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: 08/31/2012

 

Date of reporting period: 05/31/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments May 31, 2012 (Unaudited)

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 3.6%

 

 

 

 

 

 

 

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

 

$

3,800

 

$

4,330,974

 

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

 

 

5,800

 

 

6,476,222

 

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

 

 

1,495

 

 

1,725,873

 

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

 

 

2,800

 

 

2,630,348

 

 

 

 

 

 

 

15,163,417

 

Alaska — 0.7%

 

 

 

 

 

 

 

Alaska Housing Finance Corp, RB,
Series A, 4.25%, 12/01/40 (a)

 

 

310

 

 

310,000

 

Alaska Housing Finance Corp, RB,
Series A, 4.13%, 12/01/37 (a)

 

 

1,390

 

 

1,386,734

 

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

 

 

1,070

 

 

1,212,652

 

 

 

 

 

 

 

2,909,386

 

Arizona — 0.5%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.00%, 10/01/27

 

 

1,500

 

 

1,690,320

 

5.25%, 10/01/28

 

 

250

 

 

284,128

 

 

 

 

 

 

 

1,974,448

 

California — 23.1%

 

 

 

 

 

 

 

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

 

 

625

 

 

712,106

 

California Infrastructure & Economic
Development Bank, RB, Bay Area Toll
Bridges, First Lien, Series A (AMBAC),
5.00%, 7/01/36 (b)

 

 

10,100

 

 

13,654,190

 

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

 

 

1,620

 

 

1,750,556

 

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

 

 

 

 

 

 

 

—%, 8/01/13 (d)

 

 

7,450

 

 

7,221,881

 

5.41%, 8/01/36

 

 

4,200

 

 

1,136,436

 

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

 

 

 

 

 

 

 

6.75%, 6/01/39

 

 

14,500

 

 

15,428,580

 

6.63%, 6/01/40

 

 

6,500

 

 

6,908,135

 

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

 

 

16,745

 

 

17,800,772

 

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

 

 

 

 

 

 

 

5.15%, 8/01/31

 

 

13,575

 

 

5,168,546

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.16%, 8/01/32

 

$

14,150

 

$

5,076,737

 

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

 

 

2,500

 

 

2,776,050

 

San Diego Unified School District
California, GO, CAB (c):

 

 

 

 

 

 

 

Election of 2008, Series C,
6.84%, 7/01/38

 

 

2,000

 

 

525,540

 

Series R-1, 5.07%, 7/01/30

 

 

5,995

 

 

2,534,506

 

San Diego Unified School District
California, GO, Refunding, CAB, Series
R-1, 5.08%, 7/01/31 (c)

 

 

1,400

 

 

559,538

 

San Joaquin Hills Transportation
Corridor Agency California, Refunding
RB, CAB, Series A (NPFGC), 5.51%,
1/15/31 (c)

 

 

30,000

 

 

10,067,700

 

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

 

 

2,350

 

 

2,541,149

 

State of California, GO, Various Purpose,
5.00%, 4/01/42

 

 

1,000

 

 

1,075,530

 

State of California, GO, Various Purpose,
5.00%, 10/01/41

 

 

1,100

 

 

1,180,487

 

 

 

 

 

 

 

96,118,439

 

Colorado — 0.3%

 

 

 

 

 

 

 

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

 

 

960

 

 

1,078,954

 

District of Columbia — 2.3%

 

 

 

 

 

 

 

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

 

 

9,500

 

 

9,680,500

 

Florida — 15.9%

 

 

 

 

 

 

 

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

 

 

1,400

 

 

1,552,124

 

Broward County Water & Sewer Utility,
RB, Series A, 5.25%, 10/01/34

 

 

6,750

 

 

7,813,057

 

City of Jacksonville, Refunding RB,
Series A, 5.00%, 10/01/30

 

 

320

 

 

359,533

 

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

 

 

3,475

 

 

3,742,540

 

County of Miami-Dade Florida, RB:

 

 

 

 

 

 

 

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

 

 

25,520

 

 

5,735,365

 

Miami International Airport,
Series A, 5.50%, 10/01/41

 

 

5,000

 

 

5,632,450

 

Series A, 5.50%, 10/01/36

 

 

5,000

 

 

5,669,250

 

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

 

 

10,100

 

 

11,094,446

 

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

 

 

1,300

 

 

1,397,136

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2012

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)

 

 

 

 

 

 

 

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

 

$

3,800

 

$

4,083,936

 

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

 

 

6,150

 

 

6,809,342

 

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

 

 

6,090

 

 

6,967,873

 

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

 

 

300

 

 

325,182

 

School Board of Miami-Dade County
Florida, COP, Series A, The, 4.00%,
8/01/29 (a)

 

 

1,560

 

 

1,532,154

 

South Florida Water Management
District, COP (AMBAC), 5.00%,
10/01/36

 

 

1,000

 

 

1,055,250

 

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

 

 

2,000

 

 

2,281,660

 

 

 

 

 

 

 

66,051,298

 

Georgia — 2.7%

 

 

 

 

 

 

 

Burke County Development Authority,
RB, Oglethorpe Power, Vogtle Project,
Series C, 5.70%, 1/01/43

 

 

1,250

 

 

1,349,637

 

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

 

 

7,500

 

 

9,153,225

 

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

 

 

800

 

 

885,304

 

 

 

 

 

 

 

11,388,166

 

Hawaii — 1.3%

 

 

 

 

 

 

 

Hawaii State Harbor, RB, Series A,
5.25%, 7/01/35

 

 

5,000

 

 

5,605,150

 

Illinois — 1.5%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO,
Series A, 5.50%, 12/01/39

 

 

2,590

 

 

2,960,577

 

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

 

 

350

 

 

426,520

 

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

 

 

600

 

 

664,584

 

Chicago Transit Authority, RB, 5.25%,
12/01/36

 

 

650

 

 

731,750

 

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

 

 

710

 

 

814,711

 

State of Illinois, GO:

 

 

 

 

 

 

 

5.00%, 3/01/36

 

 

390

 

 

415,370

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

State of Illinois, GO (concluded):

 

 

 

 

 

 

 

5.00%, 3/01/37

 

$

155

 

$

164,700

 

 

 

 

 

 

 

6,178,212

 

Indiana — 2.0%

 

 

 

 

 

 

 

Indiana Finance Authority Wastewater
Utility, Refunding RB, First Lien, CWA
Authority, Series A, 5.25%, 10/01/38

 

 

1,100

 

 

1,244,606

 

Indiana Municipal Power Agency, RB,
Series B, 5.75%, 1/01/34

 

 

450

 

 

477,545

 

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

 

 

5,750

 

 

6,453,110

 

 

 

 

 

 

 

8,175,261

 

Iowa — 1.3%

 

 

 

 

 

 

 

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

 

 

5,000

 

 

5,606,950

 

Kentucky — 0.4%

 

 

 

 

 

 

 

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

 

 

1,500

 

 

1,712,220

 

Louisiana — 3.2%

 

 

 

 

 

 

 

Jefferson Parish Hospital Service District
No. 1, Refunding RB, West Jefferson
Medical Center, Series A, 6.00%,
1/01/39

 

 

1,300

 

 

1,486,251

 

Parish of Saint John the Baptist
Louisiana, RB, Marathon Oil Corp.,
Series A, 5.13%, 6/01/37

 

 

1,750

 

 

1,822,170

 

Parish of St. Charles Louisiana Gulf
Opportunity Zone, RB, Valero Project,
Series 2010, 4.00%, 12/01/40 (a)(e)

 

 

1,720

 

 

1,759,870

 

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

 

 

7,500

 

 

8,255,025

 

 

 

 

 

 

 

13,323,316

 

Michigan — 2.4%

 

 

 

 

 

 

 

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

 

 

3,000

 

 

3,410,880

 

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

 

 

465

 

 

507,906

 

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

 

 

1,100

 

 

1,283,865

 

Michigan State Building Authority,
Refunding RB, Facilities Program:

 

 

 

 

 

 

 

Series I-A, 5.38%, 10/15/36

 

 

2,000

 

 

2,273,380

 

Series I-A, 5.38%, 10/15/41

 

 

800

 

 

904,600

 

Series II-A, 5.38%, 10/15/36

 

 

1,500

 

 

1,705,035

 

 

 

 

 

 

 

10,085,666

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2012

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Mississippi — 0.2%

 

 

 

 

 

 

 

Medical Center Educational Building
Corporation, RB, University of
Mississippi Medical Center Facilities
Expansion & Renovation Project,
Series A, 5.00%, 6/01/41

 

$

800

 

$

884,864

 

Nebraska — 2.5%

 

 

 

 

 

 

 

Central Plains Energy Project Nebraska,
RB, Gas Project No. 3, 5.25%,
9/01/37

 

 

5,820

 

 

6,150,518

 

Nebraska Investment Finance Authority,
Refunding RB, Series A:

 

 

 

 

 

 

 

5.90%, 9/01/36

 

 

2,450

 

 

2,799,713

 

6.05%, 9/01/41

 

 

1,445

 

 

1,535,702

 

 

 

 

 

 

 

10,485,933

 

Nevada — 1.1%

 

 

 

 

 

 

 

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

 

 

4,100

 

 

4,522,464

 

New Jersey — 1.4%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Series A, 5.50%, 6/15/41

 

 

3,000

 

 

3,476,580

 

Series B, 5.25%, 6/15/36

 

 

1,990

 

 

2,262,789

 

 

 

 

 

 

 

5,739,369

 

New York — 1.1%

 

 

 

 

 

 

 

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

 

 

770

 

 

886,524

 

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

 

 

1,950

 

 

2,250,866

 

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

 

 

1,300

 

 

1,546,168

 

 

 

 

 

 

 

4,683,558

 

North Carolina — 0.7%

 

 

 

 

 

 

 

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

 

 

2,875

 

 

2,998,481

 

Ohio — 0.9%

 

 

 

 

 

 

 

County of Allen Ohio, Refunding RB,
Catholic HealthCare Partners, Series
A, 5.00%, 5/01/42

 

 

2,875

 

 

3,074,324

 

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

 

 

610

 

 

750,147

 

 

 

 

 

 

 

3,824,471

 

Pennsylvania — 0.2%

 

 

 

 

 

 

 

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

 

 

625

 

 

760,050

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

 

Par
(000)

 

Value

 

Puerto Rico — 2.8%

 

 

 

 

 

 

 

Puerto Rico Electric Power Authority,
Refunding RB, Series A, 5.00%,
7/01/42

 

$

1,570

 

$

1,586,045

 

Puerto Rico Sales Tax Financing Corp.,
RB, First Sub-Series A:

 

 

 

 

 

 

 

6.38%, 8/01/39

 

 

5,300

 

 

6,199,569

 

5.50%, 8/01/42

 

 

3,450

 

 

3,701,436

 

 

 

 

 

 

 

11,487,050

 

Rhode Island — 0.7%

 

 

 

 

 

 

 

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

 

 

2,625

 

 

3,002,606

 

South Carolina — 1.4%

 

 

 

 

 

 

 

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

 

 

260

 

 

307,918

 

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

 

 

5,000

 

 

5,540,700

 

 

 

 

 

 

 

5,848,618

 

Tennessee — 3.4%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

5.88%, 1/01/23

 

 

8,910

 

 

4,889,095

 

5.90%, 1/01/24

 

 

8,500

 

 

4,388,805

 

5.91%, 1/01/25

 

 

6,850

 

 

3,330,744

 

Memphis Center City Revenue Finance
Corp., RB, Sub-Pyramid & Pinch
District, Series B (AGM), 5.25%,
11/01/30

 

 

1,240

 

 

1,433,229

 

 

 

 

 

 

 

14,041,873

 

Texas — 24.4%

 

 

 

 

 

 

 

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

 

 

4,165

 

 

4,666,174

 

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

 

 

 

 

 

 

 

5.13%, 5/15/29

 

 

9,250

 

 

9,900,460

 

5.13%, 5/15/34

 

 

10,000

 

 

10,727,300

 

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

 

 

2,500

 

 

2,765,700

 

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

 

 

10,030

 

 

5,390,523

 

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

 

 

1,910

 

 

1,924,058

 

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

 

 

 

 

 

 

 

5.58%, 8/15/25

 

 

7,485

 

 

5,171,911

 

5.61%, 8/15/28

 

 

10,915

 

 

6,535,575

 

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

 

 

 

 

 

 

 

CAB, Junior Lien, Series H,
5.94%, 11/15/38

 

 

5,785

 

 

1,121,075

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2012

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

 

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

CAB, Junior Lien, Series H,
5.96%, 11/15/39

 

$

6,160

 

$

1,121,921

 

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

 

 

16,890

 

 

3,273,113

 

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

 

 

2,980

 

 

3,366,625

 

North Texas Tollway Authority,
Refunding RB, First Tier, System
(NPFGC), 5.75%, 1/01/40

 

 

23,050

 

 

25,572,592

 

North Texas Tollway Authority,
Refunding RB, First Tier, System, First
Tier, Series A, 6.00%, 1/01/28

 

 

625

 

 

724,506

 

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

 

 

19,500

 

 

19,501,560

 

 

 

 

 

 

 

101,763,093

 

Washington — 2.8%

 

 

 

 

 

 

 

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

 

 

3,655

 

 

3,669,912

 

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

 

 

2,200

 

 

2,427,084

 

Washington Health Care Facilities
Authority, RB:

 

 

 

 

 

 

 

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

 

 

4,000

 

 

4,319,760

 

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

 

 

500

 

 

538,540

 

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

 

 

675

 

 

742,176

 

 

 

 

 

 

 

11,697,472

 

Wisconsin — 1.1%

 

 

 

 

 

 

 

Wisconsin Health & Educational
Facilities Authority, RB:

 

 

 

 

 

 

 

Ascension Health Senior Credit
Group, 5.00%, 11/15/33

 

 

1,500

 

 

1,649,610

 

Froedtert & Community
Health, 5.25%, 4/01/39

 

 

2,500

 

 

2,735,125

 

 

 

 

 

 

 

4,384,735

 

Total Municipal Bonds – 105.9%

 

 

 

 

 

441,176,020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Arizona — 1.9%

 

 

 

 

 

 

 

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

 

 

1,300

 

 

1,506,141

 

 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Arizona (concluded)

 

 

 

 

 

 

 

Phoenix Civic Improvement Corp., RB,
Sub-Civic Plaza Expansion Project,
Series A, 5.00%, 7/01/37

 

$

4,490

 

$

4,769,323

 

Salt River Project Agricultural
Improvement & Power District, RB,
Series A, 5.00%, 1/01/38

 

 

1,500

 

 

1,653,945

 

 

 

 

 

 

 

7,929,409

 

California — 10.3%

 

 

 

 

 

 

 

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

 

 

3,379

 

 

3,658,379

 

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

 

 

8,000

 

 

8,999,760

 

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

 

 

7,500

 

 

8,215,950

 

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

 

 

5,000

 

 

5,547,450

 

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

 

 

449

 

 

519,609

 

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

 

 

4,870

 

 

5,352,763

 

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

 

 

10,000

 

 

10,431,900

 

 

 

 

 

 

 

42,725,811

 

District of Columbia — 0.3%

 

 

 

 

 

 

 

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

 

 

1,080

 

 

1,332,742

 

Florida — 4.9%

 

 

 

 

 

 

 

City of Tallahassee Florida, RB (NPFGC):

 

 

 

 

 

 

 

5.00%, 10/01/32

 

 

3,000

 

 

3,215,550

 

5.00%, 10/01/37

 

 

5,000

 

 

5,354,250

 

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

 

 

2,999

 

 

3,367,935

 

Highlands County Health Facilities
Authority, RB, Adventist, Series C,
5.25%, 11/15/36 (e)

 

 

1,800

 

 

1,907,532

 

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

 

 

6,000

 

 

6,541,320

 

 

 

 

 

 

 

20,386,587

 

Hawaii — 2.6%

 

 

 

 

 

 

 

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

 

 

10,000

 

 

10,964,400

 

Illinois — 11.2%

 

 

 

 

 

 

 

City of Chicago Illinois, RB:

 

 

 

 

 

 

 

Project, Series A (AGC), 5.00%, 1/01/38

 

 

8,310

 

 

8,747,355

 

Sale Tax Revenue, Series A,
5.00%, 1/01/41

 

 

3,870

 

 

4,269,423

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2012

4


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

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

 

$

2,400

 

$

2,734,704

 

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

 

 

4,499

 

 

4,937,609

 

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

 

 

24,010

 

 

24,318,048

 

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

 

 

1,400

 

 

1,565,997

 

 

 

 

 

 

 

46,573,136

 

Massachusetts — 3.4%

 

 

 

 

 

 

 

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

 

 

12,987

 

 

14,361,722

 

Michigan — 1.9%

 

 

 

 

 

 

 

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

 

 

7,300

 

 

7,926,340

 

Nevada — 1.8%

 

 

 

 

 

 

 

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

 

 

4,197

 

 

4,855,309

 

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

 

 

2,024

 

 

2,479,732

 

 

 

 

 

 

 

7,335,041

 

New York — 4.4%

 

 

 

 

 

 

 

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

 

 

4,494

 

 

5,223,471

 

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

 

 

7,002

 

 

7,822,773

 

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

 

 

4,500

 

 

5,124,105

 

 

 

 

 

 

 

18,170,349

 

Ohio — 0.2%

 

 

 

 

 

 

 

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

 

 

620

 

 

696,595

 

Puerto Rico — 1.3%

 

 

 

 

 

 

 

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

 

 

2,500

 

 

5,620,512

 

South Carolina — 0.2%

 

 

 

 

 

 

 

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

 

 

600

 

 

688,992

 

 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Texas — 2.9%

 

 

 

 

 

 

 

North East ISD Texas, GO, School
Building (PSF-GTD):

 

 

 

 

 

 

 

5.13%, 6/15/29

 

$

9,500

 

$

10,246,534

 

Series A, 5.00%, 8/01/37

 

 

1,500

 

 

1,675,260

 

 

 

 

 

 

 

11,921,794

 

Utah — 1.3%

 

 

 

 

 

 

 

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

 

 

5,000

 

 

5,545,150

 

Virginia — 0.1%

 

 

 

 

 

 

 

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

 

 

400

 

 

450,560

 

Washington — 0.9%

 

 

 

 

 

 

 

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

 

 

3,494

 

 

3,947,178

 

Total Municipal Bonds Transferred to Tender Option
Bond (TOB) Trusts – 49.6%

 

 

 

 

 

206,576,318

 

Total Long-Term Investments
(Cost – $593,335,467) – 155.5%

 

 

 

 

 

647,752,338

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

New York — 0.4%

 

 

 

 

 

 

 

City of New York New York, GO, VRDN,
Sub-Series A-6 (AGM, Dexia Credit
Local SBPA),
0.35%, 6/01/12 (e)

 

 

1,700

 

 

1,700,000

 

 

 

 

 

 

 

 

 

Money Market — 0.9%

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund,
0.04% (g)(h)

 

 

3,632,537

 

 

3,632,537

 

Total Short-Term Securities
(Cost – $5,332,537) – 1.3%

 

 

 

 

 

5,332,537

 

Total Investments (Cost - $598,668,004*) – 156.8%

 

 

 

 

 

653,084,875

 

Other Assets Less Liabilities – 0.4%

 

 

 

 

 

1,920,641

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable – (24.3)%

 

 

 

 

 

(101,303,115

)

VMTP Shares, at Liquidation Value – (32.9)%

 

 

 

 

 

(137,200,000

)

Net Assets Applicable to Common Shares – 100.0%

 

 

 

 

$

416,502,401

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2012

5


 

 

 

 

Schedule of Investments (continued)

BlackRock Municipal Income Quality Trust (BYM)

 

 

*

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


 

 

 

 

 

Tax cost

 

$

497,396,262

 

Gross unrealized appreciation

 

$

56,750,199

 

Gross unrealized depreciation

 

 

(2,300,676

)

Net unrealized appreciation

 

$

54,449,523

 

 

 

(a)

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


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

Merrill Lynch Pierce

 

$

310,000

 

$

2,542

 

 

Merrill Lynch Pierce

 

$

1,386,734

 

$

23,616

 

 

BNY/Suntrust Capital

 

$

1,759,870

 

$

39,870

 

 

JPMorgan Securities

 

$

1,532,154

 

$

28,392

 

 

 

(b)

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

 

 

(c)

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

 

 

(d)

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

 

 

(e)

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

 

 

(f)

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

 

 

(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, 2011

 

Net
Activity

 

Shares
Held at
May 31, 2012

 

Income

 

FFI Institutional
Tax-Exempt
Fund

 

 

5,821,237

 

 

(2,188,700

)

 

3,632,537

 

$

1,332

 

 

 

(h)

Represents the current yield as of report date.


 

Portfolio Abbreviations

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

 

 

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

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

 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

120

 

10-Year US
Treasury
Note

 

Chicago
Board
of Trade

 

September
2012

 

$

(16,072,500

)

$

(140,853

)

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

•

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

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

—

 

$

647,752,338

 

 

—

 

$

647,752,338

 

Short-Term
Securities

 

$

3,632,537

 

 

1,700,000

 

 

—

 

 

5,332,537

 

Total

 

$

3,632,537

 

$

649,452,338

 

 

—

 

$

653,084,875

 

 

 

1

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


 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2012

6


 

 

 

 

Schedule of Investments (concluded)

BlackRock Municipal Income Quality Trust (BYM)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(140,853

)

 

—

 

 

—

 

$

(140,853

)

 

 

2

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

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash pledged
as collateral
for financial
futures
contracts

 

$

311,000

 

 

—

 

 

—

 

$

311,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

TOB trust
certificates

 

 

—

 

$

(101,239,090

)

 

—

 

 

(101,239,090

)

VMTP Shares

 

 

—

 

 

(137,200,000

)

 

—

 

 

(137,200,000

)

Total

 

$

311,000

 

$

(238,439,690

)

 

—

 

$

(238,128,090

)

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

 

 

 

 

 

 

 

 

 

BLACKROCK MUNICIPAL INCOME QUALITY TRUST

MAY 31, 2012

7

Item 2 –

Controls and Procedures

 

 

2(a) –

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

 

 

2(b) –

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

 

 

Item 3 –

Exhibits

 

 

 

Certifications – Attached hereto

 

 

 

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

 

 

 

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