  

County of Miami-Dade Florida Aviation, Refunding ARB, Series A, AMT, 5.00%, 10/01/22(b)

    5,155       5,682,356  

County of Miami-Dade Florida Aviation Revenue, Refunding ARB, Series A, AMT, 5.00%, 10/01/22(b)

    5,000       5,509,000  

Finley Woods Community Development District(c):

   

Special Assessment Bonds, 4.00%, 05/01/40

    265       265,064  

Special Assessment Bonds, 4.20%, 05/01/50

    450       449,685  
 

 

 

14    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Florida (continued)  

Osceola Chain Lakes Community Development District, Special Assessment Bonds:

   

4.00%, 05/01/40

  $ 670     $ 689,370  

4.00%, 05/01/50

    640       644,365  

Reedy Creek Florida Improvement District, GO, Series A, 5.25%, 06/01/32

    1,805       2,049,812  

Southern Groves Community Development District No. 5, Refunding, Special Assessment Bonds, 4.00%, 05/01/43

    380       390,515  

Tohopekaliga Water Authority, Refunding RB, Series A, 5.25%, 10/01/21(b)

    6,965       7,447,187  
   

 

 

 
    54,504,252  
Georgia — 1.2%  

County of Fulton Development Authority, RB, Georgia Institute of Technology, 4.00%, 06/15/49

    815       942,751  

Main Street Natural Gas, Inc., RB, Series A, 5.00%, 05/15/49

    950       1,368,570  

Municipal Electric Authority of Georgia, RB, Plant Vogtle Units 3 & 4 Project, 5.00%, 01/01/48

    1,420       1,675,799  
   

 

 

 
    3,987,120  
Hawaii — 1.7%  

State of Hawaii Airports System, ARB, Series A, AMT, 5.00%, 07/01/45

    2,805       3,231,136  

State of Hawaii Airports System, COP, AMT:

   

5.25%, 08/01/25

    740       838,760  

5.25%, 08/01/26

    1,205       1,364,325  
   

 

 

 
    5,434,221  
Illinois — 14.4%  

City of Chicago Illinois Midway International Airport, Refunding GARB, 2nd Lien, Series A, AMT:

   

5.00%, 01/01/41

    1,140       1,274,908  

5.50%, 01/01/28

    1,000       1,118,180  

5.50%, 01/01/29

    1,500       1,676,505  

5.38%, 01/01/33

    2,000       2,221,380  

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

   

3rd Lien, Series A, 5.75%, 01/01/21(b)

    1,680       1,753,618  

3rd Lien, Series A, 5.75%, 01/01/39

    320       332,848  

3rd Lien, Series C, 6.50%, 01/01/21(b)

    9,085       9,544,610  

Senior Lien, Series D, AMT, 5.00%, 01/01/42

    735       867,278  

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts:

   

5.25%, 12/01/36

    2,940       3,144,477  

5.25%, 12/01/40

    1,500       1,596,840  

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

    2,985       3,156,727  

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

   

5.25%, 12/01/30

    1,270       1,405,280  

5.50%, 12/01/38

    1,205       1,348,335  

5.25%, 12/01/43

    2,960       3,245,788  

Illinois Finance Authority, Refunding RB, Presence Health Network, Series C, 5.00%, 02/15/41

    975       1,170,546  

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Expansion Project(c):

   

4.00%, 06/15/50

    1,050       1,155,945  

5.00%, 06/15/50

    1,090       1,305,569  

Railsplitter Tobacco Settlement Authority, RB(b):

   

5.50%, 06/01/21

    2,350       2,492,081  

6.00%, 06/01/21

    670       714,923  

State of Illinois, GO:

   

5.25%, 02/01/31

    1,495       1,679,513  

5.25%, 02/01/32

    2,320       2,603,922  
Security   Par
(000)
    Value  
Illinois (continued)  

5.50%, 07/01/33

  $ 1,000     $ 1,118,100  

5.50%, 07/01/38

    700       779,618  

Upper Illinois River Valley Development Authority, Refunding RB, Prairie Crossing Charter School,
5.00%, 01/01/45(a)(c)

    715       771,842  
   

 

 

 
    46,478,833  
Indiana — 0.2%  

State of Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges, Series A, AMT, 5.00%, 07/01/40

    460       507,403  
   

 

 

 
Iowa — 0.7%  

State of Iowa Finance Authority, RB, Lifespace Communities, Series A, 5.00%, 05/15/48

    1,950       2,183,162  
   

 

 

 
Louisiana — 1.3%  

Lake Charles Louisiana Harbor & Terminal District, RB, Series B, AMT (AGM), 5.50%, 01/01/29

    2,225       2,574,392  

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A, 5.50%, 05/15/29

    1,630       1,633,260  
   

 

 

 
    4,207,652  
Maryland — 2.8%  

County of Howard Maryland Housing Commission, RB, M/F Housing, Woodfield Oxford Square Apartments, 5.00%, 12/01/42

    2,450       2,914,103  

Maryland Stadium Authority, RB, Construction and Revitalization Program, 5.00%, 05/01/34

    4,780       6,013,001  
   

 

 

 
    8,927,104  
Massachusetts — 1.7%  

Massachusetts Development Finance Agency, RB:

   

Emerson College Issue, Series A, 5.00%, 01/01/47

    420       488,586  

Emerson College Issue, Series A, 5.25%, 01/01/42

    940       1,118,826  

UMass Dartmouth Student Housing Project, 5.00%, 10/01/43

    2,265       2,697,977  

Massachusetts Development Finance Agency, Refunding RB, Emerson College, Series A, 5.00%, 01/01/40

    745       884,300  

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

    410       413,756  
   

 

 

 
    5,603,445  
Michigan — 1.5%  

Hudsonville Michigan Public Schools, GO, School Building & Site (Q-SBLF), 5.25%, 05/01/21(b)

    3,420       3,605,672  

Michigan Strategic Fund, RB, I-75 Improvement Projects, AMT, 5.00%, 06/30/48

    895       1,076,900  
   

 

 

 
    4,682,572  
Minnesota — 0.3%  

County of St. Paul Minnesota Housing & Redevelopment Authority, Refunding RB, Fairview Health Services, Series A, 4.00%, 11/15/43

    985       1,099,063  
   

 

 

 
Mississippi — 2.4%  

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

    2,225       2,651,243  

Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Improvement Project, 5.25%, 08/01/23(b)

    1,000       1,149,420  

State of Mississippi, RB, Series A:

   

5.00%, 10/15/37

    565       704,306  

4.00%, 10/15/38

    2,815       3,194,040  
   

 

 

 
    7,699,009  
 

 

 

SCHEDULES OF INVESTMENTS      15  

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Montana — 0.1%  

Montana State Board of Housing, RB, S/F Housing, Series B-2:

   

3.50%, 12/01/42

  $ 170     $ 179,736  

3.60%, 12/01/47

    260       277,072  
   

 

 

 
    456,808  
Nevada — 3.5%  

City of Carson City Nevada, Refunding RB, Carson Tahoe Regional Healthcare Project, 5.00%, 09/01/42

    1,130       1,342,349  

City of Las Vegas NV Special Improvement District No 814, Special Assessment Bonds, Summerlin Villages 21 & 24A:

   

4.00%, 06/01/39

    120       126,206  

4.00%, 06/01/44

    335       349,030  

City of Reno Nevada, Refunding RB, Series A-1 (AGM):

   

4.00%, 06/01/43

    2,690       2,945,604  

4.00%, 06/01/46

    2,910       3,172,482  

County of Clark Nevada, GO, Stadium Improvement, Series A:

   

5.00%, 06/01/36

    2,065       2,595,602  

5.00%, 06/01/37

    500       627,440  
   

 

 

 
    11,158,713  
New Jersey — 7.8%  

New Jersey EDA, RB:

   

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

    1,940       2,199,960  

Private Activity Bond, Goethals Bridge Replacement Project, AMT (AGM), 5.00%, 01/01/31

    1,355       1,527,071  

State Government Buildings Project, Series A, 5.00%, 06/15/47

    2,500       2,894,100  

New Jersey Housing & Mortgage Finance Agency, Refunding RB, S/F Housing, Series BB, AMT, 3.80%, 10/01/32

    2,345       2,509,642  

New Jersey Transportation Trust Fund Authority, RB:

   

Transportation Program Bonds, Series S, 5.25%, 06/15/43

    2,980       3,592,777  

Series BB, 4.00%, 06/15/50

    2,125       2,280,338  

Transportation System, Series AA, 5.50%, 06/15/39

    3,040       3,383,034  

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

    2,735       3,335,004  

Tobacco Settlement Financing Corp., Refunding RB:

   

Series A, 5.25%, 06/01/46

    2,355       2,800,731  

Sub-Series B, 5.00%, 06/01/46

    445       511,541  
   

 

 

 
    25,034,198  
New Mexico — 0.1%  

City of Santa Fe New Mexico, RB, EL Castillo Retirement Residences Project, Series A, 5.00%, 05/15/49

    170       189,548  
   

 

 

 
New York — 5.1%  

Metropolitan Transportation Authority, RB:

   

Series A, 5.25%, 11/15/21(b)

    8,500       9,160,025  

Series A-1, 5.25%, 11/15/39

    1,550       1,764,148  

New York City Water & Sewer System, RB, 2nd General Resolution:

   

5.38%, 12/15/20(b)

    1,470       1,526,301  

5.38%, 06/15/43

    750       776,887  

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 166th Series, 5.25%, 07/15/36

    2,000       2,080,260  

TSASC, Inc., Refunding RB, Series A, 5.00%, 06/01/41

    895       1,022,090  
   

 

 

 
    16,329,711  
North Carolina — 0.1%  

University of North Carolina at Chapel Hill, RB, University of North Carolina Hospital at Chapel Hill, 5.00%, 02/01/49

    270       412,320  
   

 

 

 
Security   Par
(000)
    Value  
Ohio — 1.6%  

Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Senior Turbo Term, Series A-2, 5.88%, 06/01/47

  $ 2,470     $ 2,480,917  

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1, 5.25%, 02/15/31

    2,500       2,812,150  
   

 

 

 
    5,293,067  
Oregon — 0.4%  

State of Oregon Health & Science University, RB, Series A, 5.00%, 07/01/42

    1,100       1,339,085  
   

 

 

 
Pennsylvania — 9.2%  

Altoona Area School District, GO, (BAM), 5.00%, 12/01/36

    185       217,266  

County of Delaware Springfield School District, GO:

   

5.00%, 03/01/40

    1,485       1,836,024  

5.00%, 03/01/43

    1,100       1,355,343  

County of Montgomery Higher Education & Health Authority, Refunding RB, Thomas Jefferson University, Series A, 5.00%, 09/01/48

    1,690       2,039,695  

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/36

    2,215       2,723,675  

Pennsylvania Housing Finance Agency, RB, S/F Housing, Series 125B, 3.65%, 10/01/42

    3,000       3,170,250  

Pennsylvania Turnpike Commission, Refunding RB, 2nd Series, Subordinate, Special Motor License Fund, 5.00%, 12/01/41

    2,490       3,034,065  

Pennsylvania Turnpike Commission, RB:

   

Sub-Series B-1, 5.25%, 06/01/47

    2,300       2,774,490  

Subordinate, Series A, 5.00%, 12/01/44

    5,120       6,309,632  

Swarthmore Borough Authority, RB, Swarthmore College, 5.00%, 09/15/47

    1,600       1,986,096  

Township of Bristol Pennsylvania School District, GO:

   

5.25%, 06/01/23(b)

    1,100       1,257,905  

5.25%, 06/01/37

    2,500       2,777,825  
   

 

 

 
    29,482,266  
Puerto Rico — 3.6%  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured:

   

CAB, Series A-1, 0.00%, 07/01/46(d)

    312       91,129  

Series A-1, 4.75%, 07/01/53

    1,600       1,770,320  

Series A-1, 5.00%, 07/01/58

    2,130       2,392,246  

Series A-2, 4.78%, 07/01/58

    5,879       6,501,233  

Series B-1, 4.75%, 07/01/53

    407       449,926  

Series B-2, 4.78%, 07/01/58

    394       434,338  
   

 

 

 
    11,639,192  
Rhode Island — 0.1%  

Rhode Island Turnpike & Bridge Authority, RB, Series A, 3.00%, 10/01/38

    375       389,835  
   

 

 

 
South Carolina — 5.5%  

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

    3,760       4,319,902  

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

   

6.00%, 07/01/38

    2,940       3,370,181  

5.50%, 07/01/41

    2,500       2,815,750  

South Carolina Jobs-Economic Development Authority, RB, Hilton Head Christian Academy, 5.00%, 01/01/55(a)

    825       867,190  

State of South Carolina Jobs EDA, Refunding RB, Prisma Health Obligated Group, Series A, 5.00%, 05/01/43

    1,360       1,625,730  

State of South Carolina Ports Authority, RB, AMT, 5.25%, 07/01/25(b)

    1,870       2,272,050  

State of South Carolina Public Service Authority, RB, Series E, 5.50%, 12/01/53

    1,000       1,128,770  
 

 

 

16    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
South Carolina (continued)  

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

  $ 1,000     $ 1,132,330  
   

 

 

 
    17,531,903  
Tennessee — 1.1%  

Metropolitan Nashville Airport Authority, ARB, Series B, AMT, 5.00%, 07/01/40

    3,000       3,487,200  
   

 

 

 
Texas — 7.4%  

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 03/01/37

    2,345       2,623,891  

City of Houston Texas Airport System Revenue, Refunding RB, Sub-Series D, 5.00%, 07/01/37

    2,010       2,518,992  

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Christus Health, Series B, 5.00%, 07/01/35

    2,500       3,117,125  

Dallas-Fort Worth Texas International Airport, ARB, Joint Improvement, AMT:

   

Series A, 5.00%, 11/01/20(b)

    1,615       1,660,850  

Series H, 5.00%, 11/01/37

    1,810       1,905,822  

Lower Colorado River Authority, Refunding RB, 5.50%, 05/15/33

    2,155       2,453,769  

North Texas Tollway Authority, RB, Special Projects, Series A, 5.50%, 09/01/21(b)

    5,480       5,872,807  

North Texas Tollway Authority, Refunding RB, 1st Tier, Series A, 5.00%, 01/01/48

    1,775       2,149,294  

Red River Texas Education Financing Corp., RB, Texas Christian University Project, 5.25%, 03/15/23(b)

    1,070       1,210,876  

Texas Private Activity Bond Surface Transportation Corp., RB, Segment 3C Project, AMT, 5.00%, 06/30/58

    360       428,641  
   

 

 

 
    23,942,067  
Utah — 0.1%  

Utah Charter School Finance Authority, RB, Wallace Stegner Academy Project, Series A, 5.00%, 06/15/49(a)

    170       180,982  
   

 

 

 
Vermont — 1.0%  

University of Vermont & State Agricultural College, Refunding RB, 5.00%, 10/01/43

    2,535       3,088,923  
   

 

 

 
Virginia — 1.8%  

City of Lexington Virginia IDA, RB, Washington & Lee University, 5.00%, 01/01/22(b)

    945       1,018,956  

Virginia Small Business Financing Authority, RB, Transform 66 P3 Project, AMT, 5.00%, 12/31/49

    4,000       4,674,960  
   

 

 

 
    5,693,916  
Washington — 6.5%  

City of Seattle Washington Municipal Light & Power, Refunding RB, Series A, 5.25%, 02/01/21(b)

    2,400       2,503,560  

Port of Seattle Washington, ARB, AMT:

   

Intermediate Lien, Series C, 5.00%, 05/01/37

    2,485       3,005,955  

Series A, 5.00%, 05/01/43

    660       787,598  

State of Washington, COP, Series B:

   

5.00%, 07/01/36

    1,000       1,247,420  

5.00%, 07/01/38

    1,155       1,434,048  

State of Washington, GO:

   

Series C, 5.00%, 02/01/36

    7,565       9,505,650  

Various Purposes, Series B, 5.25%, 02/01/21(b)

    1,865       1,945,475  

Washington State Housing Finance Commission, RB, Transforming Age Project, Series A, 5.00%, 01/01/55(a)

    475       521,925  
   

 

 

 
    20,951,631  
Wisconsin — 1.1%  

Public Finance Authority, Refunding RB:

   

Penick Village Obligation Group, 5.00%, 09/01/49(a)

    285       311,955  

Evergreens Obligated Group, 5.00%, 11/15/49

    570       664,592  
Security   Par
(000)
    Value  
Wisconsin (continued)  

Wisconsin Health & Educational Facilities Authority, Refunding RB, Milwaukee Regional Medical Center Thermal Service, 5.00%, 04/01/44

  $ 2,065     $ 2,532,165  
   

 

 

 
    3,508,712  
Wyoming — 0.2%  

State of Wyoming Municipal Power Agency, Inc., Refunding RB, Series A (BAM), 5.00%, 01/01/42

    570       680,341  
   

 

 

 

Total Municipal Bonds — 124.8%
(Cost — $367,452,441)

 

    401,637,374  
 

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(e) — 34.6%

 

California — 2.8%

 

Sacramento Area Flood Control Agency, Refunding, Consolidated Capital Assessment District No. 2 Bonds, 5.00%, 10/01/47

    7,499       9,058,645  
   

 

 

 
Colorado — 1.8%  

City & County of Denver Colorado Airport System Revenue, Refunding ARB, Sub-System, Series A, AMT, 5.25%, 12/01/43(f)

    3,262       4,053,158  

Colorado Health Facilities Authority, Refunding RB, Commonspirit Health, Series A, 4.00%, 08/01/49(f)

    1,710       1,897,518  
   

 

 

 
    5,950,676  
Connecticut — 1.1%  

State of Connecticut Health & Educational Facility Authority, Refunding RB, Trinity Health Credit Group, 5.00%, 12/01/45

    3,061       3,615,650  
   

 

 

 
Illinois — 3.2%  

City of Chicago Illionis Waterworks, Refunding RB, 2017 2nd Lien, Water Revenue Project (AGM), 5.25%, 11/01/33

    760       760,421  

State of Illinois Toll Highway Authority, RB:

   

Series A, 5.00%, 01/01/40

    1,980       2,325,314  

Series B, 5.00%, 01/01/40

    6,148       7,253,421  
   

 

 

 
      10,339,156  
   

 

 

 
Louisiana — 3.2%  

City of Shreveport Louisiana Water & Sewer Revenue, RB, Junior Lien, Series B (AGM):

   

4.00%, 12/01/44

    3,015       3,394,634  

4.00%, 12/01/49

    6,057       6,819,693  
   

 

 

 
    10,214,327  
Maryland — 4.7%  

City of Baltimore Maryland, RB, Wastewater Project, Series A, 5.00%, 07/01/46

    2,499       3,012,318  

Maryland Stadium Authority, RB, Construction and Revitalization Program, 5.00%, 05/01/47

    9,817       11,979,344  
   

 

 

 
    14,991,662  
Michigan — 2.5%  

Michigan Finance Authority, RB(f):

   

Mclaren Health Care, Series A, 4.00%, 02/15/44

    3,332       3,784,063  

Multi Model- McLaren Health Care, 4.00%, 02/15/47

    3,728       4,232,803  
   

 

 

 
    8,016,866  
New Jersey — 0.5%  

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 06/15/36

    1,500       1,571,343  
   

 

 

 
New York — 6.0%  

City of New York Municipal Water Finance Authority, Refunding RB, Series FF, 5.00%, 06/15/45

    5,958       6,466,774  
 

 

 

SCHEDULES OF INVESTMENTS      17  

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
New York (continued)  

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

  $ 7,515     $ 8,118,076  

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

    4,400       4,758,376  
   

 

 

 
    19,343,226  
Pennsylvania — 5.9%  

Commonwealth of Pennsylvania, GO, 1st Series, 4.00%, 03/01/38(f)

    3,600       4,123,764  

County of Lehigh Pennsylvania, Refunding RB, Lehigh Valley Health Network, 4.00%, 07/01/49(f)

    4,997       5,609,930  

County of Northampton General Purpose Authority, Refunding RB, Lafayette College, 4.00%, 11/01/38(f)

    5,927       6,821,016  

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/38

    1,963       2,316,840  
   

 

 

 
    18,871,550  
Texas — 1.5%  

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Baylor Health Care System Project, Series A, 5.00%, 11/15/38

    4,296       4,795,627  
   

 

 

 
Virginia — 1.4%  

County of Fairfax Virginia EDA, RB, Metrorail Parking System Project, 5.00%, 04/01/47(f)

    3,720       4,504,660  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 34.6%
(Cost — $103,067,014)

 

    111,273,388  
 

 

 

 

Total Long-Term Investments — 159.4%
(Cost — $470,519,455)

 

    512,910,762  
 

 

 

 

Security

  Shares     Value  

Short-Term Securities — 0.4%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class,
0.81%(g)(h)

    1,179,207     $ 1,179,443  
   

 

 

 

Total Short-Term Securities — 0.4%
(Cost — $1,179,439)

 

    1,179,443  
 

 

 

 

Total Investments — 159.8%
(Cost — $471,698,894)

 

    514,090,205  

Other Assets Less Liabilities — 0.0%

 

    28,618  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (19.1)%

 

    (61,424,591

VMTP Shares, at Liquidation Value — (40.7)%

 

    (131,000,000
 

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 321,694,232  
 

 

 

 

 

(a) 

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

(b) 

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

(c) 

When-issued security.

(d) 

Zero-coupon bond.

(e) 

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

(f) 

All or a portion of the security is subject to a recourse agreement. The aggregate maximum potential amount the Fund could ultimately be required to pay under the agreements, which expire between May 15, 2021 to August 1, 2027, is $20,247,429. See Note 4 of the Notes to Financial Statements for details.

(g) 

Annualized 7-day yield as of period end.

 
(h) 

During the six months ended January 31, 2020, investments in issuers considered to be an affiliate/affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
07/31/19
     Net
Activity
     Shares
Held at
01/31/20
     Value at
01/31/20
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     10,454,186        (9,274,979      1,179,207      $ 1,179,443      $ 10,381      $ 657      $ (746
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts

                 

10-Year U.S. Treasury Note

     52          03/20/20        $ 6,846        $ (87,457

U.S. Long Treasury Bond

     95          03/20/20          15,535          (377,709

5-Year U.S. Treasury Note

     39          03/31/20          4,692          (47,093
                 

 

 

 
                  $ (512,259
                 

 

 

 

 

 

18    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniHoldings Quality Fund II, Inc. (MUE)

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Liabilities — Derivative Financial Instruments

 

                 

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $      $      $      $      $ 512,259      $      $ 512,259  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

For the six months ended January 31, 2020, the effect of derivative financial instruments in the Statements of Operations were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

 

              

Futures contracts

   $      $      $      $      $ (1,155,359    $      $ (1,155,359
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                     

Futures contracts

   $      $      $      $      $ (295,251    $      $ (295,251
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 24,925,746  

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

Fair Value Hierarchy as of Period End

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

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 Investments(a)

   $        $ 512,910,762        $             —        $ 512,910,762  

Short-Term Securities

     1,179,443                            1,179,443  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,179,443        $ 512,910,762        $        $ 514,090,205  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Interest Rate Contracts

   $ (512,259      $        $        $ (512,259
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

Derivative financial instruments are futures contracts. Futures contracts 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 period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $        $ (61,260,897      $             —        $ (61,260,897

VMTP Shares at Liquidation Value

              (131,000,000                 (131,000,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (192,260,897      $        $ (192,260,897
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      19  

Schedule of Investments  (unaudited)

January 31, 2020

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 88.7%

 

California — 84.9%

 

Corporate — 1.3%  

California Pollution Control Financing Authority, RB, San Jose Water Company Project, AMT, 4.75%, 11/01/46

  $ 4,000     $ 4,552,600  

City of Chula Vista California, Refunding RB, San Diego Gas & Electric, Series A, 5.88%, 02/15/34

    2,435       2,444,862  
   

 

 

 
    6,997,462  
County/City/Special District/School District — 28.1%  

Chaffey Joint Union High School District, GO, CAB, Election of 2012, Series C(a):

   

0.00%, 08/01/32

    250       178,180  

0.00%, 08/01/33

    500       339,195  

0.00%, 08/01/34

    505       326,811  

0.00%, 08/01/35

    545       336,483  

0.00%, 08/01/36

    500       294,925  

0.00%, 08/01/37

    650       366,034  

0.00%, 08/01/38

    630       338,499  

0.00%, 08/01/39

    750       384,690  

0.00%, 08/01/40

    1,850       906,315  

0.00%, 08/01/41

    305       142,676  

0.00%, 02/01/42

    350       159,866  

City & County of San Francisco California, COP, Port Facilities Project, Series C, AMT, 5.25%, 03/01/32

    1,050       1,182,247  

City of Sacramento California Transient Occupancy Tax Revenue, RB, Convention Center Complex, Series A, 5.00%, 06/01/48

    3,750       4,552,350  

County of San Joaquin California Transportation Authority, Refunding RB, Limited Tax, Measure K, Series A, 6.00%, 03/01/21(b)

    2,530       2,669,302  

El Monte City School District, GO, Los Angeles Country, California Series B, 5.50%, 08/01/46

    4,265       5,294,400  

Fowler Unified School District, GO, Election of 2016, Series A (BAM), 5.25%, 08/01/46

    3,700       4,635,582  

Garden Grove Unified School District, GO, Election of 2010, Series C, 5.25%, 08/01/23(b)

    2,725       3,135,903  

Gavilan Joint Community College District, GO, Election of 2004, Series D(b):

   

5.50%, 08/01/21

    2,165       2,314,104  

5.75%, 08/01/21

    8,400       9,009,588  

Grossmont California Healthcare District, GO, Election of 2006, Series B, 6.13%, 07/15/21(b)

    2,500       2,689,625  

Grossmont California Union High School District, GO, Election of 2008, Series C, 5.50%, 08/01/21(b)

    1,880       2,009,588  

Hayward Unified School District, GO, Series A (BAM), 4.00%, 08/01/48

    2,000       2,292,780  

Kern Community College District, GO, Safety Repair & Improvements, Series C, 5.25%, 11/01/23(b)

    5,715       6,637,744  

Menifee Union School District, GO, Series B (BAM), 4.00%, 08/01/43

    5,370       6,118,041  

Mount San Antonio Community College District, GO, Refunding, Election of 2008, Series A, 5.00%, 08/01/23(b)

    4,500       5,139,945  

Ohlone Community College District, GO, Election of 2010, Series A, 5.25%, 08/01/21(b)

    8,140       8,670,484  

Perris Union High School District, GO, Election of 2012, Series B (BAM), 5.25%, 09/01/39

    2,715       3,310,807  

Perris Union High School District, COP, Refunding School Finacing Project (BAM), 4.00%, 10/01/43

    10,000       11,534,000  

Riverside County Public Financing Authority, Tax Allocation Bonds, Series A (BAM), 4.00%, 10/01/40

    5,455       6,175,551  

RNR School Financing Authority, Special Tax Bonds, Community Facilities District No. 92-1, Series A (BAM):

   

5.00%, 09/01/37

    1,500       1,804,185  

5.00%, 09/01/41

    3,000       3,590,820  
Security   Par
(000)
    Value  
County/City/Special District/School District (continued)  

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

   

5.75%, 05/01/36

  $ 2,570     $ 2,579,715  

5.75%, 05/01/42

    4,500       4,756,770  

San Jose California Financing Authority, Refunding LRB, Series A:

   

5.00%, 06/01/32

    3,375       3,810,949  

5.00%, 06/01/39

    5,800       6,502,844  

San Juan Unified School District, GO, Election of 2002 (AGM), 5.00%, 08/01/20(b)

    6,475       6,607,025  

San Leandro California Unified School District, GO, Election of 2010, Series A, 5.75%, 08/01/41

    3,000       3,201,480  

Santa Clara Unified School District, GO, Election of 2018, 3.25%, 07/01/44

    3,000       3,194,040  

State of California, GO, Various Purpose, 4.00%, 04/01/49

    5,550       6,468,358  

Walnut Valley Unified School District, GO, Election of 2007, Series B, 5.75%, 08/01/21(b)

    7,680       8,237,338  

Washington Township Health Care District, GO, Election of 2004, Series B, 5.50%, 08/01/38

    1,625       1,918,621  

West Contra Costa California Unified School District, GO:

   

Election of 2010, Series A (AGM), 5.25%, 08/01/21(b)

    6,140       6,540,144  

Election of 2010, Series B, 5.50%, 08/01/39

    3,000       3,438,660  

Election of 2012, Series A, 5.50%, 08/01/39

    2,500       2,865,550  
   

 

 

 
    156,662,214  
Education — 7.4%  

California Educational Facilities Authority, RB, Series A, 5.00%, 10/01/53

    10,000       12,281,500  

California Municipal Finance Authority, RB:

   

Emerson College, 6.00%, 01/01/22(b)

    2,750       3,017,657  

John Adams Academy, Series A, 5.00%, 10/01/39(c)

    245       265,382  

John Adams Academy, Series A, 5.00%, 10/01/49(c)

    410       436,634  

John Adams Academy, Series A, 5.00%, 10/01/57(c)

    810       857,328  

California Municipal Finance Authority, Refunding RB, Master’s University:

   

5.00%, 08/01/39

    645       751,399  

5.00%, 08/01/48

    305       349,137  

California School Finance Authority, RB(c):

   

Alliance for College-Ready Public Schools Projects, Series A, 5.00%, 07/01/36

    755       866,370  

Arts In Action Charter Schools, 5.00%, 06/01/40

    305       341,329  

Arts In Action Charter Schools, 5.00%, 06/01/50

    475       524,851  

Arts In Action Charter Schools, 5.00%, 06/01/59

    760       834,602  

Kipp Socal Projects, Series A, 5.00%, 07/01/54

    650       778,739  

Real Journey Academies, Series A, 5.00%, 06/01/58

    2,385       2,517,057  

Teach Public Schools, Series A, 5.00%, 06/01/58

    1,230       1,346,149  

California School Finance Authority, Refunding RB, Aspire Public Schools - Obligated Group, 5.00%, 08/01/46(c)

    1,250       1,393,462  

California Statewide Communities Development Authority, RB, University of California, Irvine East Campus, Series A, 5.00%, 05/15/37

    4,000       4,825,600  

California Statewide Communities Development Authority, Refunding RB, CHF-Irvine LLC:

   

5.00%, 05/15/33

    2,625       3,134,985  

5.00%, 05/15/40

    2,250       2,649,712  

University of California, RB, 5.25%, 05/15/36

    3,680       4,323,485  
   

 

 

 
    41,495,378  
Health — 9.0%  

California Health Facilities Financing Authority, RB:

   

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

    10,000       10,717,000  

Sutter Health, Series B, 6.00%, 08/15/20(b)

    7,715       7,925,388  
 

 

 

20    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Health (continued)  

California Health Facilities Financing Authority, Refunding RB, Adventist Health System West, Series A:

   

4.00%, 03/01/39

  $ 985     $ 1,096,857  

4.00%, 03/01/43

    1,400       1,482,180  

California Municipal Finance Authority, Refunding RB, Series A:

   

Community Medical Centers, 5.00%, 02/01/42

    4,000       4,797,400  

5.00%, 11/01/39(c)

    215       248,955  

5.00%, 11/01/49(c)

    245       282,179  

California Statewide Communities Development Authority, RB:

   

Green Bond, Marin General Hospital, 4.00%, 08/01/45

    2,500       2,621,975  

Huntington Memorial Hospital Project, 4.00%, 07/01/48

    1,780       1,989,541  

Methodist Hospital of Southern California, 4.25%, 01/01/43

    3,450       3,804,867  

Sutter Health, Series A, 6.00%, 08/15/20(b)

    4,130       4,242,708  

California Statewide Communities Development Authority, Refunding RB:

   

Front Porch Communities and Services, 4.00%, 04/01/42

    2,595       2,871,731  

Front Porch Communities and Services, 4.00%, 04/01/47

    1,320       1,447,248  

John Muir Health, Series A, 4.00%, 12/01/57

    3,250       3,420,007  

Trinity Health Credit Group Composite Issue, 5.00%, 12/01/21(b)

    2,860       3,074,643  
   

 

 

 
    50,022,679  
Housing — 4.0%  

California Community Housing Agency, RB, M/F Housing(c):

   

Serenity At Larkspur, Series A, 5.00%, 02/01/50(d)

    1,415       1,670,209  

Verdant At Green Valley Project, 5.00%, 08/01/49

    1,855       2,118,206  

California Housing Finance, RB:

   

M/F Housing, Series 2-A, 4.00%, 03/20/33

    4,100       4,834,715  

S/F Housing, Series A, 4.25%, 01/15/35

    1,372       1,669,398  

California Statewide Communities Development Authority, Special Assessment Bonds, Statewide Community Infrastructure Program:

   

M/F Housing, , Series C, 5.00%, 09/02/49

    225       260,685  

M/F Housing, Series C, 5.00%, 09/02/39

    435       512,578  

S/F Housing, 5.00%, 09/02/39

    465       547,928  

S/F Housing, 5.00%, 09/02/44

    535       622,152  

S/F Housing, 5.00%, 09/02/49

    775       897,907  

Freddie Mac Multifamily Certificates, RB, M/F Housing, Pass-Through, Class A, 3.35%, 11/25/33

    8,559       9,423,243  
   

 

 

 
    22,557,021  
State — 1.5%  

State of California, GO, Various Purposes, 6.00%, 03/01/33

    5,500       5,528,215  

State of California Public Works Board, LRB, Various Capital Projects, Series I, 5.50%, 11/01/33

    2,575       3,000,647  
   

 

 

 
    8,528,862  
Tobacco — 4.0%  

Golden State Tobacco Securitization Corp., Refunding RB:

   

Series A-1, 5.00%, 06/01/33

    2,175       2,623,441  

Series A-1, 5.00%, 06/01/35

    3,215       3,842,279  

Series A-1, 3.50%, 06/01/36

    5,295       5,482,549  

Series A-2, 5.00%, 06/01/47

    2,500       2,629,100  

Tobacco Securitization Authority of Southern California, Refunding RB:

   

5.00%, 06/01/48

    4,500       5,464,485  

San Diego Country Tobacco Asset Securitization Corporation, 0.00%, 06/01/54(a)

    11,850       1,893,630  

Tobacco Asset Securitization Corporation, 5.00%, 06/01/48

    575       687,182  
   

 

 

 
    22,622,666  
Transportation — 20.8%  

Alameda Corridor Transportation Authority, Refunding RB, 2nd Subordinate Lien, Series B, 5.00%, 10/01/35

    1,500       1,783,695  
Security   Par
(000)
    Value  
Transportation (continued)  

Bay Area Toll Authority, Refunding RB, Subordinate, Series S-8, 3.00%, 04/01/54

  $ 13,230     $ 13,736,709  

California Municipal Finance Authority, ARB, Senior Lien, Linxs APM Project, AMT:

   

5.00%, 12/31/43

    6,500       7,793,630  

4.00%, 12/31/47

    7,500       8,268,225  

(AGM), 4.00%, 12/31/47

    2,845       3,141,563  

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

   

2nd, 5.25%, 05/01/33

    1,900       2,144,283  

5.00%, 05/01/40

    3,785       4,337,118  

5.00%, 05/01/44

    6,000       7,445,280  

5.00%, 05/01/44

    2,660       3,038,199  

5.00%, 05/01/49

    3,500       4,320,120  

City & County of San Francisco California Airports Commission, Refunding RB, AMT, San Francisco International Airport, Series D, 5.00%, 05/01/43

    7,715       9,430,970  

City of Los Angeles California Department of Airports, ARB:

   

Los Angeles International Airport, Sub-Series B, 5.00%, 05/15/40

    2,500       2,527,925  

Series D, AMT, 5.00%, 05/15/35

    2,000       2,351,980  

Series D, AMT, 5.00%, 05/15/36

    1,500       1,758,255  

City of Los Angeles Department of Airports, ARB, AMT, Subordinate, Series C, 5.00%, 05/15/38

    3,215       3,952,875  

City of San Jose California, Refunding ARB, Norman Y Mineta San Jose International Airport SJC, AMT:

   

Series A, 5.00%, 03/01/41

    3,075       3,721,857  

Series A, 5.00%, 03/01/47

    6,770       8,097,868  

Series A-1, 6.25%, 03/01/34

    1,400       1,475,544  

County of Sacramento California Airport System Revenue, Refunding ARB:

   

Airport System Subordinate Revenue, Sub-Series B, 5.00%, 07/01/41

    1,750       2,113,790  

Senior Series A, 5.00%, 07/01/41

    2,500       3,044,825  

County of San Bernardino California Transportation Authority, RB, Series A, 5.25%, 03/01/40

    4,500       5,265,990  

County of San Diego California Regional Airport Authority, Refunding ARB, Series B, 5.00%, 07/01/40

    6,350       6,452,997  

County of San Diego Regional Airport Authority, ARB, Subordinate, Series B, AMT, 5.00%, 07/01/47

    6,000       7,260,420  

Port of Los Angeles California Harbor Department, Refunding RB, Series A, AMT, 5.00%, 08/01/44

    200       230,550  

San Diego County Regional Airport Authority, Refunding RB, Subordinate Revenue Bonds, AMT(d):

   

5.00%, 07/01/37

    350       443,180  

5.00%, 07/01/38

    350       441,469  

5.00%, 07/01/39

    500       628,600  

5.00%, 07/01/40

    700       877,324  
   

 

 

 
    116,085,241  
Utilities — 8.8%  

Anaheim Public Financing Authority, RB, Electric System Distribution Facilities, Series A, 5.38%, 04/01/21(b)

    5,000       5,260,700  

City of Los Angeles California Department of Water & Power, Refunding RB, Water System, Series A, 5.25%, 07/01/39

    8,000       8,313,520  

City of Los Angeles California Wastewater System Revenue, Refunding RB, Sub-Series A:

   

5.00%, 06/01/20(b)

    1,325       1,342,888  

5.00%, 06/01/28

    675       684,119  

City of San Francisco California Public Utilities Commission Water Revenue, RB, Sub-Series A, 5.00%, 11/01/21(b)

    10,000       10,713,400  

City of San Francisco California Public Utilities Commission Water Revenue, Refunding RB, Series A, 5.00%, 11/01/36

    2,335       2,818,018  
 

 

 

SCHEDULES OF INVESTMENTS      21  

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Utilities (continued)  

Dublin-San Ramon Services District Water Revenue, Refunding RB, 6.00%, 02/01/21(b)

  $ 4,000     $ 4,203,400  

East Bay California Municipal Utility District Water System Revenue, Refunding RB, Sub-Series A, 5.00%, 06/01/20(b)

    3,450       3,496,092  

El Dorado Irrigation District, Refunding RB, Series A (AGM), 5.25%, 03/01/39

    5,000       5,828,000  

San Diego Public Facilities Financing Authority, Refunding RB, Subordinated, Series A, 5.25%, 08/01/47

    5,000       6,346,950  
   

 

 

 
    49,007,087  
 

 

 

 

Total Municipal Bonds in California

 

    473,978,610  
 

 

 

 

Puerto Rico — 3.8%

 

State — 3.8%  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured:

   

CAB, Series A-1, 0.00%, 07/01/46(a)

    3,222       941,082  

Series A-1, 4.75%, 07/01/53

    681       753,492  

Series A-1, 5.00%, 07/01/58

    500       561,560  

Series B-1, 4.75%, 07/01/53

    735       812,521  

Series B-1, 5.00%, 07/01/58

    8,899       9,984,411  

Series B-2, 4.33%, 07/01/40

    7,022       7,622,521  

Series B-2, 4.78%, 07/01/58

    713       785,997  
   

 

 

 

Total Municipal Bonds in Puerto Rico

 

    21,461,584  
 

 

 

 

Total Municipal Bonds — 88.7%
(Cost — $457,854,383)

 

    495,440,194  
 

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(e) — 75.2%

 

California — 75.2%

 

County/City/Special District/School District — 23.5%  

California Municipal Finance Authority, RB, Orange County Civic Center Infrastructure, 5.00%, 06/01/48

    9,500       11,737,820  

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

    10,000       12,124,499  

County of San Luis California Obispo Community College District, GO, Refunding, Election of 2014, Series A, 4.00%, 08/01/40

    6,585       7,446,974  

County of San Mateo California Community College District, GO, Election of 2014, Series A, 5.00%, 09/01/45

    17,615       21,208,982  

Fremont Union High School District, GO, Refunding, Series A, 4.00%, 08/01/46

    5,000       5,714,350  

Los Angeles California Unified School District, GO, Election of 2008, Series B-1, 5.25%, 07/01/42(f)

    7,075       8,997,842  

Los Angeles County Facilities Inc., RB, Vermont Corridor County Administration Building, Series A, 5.00%, 12/01/51(f)

    11,420       14,152,233  

Palomar Community College District, GO, Election of 2006, Series C, 5.00%, 08/01/44

    15,140       18,195,252  

Sacramento Area Flood Control Agency, Refunding, Consolidated Capital Assessment District No. 2, Series A, 5.00%, 10/01/43

    10,005       12,175,185  

West Valley-Mission Community College District, GO, Election of 2012, Series B, 4.00%, 08/01/40

    17,000       19,335,120  
   

 

 

 
    131,088,257  
Education — 11.3%  

Los Rios Community College District, GO, Election of 2008, Series A, 5.00%, 08/01/20(b)

    11,000       11,224,290  

University of California, RB, Series AM, 5.25%, 05/15/44

    9,210       10,753,228  
Security   Par
(000)
    Value  
Education (continued)  

University of California, Refunding RB:

   

Series A, 5.00%, 11/01/43

  $ 13,002     $ 15,720,380  

Series I, 5.00%, 05/15/40

    21,105       25,219,842  
   

 

 

 
    62,917,740  
Health — 18.7%  

California Health Facilities Financing Authority, RB:

   

Lucile Salter Packard Children’s Hospital at Stanford, 5.00%, 11/15/56

    6,000       7,198,260  

Sutter Health, Series A, 4.00%, 11/15/42

    7,500       8,513,250  

Sutter Health, Series A, 5.00%, 08/15/52

    10,000       11,018,800  

California Health Facilities Financing Authority, Refunding RB:

   

Kaiser Permanente, Sub-Series A-2, 4.00%, 11/01/44

    13,280       15,052,880  

Lucile Salter Packard Children’s Hospital, Series B, 5.00%, 08/15/55

    4,500       5,357,295  

Providence St. Joseph Health, Series A, 4.00%, 10/01/47

    6,018       6,611,863  

Sutter Health, Series A, 5.00%, 08/15/43

    24,940       29,057,843  

California Statewide Communities Development Authority, RB, Kaiser Permanente, Series A, 5.00%, 04/01/42

    19,860       21,446,218  
   

 

 

 
    104,256,409  
State — 0.6%  

State of California, GO, Refunding, Various Purpose, 5.25%, 10/01/39

    3,000       3,693,450  
   

 

 

 
Transportation — 9.3%  

Bay Area Toll Authority, Refunding RB, San Francisco Bay Area Toll Bridge(f):

   

4.00%, 04/01/42

    11,250       12,703,498  

4.00%, 04/01/49

    6,555       7,321,083  

City of Los Angeles California Department of Airports, ARB, AMT:

   

Los Angeles International Airport, Series B, 5.00%, 05/15/46

    5,000       5,948,050  

Series D, 5.00%, 05/15/41

    13,311       15,530,488  

City of Los Angeles California Department of Airports, RB, AMT:

   

Los Angeles International Airport, Series B, 5.00%, 05/15/41

    3,641       4,360,394  

Senior Revenue, Series A, 5.00%, 05/15/40

    5,500       6,425,815  
   

 

 

 
    52,289,328  
Utilities — 11.8%  

Anaheim Public Financing Authority, Refunding RB, Anaheim Convention Center Expansion Project, Series A:

   

5.00%, 05/01/39

    6,000       6,943,980  

5.00%, 05/01/46

    13,500       15,523,515  

Beaumont Public Improvement Authority, RB, Series A (AGM), 5.00%, 09/01/49

    6,000       7,228,080  

City of Los Angeles California Wastewater System Revenue, RB, Green Bonds, Series A, 5.00%, 06/01/44

    6,290       7,532,841  

City of Sacramento California Water Revenue, RB, 5.25%, 09/01/47

    14,825       18,466,012  

Los Angeles Department of Water, Refunding RB, Series A, 5.00%, 07/01/46

    8,413       10,107,012  
   

 

 

 
    65,801,440  
 

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 75.2%
(Cost — $385,057,272)

 

    420,046,624  
 

 

 

 

Total Long-Term Investments — 163.9%
(Cost — $842,911,655)

 

    915,486,818  
 

 

 

 
 

 

 

22    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Short-Term Securities — 0.1%  

BlackRock Liquidity Funds California Money Fund, Institutional Class, 0.71%(g)(h)

    200,044     $ 200,084  
   

 

 

 

Total Short-Term Securities — 0.1%
(Cost — $200,084)

 

    200,084  
 

 

 

 

Total Investments — 164.0%
(Cost — $843,111,739)

 

    915,686,902  

Other Assets Less Liabilities — 1.0%

 

    5,410,124  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (35.2)%

 

    (196,470,235

VRDP Shares, at Liquidation Value, Net of Deferred Offering Costs — (29.8)%

 

    (166,207,848
 

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 558,418,943  
 

 

 

 

 

(a) 

Zero-coupon bond.

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

(d) 

When-issued security.

(e) 

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

(f) 

All or a portion of the security is subject to a recourse agreement. The aggregate maximum potential amount the Fund could ultimately be required to pay under the agreements, which expire between April 1, 2025 to June 1, 2026 is $25,985,300. See Note 4 of the Notes to Financial Statements for details.

(g) 

Annualized 7-day yield as of period end.

 
(h) 

During the six months ended January 31, 2020, investments in issuers considered to be an affiliate/affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
07/31/19
     Net
Activity
     Shares
Held at
01/31/20
     Value at
01/31/20
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds California Money Fund, Institutional Class

     12,443,051        (12,243,007      200,044      $ 200,084      $ 14,116      $ 53      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts

                 

10-Year U.S. Treasury Note

     87          03/20/20        $ 11,454        $ (192,355

U.S. Long Treasury Bond

     265          03/20/20          43,336          (1,150,000

5-Year U.S. Treasury Note

     86          03/31/20          10,348          (106,106
                 

 

 

 
                  $ (1,448,461
                 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $      $      $      $      $ 1,448,461      $      $ 1,448,461  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

 

 

SCHEDULES OF INVESTMENTS      23  

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield California Quality Fund, Inc. (MCA)

 

For the six months ended January 31, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (2,210,404    $      $(2,210,404)
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

Net Change in Unrealized Appreciation (Depreciation) on:                                               

Futures contracts

   $      $      $      $      $ (785,751    $      $(785,751)
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — long

   $ (a) 

Average notional value of contracts — short

     51,639,703  

 

  (a)

Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period.

 

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

Fair Value Hierarchy as of Period End

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

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 Investments(a)

   $        $ 915,486,818        $        $ 915,486,818  

Short-Term Securities

     200,084                            200,084  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 200,084        $ 915,486,818        $        $ 915,686,902  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Interest Rate Contracts

   $ (1,448,461      $        $             —        $ (1,448,461
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a)

See above Schedule of Investments for values in each sector.

 
  (b) 

Derivative financial instruments are futures contracts. Futures contracts 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 period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $        $ (195,715,219      $        $ (195,715,219

VRDP Shares at Liquidation Value

              (166,500,000                 (166,500,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (362,215,219      $             —        $ (362,215,219
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

24    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited)

January 31, 2020

  

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 125.2%

 

New York — 121.3%

 

Corporate — 3.1%  

City of New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 07/01/28

  $ 930     $ 1,002,986  

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

    12,070       16,992,629  
   

 

 

 
      17,995,615  
County/City/Special District/School District — 26.1%  

City of New York, GO, Refunding:

   

Fiscal 2012, Series I, 5.00%, 08/01/32

    490       538,378  

Fiscal 2014, Series E, 5.00%, 08/01/32

    2,040       2,317,930  

Series E, 5.50%, 08/01/25

    5,435       6,288,947  

City of New York, GO:

   

Series A-1, 5.00%, 08/01/35

    1,950       2,064,797  

Sub-Series A-1, 5.00%, 08/01/33

    2,100       2,383,920  

Sub-Series D-1, 5.00%, 10/01/33

    8,350       8,828,288  

Sub-Series D-1, Fiscal 2014, 5.00%, 08/01/31

    1,300       1,478,074  

City of New York Convention Center Development Corp., RB, CAB, Sub Lien, Hotel Unit Fee, Series B (AGM), 0.00%, 11/15/56(a)

    7,825       2,781,005  

City of New York Convention Center Development Corp., Refunding RB, Hotel Unit Fee Secured:

   

5.00%, 11/15/40

    7,370       8,847,980  

5.00%, 11/15/45

    13,995       16,772,728  

City of New York Industrial Development Agency, RB, PILOT:

   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 03/01/39(a)

    5,000       2,969,100  

(AMBAC), 5.00%, 01/01/39

    1,750       1,754,410  

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

    1,000       1,003,820  

Queens Baseball Stadium (AMBAC), 5.00%, 01/01/36

    6,400       6,416,640  

Yankee Stadium Project (NPFGC), 5.00%, 03/01/36

    2,250       2,256,480  

Yankee Stadium Project (NPFGC), 5.00%, 03/01/46

    9,650       9,826,112  

City of New York New York Industrial Development Agency, RB, CAB, PILOT, Yankee Stadium Project, Series A (AGC), 0.00%, 03/01/43(a)

    4,330       2,241,901  

City of New York Transitional Finance Authority Future Tax Secured, RB:

   

Fiscal 2014, Sub-Series A-1, 5.00%, 11/01/38

    1,000       1,140,220  

Fiscal 2014, Sub-Series B-1, 5.00%, 11/01/36

    1,690       1,961,025  

Fiscal 2016, Sub-Series B-1, 5.00%, 11/01/38

    4,000       4,800,640  

Future Tax Secured Subordinate Bonds, Sub-Series A-1, 5.00%, 08/01/40

    1,025       1,282,675  

Future Tax Secured, Sub-Series A-3, 4.00%, 08/01/43

    3,320       3,731,879  

Future Tax Secured, Sub-Series E-1, 5.00%, 02/01/43

    975       1,182,422  

Series A-2, 5.00%, 08/01/38

    4,105       5,083,180  

Sub-Series B-1, 5.00%, 11/01/35

    2,510       2,915,741  

County of Nassau New York, GO:

   

Series A, 5.00%, 01/15/31

    1,770       2,177,489  

General Improvement Bonds, Series B (AGM), 5.00%, 07/01/45

    2,185       2,692,029  

Hudson Yards Infrastructure Corp., Refunding RB, Series A:

   

5.00%, 02/15/39

    800       980,280  

5.00%, 02/15/42

    6,225       7,620,707  

4.00%, 02/15/44

    2,685       3,024,089  

Metropolitan Transportation Authority, Refunding RB:

   

Dedicated Tax Fund, Sub-Series B-1, 5.00%, 11/15/31

    3,465       3,979,067  

Green Bonds, Series A, 5.00%, 11/15/42

    3,500       4,269,860  

Green Bonds, Sub-Series B-1, 5.00%, 11/15/51

    2,815       3,407,811  

Green Bonds, Climate Bond Certified, Sub-Series B-2, 4.00%, 11/15/34

    3,000       3,516,660  

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

   

CAB, Sub Lien, 0.00%, 11/15/32

    685       517,257  
Security   Par
(000)
    Value  
County/City/Special District/School District (continued)  

0.00%, 11/15/42

  $ 2,640     $ 1,438,219  

0.00%, 11/15/47

    6,740       3,143,873  

0.00%, 11/15/48

    3,550       1,617,416  

New York Liberty Development Corp., Refunding RB:

   

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

    2,570       2,740,417  

4 World Trade Center Project, 5.00%, 11/15/44

    2,000       2,125,260  

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

    3,000       3,244,170  

7 World Trade Center Project, Class 1, 4.00%, 09/15/35

    1,090       1,150,081  

7 World Trade Center Project, Class 2, 5.00%, 09/15/43

    3,725       3,995,919  
   

 

 

 
      152,508,896  
Education — 21.5%  

Albany Capital Resource Corp., Refunding RB, Albany College of Pharmacy and Health Sciences, Series A:

   

5.00%, 12/01/31

    250       290,140  

5.00%, 12/01/32

    100       115,767  

Amherst Development Corp., Refunding RB, University at Buffalo Foundation Faculty-Student Housing Corp., Series A (AGM), 4.63%, 10/01/20(b)

    2,000       2,049,340  

Build NYC Resource Corp., Refunding RB:

   

City University Queens College, Series A, 5.00%, 06/01/43

    525       599,114  

Manhattan College Project, 4.00%, 08/01/42

    975       1,075,308  

City of Albany New York Capital Resource Corp., Refunding RB, Albany College of Pharmacy and Health Sciences, Series A, 4.00%, 12/01/34

    110       119,851  

City of New York Trust for Cultural Resources, Refunding RB, Series A:

   

American Museum of Natural History, 5.00%, 07/01/37

    2,265       2,626,403  

American Museum of Natural History, 5.00%, 07/01/41

    825       951,580  

Wildlife Conservation Society, 5.00%, 08/01/42

    750       836,580  

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project, Series A, 5.13%, 09/01/40

    5,740       5,874,603  

Counties of Buffalo & Erie New York Industrial Development Agency, RB, City School District of Buffalo Project, Series A:

   

5.25%, 05/01/31

    2,305       2,430,277  

5.25%, 05/01/32

    1,000       1,054,370  

Counties of Buffalo & Erie New York Industrial Development Agency, Refunding RB, City School District of Buffalo Project:

   

5.00%, 05/01/28

    750       918,398  

Series A, 5.00%, 05/01/29

    4,060       4,967,857  

Counties of Buffalo & Erie New York Industrial Land Development Corp., Refunding RB, Buffalo State College Foundation Housing Corp. Project, Series A, 5.38%, 04/01/21(b)

    1,040       1,086,228  

County of Dutchess New York Local Development Corp., RB, Marist College Project:

   

5.00%, 07/01/43

    685       851,023  

5.00%, 07/01/48

    1,030       1,268,527  

County of Dutchess New York Local Development Corp., Refunding RB, Vassar College Project:

   

5.00%, 07/01/42

    1,180       1,462,752  

4.00%, 07/01/46

    2,235       2,533,842  

County of Madison New York Capital Resource Corp., RB, Colgate University Project, Series B:

   

5.00%, 07/01/40

    815       970,861  

5.00%, 07/01/43

    2,940       3,501,805  

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series B, 4.50%, 07/01/21(b)

    3,885       4,082,980  
 

 

 

SCHEDULES OF INVESTMENTS      25  

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Education (continued)  

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A:

   

5.00%, 07/01/23(b)

  $ 1,440     $ 1,641,758  

4.00%, 07/01/39

    500       564,585  

County of Onondaga New York, RB, Syracuse University Project:

   

5.00%, 12/01/30

    1,190       1,280,333  

5.00%, 12/01/36

    1,150       1,233,962  

County of St. Lawrence New York Industrial Development Agency, RB, Clarkson University Project, 5.38%, 09/01/41

    500       528,680  

County of Tompkins New York Development Corp., RB, Ithaca College Project (AGM)(b):

   

5.25%, 01/01/21

    860       894,099  

5.50%, 01/01/21

    500       520,955  

County of Tompkins New York Industrial Development Agency, RB, Civic Facility Cornell University Project, Series A, 5.00%, 07/01/37

    675       686,124  

State of New York Dormitory Authority, RB:

   

Convent of the Sacred Heart (AGM), 5.75%, 05/01/21(b)

    2,075       2,200,185  

Fordham University, Series A, 5.00%, 07/01/21(b)

    325       343,902  

Fordham University, Series A, 5.50%, 07/01/21(b)

    1,550       1,650,982  

General Purpose, Series A, 5.00%, 02/15/23(b)

    5,500       6,183,870  

New School (AGM), 5.50%, 07/01/20(b)

    4,050       4,126,950  

New York University, Series 1 (AMBAC), 5.50%, 07/01/40

    4,580       6,839,726  

New York University, Series B, 5.00%, 07/01/37

    600       657,408  

New York University, Series B, 5.00%, 07/01/42

    3,240       3,537,950  

State University Dormitory Facilities, Series A, 5.00%, 07/01/20(b)

    2,035       2,069,310  

State University Dormitory Facilities, Series A, 5.00%, 07/01/20(b)

    800       813,488  

State University Dormitory Facilities, Series A, 5.00%, 07/01/21(b)

    1,500       1,586,925  

State of New York Dormitory Authority, Refunding RB:

   

Barnard College, Series A, 5.00%, 07/01/34

    1,150       1,372,226  

Barnard College, Series A, 4.00%, 07/01/37

    240       270,062  

Barnard College, Series A, 5.00%, 07/01/43

    2,520       2,986,074  

Cornell University, Series A, 5.00%, 07/01/40

    700       711,151  

Fordham University, 5.00%, 07/01/44

    2,130       2,458,212  

Icahn School of Medicine at Mount Sinai, Series A, 5.00%, 07/01/35

    1,380       1,618,809  

New York University, Series A, 5.00%, 07/01/31

    3,955       4,347,494  

New York University, Series A, 5.00%, 07/01/37

    4,775       5,230,392  

Series B, 5.00%, 02/15/37

    2,130       2,651,041  

St. John’s University, Series A, 5.00%, 07/01/37

    2,240       2,626,669  

State University Dormitory Facilities, Series A, 5.00%, 07/01/22(b)

    1,490       1,637,316  

State University Dormitory Facilities, Series A, 5.25%, 07/01/23(b)

    4,195       4,817,957  

State University Dormitory Facilities, Series A, 5.25%, 07/01/23(b)

    8,735       10,032,147  

State University Dormitory Facilities, Series A, 5.00%, 07/01/46

    2,490       3,056,674  

State University of New York Dormitory Facilities, Series A, 5.00%, 07/01/38

    1,475       1,831,655  

Town of Hempstead New York Local Development Corp., Refunding RB, Hofstra University Project, 5.00%, 07/01/47

    1,645       1,997,326  

Troy Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project, 4.00%, 09/01/40(c)

    985       1,119,098  
   

 

 

 
      125,793,101  
Security   Par
(000)
    Value  
Health — 8.4%  

City of New York Health & Hospital Corp., Refunding RB, Health System, Series A, 5.00%, 02/15/30

  $ 2,200     $ 2,207,084  

County of Dutchess New York Industrial Development Agency, RB, Vassar Brothers Medical Center (AGC)(b):

   

5.50%, 10/01/20

    740       762,496  

County of Dutchess New York Local Development Corp., RB, Health Quest Systems, Inc., Series B, 4.00%, 07/01/41

    2,760       3,041,768  

County of Monroe New York Industrial Development Corp., RB, Rochester General Hospital Project:

   

4.00%, 12/01/41

    800       896,912  

5.00%, 12/01/46

    1,280       1,535,974  

Series A, 5.00%, 12/01/32

    830       916,735  

Series A, 5.00%, 12/01/37

    350       384,895  

County of Monroe New York Industrial Development Corp., Refunding RB, Unity Hospital of Rochester Project (FHA), 5.50%, 08/15/40

    5,650       5,885,605  

County of Oneida New York Local Development Corp., Refunding RB, Mohawk Valley Health System Project (AGM), 3.00%, 12/01/44

    2,775       2,818,484  

County of Suffolk New York EDC, RB, Catholic Health Services, Series C, 5.00%, 07/01/32

    625       718,319  

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

    1,790       1,899,280  

State of New York Dormitory Authority, RB:

   

New York University Hospitals Center, Series A, 5.75%, 07/01/20(b)

    3,450       3,518,655  

New York University Hospitals Center, Series A, 6.00%, 07/01/20(b)

    1,100       1,123,012  

North Shore-Long Island Jewish Obligated Group, Series C, 4.25%, 05/01/39

    1,000       1,058,180  

North Shore-Long Island Jewish Obligated Group, Series D, 4.25%, 05/01/39

    300       317,454  

State of New York Dormitory Authority, Refunding RB:

   

Catholic Health System Obligation, 4.00%, 07/01/45

    745       833,402  

Memorial Sloan-Kettering Cancer Center, Series 1, 5.00%, 07/01/42

    2,625       3,255,656  

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 05/01/21(b)

    4,000       4,204,360  

North Shore-Long Island Jewish Obligated Group, Series A, 5.25%, 05/01/21(b)

    9,220       9,719,448  

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 05/01/32

    3,525       4,126,118  
   

 

 

 
      49,223,837  
Housing — 6.8%  

City of New York Housing Development Corp., RB, M/F Housing, Fund Grant Program, New York City Housing Authority Program, Series B1:

   

5.25%, 07/01/32

    6,865       7,729,441  

5.00%, 07/01/33

    1,675       1,889,299  

City of New York Housing Development Corp., Refunding RB, M/F Housing:

   

8 Spruce Street, Class F, 4.50%, 02/15/48

    1,230       1,313,000  

Sustainable Neighborhood, Series B-1-A, 3.65%, 11/01/49

    1,245       1,319,102  

Sustainable Neighborhood, Series B-1-A, 3.75%, 11/01/54

    1,725       1,836,745  

State of New York HFA, RB:

   

M/F Affordable Housing, Green Bond, Climate Bond Certified, Series D (SONYMA), 3.80%, 11/01/49

    2,050       2,216,501  

M/F Affordable Housing, Series B (Ginnie Mae, Fannie Mae & Freddie Mac), 4.00%, 11/01/42

    1,045       1,135,800  
 

 

 

26    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Housing (continued)  

M/F Affordable Housing, Series E (SONYMA), 3.80%, 11/01/49

  $ 1,090     $ 1,172,393  

M/F Housing, Climate Bond Certified, 3.15%, 11/01/54

    1,315       1,350,650  

M/F Housing, Green Bonds, Series H, 4.15%, 11/01/43

    1,650       1,827,425  

M/F Housing, Green Bonds, Series H, 4.20%, 11/01/48

    1,095       1,204,927  

M/F Housing, St. Philip’s Housing, Series A, AMT, 4.65%, 11/15/38

    1,500       1,510,575  

M/F Housing, Sustainability Bonds, Series Q, 3.00%, 11/01/44

    435       446,836  

S/F Housing, Climate Bond Certified/Sustainability, Series N (Fannie Mae & Freddie Mac) (SONYMA), 3.00%, 11/01/44

    380       388,444  

State of New York Mortgage Agency, Refunding RB:

   

S/F Housing, Series 194, AMT, 3.80%, 04/01/28

    3,780       4,014,247  

S/F Housing, Series 213, 4.20%, 10/01/43

    2,305       2,585,680  

Series 190, 3.80%, 10/01/40

    3,470       3,654,986  

Series 218, AMT, 3.60%, 04/01/33

    1,095       1,189,586  

Series 218, AMT, 3.85%, 04/01/38

    395       428,638  

Yonkers Industrial Development Corp., RB, Monastery Manor Associates LP Project, Series A, AMT (SONYMA), 5.25%, 04/01/37

    2,445       2,451,895  
   

 

 

 
      39,666,170  
State — 12.1%  

City of New York Transitional Finance Authority, BARB:

   

Series S-3, 5.25%, 07/15/36

    1,910       2,455,019  

Fiscal 2015, Series S-1, 5.00%, 07/15/37

    2,000       2,368,480  

City of New York Transitional Finance Authority, BARB, Refunding RB, Series S-3, 4.00%, 07/15/38

    6,070       7,041,564  

City of New York Transitional Finance Authority Future Tax Secured, RB, Future Tax Secured, Sub-Series F-1, 5.00%, 05/01/42

    7,175       8,783,994  

Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A, 4.00%, 10/15/32

    3,835       4,327,184  

State of New York Dormitory Authority, RB:

   

Bid Group 3, Series A, 5.00%, 03/15/39

    1,610       2,010,616  

Bidding Group Bond, 4.00%, 02/15/46

    2,835       3,189,630  

General Purpose, Series B, 5.00%, 03/15/37

    1,000       1,082,010  

Group B, State Sales Tax, Series A, 5.00%, 03/15/39

    2,280       2,808,253  

Group C, State Sales Tax, Series A, 5.00%, 03/15/41

    8,550       10,497,519  

Group C, State Sales Tax, Series A, 4.00%, 03/15/45

    3,900       4,389,177  

Series A, 5.00%, 02/15/42

    3,000       3,636,540  

Series B, 5.00%, 03/15/37

    2,000       2,401,640  

State Personal Income Tax, Series A, 5.00%, 02/15/23(b)

    1,000       1,123,960  

Unrefunded, Series B, 5.00%, 03/15/42

    7,500       8,091,000  

State of New York Dormitory Authority, Refunding RB, Group 3, Series E, 5.00%, 03/15/41

    3,335       4,186,092  

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 03/15/32

    2,000       2,246,520  
   

 

 

 
      70,639,198  
Tobacco — 2.6%  

Chautauqua Tobacco Asset Securitization Corp., Refunding RB:

   

5.00%, 06/01/48

    820       846,150  

Asset-Backed, 4.75%, 06/01/39

    2,190       2,279,593  

Counties of New York Tobacco Trust VI, Refunding RB, Tobacco Settlement Pass-Through:

   

Series A, 5.00%, 06/01/41

    425       479,311  

Series A-2B, 5.00%, 06/01/45

    2,460       2,639,309  

Series A-2B, 5.00%, 06/01/51

    800       849,888  

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed:

   

5.25%, 05/15/34

    1,650       1,806,651  
Security   Par
(000)
    Value  
Tobacco (continued)  

5.25%, 05/15/40

  $ 2,250     $ 2,435,423  

TSASC, Inc., Refunding RB, Series A, 5.00%, 06/01/35

    310       370,924  

Westchester Tobacco Asset Securitization Corp., Refunding RB, Tobacco Settlement Bonds, Sub-Series C, 4.00%, 06/01/42

    3,305       3,479,008  
   

 

 

 
      15,186,257  
Transportation — 24.8%  

Buffalo & Fort Erie Public Bridge Authority, RB:

   

5.00%, 01/01/47

    1,545       1,835,877  

Toll Bridge System, 5.00%, 01/01/42

    1,250       1,498,900  

Metropolitan Transportation Authority, RB:

   

Series A, 5.00%, 11/15/21(b)

    1,000       1,073,240  

Series A, 5.00%, 05/15/23(b)

    1,000       1,134,900  

Series A-1, 5.25%, 11/15/23(b)

    2,565       2,987,019  

Series A-1, 5.25%, 11/15/23(b)

    2,840       3,307,265  

Series D, 5.25%, 11/15/21(b)

    765       824,402  

Series E, 5.00%, 11/15/38

    7,785       8,801,098  

Series E, 5.00%, 11/15/43

    4,000       4,496,440  

Series H, 5.00%, 11/15/22(b)

    930       1,036,411  

Series H, 5.00%, 11/15/31

    760       840,256  

Sub-Series B, 5.00%, 11/15/23(b)

    3,250       3,754,562  

Metropolitan Transportation Authority, Refunding RB, Green Bond, Climate Bond Certified, Sub-Series A-3 (AGM), 4.00%, 11/15/46

    1,035       1,176,267  

Metropolitan Transportation Authority, Refunding RB:

   

Green Bonds, Series A-1, 5.25%, 11/15/56

    2,610       3,097,913  

Green Bonds, Series A-1, 5.25%, 11/15/57

    1,795       2,178,376  

Series D, 5.25%, 11/15/20(b)

    1,000       1,034,080  

Series D, 5.25%, 11/15/21(b)

    2,685       2,893,490  

Metropolitan Transportation Authority Hudson Rail Yards Trust Obligations, Refunding RB, Series A, 5.00%, 11/15/56

    5,655       6,343,836  

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

    3,500       3,780,980  

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

   

5.00%, 07/01/41

    2,155       2,431,099  

5.00%, 07/01/46

    11,545       13,041,232  

5.25%, 01/01/50

    920       1,049,794  

(AGM), 4.00%, 07/01/41

    1,575       1,707,993  

Niagara Frontier Transportation Authority, Refunding ARB, Buffalo Niagara International Airport, AMT:

   

5.00%, 04/01/34

    125       155,064  

5.00%, 04/01/35

    110       135,759  

5.00%, 04/01/36

    120       147,572  

5.00%, 04/01/37

    70       85,837  

5.00%, 04/01/38

    70       85,511  

5.00%, 04/01/39

    95       115,675  

Port Authority of New York & New Jersey, ARB:

   

Consolidated Bonds, 220th Series, AMT, 4.00%, 11/01/59

    5,895       6,703,676  

Consolidated, 163rd Series, 5.00%, 07/15/35

    2,500       2,545,450  

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

    1,000       1,059,750  

Consolidated, 183rd Series, 4.00%, 06/15/44

    1,500       1,649,295  

JFK International Air Terminal LLC, Special Project, Series 6, AMT (NPFGC), 5.75%, 12/01/22

    5,165       5,350,527  

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

   

178th Series, AMT, 5.00%, 12/01/33

    1,140       1,297,559  

179th Series, 5.00%, 12/01/38

    1,390       1,587,561  

195th Series, AMT, 5.00%, 04/01/36

    1,500       1,814,970  

Consolidated, 177th Series, AMT, 4.00%, 01/15/43

    735       781,768  

Consolidated, 178th Series, AMT, 5.00%, 12/01/43

    750       845,520  
 

 

 

SCHEDULES OF INVESTMENTS      27  

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Transportation (continued)  

Consolidated, 186th Series, AMT, 5.00%, 10/15/44

  $ 1,000     $ 1,148,830  

Series G, JFK International Air Terminal (NPFGC), 5.75%, 12/01/25

    3,500       3,617,005  

State of New York Thruway Authority, RB, Junior Lien, Series A, 5.00%, 01/01/41

    2,110       2,519,804  

State of New York Thruway Authority, Refunding RB:

   

General, Series I, 5.00%, 01/01/22(b)

    4,225       4,551,423  

General, Series I, 5.00%, 01/01/22(b)

    3,250       3,501,582  

General, Series J, 5.00%, 01/01/41

    6,275       7,112,838  

General, Series K, 5.00%, 01/01/29

    2,225       2,640,853  

General, Series K, 5.00%, 01/01/31

    1,500       1,773,270  

Series L, 5.00%, 01/01/33

    490       612,030  

Series L, 5.00%, 01/01/34

    840       1,046,010  

Series L, 5.00%, 01/01/35

    970       1,203,741  

Triborough Bridge & Tunnel Authority, RB, Series B:

   

5.00%, 11/15/40

    1,010       1,219,908  

5.00%, 11/15/45

    1,500       1,800,600  

Triborough Bridge & Tunnel Authority, Refunding RB:

   

General, CAB, Series B, 0.00%, 11/15/32(a)

    9,700       7,611,008  

General, Series A, 5.00%, 11/15/38

    1,000       1,107,910  

General, Series A, 5.25%, 11/15/45

    1,460       1,755,446  

General, Series A, 5.00%, 11/15/50

    4,500       5,320,755  

MTA Bridge and Tunnels, Series C, 5.00%, 11/15/37

    1,050       1,342,467  
   

 

 

 
      144,572,404  
Utilities — 15.9%  

City of New York Municipal Water & Sewer System, RB, Water & Sewer System, 2nd General Resolution, Fiscal 2017, Series DD, 5.25%, 06/15/47

    4,140       5,107,849  

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

   

Fiscal 2011, Series BB, 5.00%, 06/15/31

    1,000       1,015,050  

Fiscal 2015, Series HH, 5.00%, 06/15/39

    3,000       3,566,580  

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

   

Fiscal 2010, Series FF, 5.00%, 06/15/31

    1,500       1,522,575  

Fiscal 2011, Series GG, 5.00%, 06/15/21(b)

    1,000       1,056,330  

City of New York Water & Sewer System, RB, Series DD-1, 4.00%, 06/15/49

    1,365       1,549,712  

City of New York Water & Sewer System, Refunding RB, Series EE, 5.00%, 06/15/40

    5,170       6,441,872  

County of Western Nassau New York Water Authority, RB, Series A, 5.00%, 04/01/40

    1,185       1,387,220  

Long Island Power Authority, RB:

   

5.00%, 09/01/37

    3,825       4,799,113  

5.00%, 09/01/35

    2,000       2,528,520  

General, 5.00%, 09/01/47

    1,075       1,300,008  

General, 5.00%, 09/01/36

    975       1,205,588  

General, Electric Systems, 5.00%, 09/01/42

    335       408,268  

General, Electric Systems, Series A (AGM), 5.00%, 05/01/21(b)

    3,775       3,968,695  

Long Island Power Authority, Refunding RB, Electric System, Series B:

   

5.00%, 09/01/41

    590       704,425  

5.00%, 09/01/46

    825       978,038  

State of New York Environmental Facilities Corp., RB, Series B:

   

Green Bonds, 5.00%, 03/15/45

    5,145       6,070,225  

Revolving Funds, Green Bonds, 5.00%, 09/15/40

    1,195       1,415,501  

Subordinated SRF Bonds, 5.00%, 06/15/48

    1,345       1,676,126  
Security   Par
(000)
    Value  
Utilities (continued)  

State of New York Environmental Facilities Corp., Refunding RB:

   

Revolving Funds, New York City Municipal Water, Series B, 5.00%, 06/15/36

  $ 2,100     $ 2,215,101  

Series A, 5.00%, 06/15/40

    4,275       5,115,593  

Series A, 5.00%, 06/15/45

    18,920       22,562,478  

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

    4,920       5,268,533  

Utility Debt Securitization Authority, Refunding RB, Restructuring, Series TE, 5.00%, 12/15/41

    9,960       11,358,882  
   

 

 

 
      93,222,282  
   

 

 

 

Total Municipal Bonds in New York

 

    708,807,760  
   

 

 

 

Guam — 0.2%

 

Utilities — 0.2%  

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

    1,380       1,417,329  
   

 

 

 

Puerto Rico — 3.7%

 

State — 3.7%  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured:

   

CAB, Series A-1, 0.00%, 07/01/46(a)

    3,287       960,067  

Series A-1, 4.75%, 07/01/53

    694       767,876  

Series A-1, 5.00%, 07/01/58

    451       506,527  

Series B-1, 4.75%, 07/01/53

    746       824,681  

Series B-1, 5.00%, 07/01/58

    9,024       10,124,657  

Series B-2, 4.33%, 07/01/40

    7,120       7,728,903  

Series B-2, 4.78%, 07/01/58

    722       795,918  
   

 

 

 

Total Municipal Bonds in Puerto Rico

 

    21,708,629  
 

 

 

 

Total Municipal Bonds — 125.2%
(Cost — $663,396,916)

 

    731,933,718  
 

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(d)

 

New York — 34.5%

 

County/City/Special District/School District — 4.9%  

City of New York, GO:

   

Sub-Series I-1, 5.00%, 03/01/36

    3,500       4,034,975  

Refunding Series E, 5.00%, 08/01/27

    222       222,139  

Refunding Series E, 5.00%, 08/01/27

    543       544,226  

City of New York Transitional Finance Authority, RB, Future Tax Secured:

   

Sub-Series D-1, 5.00%, 11/01/38

    4,125       4,400,880  

Sub-Series F-1, 5.00%, 05/01/38

    4,123       5,090,060  

Hudson Yards Infrastructure Corp., RB, Senior-Fiscal 2012:

   

5.75%, 02/15/21(b)(e)

    6,030       6,320,509  

5.75%, 02/15/47

    3,709       3,888,185  

New York Liberty Development Corp., Refunding RB, 7 World Trade Center Project, Class 1, 5.00%, 09/15/40

    3,645       3,937,220  
   

 

 

 
      28,438,194  
Education — 1.3%  

City of New York Trust for Cultural Resources, Refunding RB, Wildlife Conservation Society, Series A, 5.00%, 08/01/33

    1,981       2,226,099  

State of New York Dormitory Authority, RB, State University Dormitory Facilities, New York University, Series A, 5.00%, 07/01/21(b)

    5,198       5,498,977  
   

 

 

 
      7,725,076  
 

 

 

28    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Housing — 3.7%  

City of New York Housing Development Corp., RB, M/F Housing:

   

Series C1-A, 4.00%, 11/01/53

  $ 2,733     $ 2,946,787  

Sustainable Neighborhood Bonds, Series B1-A, 3.85%, 05/01/58

    2,625       2,811,349  

City of New York Housing Development Corp., Refunding RB, Sustainable Neighborhood Bonds, Series A, 4.25%, 11/01/43

    4,370       4,851,618  

State of New York HFA, RB, M/F Affordable Housing, Green Bond, Climate Bond Certified, Series I, 4.05%, 11/01/48

    5,457       5,961,359  

State of New York HFA, Refunding RB, Series C (SONYMA, Fannie Mae), 3.85%, 11/01/39

    2,413       2,665,802  

State of New York Mortgage Agency, Refunding RB, S/F Housing, Series 192, 3.80%, 10/01/31

    2,471       2,696,409  
   

 

 

 
      21,933,324  
State — 4.9%  

Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A:

   

5.00%, 10/15/31

    7,995       9,474,874  

4.00%, 10/15/32

    8,000       9,026,720  

State of New York Dormitory Authority, RB:

   

Bid Group 2, Series A, 5.00%, 03/15/32

    2,000       2,556,760  

General Purpose, Series C, 5.00%, 03/15/41

    1,650       1,720,340  

State of New York Dormitory Authority, Refunding RB, Series A, 5.00%, 03/15/40(e)

    3,550       4,449,062  

State of New York Urban Development Corp., Refunding RB, State Personal Income Tax, Series A, 5.00%, 03/15/45

    1,001       1,190,773  
   

 

 

 
      28,418,529  
Transportation — 14.4%  

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

    17,999       19,444,494  

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

   

Consolidated, Series 169th, 5.00%, 10/15/25

    7,990       8,520,221  

Consolidated, Series 169th, 5.00%, 10/15/26

    6,000       6,397,620  

Consolidated, Series 210th, 5.00%, 09/01/48

    4,760       5,927,581  

Series194th, 5.25%, 10/15/55

    3,900       4,706,247  

State of New York Thruway Authority, Refunding RB:

   

Series B, 4.00%, 01/01/53(e)

    7,273       8,313,278  

Transportation, Personal Income Tax, Series A, 5.00%, 03/15/31

    3,940       4,197,991  

Triborough Bridge & Tunnel Authority, Refunding RB:

   

General, Series A, 5.00%, 11/15/46

    15,000       18,131,850  

MTA Bridges & Tunnels, Series C-2, 5.00%, 11/15/42

    6,675       8,311,176  
   

 

 

 
      83,950,458  
Security   Par
(000)
    Value  
Utilities — 5.3%  

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

   

Fiscal 2018, 5.00%, 06/15/38(e)

  $ 1,391     $ 1,725,696  

Water & Sewer System, Fiscal 2011, Series HH, 5.00%, 06/15/32

    9,900       10,448,559  

Water & Sewer System, Fiscal 2012, Series BB, 5.00%, 06/15/44

    3,991       4,264,028  

Utility Debt Securitization Authority, Refunding RB:

   

5.00%, 12/15/41

    5,998       6,840,636  

Restructuring, Series A, 5.00%, 12/15/35

    3,500       4,275,705  

Restructuring, Series B, 4.00%, 12/15/35

    2,980       3,428,520  
   

 

 

 
      30,983,144  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 34.5%
(Cost — $188,523,230)

 

    201,448,725  
 

 

 

 

Total Long-Term Investments — 159.7%
(Cost — $851,920,146)

 

    933,382,443  
 

 

 

 
     Shares         

Short-Term Securities — 0.3%

 

BlackRock Liquidity Funds New York Money Fund Portfolio, 0.77%(f)(g)

    1,725,834     $ 1,725,834  
   

 

 

 

Total Short-Term Securities — 0.3%
(Cost — $1,725,834)

 

    1,725,834  
 

 

 

 

Total Investments — 160.0%
(Cost — $853,645,980)

 

    935,108,277  

Other Assets Less Liabilities — 0.9%

 

    5,073,236  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (18.6)%

 

    (108,422,618

VRDP Shares, at Liquidation Value, Net of Deferred Offering Costs — (42.3)%

 

    (247,376,574
 

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 584,382,321  
 

 

 

 

 

(a) 

Zero-coupon bond.

(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) 

When-issued security.

(d) 

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

(e) 

All or a portion of the security is subject to a recourse agreement. The aggregate maximum potential amount the Fund could ultimately be required to pay under the agreements, which expire between August 15, 2020 to July 1, 2027, is $13,344,216. See Note 4 of the Notes to Financial Statements for details.

(f) 

Annualized 7-day yield as of period end.

 
(g) 

During the six months ended January 31, 2020, investments in issuers considered to be an affiliate/affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
07/31/19
     Net
Activity
     Shares
Held at
01/31/20
     Value at
01/31/20
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds New York Money Fund Portfolio

     2,369,681        (643,847      1,725,834      $ 1,725,834      $ 7,965      $      $  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

 

 

SCHEDULES OF INVESTMENTS      29  

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

 

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

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts

                 

10-Year U.S. Treasury Note

     58          03/20/20        $ 7,636        $ (127,384

U.S. Long Treasury Bond

     120          03/20/20          19,624          (549,836

5-Year U.S. Treasury Note

     78          03/31/20          9,385          (105,454
                 

 

 

 
                  $ (782,674
                 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $      $      $      $      $ 782,674      $      $ 782,674  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

For the six months ended January 31, 2020, the effect of derivative financial instruments in the Statements of Operations were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
    

Other

Contracts

     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (1,527,709    $      $ (1,527,709
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ (562,057    $      $ (562,057
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — short

   $ 37,383,211  

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

 

 

30    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield New York Quality Fund, Inc. (MYN)

 

Fair Value Hierarchy as of Period End

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

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 Investments(a)

   $        $ 933,382,443        $        $ 933,382,443  

Short-Term Securities

     1,725,834                            1,725,834  
  

 

 

      

 

 

      

 

 

      

 

 

 
     1,725,834          933,382,443               935,108,277  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Interest rate contracts

   $ (782,674      $        $             —        $ (782,674
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Schedule of Investments for values in each sector.

 
  (b) 

Derivative financial instruments are futures contracts. Futures contracts 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 period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $        $ (108,105,881      $        $ (108,105,881

VRDP Shares at Liquidation Value

              (247,700,000                 (247,700,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (355,805,881      $             —        $ (355,805,881
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      31  

Schedule of Investments  (unaudited)

January 31, 2020

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Bonds — 114.1%

 

Alabama — 1.8%  

Auburn University, RB, Series A, 5.00%, 06/01/48

  $ 10,000     $ 12,361,800  

County of Tuscaloosa Board of Education, RB, Special Tax School Warrants, 5.00%, 02/01/43

    2,485       2,990,822  

Homewood Educational Building Authority, Refunding RB, Educational Facilities, Samford University, Series A, 5.00%, 12/01/47

    2,835       3,323,158  
   

 

 

 
      18,675,780  
Alaska — 0.3%  

Alaska Industrial Development & Export Authority, RB, Providence Health Services, Series A, 5.50%, 10/01/41

    2,690       2,873,539  
   

 

 

 
Arizona — 0.9%  

Arizona IDA, RB(a):

   

Leman Academy of Excellence-East Tucson And Central Tucson Projects, Series A, 5.00%, 07/01/39

    1,480       1,557,419  

Leman Academy of Excellence-East Tucson And Central Tucson Projects, Series A, 5.00%, 07/01/49

    1,675       1,740,744  

Leman Academy of Excellence-East Tucson And Central Tucson Projects, Series A, 5.00%, 07/01/54

    1,290       1,338,194  

Odyssey Preparatory Academy Project, 4.38%, 07/01/39

    810       820,870  

Odyssey Preparatory Academy Project, 5.00%, 07/01/54

    945       987,440  

County of Maricopa Arizona IDA, Refunding RB, Legacy Traditional Schools Project(a):

   

5.00%, 07/01/39

    630       721,174  

5.00%, 07/01/49

    885       991,439  

5.00%, 07/01/54

    565       630,054  

County of Maricopa Industrial Development Authority, Refunding RB, HonorHealth, Series A, 5.00%, 09/01/42

    435       526,724  
   

 

 

 
      9,314,058  
California — 8.3%  

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 5.88%, 08/15/20(b)

    3,200       3,285,152  

California Health Facilities Financing Authority, Refunding RB, St. Joseph Health System, Series A, 5.00%, 07/01/37

    2,965       3,336,959  

California Statewide Communities Development Authority, RB, Kaiser Permanente, Series A, 5.00%, 04/01/42

    4,030       4,351,876  

City of San Jose California, Refunding ARB, Norman Y Mineta San Jose International Airport SJC, AMT:

   

Series A, 5.00%, 03/01/36

    1,160       1,418,228  

Series A, 5.00%, 03/01/37

    1,275       1,556,112  

Series A-1, 5.75%, 03/01/34

    2,300       2,411,596  

County of San Joaquin California Transportation Authority, Refunding RB, Limited Tax, Measure K, Series A, 6.00%, 03/01/21(b)

    1,830       1,930,760  

Grossmont California Union High School District, GO, CAB, Election of 2004, 0.00%, 08/01/31(c)

    5,110       4,149,167  

Long Beach Unified School District, GO, CAB, Election of 2008, Series B, 0.00%, 08/01/34(c)

    5,000       3,669,150  

Mount San Antonio Community College District, GO, Refunding, CAB, Election of 2008, Series A, 6.25%, 08/01/43(d)

    3,975       4,308,741  

Norwalk-La Mirada Unified School District, GO, Refunding, CAB, Election of 2002, Series E (AGC), 0.00%, 08/01/38(c)

    7,620       4,469,968  
Security   Par
(000)
    Value  
California (continued)  

Poway Unified School District, GO, Refunding, CAB, School Facilities Improvement, Election of 2008, Series B(c):

   

0.00%, 08/01/35

  $ 7,820     $ 5,619,765  

0.00%, 08/01/36

    10,000       6,983,600  

Rio Hondo Community College District California, GO, CAB, Election of 2004, Series C(c):

   

0.00%, 08/01/37

    8,000       5,354,800  

0.00%, 08/01/38

    12,940       8,370,368  

San Diego California Unified School District, GO, Election of 2008, Series G(c):

   

0.00%, 07/01/34

    1,860       1,010,352  

0.00%, 07/01/35

    1,970       1,006,887  

0.00%, 07/01/36

    2,960       1,424,115  

0.00%, 07/01/37

    1,975       894,458  

San Diego California Unified School District, GO, Refunding, CAB, Series R-1, 0.00%, 07/01/31(c)

    3,485       2,830,273  

San Marcos Unified School District, GO, Election of 2010, Series A 5.00%, 08/01/21(b)

    3400       3,609,032  

State of California, GO, Refunding, Various Purposes:

   

5.00%, 09/01/41

    2,700       2,865,348  

5.00%, 10/01/41

    2,555       2,717,268  

State of California, GO, Series 2007-2 (NPFGC), 5.50%, 04/01/30

    10       10,037  

State of California Public Works Board, LRB, Various Capital Projects, Series I, 5.00%, 11/01/38

    5,040       5,750,892  

Walnut Valley Unified School District, GO, CAB, Election of 2007, Series B, 0.00%, 08/01/36(c)

    6,545       4,228,397  
   

 

 

 
      87,563,301  
Colorado — 2.5%  

Colorado Educational & Cultural Facilities Authority, RB, Rocky Mountain School of Expeditionary Learning, 5.00%, 03/01/50(a)

    2,530       2,790,970  

Colorado Educational & Cultural Facilities Authority, Refunding RB, Rocky Mountain Classical Academy Project, 5.00%, 10/01/59(a)

    3,365       3,711,999  

Colorado Health Facilities Authority, Refunding RB, Commonspirit Health, Series A-2, 5.00%, 08/01/44

    7,500       9,130,125  

Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/36

    1,500       1,740,120  

Regional Transportation District, COP, Series A, 5.00%, 06/01/39

    5,655       6,326,531  

STC Metropolitan District No 2, GO, Refunding, Series A:

   

5.00%, 12/01/38

    1,285       1,402,423  

5.00%, 12/01/49

    1,000       1,080,070  
   

 

 

 
      26,182,238  
Connecticut — 0.1%  

Connecticut State Health & Educational Facilities Authority, RB, Mary Wade Home Issue, Series A-1, 5.00%, 10/01/54(a)

    715       781,609  
   

 

 

 
Florida — 9.6%  

City of Jacksonville Florida, Refunding RB, Series A, 5.25%, 10/01/42

    4,000       4,874,640  

City of South Miami Health Facilities Authority, Inc., Refunding RB, Baptist Health South Florida Obligated Group, 5.00%, 08/15/42

    2,965       3,572,024  

County of Brevard Florida Health Facilities Authority, Refunding RB, Health First, Inc. Project, 5.00%, 04/01/39

    4,535       5,045,958  

County of Broward Florida Airport System Revenue, ARB, AMT, 5.00%, 10/01/42

    3,000       3,599,190  

County of Broward Florida Airport System Revenue, RB, Series A , AMT, 5.00%, 10/01/40

    3,000       3,513,060  
 

 

 

32    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Florida (continued)  

County of Lee Florida, Refunding ARB, Series A, AMT:

   

5.63%, 10/01/26

  $ 2,600     $ 2,773,056  

5.38%, 10/01/32

    3,440       3,648,636  

County of Miami-Dade Florida, RB, Seaport Department:

   

Series A, 6.00%, 10/01/38

    5,695       6,624,196  

Series B, AMT, 6.00%, 10/01/30

    1,820       2,121,319  

Series B, AMT, 6.25%, 10/01/38

    1,165       1,354,441  

Series B, AMT, 6.00%, 10/01/42

    1,865       2,159,036  

County of Miami-Dade Florida Aviation, Refunding ARB, AMT, 5.00%, 10/01/34

    530       611,154  

County of Miami-Dade Florida Educational Facilities Authority, RB, University of Miami, Series A, 5.00%, 04/01/40

    14,360       16,557,511  

County of Miami-Dade Florida Health Facilities Authority, Refunding RB, Nicklaus Children’s Hospital Project, 5.00%, 08/01/42

    1,675       2,017,420  

County of Miami-Dade Florida, Aviation, Refunding RB, Series B, AMT, 5.00%, 10/01/40

    6,500       7,854,145  

County of Orange Florida Health Facilities Authority, Refunding RB, Presbyterian Retirement Communities Project:

   

5.00%, 08/01/41

    1,550       1,727,010  

5.00%, 08/01/47

    4,590       5,097,608  

County of Palm Beach Florida Solid Waste Authority, Refunding RB, Series B:

   

5.00%, 10/01/21(b)

    50       53,365  

5.00%, 10/01/31

    3,050       3,246,511  

Escambia County Health Facilities Authority, Refunding RB, Health Care Facilities Revenue Bond, 4.00%, 08/15/45(e)

    7,000       7,833,560  

Greater Orlando Aviation Authority, ARB, Priority Sub-Series A, AMT, 5.00%, 10/01/42

    4,760       5,707,621  

LT Ranch Community Development District, Special Assessment Bonds:

   

4.00%, 05/01/40

    1,415       1,462,827  

4.00%, 05/01/50

    2,000       2,034,600  

Town of Davie Florida, Refunding RB, Nova Southeastern University Project, 5.00%, 04/01/37

    4,630       5,602,161  

Westside Community Development District, Refunding, Special Assessment Bonds(a):

   

4.10%, 05/01/37

    640       657,421  

4.13%, 05/01/38

    630       646,292  
   

 

 

 
      100,394,762  
Georgia — 0.5%  

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A (GTD), 5.50%, 08/15/54

    1,405       1,658,841  

Main Street Natural Gas, Inc., RB, Series A, 5.00%, 05/15/43

    1,105       1,338,697  

Private Colleges & Universities Authority, RB, Savannah College of Art & Design:

   

5.00%, 04/01/33

    395       452,121  

5.00%, 04/01/44

    1,775       2,003,620  
   

 

 

 
      5,453,279  
Hawaii — 1.2%  

State of Hawaii Airports System Revenue, ARB, Series A, AMT, 5.00%, 07/01/43

    2,385       2,910,582  

State of Hawaii Department of Budget & Finance, Refunding RB, Hawaiian Electric Co., Inc., AMT, 4.00%, 03/01/37

    5,275       5,739,200  

State of Hawaii Department of Transportation, COP, AMT:

   

5.00%, 08/01/27

    2,000       2,246,380  

5.00%, 08/01/28

    1,775       1,991,994  
   

 

 

 
      12,888,156  
Security   Par
(000)
    Value  
Illinois — 14.3%  

Chicago O’Hare International Airport, Refunding RB, O’Hare International Airport, Senior Lien AMT, Series B, 5.00%, 01/01/31

  $ 2,425     $ 2,591,331  

City of Chicago Illinois Midway International Airport, Refunding ARB, 2nd Lien, Series A, AMT, 5.00%, 01/01/34

    3,035       3,428,761  

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

   

3rd Lien, Series A, 5.75%, 01/01/21(b)

    7,555       7,886,060  

3rd Lien, Series A, 5.75%, 01/01/39

    1,445       1,503,017  

Senior Lien, Series D, 5.25%, 01/01/42

    8,285       10,079,697  

Senior Lien, Series D, AMT, 5.00%, 01/01/42

    2,865       3,380,614  

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/36

    1,620       1,732,671  

County of Cook Illinois Community College District No. 508, GO, City College of Chicago, 5.13%, 12/01/38

    3,250       3,589,690  

County of Cook Illinois Forest Preserve District, GO, Refunding, Limited Tax Project, Series B, 5.00%, 12/15/37

    615       661,076  

Illinois Finance Authority, RB, Carle Foundation, Series A, 5.75%, 08/15/34

    8,700       9,300,909  

Illinois Finance Authority, Refunding RB, Silver Cross Hospital & Medical Centers, Series C, 5.00%, 08/15/44

    985       1,102,008  

Metropolitan Pier & Exposition Authority, RB, CAB, McCormick Place Expansion Project, Series A (NPFGC)(c):

   

0.00%, 12/15/26

    8,500       7,378,765  

0.00%, 06/15/32

    14,000       10,195,780  

0.00%, 12/15/33

    20,000       13,794,600  

0.00%, 12/15/34

    41,880       27,944,011  

Metropolitan Pier & Exposition Authority, Refunding RB, CAB, McCormick Place Expansion Project, Series B (AGM), 0.00%, 06/15/44(c)

    9,430       4,602,689  

Railsplitter Tobacco Settlement Authority, RB, 6.00%, 06/01/21(b)

    1,700       1,813,985  

Regional Transportation Authority, RB, Series C (NPFGC), 7.75%, 06/01/20

    200       204,304  

State of Illinois, GO:

   

5.25%, 07/01/29

    3,160       3,501,754  

5.00%, 05/01/32

    7,500       8,391,225  

5.25%, 02/01/33

    5,860       6,570,994  

5.50%, 07/01/33

    2,235       2,498,953  

5.25%, 02/01/34

    5,360       6,004,861  

5.50%, 07/01/38

    1,200       1,336,488  

State of Illinois Toll Highway Authority, RB, Series A, 5.00%, 01/01/42

    8,540       10,394,119  
   

 

 

 
      149,888,362  
Indiana — 0.7%  

Indiana Finance Authority, RB, Series A:

   

CWA Authority Project, 1st Lien, 5.25%, 10/01/38

    2,900       3,090,008  

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 07/01/44

    1,400       1,538,992  

State of Indiana Finance Authority, RB, Private Activity Bond, Ohio River Bridges, Series A, AMT, 5.00%, 07/01/40

    2,425       2,674,896  
   

 

 

 
      7,303,896  
Kentucky — 2.1%  

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.38%, 01/01/23(b)

    1,000       1,127,000  

Kentucky Public Energy Authority, RB, Gas Supply, Series C-1, 4.00%, 12/01/49(f)

    10,125       11,396,801  
 

 

 

SCHEDULES OF INVESTMENTS      33  

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Kentucky (continued)  

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C, 6.60%, 07/01/39(d)

  $ 8,225     $ 9,349,358  
   

 

 

 
      21,873,159  
Louisiana — 1.8%  

City of New Orleans Louisiana Aviation Board, ARB, Series B, AMT, 5.00%, 01/01/40

    4,825       5,513,624  

Jefferson Sales Tax District, RB, Series B (AGM):

   

5.00%, 12/01/34

    670       832,428  

5.00%, 12/01/35

    895       1,110,615  

5.00%, 12/01/36

    805       997,894  

5.00%, 12/01/37

    1,005       1,244,260  

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, East Baton Rouge Sewerage Commission Projects, Series A, 5.00%, 02/01/44

    8,155       9,173,070  
   

 

 

 
      18,871,891  
Massachusetts — 1.4%  

Massachusetts Development Finance Agency, RB, Emerson College Issue, Series A, 5.00%, 01/01/47

    5,950       6,921,635  

Massachusetts Development Finance Agency, Refunding RB, Emmanuel College Issue, Series A, 5.00%, 10/01/43

    320       372,803  

Massachusetts HFA, Refunding RB, AMT:

   

Series A, 4.45%, 12/01/42

    2,160       2,292,775  

Series C, 5.35%, 12/01/42

    840       847,695  

Massachusetts School Building Authority, RB, Dedicated Sales Tax, Senior Series A, 5.00%, 05/15/43

    3,495       3,910,346  
   

 

 

 
      14,345,254  
Michigan — 5.1%  

Lansing Board of Water & Light, RB, Board of Water & Light Utilities System, Series A, 5.50%, 07/01/21(b)

    3,185       3,391,069  

Michigan Finance Authority, Refunding RB, Trinity Health Credit Group(b):

   

Hospital;, 5.00%, 12/01/21

    16,040       17,223,431  

5.00%, 12/01/21

    60       64,507  

Michigan State University, Refunding RB, Board of Trustees, Series B, 4.00%, 02/15/39

    2,125       2,469,845  

Michigan Strategic Fund, RB, AMT:

   

I-75 Improvement Project (AGM), 4.25%, 12/31/38

    2,000       2,268,500  

I-75 Improvement Project, 5.00%, 12/31/43

    9,940       12,026,406  

Royal Oak Hospital Finance Authority Michigan, Refunding RB, Beaumont Health Credit Group, Series D, 5.00%, 09/01/39

    1,330       1,511,625  

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

   

Series I-A, 5.38%, 10/15/36

    2,075       2,221,640  

Series I-A, 5.38%, 10/15/41

    1,900       2,027,813  

Series II-A (AGM), 5.25%, 10/15/36

    8,040       8,593,715  

Western Michigan University, Refunding RB, General, University and College Improvements (AGM), 5.00%, 11/15/39

    1,080       1,212,181  
   

 

 

 
      53,010,732  
Nebraska — 0.7%  

Central Plains Nebraska Energy Project, RB, Gas Project No. 3, 5.25%, 09/01/37

    6,825       7,487,776  
   

 

 

 
Nevada — 2.5%  

City of Las Vegas Nevada Special Improvement District No 814, Special Assessment Bonds, Summerlin Villages 21 & 24A:

   

4.00%, 06/01/39

    380       399,654  

4.00%, 06/01/44

    1,065       1,109,602  
Security   Par
(000)
    Value  
Nevada (continued)  

Las Vegas Convention & Visitors Authority, RB, Series B, 5.00%, 07/01/43

  $ 20,000     $ 24,504,800  
   

 

 

 
      26,014,056  
New Jersey — 11.1%  

New Jersey EDA, RB:

   

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

    4,920       5,579,280  

Goethals Bridge Replacement Project, AMT, Private Activity Bond, 5.13%, 01/01/34

    1,930       2,184,663  

School Facilities Construction Bonds, Series DDD, 5.00%, 06/15/42

    590       687,498  

Series WW, 5.25%, 06/15/25(b)

    55       67,324  

Series WW, 5.25%, 06/15/33

    445       518,478  

Series WW, 5.00%, 06/15/34

    570       650,535  

Series WW, 5.00%, 06/15/36

    2,635       3,003,057  

Series WW, 5.25%, 06/15/40

    970       1,115,995  

New Jersey EDA, Refunding RB, School Facilities Construction:

   

Series N-1 (AMBAC), 5.50%, 09/01/24

    6,325       7,445,157  

Series N-1 (NPFGC), 5.50%, 09/01/28

    1,685       2,125,594  

New Jersey Higher Education Student Assistance Authority, Refunding RB, AMT:

   

Series 1, 5.50%, 12/01/25

    480       509,285  

Series 1, 5.50%, 12/01/26

    690       732,021  

Series 1, 5.75%, 12/01/28

    75       79,873  

Series 1, 5.88%, 12/01/33

    6,895       7,423,709  

Series B, 3.25%, 12/01/39

    7,670       7,982,169  

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

    2,645       2,791,189  

New Jersey Transportation Trust Fund Authority, RB:

   

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

    18,525       11,763,560  

CAB, Transportation System, Series C (AGC) (AMBAC), 0.00%, 12/15/25(c)

    8,550       7,700,899  

Federal Highway Reimbursement Revenue Notes, Series A, 5.00%, 06/15/28

    4,205       4,939,445  

Federal Highway Reimbursement Revenue Notes, Series A, 5.00%, 06/15/29

    2,145       2,507,055  

Transportation Program, Series AA, 5.25%, 06/15/33

    4,150       4,617,871  

Transportation Program, Series AA, 5.00%, 06/15/38

    3,990       4,454,715  

Transportation System, Series A, 5.50%, 06/15/21(b)

    2,980       3,165,863  

Transportation System, Series A (NPFGC), 5.75%, 06/15/25

    4,000       4,869,520  

Transportation System, Series AA, 5.50%, 06/15/39

    5,625       6,259,725  

Transportation System, Series B, 5.00%, 06/15/21(b)

    2,575       2,716,857  

Transportation System, Series B, 5.50%, 06/15/31

    1,000       1,055,100  

Transportation System, Series D, 5.00%, 06/15/32

    1,825       2,075,208  

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

   

5.00%, 06/01/46

    4,000       4,674,000  

5.25%, 06/01/46

    11,035       13,123,594  
   

 

 

 
      116,819,239  
New Mexico — 0.2%  

City of Santa Fe New Mexico, RB, EL Castillo Retirement Residences Project, Series A, 5.00%, 05/15/49

    540       602,095  

New Mexico Hospital Equipment Loan Council, Refunding RB, Presbyterian Healthcare Services, 5.00%, 08/01/44

    1,040       1,208,584  
   

 

 

 
      1,810,679  
New York — 4.9%  

City of New York Transitional Finance Authority, Refunding RB, Future Tax Secured, Series B, 5.00%, 11/01/32

    4,150       4,604,010  
 

 

 

34    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
New York (continued)  

City of New York Transitional Finance Authority Future Tax Secured, RB, Future Tax Secured:

   

Subordinate Bond, Series C-3, 5.00%, 05/01/41

  $ 5,000     $ 6,225,500  

Sub-Series F-1, 5.00%, 05/01/39

    3,360       4,132,800  

Hudson Yards Infrastructure Corp., RB, Senior, Fiscal 2012:

   

5.75%, 02/15/21(b)

    1,190       1,250,047  

5.75%, 02/15/47

    730       762,529  

Metropolitan Transportation Authority, Refunding RB, Series B, 5.00%, 11/15/37

    8,075       9,736,916  

New York State Dormitory Authority, Refunding RB, Series A, 5.00%, 03/15/45

    5,000       6,217,450  

New York Transportation Development Corp., ARB, LaGuardia Airport Terminal B Redevelopment Project, Series A, AMT, 5.25%, 01/01/50

    8,300       9,470,964  

State of New York Urban Development Corp., RB, State Personal Income Tax, General Purpose, Series A, 5.00%, 03/15/43

    7,500       9,366,375  
   

 

 

 
      51,766,591  
Ohio — 3.5%  

American Municipal Power, Inc., RB, Combined Hydroelectric Projects, Series A, 5.00%, 02/15/41

    4,000       4,756,800  

American Municipal Power, Inc., Refunding RB, Combined Hydroelectric Projects, Series A, 5.00%, 02/15/38

    2,375       2,824,184  

Buckeye Tobacco Settlement Financing Authority, RB, Asset-Backed, Senior Turbo Term, Series A-2, 5.88%, 06/01/47

    8,050       8,085,581  

County of Lucas Ohio, Refunding RB, Promedica Healthcare, Series A, 6.50%, 11/15/21(b)

    3,000       3,296,370  

County of Montgomery Ohio, RB, Catholic Health Initiatives, Series D-2, 5.45%, 11/13/23(b)

    11,135       13,018,597  

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1:

   

5.25%, 02/15/32

    1,950       2,191,780  

5.25%, 02/15/33

    2,730       3,066,172  
   

 

 

 
      37,239,484  
Oregon — 0.2%  

County of Clackamas Oregon Community College District, GO, Convertible Deferred Interest Bonds,

   

Series A, 5.00%, 06/15/39(d)

    395       471,247  

Series A, 5.00%, 06/15/40(d)

    420       499,699  

County of Clackamas Oregon School District No. 12 North Clackamas, GO, CAB, Series A, 0.00%, 06/15/38(c)

    2,800       1,496,684  
   

 

 

 
      2,467,630  
Pennsylvania — 7.6%  

Commonwealth Financing Authority, RB:

   

Series B, 5.00%, 06/01/22(b)

    3,305       3,619,008  

Tobacco Master Settlement Payment, 5.00%, 06/01/34

    2,180       2,691,123  

Pennsylvania Economic Development Financing Authority, RB:

   

AMT, 5.00%, 06/30/42

    8,805       10,099,247  

Pennsylvania Bridge Finco LP, AMT, 5.00%, 12/31/34

    7,115       8,304,557  

Pennsylvania Rapid Bridge Replacement, 5.00%, 12/31/38

    6,850       7,920,449  

Pennsylvania Economic Development Financing Authority, Refunding RB, Series A, 4.00%, 11/15/42

    5,000       5,582,800  

Pennsylvania Higher Educational Facilities Authority, Refunding RB, Thomas Jefferson University, Series A, 5.25%, 09/01/50

    8,075       9,360,540  

Pennsylvania Turnpike Commission, RB:

   

Series A, 5.00%, 12/01/38

    1,775       2,069,526  

Series A-1, 5.00%, 12/01/41

    2,320       2,752,286  
Security   Par
(000)
    Value  
Pennsylvania (continued)  

Series B, 5.00%, 12/01/40

  $ 4,920     $ 5,839,696  

Series C, 5.50%, 12/01/23(b)

    1,565       1,837,513  

Sub-Series B-1, 5.00%, 06/01/42

    7,330       8,761,329  

Subordinate, Series A, 5.00%, 12/01/44

    5,000       6,161,750  

Subordinate, Special Motor License Fund, 6.00%, 12/01/20(b)

    2,575       2,683,330  

Pennsylvania Turnpike Commission, Refunding RB, Series A-1, 5.00%, 12/01/40

    2,165       2,545,867  
   

 

 

 
      80,229,021  
Puerto Rico — 3.6%  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, RB, Restructured:

   

CAB, Series A-1, 0.00%, 07/01/46(c)

    5,742       1,677,123  

Series A-1, 4.75%, 07/01/53

    1,210       1,338,805  

Series A-1, 5.00%, 07/01/58

    787       883,896  

Series B-1, 4.75%, 07/01/53

    1,302       1,439,322  

Series B-1, 5.00%, 07/01/58

    15,757       17,678,881  

Series B-2, 4.33%, 07/01/40

    12,433       13,496,270  

Series B-2, 4.78%, 07/01/58

    1,261       1,390,101  
   

 

 

 
      37,904,398  
Rhode Island — 1.1%  

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

   

4.50%, 06/01/45

    3,000       3,152,010  

5.00%, 06/01/50

    7,465       8,048,763  
   

 

 

 
      11,200,773  
South Carolina — 5.9%  

South Carolina Jobs EDA, Refunding RB, Palmetto Health, Series A (AGM), 6.50%, 08/01/21(b)

    3,600       3,899,052  

South Carolina Jobs-Economic Development Authority, RB:

   

Bishop Gadsden Episcopal Retirement Community, 5.00%, 04/01/44

    285       329,517  

Bishop Gadsden Episcopal Retirement Community, 4.00%, 04/01/49

    270       289,610  

Bishop Gadsden Episcopal Retirement Community, 5.00%, 04/01/49

    765       874,556  

Bishop Gadsden Episcopal Retirement Community, 4.00%, 04/01/54

    580       617,543  

Bishop Gadsden Episcopal Retirement Community, 5.00%, 04/01/54

    1,510       1,721,023  

Hilton Head Christian Academy, 5.00%, 01/01/40(a)

    2,630       2,815,599  

McLeod Health Obligated Group, 5.00%, 11/01/43

    5,000       6,104,700  

State of South Carolina Ports Authority, ARB, AMT, 5.00%, 07/01/38

    3,380       4,102,238  

State of South Carolina Ports Authority, RB, AMT, 5.25%, 07/01/25(b)

    6,530       7,933,950  

State of South Carolina Public Service Authority, RB:

   

Santee Cooper, Series A, 5.50%, 12/01/54

    11,450       12,993,460  

Series E, 5.50%, 12/01/53

    4,525       5,107,684  

State of South Carolina Public Service Authority, Refunding RB, Series B:

   

Santee Cooper, 5.00%, 12/01/38

    5,870       6,537,360  

(AGM), 5.00%, 12/01/56

    7,155       8,510,372  
   

 

 

 
      61,836,664  
Tennessee — 0.5%  

County of Nashville & Davidson Metropolitan Government Health & Educational Facilities Board, Refunding RB, Lipscomb University Project, Series A, 5.25%, 10/01/58

    4,665       5,654,773  
   

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      35  

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Texas — 12.3%  

Central Texas Turnpike System, Refunding RB, Central Texas Turnpike System, 1st Tier, Series A, 5.00%, 08/15/41

  $ 11,345     $ 12,333,263  

City of San Antonio Texas Electric & Gas Revenue, Refunding RB, 5.00%, 02/01/42

    7,450       9,101,292  

City of San Antonio Texas Electric & Gas Revenue, RB, Junior Lien, 5.00%, 02/01/38

    1,450       1,605,092  

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A, 0.00%, 09/15/36(c)

    5,810       3,227,804  

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Christus Health, Series B, 5.00%, 07/01/34

    5,000       6,267,450  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Cook Children’s Medical Center, 5.25%, 12/01/39

    2,095       2,391,317  

Dallas-Fort Worth International Airport, ARB, Joint Improvement, Series D, AMT, 5.00%, 11/01/38

    10,980       11,631,773  

Dallas-Fort Worth International Airport, Refunding ARB, Series F:

   

5.00%, 11/01/20(b)

    5,000       5,142,800  

5.25%, 11/01/33

    2,745       3,148,570  

Grand Parkway Transportation Corp., RB, Subordinate Tier Toll Revenue Bonds, TELA Supported, Series A, 5.00%, 10/01/43

    7,940       9,882,203  

Leander ISD, GO, Refunding, CAB, Series D (PSF-GTD), 0.00%, 08/15/38(c)

    9,685       4,613,062  

North Texas Tollway Authority, RB, CAB, Special Project System, Series B, 0.00%, 09/01/31(b)(c)

    18,100       5,951,280  

North Texas Tollway Authority, Refunding RB:

   

1st Tier-Series A, 5.00%, 01/01/39

    9,080       11,208,352  

2nd Tier-Series B, 5.00%, 01/01/43

    12,355       14,874,555  

Series B, 5.00%, 01/01/40

    1,710       1,884,745  

San Antonio Public Facilities Corp., Refunding RB, Convention Center Refinancing & Expansion Project, CAB(c):

   

0.00%, 09/15/35

    680       344,189  

0.00%, 09/15/36

    12,195       5,816,771  

0.00%, 09/15/37

    8,730       3,915,318  

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

   

5.00%, 12/15/31

    1,665       1,822,409  

5.00%, 12/15/32

    3,930       4,298,280  

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien, AMT, Blueridge Transportation Group, 5.00%, 12/31/45

    3,630       4,157,185  

Texas Water Development Board, RB, State Water Implementation Fund, Series B, 4.00%, 10/15/43

    4,315       4,997,331  
   

 

 

 
      128,615,041  
Utah — 1.2%  

Salt Lake City Corp. Airport Revenue, ARB, Series A, AMT:

   

5.00%, 07/01/42

    3,490       4,182,730  

5.00%, 07/01/43

    3,190       3,865,834  

Salt Lake City Corp. Airport Revenue, RB, AMT, Series A, 5.00%, 07/01/37

    3,475       4,271,574  

Utah Charter School Finance Authority, RB, Wallace Stegner Academy Project, Series A(a):

   

5.00%, 06/15/39

    190       206,129  

5.00%, 06/15/49

    380       404,548  
   

 

 

 
      12,930,815  
Washington — 6.1%  

Port of Seattle Washington, ARB, AMT, Series A, 5.00%, 05/01/38

    20,000       24,132,600  
Security   Par
(000)
    Value  
Washington (continued)  

Port of Seattle Washington, RB, Intermediate Lien, Series C, AMT, 5.00%, 04/01/40

  $ 2,830     $ 3,238,878  

State of Washington Convention Center Public Facilities District, RB, Civic Convention Center, 5.00%, 07/01/38

    9,260       11,502,217  

Washington Health Care Facilities Authority, RB:

   

MultiCare Health System, Remarketing, Series B, 5.00%, 08/15/44

    1,000       1,085,410  

Providence Health & Services, Series A, 5.25%, 04/01/20(b)

    2,725       2,743,884  

Washington Health Care Facilities Authority, Refunding RB, Multicare Health System, Series B, 4.00%, 08/15/41

    9,000       10,094,580  

Washington State Convention Center Public Facilities District, RB, Sub, 5.00%, 07/01/43

    7,635       9,423,270  

Washington State Housing Finance Commission, RB, Transforming Age Project, Series A, 5.00%, 01/01/55(a)

    1,520       1,670,161  
   

 

 

 
      63,891,000  
Wisconsin — 2.1%  

Public Finance Authority, Refunding RB, Penick Village Obligation Group(a):

   

5.00%, 09/01/39

    100       111,327  

5.00%, 09/01/49

    145       158,714  

5.00%, 09/01/54

    660       719,697  

Wisconsin Health & Educational Facilities Authority, Refunding RB:

   

Ascension Health Credit Group, Series A, 5.00%, 11/15/36

    4,815       5,785,319  

Ascension Health Credit Group, Series A, 5.00%, 11/15/39

    5,000       5,966,550  

Milwaukee Regional Medical Center Thermal Service, 5.00%, 04/01/44

    7,350       9,012,790  
   

 

 

 
      21,754,397  
   

 

 

 

Total Municipal Bonds — 114.1%
(Cost — $1,052,343,527)

 

    1,197,042,353  
 

 

 

 

Municipal Bonds Transferred to Tender Option Bond Trusts(g)

 

Arizona — 1.0%

 

City of Phoenix Civic Improvement Corp., Refunding RB, Senior Lien, AMT, 5.00%, 07/01/43

    8,500       10,406,380  
   

 

 

 
California — 2.9%  

City & County of San Francisco California Airports International Airport, Refunding ARB, AMT, Series E, 5.00%, 05/01/45

    14,215       17,621,053  

Los Angeles California Unified School District, GO, Election of 2008, Series B-1, 5.25%, 07/01/42(h)

    7,074       8,997,099  

State of California, GO, Refunding, Various Purpose, 5.25%, 10/01/39

    3,000       3,693,450  
   

 

 

 
      30,311,602  
Colorado — 0.7%  

City & County of Denver Colorado Airport System Revenue, Refunding ARB, Sub-System, Series A, AMT, 5.25%, 12/01/43(h)

    5,833       7,248,439  
   

 

 

 
Connecticut — 0.5%  

State of Connecticut Health & Educational Facility Authority, Refunding RB, Trinity Health Credit Group, 5.00%, 12/01/45

    3,932       4,643,629  
   

 

 

 
Florida — 4.7%  

City of Miami Beach Florida, RB, 5.00%, 09/01/45

    8,760       10,355,371  

City of Miami Beach Florida Stormwater Revenue, Refunding RB, 5.00%, 09/01/41

    10,000       12,265,696  
 

 

 

36    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Florida (continued)  

County of Miami-Dade Florida Transit System, Refunding RB, Sales Tax, 5.00%, 07/01/42

  $ 4,840     $ 5,251,787  

County of Miami-Dade Florida Water & Sewer System, RB, (AGM), 5.00%, 10/01/20(b)

    11,702       12,015,868  

County of Pinellas Florida School Board, COP, Master Lease Program, Series A, 5.00%, 07/01/41

    7,880       9,622,820  
   

 

 

 
      49,511,542  
Illinois — 4.3%  

Illinois St Toll Highway Auth, RB, Series A, 5.00%, 01/01/44

    12,000       14,997,360  

State of Illinois Toll Highway Authority, RB:

   

Senior, Series C, 5.00%, 01/01/36

    10,000       11,680,197  

Series A, 5.00%, 01/01/38

    5,836       6,435,159  

Series A, 5.00%, 01/01/40

    7,621       8,948,938  

Series B, 5.00%, 01/01/40

    2,939       3,467,489  
   

 

 

 
      45,529,143  
Kansas — 1.6%  

County of Wyandotte Kansas Unified School District, GO, Series A, 5.50%, 09/01/47

    13,470       16,572,814  
   

 

 

 
Massachusetts — 2.9%  

Commonwealth of Massachusetts, GO, Series A, 5.00%, 03/01/46

    4,204       4,812,829  

Commonwealth of Massachusetts, GOL, Consolidated Loan, Series E, 5.25%, 09/01/43

    20,000       25,611,600  
   

 

 

 
      30,424,429  
Michigan — 2.0%  

Michigan Finance Authority, RB, Beaumont Health Credit Group, Series A, 5.00%, 11/01/44

    5,591       6,504,021  

State of Michigan Building Authority, Refunding RB, Series I:

   

Facilities Program, 5.00%, 10/15/45

    2,410       2,861,080  

5.00%, 04/15/38

    10,000       11,871,396  
   

 

 

 
      21,236,497  
Nevada — 2.3%  

County of Clark Nevada, GO, Stadium Improvement, Series A, 5.00%, 06/01/43

    9,730       12,076,002  

Las Vegas Valley Water District Nevada, GO, Refunding, Water Improvement, Series A, 5.00%, 06/01/46

    9,840       11,771,887  
   

 

 

 
      23,847,889  
New Jersey — 2.0%  

County of Hudson New Jersey Improvement Authority, RB, Hudson County Vocational-Technical Schools Project, 5.25%, 05/01/51

    2,320       2,771,078  

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

    10,000       12,723,800  

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 06/15/36

    4,961       5,195,906  
   

 

 

 
      20,690,784  
New York — 7.0%  

City of New York Water & Sewer System, Refunding RB:

   

2nd General Resolution, Fiscal 2013, Series CC, 5.00%, 06/15/47

    15,521       17,497,815  

Series DD, 5.00%, 06/15/35

    4,740       5,521,389  

Metropolitan Transportation Authority, RB, Transportation, Sub-Series D-1, 5.25%, 11/15/44

    9,850       11,476,235  

Metropolitan Transportation Authority, Refunding RB, Series C-1, 5.25%, 11/15/56

    4,275       5,138,814  

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 198th Series, 5.25%, 11/15/56

    6,402       7,903,277  

State of New York Dormitory Authority, RB, Group B, State Sales Tax, Series A, 5.00%, 03/15/39

    7,622       9,387,515  
Security   Par
(000)
    Value  
New York (continued)  

State of New York Urban Development Corp., RB, Personal Income Tax, General Purpose, Series A-1, 5.00%, 03/15/43

  $ 14,280     $ 15,889,784  
   

 

 

 
      72,814,829  
Pennsylvania — 1.8%  

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 08/15/42

    2,560       3,005,901  

Geisinger Authority Pennsylvania, Refunding RB, Geisinger Health System, Series A, 4.00%, 06/01/41

    15,000       16,151,850  
   

 

 

 
      19,157,751  
Texas — 3.3%  

Aldine Independent School District, GO, Refunding (PSF-GTD), 5.00%, 02/15/42

    9,701       11,806,964  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Texas Health Resources System, Series A, 5.00%, 02/15/41

    9,840       11,768,640  

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Baylor Health Care System Project, Series A, 5.00%, 11/15/38

    1,799       2,007,471  

Dallas-Fort Worth International Airport, ARB, Series H, AMT, 5.00%, 11/01/37(h)

    8,868       9,337,351  
   

 

 

 
      34,920,426  
Virginia — 1.4%  

Hampton Roads Transportation Accountability Commission, RB, Transportation Fund, Senior Lien, Series A, 5.50%, 07/01/57

    11,740       14,693,076  
   

 

 

 
Washington — 1.7%  

Metropolitan Washington Airports Authority, Refunding ARB, Series A, AMT, 5.00%, 10/01/30

    6,880       7,548,392  

Washington Health Care Facilities Authority, Refunding RB, Seattle Children’s Hospital, Series B, 5.00%, 10/01/38

    8,205       10,558,276  
   

 

 

 
      18,106,668  
Wisconsin — 1.7%  

Wisconsin Health & Educational Facilities Authority, Refunding RB:

   

Ascension Health Credit Group, 5.00%, 11/15/39

    12,650       15,095,369  

Froedtert & Community Health, Inc., Obligated Group, Series A, 5.00%, 04/01/42

    2,490       2,721,197  
   

 

 

 
      17,816,566  
   

 

 

 

Total Municipal Bonds Transferred to Tender Option Bond Trusts — 41.8%
(Cost — $404,901,316)

 

    437,932,464  
 

 

 

 

Total Long-Term Investments — 155.9%
(Cost — $1,457,244,843)

 

    1,634,974,817  
 

 

 

 
     Shares         

Short-Term Securities — 0.7%

 

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.81%(i)(j)

    7,295,761       7,297,220  
   

 

 

 

Total Short-Term Securities — 0.7%
(Cost — $7,296,796)

 

    7,297,220  
   

 

 

 

Total Investments — 156.6%
(Cost — $1,464,541,639)

 

    1,642,272,037  

Other Assets Less Liabilities — 0.2%

 

    2,728,963  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (22.9)%

 

    (240,019,148

VRDP Shares, at Liquidation Value, Net of Deferred Offering Costs — (33.9)%

 

    (355,973,261
   

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 1,049,008,591  
   

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      37  

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

(a) 

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

(b) 

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

(c) 

Zero-coupon bond.

(d) 

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

(e) 

When-issued security.

(f) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(g) 

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

(h) 

All or a portion of the security is subject to a recourse agreement. The aggregate maximum potential amount the Fund could ultimately be required to pay under the agreements, which expire between May 1, 2021 to June 1, 2026, is $14,121,096. See Note 4 of the Notes to Financial Statements for details.

(i) 

Annualized 7-day yield as of period end.

 
(j) 

During the six months ended January 31, 2020, investments in issuers considered to be an affiliate/affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares
Held at
07/31/19
     Net
Activity
     Shares
Held at
01/31/20
     Value at
01/31/20
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     8,294,999        (999,238      7,295,761      $ 7,297,220      $ 53,734      $ (1,459    $ 423  
           

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts

                 

10-Year U.S. Treasury Note

     249          03/20/20        $ 32,782        $ (437,844

U.S. Long Treasury Bond

     449          03/20/20          73,426          (1,813,523

5-Year U.S. Treasury Note

     128          03/31/20          15,401          (157,761
                 

 

 

 
                  $ (2,409,128
                 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on future contracts(a)

   $      $      $      $      $ 2,409,128      $      $ 2,409,128  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

For the six months ended January 31, 2020, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ (2,951,173    $      $ (2,951,173
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ (1,293,104    $      $ (1,293,104
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

38    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Schedule of Investments  (unaudited) (continued)

January 31, 2020

  

BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — long

   $ (a) 

Average notional value of contracts — short

     116,051,117  

 

  (a) 

Derivative not held at quarter-end. The risk exposure table serves as an indicator of activity during the period.

 

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

Fair Value Hierarchy as of Period End

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

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 Investments(a)

   $        $ 1,634,974,817        $        $ 1,634,974,817  

Short-Term Securities

     7,297,220                            7,297,220  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 7,297,220        $ 1,634,974,817        $        $ 1,642,272,037  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

 

Liabilities:

 

Interest Rate Contracts

   $ (2,409,128      $        $             —        $ (2,409,128
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

Derivative financial instruments are futures contracts. Futures contracts 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 period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1        Level 2        Level 3        Total  

Liabilities:

 

TOB Trust Certificates

   $        $ (239,284,734      $        $ (239,284,734

VRDP Shares at Liquidation Value

              (356,400,000                 (356,400,000
  

 

 

      

 

 

      

 

 

      

 

 

 
   $             —        $ (595,684,734      $             —        $ (595,684,734
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      39  

Statements of Assets and Liabilities  (unaudited)

January 31, 2020

 

     MUE      MCA      MYN      MYI  

ASSETS

 

Investments at value — unaffiliated(a)

  $ 512,910,762      $ 915,486,818      $ 933,382,443      $ 1,634,974,817  

Investments at value — affiliated(b)

    1,179,443        200,084        1,725,834        7,297,220  

Cash

           9,371        82,348        21,033  

Cash pledged for futures contracts

    356,800        911,750        531,350        1,579,600  

Receivables:

 

Investments sold

                         75,677  

Dividends — affiliated

    1,007        250        2,197        7,730  

Interest — unaffiliated

    5,145,460        11,418,852        8,755,330        14,633,891  

Prepaid expenses

    7,243        83,507        73,306        75,501  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

    519,600,715        928,110,632        944,552,808        1,658,665,469  
 

 

 

    

 

 

    

 

 

    

 

 

 

ACCRUED LIABILITIES

 

Payables:

 

Investments purchased

    3,792,651        3,913,015        1,080,397        7,773,920  

Income dividend distributions

    990,913        1,582,663        1,682,430        3,032,705  

Interest expense and fees

    163,694        755,016        316,737        734,414  

Investment advisory fees

    453,285        772,218        787,537        1,372,911  

Directors’ and Officer’s fees

    2,152        303,286        318,728        549,954  

Other accrued expenses

    155,595        224,751        374,730        547,421  

Variation margin on futures contracts

    87,296        217,673        127,473        387,558  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total accrued liabilities

    5,645,586        7,768,622        4,688,032        14,398,883  
 

 

 

    

 

 

    

 

 

    

 

 

 

OTHER LIABILITIES

 

TOB Trust Certificates

    61,260,897        195,715,219        108,105,881        239,284,734  

VRDP Shares, at liquidation value of $100,000 per share, net of deferred offering costs(c)(d)

           166,207,848        247,376,574        355,973,261  

VMTP Shares, at liquidation value of $100,000 per share(c)(d)

    131,000,000                       
 

 

 

    

 

 

    

 

 

    

 

 

 

Total other liabilities

    192,260,897        361,923,067        355,482,455        595,257,995  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

    197,906,483        369,691,689        360,170,487        609,656,878  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

  $ 321,694,232      $ 558,418,943      $ 584,382,321      $ 1,049,008,591  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS CONSIST OF

 

Paid-in capital(e)(f)

  $ 290,717,417      $ 493,015,475      $ 523,161,206      $ 885,356,529  

Accumulated earnings

    30,976,815        65,403,468        61,221,115        163,652,062  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 321,694,232      $ 558,418,943      $ 584,382,321      $ 1,049,008,591  
 

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, per Common Share

  $ 14.28      $ 16.23      $ 14.76      $ 15.39  
 

 

 

    

 

 

    

 

 

    

 

 

 

(a) Investments at cost — unaffiliated

  $ 470,519,455      $ 842,911,655      $ 851,920,146      $ 1,457,244,843  

(b) Investments at cost — affiliated

  $ 1,179,439      $ 200,084      $ 1,725,834      $ 7,296,796  

(c) Preferred Shares outstanding, par value $0.10 per share

    1,310        1,665        2,477        3,564  

(d) Preferred Shares authorized

    9,490        12,665        14,637        26,364  

(e) Common Shares outstanding, par value $0.10 per share

    22,520,759        34,405,717        39,586,584        68,150,681  

(f)  Common Shares authorized

    199,990,510        199,987,335        199,985,363        199,973,636  

See notes to financial statements.

 

 

40    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Operations  (unaudited)

Six Months Ended January 31, 2020

 

     MUE     MCA     MYN     MYI  

INVESTMENT INCOME

 

Interest — unaffiliated

  $ 9,809,513     $ 16,087,545     $ 16,904,644     $ 29,681,473  

Dividends — affiliated

    10,381       14,116       7,965       53,734  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    9,819,894       16,101,661       16,912,609       29,735,207  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    1,400,060       2,292,996       2,330,744       4,069,778  

Professional

    44,097       52,097       56,662       83,476  

Accounting services

    43,940       64,053       64,722       91,891  

Rating agency

    22,492       22,492       22,492       22,492  

Transfer agent

    18,019       17,260       19,516       34,636  

Directors and Officer

    11,458       38,738       40,578       70,781  

Registration

    4,552       6,424       7,393       12,681  

Custodian

    4,208       11,255       6,783       8,123  

Printing

    3,866       4,448       4,790       6,142  

Liquidity fees

          598,143       819,847       1,174,034  

Remarketing fees on Preferred Shares

          34,195       75,961       109,296  

Miscellaneous

    9,721       14,988       14,961       19,861  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    1,562,413       3,157,089       3,464,449       5,703,191  

Interest expense, fees and amortization of offering costs(a)

    2,005,078       2,955,956       2,674,794       4,723,447  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    3,567,491       6,113,045       6,139,243       10,426,638  

Less fees waived and/or reimbursed by the Manager

    (57,117     (964     (281     (4,173
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    3,510,374       6,112,081       6,138,962       10,422,465  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    6,309,520       9,989,580       10,773,647       19,312,742  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Futures contracts

    (1,155,359     (2,210,404     (1,527,709     (2,951,173

Investments — affiliated

    657       53             (1,459

Investments — unaffiliated

    548,277       698,990       1,437,012       2,211,605  
 

 

 

   

 

 

   

 

 

   

 

 

 
    (606,425     (1,511,361     (90,697     (741,027
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Futures contracts

    (295,251     (785,751     (562,057     (1,293,104

Investments — affiliated

    (746                 423  

Investments — unaffiliated

    8,826,487       17,048,778       15,253,941       40,563,725  
 

 

 

   

 

 

   

 

 

   

 

 

 
    8,530,490       16,263,027       14,691,884       39,271,044  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain

    7,924,065       14,751,666       14,601,187       38,530,017  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS

  $ 14,233,585     $ 24,741,246     $ 25,374,834     $ 57,842,759  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Related to TOB Trusts, VMTP Shares and/or VRDP Shares.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      41  

Statements of Changes in Net Assets

 

    MUE           MCA  
    

Six Months Ended
01/31/20

(unaudited)

    Year Ended
07/31/19
          

Six Months Ended
01/31/20

(unaudited)

    Year Ended
07/31/19
 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

OPERATIONS

         

Net investment income

  $ 6,309,520     $ 12,835,636       $ 9,989,580     $ 20,674,671  

Net realized loss

    (606,425     (1,561,544       (1,511,361     (4,156,163

Net change in unrealized appreciation (depreciation)

    8,530,490       10,445,013         16,263,027       23,828,711  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    14,233,585       21,719,105         24,741,246       40,347,219  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)

         

Decrease in net assets resulting from distributions to Common Shareholders

    (5,945,480     (13,580,018       (9,508,260     (22,693,220
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

Total increase in net assets applicable to Common Shareholders

    8,288,105       8,139,087         15,232,986       17,653,999  

Beginning of period

    313,406,127       305,267,040         543,185,957       525,531,958  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 321,694,232     $ 313,406,127       $ 558,418,943     $ 543,185,957  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

42    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Statements of Changes in Net Assets  (continued)

 

    MYN           MYI  
    

Six Months Ended
01/31/20

(unaudited)

    Year Ended
07/31/19
          

Six Months Ended
01/31/20

(unaudited)

    Year Ended
07/31/19
 

INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

OPERATIONS

         

Net investment income

  $ 10,773,647     $ 20,693,092       $ 19,312,742     $ 39,797,871  

Net realized loss

    (90,697     (6,485,882       (741,027     (8,077,784

Net change in unrealized appreciation (depreciation)

    14,691,884       31,329,127         39,271,044       65,747,119  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets applicable to Common Shareholders resulting from operations

    25,374,834       45,536,337         57,842,759       97,467,206  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO COMMON SHAREHOLDERS(a)

         

Decrease in net assets resulting from distributions to Common Shareholders

    (10,094,579     (20,206,180       (18,209,044     (40,902,538
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

         

Total increase in net assets applicable to Common Shareholders

    15,280,255       25,330,157         39,633,715       56,564,668  

Beginning of period

    569,102,066       543,771,909         1,009,374,876       952,810,208  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 584,382,321     $ 569,102,066       $ 1,049,008,591     $ 1,009,374,876  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      43  

Statements of Cash Flows  (unaudited)

Six Months Ended January 31, 2020

 

     MUE     MCA     MYN     MYI  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

 

Net increase in net assets resulting from operations

  $ 14,233,585     $ 24,741,246     $ 25,374,834     $ 57,842,759  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities:

       

Proceeds from sales of long-term investments

    36,065,826       130,496,132       43,904,036       149,575,816  

Purchases of long-term investments

    (48,695,558     (136,940,066     (49,824,834     (142,977,408

Net proceeds from sales of short-term securities

    9,276,745       12,245,509       643,847       998,402  

Amortization of premium and accretion of discount on investments and other fees

    1,459,467       3,187,937       2,742,720       2,039,236  

Net realized (gain) loss on investments

    (548,934     (699,043     (1,437,012     (2,210,146

Net unrealized (appreciation) depreciation on investments

    (8,825,741     (17,048,778     (15,253,941     (40,564,148

(Increase) Decrease in Assets:

 

Receivables:

 

Dividends — affiliated

    9,486       10,021       2,334       1,284  

Interest — unaffiliated

    24,575       793,868       161,485       919,081  

Variation margin on futures contracts

    3,000       5,433       5,188       7,875  

Prepaid expenses

    25,466       16,529       17,676       21,377  

Increase (Decrease) in Liabilities:

 

Payables:

 

Interest expense and fees

    (28,748     (292,688     (87,780     (309,205

Investment advisory fees

    229,676       386,659       398,374       691,119  

Directors’ and Officer’s fees

    144       4,092       4,151       8,096  

Other accrued expenses

    (17,036     (100,487     (162,577     (233,273

Variation margin on futures contracts

    (2,110     26,689       (25,496     7,808  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by operating activities

    3,209,843       16,833,053       6,463,005       25,818,673  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

 

Cash dividends paid to Common Shareholders

    (5,945,480     (9,508,260     (10,094,579     (18,209,044

Repayments of TOB Trust Certificates

    (1,669,330     (6,986,386     (1,215,271     (14,296,005

Proceeds from TOB Trust Certificates

    4,471,998             4,948,019       7,109,995  

Amortization of deferred offering costs

          7,964       7,830       10,289  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash used for financing activities

    (3,142,812     (16,486,682     (6,354,001     (25,384,765
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH

 

Net increase in restricted and unrestricted cash

    67,031       346,371       109,004       433,908  

Restricted and unrestricted cash at beginning of period

    289,769       574,750       504,694       1,166,725  
 

 

 

   

 

 

   

 

 

   

 

 

 

Restricted and unrestricted at end of period

  $ 356,800     $ 921,121     $ 613,698     $ 1,600,633  
 

 

 

   

 

 

   

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

 

Cash paid during the period for interest expense

  $ 2,033,826     $ 3,240,680     $ 2,754,744     $ 5,022,363  
 

 

 

   

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

       

Cash

  $     $ 9,371     $ 82,348     $ 21,033  

Cash pledged for futures contracts

    356,800       911,750       531,350       1,579,600  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 356,800     $ 921,121     $ 613,698     $ 1,600,633  
 

 

 

   

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES

       

Cash

  $ 18,969     $ 37,000     $ 33,344     $ 75,125  

Cash pledged for futures contracts

    270,800       537,750       471,350       1,091,600  
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ 289,769     $ 574,750     $ 504,694     $ 1,166,725  
 

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

44    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Financial Highlights

(For a share outstanding throughout each period)

 

    MUE  
    Six Months Ended
01/31/20
(unaudited)
          Year Ended July 31,  
          2019      2018      2017      2016      2015  
               

Net asset value, beginning of period

  $ 13.92       $ 13.55      $ 14.19      $ 15.08      $ 14.48      $ 14.42  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.28         0.57        0.69        0.75        0.78        0.80  

Net realized and unrealized gain (loss)

    0.34         0.40        (0.61      (0.87      0.63        0.09  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.62         0.97        0.08        (0.12      1.41        0.89  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.26       (0.60      (0.72      (0.77      (0.81      (0.83
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 14.28       $ 13.92      $ 13.55      $ 14.19      $ 15.08      $ 14.48  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 13.05       $ 12.67      $ 12.36      $ 14.17      $ 14.94      $ 13.13  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

 

Based on net asset value

    4.72 %(d)        7.96      0.87      (0.50 )%       10.33      6.84
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    5.14 %(d)        7.72      (7.85 )%       0.29      20.55      7.96
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

Total expenses

    2.25 %(e)        2.48      2.24      1.96      1.56      1.50
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed

    2.21 %(e)        2.45      2.20      1.92      1.55      1.49
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense and fees(f)

    0.95 %(e)        0.95      0.95      0.95      0.95      0.96
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    3.97 %(e)        4.23      4.96      5.21      5.32      5.41
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

 

Net assets applicable to Common Shareholders, end of period (000)

  $ 321,694       $ 313,406      $ 305,267      $ 319,413      $ 339,493      $ 325,911  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 131,000       $ 131,000      $ 131,000      $ 131,000      $ 131,000      $ 131,000  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 345,568       $ 339,241      $ 333,028      $ 343,826      $ 359,155      $ 348,787  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 61,261       $ 58,458      $ 48,546      $ 62,841      $ 57,549      $ 51,795  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    7       26      21      19      15      13
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

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 at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      45  

Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    MCA  
    Six Months Ended
01/31/20
(unaudited)
          Year Ended July 31,  
    2019      2018      2017      2016      2015  
               

Net asset value, beginning of period

  $ 15.79       $ 15.27      $ 15.73      $ 16.77      $ 16.11      $ 16.14  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.29         0.60        0.67        0.73        0.81        0.83  

Net realized and unrealized gain (loss)

    0.43         0.58        (0.45      (0.94      0.70        0.02  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.72         1.18        0.22        (0.21      1.51        0.85  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders(b)

 

From net investment income

    (0.28       (0.62      (0.68      (0.78      (0.85      (0.88

From net realized gain

            (0.04             (0.05              
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

    (0.28       (0.66      (0.68      (0.83      (0.85      (0.88
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 16.23       $ 15.79      $ 15.27      $ 15.73      $ 16.77      $ 16.11  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 14.74       $ 14.29      $ 13.30      $ 15.18      $ 16.75      $ 14.71  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

 

Based on net asset value

    4.77 %(d)        8.64      1.86      (0.92 )%       9.84      5.76
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    5.14 %(d)        12.87      (8.07 )%       (4.26 )%       20.15      8.47
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

Total expenses

    2.22 %(e)        2.62      2.22      1.91      1.46      1.32
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed

    2.22 %(e)        2.62      2.22      1.91      1.46      1.32
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense and fees, and amortization of offering costs(f)

    1.14 %(e)        0.97      0.93      0.92      0.89      0.86
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    2.18 %(e)        3.96      4.33      4.64      4.94      5.09
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

 

Net assets applicable to Common Shareholders, end of period (000)

  $ 558,419       $ 543,186      $ 525,532      $ 541,303      $ 576,764      $ 554,060  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 166,500       $ 166,500      $ 166,500      $ 166,500      $ 166,500      $ 166,500  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 435,387       $ 426,238      $ 415,635      $ 425,107      $ 446,404      $ 432,769  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 195,715       $ 202,702      $ 214,550      $ 195,488      $ 176,433      $ 172,574  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    13       27      25      37      23      36
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

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 at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

See notes to financial statements.

 

 

46    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    MYN  
    Six Months Ended
01/31/20
(unaudited)
          Year Ended July 31,  
    2019      2018      2017      2016      2015  
               

Net asset value, beginning of period

  $ 14.38       $ 13.74      $ 14.25      $ 15.07      $ 14.16      $ 14.09  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.27         0.52        0.58        0.64        0.70        0.75  

Net realized and unrealized gain (loss)

    0.37         0.63        (0.50      (0.81      0.94        0.09  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.64         1.15        0.08        (0.17      1.64        0.84  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.26       (0.51      (0.59      (0.65      (0.73      (0.77
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 14.76       $ 14.38      $ 13.74      $ 14.25      $ 15.07      $ 14.16  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 13.41       $ 13.19      $ 11.89      $ 13.26      $ 14.40      $ 13.13  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

 

Based on net asset value

    4.65 %(d)        9.15      1.07      (0.69 )%       12.19      6.54
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    3.65 %(d)        15.69      (6.00 )%       (3.29 )%       15.60      9.52
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

Total expenses

    2.13 %(e)        2.45      2.19      1.93      1.51      1.44
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed

    2.13 %(e)        2.45      2.19      1.93      1.50      1.44
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense and fees, and amortization of offering costs(f)

    1.20 %(e)        1.08      0.91      0.92      0.89      0.89
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    3.74 %(e)        3.80      4.11      4.52      4.79      5.22
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

 

Net assets applicable to Common Shareholders, end of period (000)

  $ 584,382       $ 569,102      $ 543,772      $ 564,202      $ 596,528      $ 560,372  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 247,700       $ 247,700      $ 247,700      $ 247,700      $ 247,700      $ 247,700  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 335,923       $ 329,755      $ 319,528      $ 327,776      $ 340,827      $ 326,230  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 108,106       $ 104,473      $ 113,020      $ 113,374      $ 112,712      $ 93,113  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    5       19      14      13      15      20
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

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 at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Interest expense, fees and amortization of offering costs related to TOBs and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      47  

Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    MYI  
    Six Months Ended
01/31/20
(unaudited)
          Year Ended July 31,  
          2019      2018      2017      2016      2015  
               

Net asset value, beginning of period

  $ 14.81       $ 13.98      $ 14.48      $ 15.49      $ 14.79      $ 14.84  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

    0.28         0.58        0.68        0.77        0.84        0.87  

Net realized and unrealized gain (loss)

    0.57         0.85        (0.44      (0.96      0.74        (0.03
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

    0.85         1.43        0.24        (0.19      1.58        0.84  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions to Common Shareholders from net investment income(b)

    (0.27       (0.60      (0.74      (0.82      (0.88      (0.89
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 15.39       $ 14.81      $ 13.98      $ 14.48      $ 15.49      $ 14.79  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 14.05       $ 13.44      $ 12.46      $ 14.66      $ 15.63      $ 14.04  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return Applicable to Common Shareholders(c)

 

Based on net asset value

    5.97 %(d)        11.11      2.02      (1.02 )%       11.08      6.12
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Based on market price

    6.60 %(d)        13.13      (10.18 )%       (0.69 )%       18.07      11.06
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets Applicable to Common Shareholders

 

Total expenses

    2.03 %(e)        2.40      2.11      1.85      1.45      1.39
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed

    2.03 %(e)        2.40      2.11      1.84      1.45      1.39
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense and fees, and amortization of offering costs(f)

    1.11 %(e)        1.03      0.89      0.89      0.88      0.88
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income to Common Shareholders

    3.75 %(e)        4.16      4.79      5.30      5.60      5.78
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

 

Net assets applicable to Common Shareholders, end of period (000)

  $ 1,049,009       $ 1,009,375      $ 952,810      $ 985,594      $ 1,053,232      $ 1,003,621  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 356,400       $ 356,400      $ 356,400      $ 356,400      $ 356,400      $ 356,400  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $ 394,335       $ 383,214      $ 367,343      $ 376,541      $ 395,520      $ 381,600  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 239,285       $ 246,471      $ 261,702      $ 252,930      $ 261,803      $ 244,245  
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    9       23      22      16      10      11
 

 

 

     

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) 

Based on average Common Shares outstanding.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) 

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 at actual reinvestment prices.

(d) 

Aggregate total return.

(e) 

Annualized.

(f) 

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

See notes to financial statements.

 

 

48    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (unaudited)

 

1.

ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Funds”, or individually as a “Fund”:

 

Fund Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock MuniHoldings Quality Fund II, Inc.

  MUE    Maryland    Diversified

BlackRock MuniYield California Quality Fund, Inc.

  MCA    Maryland    Diversified

BlackRock MuniYield New York Quality Fund, Inc.

  MYN    Maryland    Non-diversified

BlackRock MuniYield Quality Fund III, Inc.

  MYI    Maryland    Diversified

The Boards of Directors of the Funds are collectively referred to throughout this report as the “Board of Directors” or the “Board,” and the directors thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. 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 an accrual basis.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., futures contracts) or certain borrowings (e.g., TOB Trust transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds 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.

Distributions: Distributions from net investment income are declared monthly and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

Distributions to Preferred Shareholders are accrued and determined as described in Note 10.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the directors who are not “interested persons” of the Funds, as defined in the 1940 Act (“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 funds in the BlackRock Fixed-Income Complex 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 funds in the BlackRock Fixed-Income Complex.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities are included in the Directors’ and Officer’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.

Recent Accounting Standards: The Funds have adopted Financial Accounting Standards Board Accounting Standards Update 2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Funds have changed the amortization period for the premium on certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Funds applied the amendments on a modified retrospective basis beginning with the fiscal period ended January 31, 2020. The adjusted cost basis of securities at July 31, 2019 are as follows:

 

MUE

  $ 469,565,220  

MCA

    873,754,269  

MYN

    851,324,340  

MYI

    1,471,904,487  

This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on accumulated earnings (loss) or the net asset value of the Funds.

 

 

NOTES TO FINANCIAL STATEMENTS      49  

Notes to Financial Statements  (unaudited) (continued)

 

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). 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 using various 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 oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:

 

   

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

 

   

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

   

Futures contracts traded on exchanges are valued at their last sale price.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued 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 and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

   

Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access

 

   

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

 

   

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

 

4.

SECURITIES AND OTHER INVESTMENTS

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Forward Commitments, When-Issued and Delayed Delivery Securities: Certain 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. A fund 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

 

 

50    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (unaudited) (continued)

 

settlement date. Since the value of securities purchased may fluctuate prior to settlement, a fund may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Municipal Bonds Transferred to TOB Trusts: Certain funds leverage their assets through the use of “TOB Trust” transactions. The funds transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust issues two classes of beneficial interests: short-term floating rate interests (“TOB Trust Certificates”), which are sold to third party investors, and residual inverse floating rate interests (“TOB Residuals”), which are issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that reset weekly and their holders have the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a fund provide the fund with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The funds may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment adviser may also contribute municipal bonds to a TOB Trust into which a fund has contributed bonds. If multiple BlackRock-advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residuals will be shared among the funds ratably in proportion to their participation in the TOB Trust.

TOB Trusts are supported by a liquidity facility provided by a third party bank or other financial institution (the “Liquidity Provider”) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment of par plus accrued interest on any business day. The tendered TOB Trust Certificates are remarketed by a Remarketing Agent. In the event of a failed remarketing, the TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on number of days the loan is outstanding.

The TOB Trust may be collapsed without the consent of a fund, upon the occurrence of a termination event as defined in the TOB Trust agreement. Upon the occurrence of a termination event, a 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. Upon certain termination events, TOB Trust Certificates holders will be paid before the TOB Residuals holders (i.e., the Funds) whereas in other termination events, TOB Trust Certificates holders and TOB Residuals holders will be paid pro rata.

While a fund’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they restrict the ability of a fund to borrow money for purposes of making investments. MCA’s, MYN’s and MYI’s management believes that a fund’s restrictions on borrowings do not apply to the funds’ TOB Trust transactions. Each fund’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less certain transaction expenses, is paid to a fund. A fund typically invests the cash received in additional municipal bonds.

Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a fund’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a 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.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a fund on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to non-bank sponsored TOB Trusts, a fund incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of deferred offering costs in the Statements of Operations.

 

     Interest Expense      Liquidity Fees      Other Expenses      Total  

MUE

  $ 384,178      $ 116,303      $ 47,257      $ 547,738  

MCA

    1,248,924        445,804        140,731        1,835,459  

MYN

    679,096        224,826        70,498        974,420  

MYI

    1,552,957        520,544        158,875        2,232,376  

For the six months ended January 31, 2020, the following table is a summary of each Fund’s TOB Trusts:

 

     Underlying
Municipal Bonds
Transferred to
TOB Trusts
 (a)
     Liability for
TOB Trust
Certificates
  (b)
     Range of
Interest Rates
on TOB Trust
Certificates at
Period End
     Average
TOB Trust
Certificates
Outstanding
     Daily Weighted
Average Rate
of Interest and
Other Expenses
on TOB  Trusts
 

MUE

  $ 111,273,388      $ 61,260,897        0.94% — 1.12%      $   59,519,847        1.83

MCA

    420,046,624        195,715,219        0.90% — 1.04%        196,810,219        1.86  

MYN

    201,448,725        108,105,881        0.95% — 1.09%        106,274,915        1.82  

MYI

    437,932,464        239,284,734        0.95% — 1.19%        239,082,107        1.86  

 

  (a) 

The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB Trust transaction may include a credit enhancement feature that provides for the timely payment of principal and interest on the bonds to the TOB Trust by a credit enhancement provider in the event of default of the municipal bond. The TOB Trust would be responsible for the payment of the credit enhancement fee and the funds, as TOB

 

 

 

NOTES TO FINANCIAL STATEMENTS      51  

Notes to Financial Statements  (unaudited) (continued)

 

  Residuals holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The maximum potential amounts owed by the funds, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts.  
  (b) 

TOB Trusts may be structured on a non-recourse or recourse basis. When a Fund invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a fund invests in a TOB Trust on a recourse basis, a fund enters into a reimbursement agreement with the Liquidity Provider where a fund is required to reimburse the Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the “Liquidation Shortfall”). As a result, if a fund invests in a recourse TOB Trust, a fund will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a fund at January 31, 2020, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a fund at January 31, 2020.

 

 

5.

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 manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or over-the-counter.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

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 on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the 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. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. 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 market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, each Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets.

 

     MUE      MCA      MYN      MYI  

Investment advisory fees

    0.55      0.50      0.50      0.50

For purposes of calculating these fees, “net assets” mean the total assets of the Fund minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred shares). It is understood that the liquidation preference of any outstanding preferred stock (other than accumulated dividends) and TOB Trusts is not considered a liability in determining a Fund’s NAV.

Expense Waivers: With respect to each Fund, the Manager contractually 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 (the “affiliated money market fund waiver”) through June 30, 2021. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. Prior to December 1, 2019, this waiver was voluntary. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended January 31, 2020, the amounts waived were as follows:

 

     MUE      MCA      MYN      MYI  

Amounts waived

  $ 855      $ 964      $ 281      $ 4,173  

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2021. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. For the six months ended January 31, 2020, there were no fees waived by the Manager pursuant to these arrangements.

The Manager, for MUE, voluntarily agreed to waive its investment advisory fee on the proceeds of the Preferred Shares and TOB Trusts that exceed 35% of total assets minus the sum of its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred shares). The voluntary waiver may be reduced or discontinued at any time without notice. This amount is included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended January 31, 2020, the waiver was $56,262.

 

 

52    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (unaudited) (continued)

 

Directors and Officers: Certain directors and/or officers of the Funds are directors and/or officers 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 Directors and Officer in the Statements of Operations.

 

7.

PURCHASES AND SALES

For the six months ended January 31, 2020, purchases and sales of investments, excluding short-term securities, were as follows:

 

     MUE      MCA      MYN      MYI  

Purchases

  $ 48,386,778      $ 114,588,005      $ 48,175,231      $ 142,875,988  

Sales

    36,065,826        130,496,132        43,904,036        149,411,344  

 

8.

INCOME TAX INFORMATION

It is each 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 U.S. 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 each Fund’s U.S. federal tax returns generally remains open for each of the four years ended July 31, 2019. 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 as of January 31, 2020, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

As of July 31, 2019, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:

 

MUE           MCA           MYN           MYI  
$ 10,187,568          $ 4,897,575          $ 20,952,253          $ 9,829,069  

As of January 31, 2020, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

 

     MUE     MCA     MYN     MYI  

Tax cost

  $ 410,611,409     $ 647,534,611     $ 745,480,354     $ 1,227,140,404  
 

 

 

   

 

 

   

 

 

   

 

 

 

Gross unrealized appreciation

  $ 42,407,600     $ 72,594,541     $ 82,334,982     $ 177,988,184  

Gross unrealized depreciation

    (701,960     (1,605,930     (1,595,614     (4,550,413
 

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation (depreciation)

  $ 41,705,640     $ 70,988,611     $ 80,739,368     $ 173,437,771  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

9.

PRINCIPAL RISKS

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Fund’s ability to buy or sell bonds. As a result, a Fund may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Fund needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.

In the normal course of business, certain Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on each Fund and its investments.

Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

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.

 

 

NOTES TO FINANCIAL STATEMENTS      53  

Notes to Financial Statements  (unaudited) (continued)

 

A Fund structures and “sponsors” the TOB Trusts in which it holds TOB Residuals and has certain duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.

Should short-term interest rates rise, the Funds’ investments in the TOB Trusts 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.

The U.S. Securities and Exchange Commission (“SEC”) and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”). The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect the Funds’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

TOB Trusts constitute an important component of the municipal bond market. Any modifications or changes to rules governing TOB Trusts may adversely impact the municipal market and the Funds, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. The ultimate impact of any potential modifications on the TOB Trust market and the overall municipal market is not yet certain.

Each Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Fund may not be able to readily dispose of such investments at prices that approximate those at which the Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, the Fund may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Fund’s net asset value and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.

A recent outbreak of respiratory disease caused by a novel coronavirus was first detected in China in December 2019 and has now been detected internationally. This coronavirus has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of epidemics and pandemics such as the coronavirus, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. The impact of the outbreak may be short term or may last for an extended period of time.

Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the 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 approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

With exchange-traded futures, there is less counterparty credit risk to the 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). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

Concentration Risk: MCA and MYN invest a substantial amount of their assets in issuers located in a single state or limited number of states. This may subject each Fund to the risk that economic, political or social issues impacting a particular state or group of states could have an adverse and disproportionate impact on the income from, or the value or liquidity of, the Funds’ respective portfolios. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.

As of period end, MUE, MYI and MYN invested a significant portion of their assets in securities in the transportation sector. MCA invested a significant portion of their assets in securities in the county, city, special district and school district 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.

Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

 

10.

CAPITAL SHARE TRANSACTIONS

Each Fund is authorized to issue 200 million shares, all of which were initially classified as Common Shares. The par value for each Fund’s Common Shares is $0.10. The par value for each Fund’s Preferred Shares outstanding is $0.10. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

 

 

54    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (unaudited) (continued)

 

Common Shares

For the six months ended January 31, 2020 and the year ended July 31, 2019, shares issued and outstanding remained constant for all Funds.

Each Fund participates in an open market share repurchase program (the “Repurchase Program”). From December 1, 2018 through November 30, 2019, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. From December 1, 2019 through November 30, 2020, the Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2019, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts. For the six months ended January 31, 2020, the Funds did not repurchase any shares.

Preferred Shares

A Fund’s Preferred Shares rank prior to its 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 Common Shares or the repurchase of Common Shares if the Fund fails to maintain asset coverage of at least 200% of the liquidation preference of the Fund’s outstanding Preferred Shares. In addition, pursuant to the Preferred Shares’ governing instruments, a Fund is restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with its 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 ratings agencies rating the Preferred Shares.

Holders of Preferred Shares have voting rights equal to the voting rights of holders of Common Shares (one vote per share) and vote together with holders of Common Shares (one vote per share) as a single class on certain matters. Holders of Preferred Shares, voting as a separate class, are also entitled to (i) elect two members of the Board, (ii) elect the full Board if dividends on the Preferred Shares are not paid for a period of two years and (iii) a separate class vote to amend the Preferred Share governing documents. In addition, the 1940 Act requires the approval of the holders of a majority of any outstanding Preferred Shares, voting as a separate class, to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a 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

MCA, MYN and MYI (for purposes of this section, a “VRDP Fund”), have issued Series W-7 VRDP Shares, $100,000 liquidation preference per share, in one or more privately negotiated offerings to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act of 1933, as amended (the “Securities Act”). The VRDP Shares include a liquidity feature and may be subject to a special rate period. As of period end, the VRDP Shares outstanding were as follows:

 

     Issue
Date
     Shares
Issued
     Aggregate
Principal
     Maturity
Date
 

MCA

    4/21/11        1,665      $ 166,500,000        5/01/41  

MYN

    4/21/11        2,477        247,700,000        5/01/41  

MYI

    5/19/11        3,564        356,400,000        6/01/41  

Redemption Terms: A 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, a VRDP Fund is required to begin to segregate liquid assets with the Fund’s custodian to fund the redemption. In addition, a VRDP Fund is required to redeem certain of its outstanding VRDP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, the VRDP Shares may also be redeemed, in whole or in part, at any time at the option of a VRDP Fund. The redemption price per VRDP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends.

Liquidity Feature: VRDP Shares are subject to a fee agreement between the VRDP Fund and the liquidity provider that requires a per annum liquidity fee and, in some cases, an upfront or initial commitment fee, payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations. As of period end, the fee agreement is set to expire, unless renewed or terminated in advance, as follows:

 

     MCA      MYN      MYI  

Expiration Date

    07/02/2020        07/03/2020        07/03/2020  

The VRDP Shares are also subject to a purchase agreement in connection with the liquidity feature. In the event a purchase agreement is not renewed or is terminated in advance, and the VRDP Shares do not become subject to a purchase 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 purchase agreement. In the event of such mandatory purchase, a VRDP Fund is required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, the VRDP Fund is required to begin to segregate liquid assets with its custodian to fund the redemption. There is no assurance that a VRDP Fund will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Remarketing: A VRDP Fund may incur remarketing fees on the aggregate principal amount of all its VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. During any special rate period (as described below), a VRDP Fund may incur nominal or no remarketing fees.

 

 

NOTES TO FINANCIAL STATEMENTS      55  

Notes to Financial Statements  (unaudited) (continued)

 

Ratings: As of period end, the VRDP Shares were assigned the following ratings:

 

     Moody’s
Long-Term
Rating
     Fitch
Long-Term
Rating
     Moody’s
Short-Term
Rating
     Fitch
Short-Term
Rating
     S&P Global Ratings’s
Short-Term Rating
 

MCA

    Aa2        AAA        N/A        F1+        A-1+  

MYN

    Aa2        AAA        P-1        F1        N/A  

MYI

    Aa1        AAA        P-1        F1        N/A  

Any short-term ratings on 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 S&P. 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.

Dividends: Except during the Special Rate Period as described above, 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. A change in the short-term credit rating of the liquidity provider or the VRDP Shares may adversely affect the dividend rate paid on such shares, although the dividend rate paid on the VRDP Shares is not directly based upon either short-term rating. 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.

For the six months ended January 31, 2020, the annualized dividend rate for the VRDP Shares were as follows:

 

     MCA      MYN      MYI  

Rate

    1.34      1.37      1.39

For the six months ended January 31, 2020, VRDP Shares issued and outstanding of each VRDP Fund remained constant.

VMTP Shares

MUE (for purposes of this section, a “VMTP Fund”) has issued Series W-7 VMTP Shares, $100,000 liquidation preference per share, in one or more privately negotiated offerings to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act. The VMTP Shares are subject to certain restrictions on transfer, and a VMTP Fund may also be required to register its VMTP Shares for sale under the Securities Act under certain circumstances. As of period end, the VMTP Shares outstanding and assigned long-term ratings were as follows:

 

     Issue
Date
     Shares
Issued
     Aggregate
Principal
     Term
Redemption
Date
     Moody’s
Rating
     Fitch
Rating
 

MUE

    12/16/11        1,310      $ 131,000,000        07/02/21        Aa1        AAA  

Redemption Terms: A VMTP Fund is required to redeem its VMTP Shares on the term redemption date, unless earlier redeemed or repurchased or unless extended. There is no assurance that a term will be extended further or that any VMTP Shares will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the VMTP Shares. Six months prior to the term redemption date, a VMTP Fund is required to begin to segregate liquid assets with its custodian to fund the redemption. In addition, a VMTP Fund is required to redeem certain of its outstanding VMTP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, VMTP Shares may be redeemed, in whole or in part, at any time at the option of the VMTP Fund. The redemption price per VMTP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends.

Dividends: Dividends on the VMTP Shares are declared daily and payable monthly at a variable rate set weekly at a fixed rate spread to the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index or to a percentage of the one-month LIBOR rate, as set forth in the VMTP Shares governing instrument. The fixed spread is determined based on the long-term preferred share rating assigned to the VMTP Shares by the ratings agencies then rating the VMTP Shares.

The dividend rate on VMTP Shares is subject to a step-up spread if the VMTP Fund fails to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and complying with certain asset coverage and leverage requirements.

For the six months ended January 31, 2020, the average annualized dividend rate for MUE’s VMTP Shares was 2.22%.

Offering Costs: The Funds incurred costs in connection with the issuance of VRDP and VMTP Shares, which were recorded as a direct deduction from the carrying value of the related debt liability and will be amortized over the life of the VRDP and VMTP Shares with the exception of any upfront fees paid by a VRDP Fund to the liquidity provider which, if any, were amortized over the life of the liquidity agreement. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.

Financial Reporting: The VRDP and VMTP Shares are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the VRDP and VMTP Shares, is recorded as a liability in the Statements of Assets and Liabilities net of deferred offering costs. 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 and VMTP Shares are included as a component of interest

 

 

56    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Notes to Financial Statements  (unaudited) (continued)

 

expense, fees and amortization of offering costs in the Statements of Operations. The VRDP and VMTP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP and VMTP Shares are generally classified as tax-exempt income for tax-reporting purposes. Dividends and amortization of deferred offering costs on VRDP and VMTP Shares are included in interest expense, fees and amortization of offering costs in the Statements of Operations:

 

     Dividends Accrued      Deferred Offering Costs
Amortization
 

MUE

  $ 1,457,340      $  

MCA

    1,112,533        7,964  

MYN

    1,692,544        7,830  

MYI

    2,480,782        10,289  

 

11.

SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted. The Funds declared and paid distributions to Common Shareholders and Preferred Shareholders as follows:

 

     Common Dividend
Per Share
           Preferred Shares (c)  
     Paid (a)      Declared (b)            Shares      Series      Declared  

MUE

  $ 0.0440      $ 0.0440         VMTP        W-7      $ 208,374  

MCA

    0.0460        0.0460         VRDP        W-7        150,942  

MYN

    0.0425        0.0425         VRDP        W-7        230,239  

MYI

    0.0445        0.0445               VRDP        W-7        336,730  

 

  (a) 

Net investment income dividend paid on March 2, 2020 to Common Shareholders of record on February 14, 2020.

 
  (b) 

Net investment income dividend declared on March 2, 2020, payable to Common Shareholders of record on March 16, 2020.

 
  (c) 

Dividends declared for period February 1, 2020 to February 29, 2020.

 

 

 

NOTES TO FINANCIAL STATEMENTS      57  

Director and Officer Information

 

Richard E. Cavanagh, Co-Chair of the Board and Director

Karen P. Robards, Co-Chair of the Board and Director

Michael J. Castellano, Director

Cynthia L. Egan, Director

Frank J. Fabozzi, Director

Henry Gabbay, Director

R. Glenn Hubbard, Director

W. Carl Kester, Director

Catherine A. Lynch, Director

Robert Fairbairn, Director

John M. Perlowski, Director, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

Effective February 19, 2020, Henry Gabbay resigned as a Director of the Funds.

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust
 Company, N.A.

Canton, MA 02021

VRDP Tender and Paying Agent and VMTP Redemption and Paying Agent

The Bank of New York Mellon

New York, NY 10286

VRDP Liquidity Provider

Citibank, N.A.(a)

New York, NY 10179

The Toronto-Dominion Bank(b)

New York, NY 10019

VRDP Remarketing Agent

Citigroup Global Markets Inc.(a)

New York, NY 10179

TD Securities (USA) LLC(b)

New York, NY 10019

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

 

 

(a) 

For all Funds except MCA.

(b) 

For MCA.

 

 

58    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Additional Information

 

Fund Certification

The Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

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 distributions, the Funds may at times pay out less than the entire amount of net investment income earned in any particular month/quarter and may at times in any particular month/quarter pay out such accumulated but undistributed income in addition to net investment income earned in that month/quarter. As a result, the distributions paid by the Funds for any particular month/quarter may be more or less than the amount of net investment income earned by the Funds during such month/quarter. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed as accumulated earnings 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.

In accordance with Section 23(c) of the Investment Company Act of 1940, each Fund may from time to time purchase shares of its common stock in the open market or in private transactions.

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 blackrock.com. Any reference to BlackRock’s website in this report 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 Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Funds will mail only one copy of shareholder documents, 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.

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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at sec.gov. 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 blackrock.com; and (3) on the SEC’s website at 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 blackrock.com or by calling (800) 882-0052; and (2) on the SEC’s website at sec.gov.

 

 

ADDITIONAL INFORMATION      59  

Additional Information  (continued)

 

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 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.

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.

 

 

60    2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS

Glossary of Terms Used in this Report

 

Portfolio Abbreviations
AGC    Assured Guarantee Corp.
AGM    Assured Guaranty Municipal Corp.
AMBAC    American Municipal Bond Assurance Corp.
AMT    Alternative Minimum Tax (subject to)
ARB    Airport Revenue Bonds
BAM    Build America Mutual Assurance Co.
BARB    Building Aid Revenue Bonds
CAB    Capital Appreciation Bonds
COP    Certificates of Participation
EDA    Economic Development Authority
EDC    Economic Development Corp.
FHA    Federal Housing Administration
GARB    General Airport Revenue Bonds
GO    General Obligation Bonds
GOL    General Obligation Ltd
GTD    Guaranteed
HFA    Housing Finance Agency
IDA    Industrial Development Authority
IDB    Industrial Development Board
ISD    Independent School District
LRB    Lease Revenue Bonds
M/F    Multi-Family
NPFGC    National Public Finance Guarantee Corp.
PILOT    Payment in Lieu of Taxes
PSF-GTD    Permanent School Fund Guaranteed
Q-SBLF    Qualified School Bond Loan Fund
RB    Revenue Bonds
S/F    Single-Family
SONYMA    State of New York Mortgage Agency
SRF    State Revolving Fund

 

 

GLOSSARY OF TERMS USED IN THIS REPORT      61  

 

Want to know more?

blackrock.com    |    877-275-1255 (1-877-ASK-1BLK)

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.

MHMYINS4-1/20-SAR

 

 

LOGO    LOGO

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 due to no such purchases during the period covered by this report.

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 – Controls and Procedures

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

(b)There were no changes in the registrant's internal control over financial reporting (as defined in Rule

30a-3(d) under the 1940 Act) that occurred during the 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 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

Item 13 – Exhibits attached hereto

2

 

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

(a)(2) – Section 302 Certifications are attached

(a)(3) – Not Applicable

(a)(4) – Not Applicable

(b) – Section 906 Certifications are attached

3

 

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 MuniYield Quality Fund III, Inc.

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock MuniYield Quality Fund III, Inc.

Date: April 3, 2020

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 MuniYield Quality Fund III, Inc.

Date: April 3, 2020

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock MuniYield Quality Fund III, Inc.

Date: April 3, 2020

4