UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-21178

 

Name of Fund: BlackRock Municipal Income Quality Trust (BYM)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 08/31/2011

 

Date of reporting period: 05/31/2011

 

Item 1 – Schedule of Investments

 


 

 

 

 

Schedule of Investments May 31, 2011 (Unaudited)

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 3.8%

 

 

 

 

 

 

 

Alabama State Docks Department,
Refunding RB, 6.00%, 10/01/40

 

$

3,800

 

$

3,864,790

 

Birmingham Airport Authority, RB (AGM),
5.50%, 7/01/40

 

 

5,800

 

 

5,878,300

 

Birmingham Special Care Facilities
Financing Authority, RB, Children’s
Hospital (AGC), 6.00%, 6/01/39

 

 

1,495

 

 

1,590,157

 

County of Jefferson Alabama, RB,
Series A, 4.75%, 1/01/25

 

 

2,800

 

 

2,256,716

 

 

 

 

 

 

 

 

 

 

 

 

 

13,589,963

 

Arizona — 0.6%

 

 

 

 

 

 

 

State of Arizona, COP, Department of
Administration, Series A (AGM):

 

 

 

 

 

 

 

5.00%, 10/01/27

 

 

1,500

 

 

1,519,275

 

5.25%, 10/01/28

 

 

650

 

 

664,027

 

 

 

 

 

 

 

 

 

 

 

 

 

2,183,302

 

California — 29.2%

 

 

 

 

 

 

 

California Health Facilities Financing
Authority, Refunding RB, St. Joseph
Health System, Series A, 5.75%,
7/01/39

 

 

625

 

 

632,206

 

California Infrastructure & Economic
Development Bank, RB, Bay Area Toll
Bridges, First Lien, Series A (AMBAC),
5.00%, 1/01/28 (a)

 

 

10,100

 

 

12,106,769

 

Coast Community College District
California, GO, Refunding, CAB,
Election of 2002, Series C (AGM):

 

 

 

 

 

 

 

5.58%, 8/01/31 (b)

 

 

7,450

 

 

6,439,780

 

5.40%, 8/01/36 (c)

 

 

4,200

 

 

799,764

 

Fresno Unified School District
California, GO, Election of 2001, Series E (AGM),
5.00%, 8/01/30

 

 

1,100

 

 

1,098,581

 

Golden State Tobacco Securitization
Corp. California, RB,
Series 2003-A-1 (a):

 

 

 

 

 

 

 

6.63%, 6/01/13

 

 

6,500

 

 

7,269,535

 

6.75%, 6/01/13

 

 

14,500

 

 

16,252,615

 

Los Angeles Municipal Improvement
Corp., RB, Series B1 (NPFGC), 4.75%,
8/01/37

 

 

4,000

 

 

3,565,840

 

Metropolitan Water District of Southern
California, RB, Series B-1 (NPFGC),
5.00%, 10/01/33

 

 

17,500

 

 

17,744,825

 

Monterey Peninsula Community College
District, GO, CAB, Series C
(AGM) (c):

 

 

 

 

 

 

 

5.15%, 8/01/31

 

 

13,575

 

 

3,595,203

 

5.16%, 8/01/32

 

 

14,150

 

 

3,447,223

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

Orange County Sanitation District, COP,
Series B (AGM), 5.00%, 2/01/31

 

$

2,500

 

$

2,583,225

 

Sacramento Unified School District
California, GO, Election of 2002
(NPFGC), 5.00%, 7/01/30

 

 

2,700

 

 

2,730,672

 

San Diego Unified School District
California, GO, CAB, Election of 2008,
Series C, 6.85%, 7/01/38 (c)

 

 

2,000

 

 

337,400

 

San Francisco City & County Public
Utilities Commission, Refunding RB,
Series A (AGM), 5.00%, 11/01/31

 

 

15,000

 

 

15,034,500

 

San Joaquin Hills Transportation
Corridor Agency California, Refunding
RB, CAB, Series A (NPFGC), 5.50%,
1/15/31 (c)

 

 

53,000

 

 

8,496,960

 

San Jose Unified School District Santa
Clara County California, GO, Election
of 2002, Series B (NPFGC), 5.00%,
8/01/29

 

 

2,350

 

 

2,395,825

 

 

 

 

 

 

 

 

 

 

 

 

 

104,530,923

 

Colorado — 0.3%

 

 

 

 

 

 

 

Regional Transportation District, COP,
Series A, 5.38%, 6/01/31

 

 

960

 

 

990,749

 

District of Columbia — 2.4%

 

 

 

 

 

 

 

District of Columbia Tobacco
Settlement Financing Corp.,
Refunding RB, Asset-Backed, 6.75%,
5/15/40

 

 

9,500

 

 

8,745,795

 

Florida — 15.4%

 

 

 

 

 

 

 

Broward County School Board Florida,
COP, Series A (AGM), 5.25%,
7/01/33

 

 

2,000

 

 

2,017,560

 

City of Tallahassee Florida, RB
(NPFGC), 5.00%, 10/01/32

 

 

3,000

 

 

3,027,360

 

County of Broward Florida, RB, Series
A, 5.25%, 10/01/34

 

 

6,750

 

 

6,986,048

 

County of Duval Florida, COP, Master
Lease Program (AGM), 5.00%,
7/01/33

 

 

2,800

 

 

2,770,348

 

County of Miami-Dade Florida, RB:

 

 

 

 

 

 

 

CAB, Sub-Series A (NPFGC),
5.25%, 10/01/38 (c)

 

 

25,520

 

 

3,800,438

 

Jackson Health System (AGC),
5.75%, 6/01/39

 

 

2,300

 

 

2,366,171

 

Water & Sewer System
(AGM), 5.00%, 10/01/39

 

 

10,100

 

 

10,144,238

 

 

Portfolio Abbreviations

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

 

 

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

BHAC

Berkshire Hathaway Assurance Corp.

CAB

Capital Appreciation Bonds

COP

Certificates of Participation

EDA

Economic Development Authority

ERB

Education Revenue Bonds

GO

General Obligation Bonds

IDA

Industrial Development Authority

ISD

Independent School District

NPFGC

National Public Finance Guarantee Corp.

PSF-GTD

Permanent School Fund Guaranteed

RB

Revenue Bonds

SBPA

Stand-by Bond Purchase Agreements

VRDN

Variable Rate Demand Notes

 

 

 

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2011

1


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida (concluded)

 

 

 

 

 

 

 

County of Miami-Dade Florida,
Refunding RB (AGM), 5.00%,
7/01/35

 

$

1,300

 

$

1,296,334

 

Florida Housing Finance Corp., RB,
Homeowner Mortgage, Series 3,
5.45%, 7/01/33

 

 

4,020

 

 

4,087,536

 

Florida State Department of
Environmental Protection, RB, Series
B (NPFGC), 5.00%, 7/01/27

 

 

7,500

 

 

7,715,850

 

Miami-Dade County School Board, COP,
Refunding, Series B (AGC), 5.25%,
5/01/31

 

 

2,135

 

 

2,172,042

 

Orange County School Board, COP,
Series A (AGC), 5.50%, 8/01/34

 

 

6,090

 

 

6,242,433

 

Sarasota County Public Hospital District,
RB, Sarasota Memorial Hospital
Project, Series A, 5.63%, 7/01/39

 

 

300

 

 

296,850

 

Tohopekaliga Water Authority, RB
Refunding, Series A, 5.25%,
10/01/36

 

 

2,000

 

 

2,056,080

 

 

 

 

 

 

 

 

 

 

 

 

 

54,979,288

 

Georgia — 2.6%

 

 

 

 

 

 

 

City of Atlanta Georgia, Refunding RB,
General, Series C, 6.00%, 1/01/30

 

 

7,500

 

 

8,336,775

 

Gwinnett County Hospital Authority,
Refunding RB, Gwinnett Hospital
System Series D (AGM), 5.50%,
7/01/41

 

 

900

 

 

899,955

 

 

 

 

 

 

 

 

 

 

 

 

 

9,236,730

 

Hawaii — 1.4%

 

 

 

 

 

 

 

Hawaii State Harbor, RB, Series A,
5.50%, 7/01/35

 

 

5,000

 

 

5,081,900

 

Illinois — 4.7%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO,
Refunding, Chicago School Reform
Board, Series A (NPFGC), 5.50%,
12/01/26

 

 

2,500

 

 

2,578,875

 

Chicago Park District, GO, Harbor
Facilities, Series C, 5.25%, 1/01/40

 

 

600

 

 

610,368

 

City of Chicago Illinois, RB, Series A
(AGC), 5.00%, 1/01/38

 

 

7,310

 

 

7,245,964

 

County of Cook Illinois, GO, Refunding,
Series A, 5.25%, 11/15/33

 

 

1,475

 

 

1,503,586

 

Illinois Municipal Electric Agency, RB,
Series A (NPFGC), 5.25%, 2/01/27

 

 

2,500

 

 

2,591,450

 

Railsplitter Tobacco Settlement
Authority, RB, 6.00%, 6/01/28

 

 

710

 

 

712,116

 

State of Illinois, RB, Build Illinois, Series
B, 5.25%, 6/15/34

 

 

1,400

 

 

1,409,086

 

 

 

 

 

 

 

 

 

 

 

 

 

16,651,445

 

Indiana — 2.1%

 

 

 

 

 

 

 

Indiana Municipal Power Agency, RB:

 

 

 

 

 

 

 

Series A (NPFGC), 5.00%,
1/01/37

 

 

2,050

 

 

2,000,759

 

Series B, 5.75%, 1/01/34

 

 

450

 

 

457,299

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Indiana (concluded)

 

 

 

 

 

 

 

Indianapolis Local Public Improvement
Bond Bank, Refunding RB,
Waterworks Project, Series A:

 

 

 

 

 

 

 

(AGC), 5.50%, 1/01/38

 

$

2,000

 

$

2,064,920

 

(NPFGC), 5.50%, 7/01/20

 

 

2,630

 

 

3,013,059

 

 

 

 

 

 

 

 

 

 

 

 

 

7,536,037

 

Iowa — 1.4%

 

 

 

 

 

 

 

Iowa Finance Authority, RB, Series A
(AGC), 5.63%, 8/15/37

 

 

5,000

 

 

5,116,550

 

Kentucky — 0.4%

 

 

 

 

 

 

 

Kentucky State Property & Buildings
Commission, Refunding RB, Project
No. 93 (AGC), 5.25%, 2/01/29

 

 

1,500

 

 

1,575,150

 

Louisiana — 2.2%

 

 

 

 

 

 

 

State of Louisiana, RB, Series A (AGM),
5.00%, 5/01/31

 

 

7,500

 

 

7,723,500

 

Michigan — 2.9%

 

 

 

 

 

 

 

City of Detroit Michigan, RB:

 

 

 

 

 

 

 

Senior Lien, Series A (NPFGC),
5.00%, 7/01/30

 

 

1,000

 

 

939,080

 

Senior Lien, Series A (NPFGC),
5.00%, 7/01/34

 

 

2,480

 

 

2,240,878

 

System, Second Lien, Series A
(BHAC), 5.50%, 7/01/36

 

 

2,900

 

 

2,945,704

 

System, Second Lien, Series B
(NPFGC), 5.00%, 7/01/36

 

 

100

 

 

92,596

 

City of Detroit Michigan, Refunding RB,
Second Lien, Series E (BHAC), 5.75%,
7/01/31

 

 

3,000

 

 

3,136,320

 

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

 

 

465

 

 

456,114

 

Lansing Board of Water & Light, RB,
Series A, 5.50%, 7/01/41 (d)

 

 

400

 

 

417,604

 

 

 

 

 

 

 

 

 

 

 

 

 

10,228,296

 

Nebraska — 1.2%

 

 

 

 

 

 

 

Nebraska Investment Finance Authority,
Refunding RB, Series A:

 

 

 

 

 

 

 

5.90%, 9/01/36

 

 

2,450

 

 

2,545,256

 

6.05%, 9/01/41

 

 

1,805

 

 

1,855,359

 

 

 

 

 

 

 

 

 

 

 

 

 

4,400,615

 

Nevada — 1.6%

 

 

 

 

 

 

 

County of Clark Nevada, RB:

 

 

 

 

 

 

 

Las Vegas-McCarran
International Airport, Series A
(AGC), 5.25%, 7/01/39

 

 

4,100

 

 

3,988,316

 

System, Subordinate Lien,
Series C (AGM), 5.00%,
7/01/26

 

 

1,650

 

 

1,668,513

 

 

 

 

 

 

 

 

 

 

 

 

 

5,656,829

 

New Jersey — 0.8%

 

 

 

 

 

 

 

New Jersey Transportation Trust Fund
Authority, RB, Transportation
System, Series A, 5.50%, 6/15/41

 

 

3,000

 

 

3,067,260

 

 

 

 

2

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2011


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New York — 2.4%

 

 

 

 

 

 

 

New York City Transitional Finance
Authority, RB, Fiscal 2009, Series
S-4, 5.50%, 1/15/33

 

$

1,950

 

$

2,060,370

 

New York State Dormitory Authority,
ERB, Series B, 5.75%, 3/15/36

 

 

1,300

 

 

1,426,256

 

Port Authority of New York & New
Jersey, Refunding RB, Consolidated,
140th Series, 5.00%, 12/01/34

 

 

5,000

 

 

5,122,250

 

 

 

 

 

 

 

 

 

 

 

 

 

8,608,876

 

North Carolina — 0.7%

 

 

 

 

 

 

 

North Carolina Medical Care
Commission, RB, Novant Health
Obligation, Series A, 4.75%,
11/01/43

 

 

2,875

 

 

2,388,809

 

Ohio — 0.5%

 

 

 

 

 

 

 

County of Lucas Ohio, Refunding RB,
Promedica Healthcare, Series A,
6.50%, 11/15/37

 

 

610

 

 

668,676

 

Ohio Higher Educational Facility
Commission, Refunding RB, Summa
Health System, 2010 Project (AGC),
5.25%, 11/15/40

 

 

1,125

 

 

1,070,190

 

 

 

 

 

 

 

 

 

 

 

 

 

1,738,866

 

Pennsylvania — 0.2%

 

 

 

 

 

 

 

Pennsylvania Turnpike Commission, RB,
Subordinate, Special Motor, License
Fund, Series A, 6.00%, 12/01/36

 

 

625

 

 

694,275

 

Puerto Rico — 1.6%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp.,
RB, First Sub-Series A, 6.38%,
8/01/39

 

 

5,300

 

 

5,594,203

 

Rhode Island — 0.8%

 

 

 

 

 

 

 

Rhode Island Health & Educational
Building Corp., Refunding RB, Public
Schools Financing Program, Series E
(AGC), 6.00%, 5/15/29

 

 

2,625

 

 

2,854,714

 

South Carolina — 1.5%

 

 

 

 

 

 

 

South Carolina Jobs-EDA, Refunding RB,
Palmetto Health, Series A (AGM),
6.50%, 8/01/39

 

 

260

 

 

267,964

 

South Carolina State Ports Authority,
RB, 5.25%, 7/01/40

 

 

5,000

 

 

5,061,000

 

 

 

 

 

 

 

 

 

 

 

 

 

5,328,964

 

Tennessee — 3.4%

 

 

 

 

 

 

 

Knox County Health Educational &
Housing Facilities Board Tennessee,
Refunding RB, CAB, Series A
(AGM) (c):

 

 

 

 

 

 

 

5.88%, 1/01/23

 

 

9,260

 

 

4,828,905

 

5.90%, 1/01/24

 

 

8,500

 

 

4,163,810

 

5.91%, 1/01/25

 

 

6,850

 

 

3,156,480

 

 

 

 

 

 

 

 

 

 

 

 

 

12,149,195

 

Texas — 27.3%

 

 

 

 

 

 

 

City of Houston Texas, RB, Senior Lien,
Series A, 5.50%, 7/01/34

 

 

4,165

 

 

4,320,438

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

City of San Antonio Texas, Refunding RB
(NPFGC):

 

 

 

 

 

 

 

5.13%, 5/15/29

 

$

9,250

 

$

9,574,952

 

5.13%, 5/15/34

 

 

10,000

 

 

10,196,800

 

Comal ISD, GO, School Building (PSF-
GTD), 5.00%, 2/01/36

 

 

2,500

 

 

2,563,575

 

Coppell ISD Texas, GO, Refunding, CAB
(PSF-GTD), 5.64%, 8/15/30 (c)

 

 

10,030

 

 

4,117,516

 

County of Harris Texas, GO (NPFGC) (c):

 

 

 

 

 

 

 

5.57%, 8/15/25

 

 

7,485

 

 

4,204,175

 

5.60%, 8/15/28

 

 

10,915

 

 

5,067,180

 

County of Harris Texas, Refunding RB,
Senior Lien, Toll Road (AGM), 5.00%,
8/15/30

 

 

5,510

 

 

5,533,252

 

Harris County-Houston Sports Authority,
Refunding RB (NPFGC) (c):

 

 

 

 

 

 

 

CAB, Junior Lien, Series H,
5.93%, 11/15/38

 

 

5,785

 

 

726,770

 

CAB, Junior Lien, Series H,
5.95%, 11/15/39

 

 

6,160

 

 

717,578

 

Third Lien, Series A-3, 5.97%,
11/15/38

 

 

16,890

 

 

2,121,891

 

Lewisville ISD Texas, GO, Refunding,
CAB, School Building (NPFGC), 4.67%,
8/15/24 (c)

 

 

3,815

 

 

2,092,947

 

Mansfield ISD Texas, GO, School
Building (PSF-GTD), 5.00%, 2/15/33

 

 

2,980

 

 

3,102,716

 

North East ISD Texas, GO, School
Building, Series A, 5.00%, 8/01/37

 

 

1,500

 

 

1,547,235

 

North Texas Tollway Authority,
Refunding RB, First Tier,:

 

 

 

 

 

 

 

Series A, 6.00%, 1/01/28

 

 

625

 

 

669,712

 

System (NPFGC), 5.75%, 1/01/40

 

 

23,050

 

 

23,123,760

 

Texas State Turnpike Authority, RB, First
Tier, Series A (AMBAC), 5.00%,
8/15/42

 

 

20,000

 

 

17,755,400

 

 

 

 

 

 

 

 

 

 

 

 

 

97,435,897

 

Washington — 3.9%

 

 

 

 

 

 

 

Chelan County Public Utility District No.
1, RB, Chelan Hydro System, Series C
(AMBAC), 5.13%, 7/01/33

 

 

3,655

 

 

3,672,215

 

County of King Washington, Refunding
RB (AGM), 5.00%, 1/01/36

 

 

2,200

 

 

2,227,742

 

Washington Health Care Facilities
Authority, RB:

 

 

 

 

 

 

 

MultiCare Health Care, Series
C (AGC), 5.50%, 8/15/43

 

 

6,400

 

 

6,444,800

 

Providence Health & Services,
Series A, 5.00%, 10/01/39

 

 

1,000

 

 

946,380

 

Providence Health & Services,
Series A, 5.25%, 10/01/39

 

 

675

 

 

663,228

 

 

 

 

 

 

 

 

 

 

 

 

 

13,954,365

 

Wisconsin — 0.4%

 

 

 

 

 

 

 

Wisconsin Health & Educational
Facilities Authority, RB, Ascension
Health Senior Credit Group, 5.00%,
11/15/33

 

 

1,500

 

 

1,495,950

 

 

 

 

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2011

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Total Municipal Bonds – 115.7%

 

 

 

 

$

413,538,446

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to Tender
Option Bond Trusts (e)

 

 

 

 

 

 

 

Arizona — 0.4%

 

 

 

 

 

 

 

Phoenix Civic Improvement Corp., RB,
Junior Lien, Series A, 5.00%, 7/01/34

 

$

1,300

 

 

1,349,842

 

California — 10.8%

 

 

 

 

 

 

 

California State University, RB,
Systemwide, Series A (AGM), 5.00%,
11/01/33

 

 

3,379

 

 

3,285,159

 

California State University, Refunding
RB, Systemwide, Series A (AGM),
5.00%, 11/01/32

 

 

8,000

 

 

7,875,680

 

Foothill-De Anza Community College
District, GO, Election of 1999, Series
C (NPFGC), 5.00%, 8/01/36

 

 

7,500

 

 

7,578,075

 

Los Angeles Community College District
California, GO, Election of 2001,
Series A (AGM), 5.00%, 8/01/32

 

 

5,000

 

 

5,044,550

 

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

 

 

449

 

 

463,690

 

San Diego County Water Authority, COP,
Refunding, Series 2008-A (AGM),
5.00%, 5/01/33

 

 

4,870

 

 

4,946,605

 

University of California, RB, Series C
(NPFGC), 4.75%, 5/15/37

 

 

10,000

 

 

9,485,400

 

 

 

 

 

 

 

 

 

 

 

 

 

38,679,159

 

District of Columbia — 0.3%

 

 

 

 

 

 

 

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

 

 

1,080

 

 

1,200,701

 

Florida — 4.0%

 

 

 

 

 

 

 

City of Tallahassee Florida, RB (NPFGC),
5.00%, 10/01/37

 

 

5,000

 

 

5,015,800

 

Florida State Board of Education, GO,
Series D, 5.00%, 6/01/37

 

 

2,999

 

 

3,077,025

 

Orange County School Board, COP,
Series A (NPFGC), 5.00%, 8/01/30

 

 

6,000

 

 

6,048,480

 

 

 

 

 

 

 

 

 

 

 

 

 

14,141,305

 

Hawaii — 2.8%

 

 

 

 

 

 

 

Honolulu City & County Board of Water
Supply, RB, Series A (FGIC), 5.00%,
7/01/33

 

 

10,000

 

 

10,162,200

 

Illinois — 8.7%

 

 

 

 

 

 

 

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

 

 

2,400

 

 

2,432,640

 

Illinois State Toll Highway Authority, RB,
Series B, 5.50%, 1/01/33

 

 

4,499

 

 

4,611,224

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Municipal Bonds Transferred to Tender
Option Bond Trusts (e)

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

Metropolitan Pier & Exposition Authority,
RB, McCormick Place Expansion
Project, Series A (NPFGC), 5.00%,
12/15/28

 

$

24,010

 

$

24,106,280

 

 

 

 

 

 

 

 

 

 

 

 

 

31,150,144

 

Massachusetts — 3.8%

 

 

 

 

 

 

 

Massachusetts School Building
Authority, RB, Series A (AGM), 5.00%,
8/15/30

 

 

12,987

 

 

13,433,977

 

Nevada — 1.9%

 

 

 

 

 

 

 

City of Las Vegas Nevada, GO, Limited
Tax, Performing Arts Center, 6.00%,
4/01/39

 

 

4,197

 

 

4,503,097

 

Clark County Water Reclamation
District, GO, Series B, 5.75%,
7/01/34

 

 

2,024

 

 

2,218,567

 

 

 

 

 

 

 

 

 

 

 

 

 

6,721,664

 

New York — 4.7%

 

 

 

 

 

 

 

Erie County Industrial Development
Agency, RB, City School District of
Buffalo Project, Series A (AGM),
5.75%, 5/01/28

 

 

4,494

 

 

4,863,606

 

Metropolitan Transportation Authority,
RB, Series A (NPFGC), 5.00%,
11/15/31

 

 

7,002

 

 

7,105,203

 

Triborough Bridge & Tunnel Authority,
RB, General, Series A-2, 5.25%,
11/15/34

 

 

4,500

 

 

4,702,950

 

 

 

 

 

 

 

 

 

 

 

 

 

16,671,759

 

Ohio — 0.2%

 

 

 

 

 

 

 

State of Ohio, RB, Cleveland Clinic
Health, Series B, 5.50%, 1/01/34

 

 

620

 

 

635,407

 

South Carolina — 0.2%

 

 

 

 

 

 

 

South Carolina State Public Service
Authority, RB, Santee Cooper, Series
A, 5.50%, 1/01/38

 

 

600

 

 

640,152

 

Texas — 2.8%

 

 

 

 

 

 

 

Northside ISD Texas, GO, School
Building (PSF-GTD), 5.13%, 6/15/29

 

 

9,500

 

 

10,132,604

 

Utah — 1.4%

 

 

 

 

 

 

 

Utah Transit Authority, RB, Series A
(AGM), 5.00%, 6/15/36

 

 

5,000

 

 

5,134,150

 

Virginia — 0.1%

 

 

 

 

 

 

 

Fairfax County IDA Virginia, Refunding
RB, Health Care, Inova Health System,
Series A, 5.50%, 5/15/35

 

 

400

 

 

410,060

 

Washington — 1.0%

 

 

 

 

 

 

 

Central Puget Sound Regional Transit
Authority, RB, Series A (AGM), 5.00%,
11/01/32

 

 

3,494

 

 

3,608,338

 

Total Municipal Bonds Transferred to
Tender Option Bond Trusts – 43.1%

 

 

 

 

 

154,071,462

 

Total Long-Term Investments
(Cost – $573,034,916) – 158.8%

 

 

 

 

 

567,609,908

 

 

 

 

4

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2011


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

Par
(000)

 

 

Value

 

New York— 0.5%

 

 

 

 

 

 

 

City of New York New York, GO, VRDN,
Sub-Series A-6 (AGM Insurance, Dexia
Credit Local SBPA), 0.45%, 6/01/11 (f)

 

$

1,700

 

$

1,700,000

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

Money Market Fund — 0.6%

 

 

 

 

 

 

 

FFI Institutional Tax-Exempt Fund,
0.11% (g)(h)

 

 

1,990,573

 

 

1,990,573

 

Total Short-Term Securities
(Cost – $3,690,573) – 1.1%

 

 

 

 

 

3,690,573

 

Total Investments
(Cost – $576,725,489*) – 159.9%

 

 

 

 

 

571,300,481

 

Other Assets Less Liabilities – 1.5%

 

 

 

 

 

5,467,236

 

Liability for Trust Certificates, Including Interest
Expense and Fees Payable – (23.0)%

 

 

 

 

 

(82,186,514

)

Preferred Shares, at Redemption Value – (38.4)%

 

 

 

 

 

(137,252,676

)

 

 

 

 

 

 

Net Assets Applicable to Common Shares – 100.0%

 

 

 

 

$

357,328,527

 

 

 

 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of May 31, 2011, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

494,598,808

 

 

 

 

Gross unrealized appreciation

 

$

16,971,156

 

Gross unrealized depreciation

 

 

(22,383,995

)

 

 

 

Net unrealized depreciation

 

$

(5,412,839

)

 

 

 

 

 

(a)

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

 

 

(b)

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

 

 

(c)

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

 

 

(d)

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


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

Merrill Lynch & Co., Inc.

 

$

417,604

 

$

368

 

 

 

(e)

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

 

 

(f)

Variable rate security. Rate shown is as of report date and maturity shown is the date the principal owed can be recovered through demand.

 

 

(g)

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
August 31,
2010

 

Net
Activity

 

Shares
Held at
May 31,
2011

 

Income

 

FFI Institutional
Tax-Exempt
Fund

 

 

9,416,737

 

 

(7,426,164

)

 

1,990,573

 

$

7,918

 

 

 

(h)

Represents the current yield as of report date.

 

 

•

Financial futures contracts sold as of May 31, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

195

 

10-Year
U.S.
Treasury
Note

 

Chicago
Board of
Trade

 

June
2011

 

$

23,110,176

 

$

(1,075,917

)

90

 

10-Year
U.S.
Treasury
Note

 

Chicago
Board of
Trade

 

September
2011

 

$

11,019,907

 

 

(14,937

)

Total

 

 

 

 

 

 

 

 

 

 

$

(1,090,854

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its semi-annual report.

 

 

 

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2011

5


 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Quality Trust (BYM)

The following tables summarize the inputs used as of May 31, 2011 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

—

 

$

567,609,908

 

 

—

 

$

567,609,908

 

Short-Term
Securities

 

$

1,990,573

 

 

1,700,000

 

 

—

 

 

3,690,573

 

 

 

Total

 

$

1,990,573

 

$

569,309,908

 

 

—

 

$

571,300,481

 

 

 

 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
Contracts

 

$

(1,090,854

)

 

—

 

 

—

 

$

(1,090,854

)

 

 

 

 

2

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


 

 

 

6

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2011

Item 2 –

Controls and Procedures

 

 

2(a) –

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

 

 

2(b) –

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

 

 

Item 3 –

Exhibits

 

 

 

Certifications – Attached hereto

 

 

 

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

 

 

 

BlackRock Municipal Income Quality Trust

 

 
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Municipal Income Quality Trust
   
  Date: July 26, 2011
   
  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 Municipal Income Quality Trust
   
  Date: July 26, 2011
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Municipal Income Quality Trust
     
  Date: July 26, 2011