|
|
|
64
|
|
2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
|
Statements of Cash Flows (unaudited) (continued)
Six Months Ended February 29, 2020
|
|
|
|
|
|
|
|
|
|
|
MFL
|
|
|
MVF
|
|
|
|
|
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES
|
|
|
|
|
|
|
|
|
Net increase in net assets resulting from operations
|
|
$
|
27,819,838
|
|
|
$
|
33,008,990
|
|
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
|
|
|
146,117,728
|
|
|
|
64,499,270
|
|
Purchases of long-term investments
|
|
|
(162,149,834
|
)
|
|
|
(77,650,237
|
)
|
Net proceeds from sales (purchases) of short-term securities
|
|
|
2,830,647
|
|
|
|
13,821,901
|
|
Amortization of premium and accretion of discount on investments and other fees
|
|
|
3,293,430
|
|
|
|
1,888,390
|
|
Net realized gain (loss) on investments
|
|
|
(3,977,943
|
)
|
|
|
(886,848
|
)
|
Net unrealized appreciation (depreciation) on investments
|
|
|
(14,604,142
|
)
|
|
|
(21,186,137
|
)
|
|
|
|
(Increase) Decrease in Assets:
|
|
|
|
|
|
|
|
|
Receivables:
|
|
|
|
|
|
|
|
|
Dividends affiliated
|
|
|
476
|
|
|
|
12,978
|
|
Interest unaffiliated
|
|
|
22,803
|
|
|
|
(691,551
|
)
|
Prepaid expenses
|
|
|
27,628
|
|
|
|
31,288
|
|
|
|
|
Increase (Decrease) in Liabilities:
|
|
|
|
|
|
|
|
|
Payables:
|
|
|
|
|
|
Interest expense and fees
|
|
|
(64,184
|
)
|
|
|
(111,576
|
)
|
Investment advisory fees
|
|
|
384,595
|
|
|
|
392,251
|
|
Trustees and Officers fees
|
|
|
(29,706
|
)
|
|
|
(19,326
|
)
|
Other accrued expenses
|
|
|
(103,562
|
)
|
|
|
(105,296
|
)
|
Variation margin on futures contracts
|
|
|
715,495
|
|
|
|
822,984
|
|
|
|
|
|
|
|
|
|
|
Net cash provided by (used for) operating activities
|
|
|
283,269
|
|
|
|
13,827,081
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES
|
|
|
|
|
|
|
|
|
Cash dividends paid to Common Shareholders
|
|
|
(10,345,665
|
)
|
|
|
(13,707,965
|
)
|
Repayments of TOB Trust Certificates
|
|
|
|
|
|
|
(6,399,835
|
)
|
Proceeds from TOB Trust Certificates
|
|
|
10,000,000
|
|
|
|
6,674,001
|
|
Amortization of deferred offering costs
|
|
|
8,446
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net cash (provided by) used for financing activities
|
|
|
(337,219
|
)
|
|
|
(13,433,799
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
CASH
|
|
|
|
|
|
|
|
|
Net increase (decrease) in restricted and unrestricted cash
|
|
|
(53,950
|
)
|
|
|
393,282
|
|
Restricted and unrestricted cash at beginning of period
|
|
|
753,331
|
|
|
|
406,218
|
|
|
|
|
|
|
|
|
|
|
Restricted and unrestricted cash at end of period
|
|
$
|
699,381
|
|
|
$
|
799,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
|
|
|
|
|
|
|
|
|
Cash paid during the period for interest expense
|
|
$
|
3,751,218
|
|
|
$
|
3,636,188
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND
LIABILITIES
|
|
|
|
|
|
|
|
|
Cash
|
|
$
|
15,231
|
|
|
$
|
|
|
Cash pledged:
|
|
|
|
|
|
|
|
|
Futures contracts
|
|
|
684,150
|
|
|
|
799,500
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
699,381
|
|
|
$
|
799,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE BEGINNING OF PERIOD TO THE STATEMENTS OF ASSETS
AND LIABILITIES
|
|
|
|
|
|
|
|
|
Cash
|
|
$
|
174,181
|
|
|
$
|
94,718
|
|
Cash pledged:
|
|
|
|
|
|
|
|
|
Futures contracts
|
|
|
579,150
|
|
|
|
311,500
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
753,331
|
|
|
$
|
406,218
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
Financial Highlights
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBK
|
|
|
|
Six Months Ended
02/29/20
(unaudited)
|
|
|
|
|
|
Year Ended August 31,
|
|
|
|
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
16.82
|
|
|
|
|
|
|
$
|
15.78
|
|
|
$
|
16.32
|
|
|
$
|
17.89
|
|
|
$
|
16.49
|
|
|
$
|
16.54
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a)
|
|
|
0.36
|
|
|
|
|
|
|
|
0.65
|
|
|
|
0.70
|
|
|
|
0.74
|
|
|
|
0.89
|
|
|
|
0.90
|
|
Net realized and unrealized gain (loss)
|
|
|
0.38
|
|
|
|
|
|
|
|
1.15
|
|
|
|
(0.47
|
)
|
|
|
(1.09
|
)
|
|
|
1.42
|
|
|
|
0.03
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) from investment operations
|
|
|
0.74
|
|
|
|
|
|
|
|
1.80
|
|
|
|
0.23
|
|
|
|
(0.35
|
)
|
|
|
2.31
|
|
|
|
0.93
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
|
(0.33
|
)
|
|
|
|
|
|
|
(0.70
|
)
|
|
|
(0.77
|
)
|
|
|
(0.83
|
)
|
|
|
(0.90
|
)
|
|
|
(0.98
|
)
|
From net realized gain
|
|
|
|
|
|
|
|
|
|
|
(0.06
|
)
|
|
|
|
|
|
|
(0.39
|
)
|
|
|
(0.01
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total distributions to Common Shareholders
|
|
|
(0.33
|
)
|
|
|
|
|
|
|
(0.76
|
)
|
|
|
(0.77
|
)
|
|
|
(1.22
|
)
|
|
|
(0.91
|
)
|
|
|
(0.98
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period
|
|
$
|
17.23
|
|
|
|
|
|
|
$
|
16.82
|
|
|
$
|
15.78
|
|
|
$
|
16.32
|
|
|
$
|
17.89
|
|
|
$
|
16.49
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market price, end of period
|
|
$
|
15.94
|
|
|
|
|
|
|
$
|
15.95
|
|
|
$
|
14.35
|
|
|
$
|
15.99
|
|
|
$
|
18.22
|
|
|
$
|
15.23
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Applicable to Common
Shareholders(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value
|
|
|
4.58
|
%(d)
|
|
|
|
|
|
|
12.35
|
%
|
|
|
1.87
|
%
|
|
|
(1.44
|
)%
|
|
|
14.53
|
%
|
|
|
5.96
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on market price
|
|
|
2.02
|
%(d)
|
|
|
|
|
|
|
17.16
|
%
|
|
|
(5.45
|
)%
|
|
|
(5.18
|
)%
|
|
|
26.29
|
%
|
|
|
3.83
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets Applicable to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
2.48
|
%(e)
|
|
|
|
|
|
|
2.79
|
%
|
|
|
2.49
|
%
|
|
|
2.31
|
%
|
|
|
1.78
|
%
|
|
|
1.73
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly
|
|
|
2.36
|
%(e)
|
|
|
|
|
|
|
2.77
|
%
|
|
|
2.49
|
%
|
|
|
2.31
|
%
|
|
|
1.77
|
%
|
|
|
1.73
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly and excluding interest expense, fees, and amortization
of offering costs(f)
|
|
|
1.07
|
%(e)
|
|
|
|
|
|
|
1.18
|
%
|
|
|
1.18
|
%
|
|
|
1.19
|
%
|
|
|
1.16
|
%
|
|
|
1.16
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income to Common Shareholders
|
|
|
4.40
|
%(e)
|
|
|
|
|
|
|
4.13
|
%
|
|
|
4.39
|
%
|
|
|
4.55
|
%
|
|
|
5.18
|
%
|
|
|
5.41
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to Common Shareholders, end of period (000)
|
|
$
|
181,260
|
|
|
|
|
|
|
$
|
177,030
|
|
|
$
|
166,079
|
|
|
$
|
171,705
|
|
|
$
|
188,107
|
|
|
$
|
173,363
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VMTP Shares outstanding at $100,000 liquidation value, end of period (000)
|
|
$
|
79,900
|
|
|
|
|
|
|
$
|
79,900
|
|
|
$
|
79,900
|
|
|
$
|
79,900
|
|
|
$
|
79,900
|
|
|
$
|
79,900
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset coverage per VMTP Shares at $100,000 liquidation value, end of period
|
|
$
|
326,858
|
|
|
|
|
|
|
$
|
321,564
|
|
|
$
|
307,858
|
|
|
$
|
314,899
|
|
|
$
|
335,428
|
|
|
$
|
316,975
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings outstanding, end of period (000)
|
|
$
|
33,443
|
|
|
|
|
|
|
$
|
29,194
|
|
|
$
|
23,232
|
|
|
$
|
22,404
|
|
|
$
|
25,054
|
|
|
$
|
19,495
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio turnover rate
|
|
|
3
|
%
|
|
|
|
|
|
|
19
|
%
|
|
|
38
|
%
|
|
|
46
|
%
|
|
|
29
|
%
|
|
|
34
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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.
|
(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.
|
|
|
66
|
|
2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
|
Financial Highlights (continued)
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BAF
|
|
|
|
Six Months Ended
02/29/20
(unaudited)
|
|
|
|
|
|
Year Ended August 31,
|
|
|
|
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
15.68
|
|
|
|
|
|
|
$
|
14.86
|
|
|
$
|
15.69
|
|
|
$
|
16.56
|
|
|
$
|
15.80
|
|
|
$
|
15.97
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a)
|
|
|
0.32
|
|
|
|
|
|
|
|
0.65
|
|
|
|
0.74
|
|
|
|
0.79
|
|
|
|
0.83
|
|
|
|
0.83
|
|
Net realized and unrealized gain (loss)
|
|
|
0.30
|
|
|
|
|
|
|
|
0.86
|
|
|
|
(0.77
|
)
|
|
|
(0.84
|
)
|
|
|
0.75
|
|
|
|
(0.18
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) from investment operations
|
|
|
0.62
|
|
|
|
|
|
|
|
1.51
|
|
|
|
(0.03
|
)
|
|
|
(0.05
|
)
|
|
|
1.58
|
|
|
|
0.65
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders from net investment
income(b)
|
|
|
(0.31
|
)
|
|
|
|
|
|
|
(0.69
|
)
|
|
|
(0.80
|
)
|
|
|
(0.82
|
)
|
|
|
(0.82
|
)
|
|
|
(0.82
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period
|
|
$
|
15.99
|
|
|
|
|
|
|
$
|
15.68
|
|
|
$
|
14.86
|
|
|
$
|
15.69
|
|
|
$
|
16.56
|
|
|
$
|
15.80
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market price, end of period
|
|
$
|
14.36
|
|
|
|
|
|
|
$
|
14.53
|
|
|
$
|
13.54
|
|
|
$
|
15.11
|
|
|
$
|
15.79
|
|
|
$
|
13.89
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Applicable to Common
Shareholders(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value
|
|
|
4.17
|
%(d)
|
|
|
|
|
|
|
10.96
|
%
|
|
|
0.18
|
%
|
|
|
0.14
|
%
|
|
|
10.57
|
%
|
|
|
4.71
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on market price
|
|
|
0.95
|
%(d)
|
|
|
|
|
|
|
12.85
|
%
|
|
|
(5.22
|
)%
|
|
|
1.15
|
%
|
|
|
19.92
|
%
|
|
|
3.68
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets Applicable to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
2.50
|
%(e)
|
|
|
|
|
|
|
2.82
|
%
|
|
|
2.47
|
%
|
|
|
2.06
|
%
|
|
|
1.61
|
%
|
|
|
1.50
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly
|
|
|
2.50
|
%(e)
|
|
|
|
|
|
|
2.82
|
%
|
|
|
2.47
|
%
|
|
|
2.06
|
%
|
|
|
1.61
|
%
|
|
|
1.50
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly and excluding interest expense, fees, and amortization
of offering costs(f)
|
|
|
1.10
|
%(e)
|
|
|
|
|
|
|
1.11
|
%
|
|
|
1.08
|
%
|
|
|
1.06
|
%
|
|
|
1.01
|
%
|
|
|
1.00
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income to Common Shareholders
|
|
|
4.19
|
%(e)
|
|
|
|
|
|
|
4.38
|
%
|
|
|
4.84
|
%
|
|
|
5.06
|
%
|
|
|
5.09
|
%
|
|
|
5.16
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to Common Shareholders, end of period (000)
|
|
$
|
139,866
|
|
|
|
|
|
|
$
|
137,226
|
|
|
$
|
130,022
|
|
|
$
|
137,264
|
|
|
$
|
144,927
|
|
|
$
|
138,203
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VMTP Shares outstanding at $100,000 liquidation value, end of period (000)
|
|
$
|
42,200
|
|
|
|
|
|
|
$
|
42,200
|
|
|
$
|
42,200
|
|
|
$
|
42,200
|
|
|
$
|
42,200
|
|
|
$
|
42,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset coverage per VMTP Shares at $100,000 liquidation value, end of period
|
|
$
|
431,436
|
|
|
|
|
|
|
$
|
425,179
|
|
|
$
|
408,109
|
|
|
$
|
425,270
|
|
|
$
|
443,429
|
|
|
$
|
427,495
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings outstanding, end of period (000)
|
|
$
|
56,449
|
|
|
|
|
|
|
$
|
54,030
|
|
|
$
|
49,192
|
|
|
$
|
44,937
|
|
|
$
|
42,089
|
|
|
$
|
33,470
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio turnover rate
|
|
|
9
|
%
|
|
|
|
|
|
|
36
|
%
|
|
|
28
|
%
|
|
|
31
|
%
|
|
|
29
|
%
|
|
|
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.
|
(f)
|
Interest expense, fees and amortization of offering costs related to TOBs 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 (continued)
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BYM
|
|
|
|
Six Months Ended
02/29/20
(unaudited)
|
|
|
|
|
|
Year Ended August 31,
|
|
|
|
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
15.72
|
|
|
|
|
|
|
$
|
14.70
|
|
|
$
|
15.32
|
|
|
$
|
16.22
|
|
|
$
|
15.21
|
|
|
$
|
15.56
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a)
|
|
|
0.32
|
|
|
|
|
|
|
|
0.61
|
|
|
|
0.67
|
|
|
|
0.75
|
|
|
|
0.82
|
|
|
|
0.84
|
|
Net realized and unrealized gain (loss)
|
|
|
0.34
|
|
|
|
|
|
|
|
1.04
|
|
|
|
(0.62
|
)
|
|
|
(0.87
|
)
|
|
|
1.02
|
|
|
|
(0.33
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) from investment operations
|
|
|
0.66
|
|
|
|
|
|
|
|
1.65
|
|
|
|
0.05
|
|
|
|
(0.12
|
)
|
|
|
1.84
|
|
|
|
0.51
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders from net investment
income(b)
|
|
|
(0.29
|
)(c)
|
|
|
|
|
|
|
(0.63
|
)
|
|
|
(0.67
|
)
|
|
|
(0.78
|
)
|
|
|
(0.83
|
)
|
|
|
(0.86
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period
|
|
$
|
16.09
|
|
|
|
|
|
|
$
|
15.72
|
|
|
$
|
14.70
|
|
|
$
|
15.32
|
|
|
$
|
16.22
|
|
|
$
|
15.21
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market price, end of period
|
|
$
|
14.39
|
|
|
|
|
|
|
$
|
14.19
|
|
|
$
|
13.09
|
|
|
$
|
14.84
|
|
|
$
|
15.55
|
|
|
$
|
13.67
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Applicable to Common
Shareholders(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value
|
|
|
4.44
|
%(e)
|
|
|
|
|
|
|
12.12
|
%
|
|
|
0.80
|
%
|
|
|
(0.30
|
)%
|
|
|
12.71
|
%
|
|
|
3.85
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on market price
|
|
|
3.48
|
%(e)
|
|
|
|
|
|
|
13.66
|
%
|
|
|
(7.34
|
)%
|
|
|
0.74
|
%
|
|
|
20.23
|
%
|
|
|
4.03
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets Applicable to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
2.23
|
%(f)
|
|
|
|
|
|
|
2.53
|
%
|
|
|
2.23
|
%
|
|
|
1.93
|
%
|
|
|
1.56
|
%
|
|
|
1.47
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly
|
|
|
2.23
|
%(f)
|
|
|
|
|
|
|
2.53
|
%
|
|
|
2.23
|
%
|
|
|
1.93
|
%
|
|
|
1.56
|
%
|
|
|
1.47
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly and excluding interest expense, fees, and amortization
of offering costs(g)
|
|
|
0.97
|
%(f)
|
|
|
|
|
|
|
0.98
|
%
|
|
|
0.97
|
%
|
|
|
0.97
|
%
|
|
|
0.95
|
%
|
|
|
0.96
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income to Common Shareholders
|
|
|
4.09
|
%(f)
|
|
|
|
|
|
|
4.13
|
%
|
|
|
4.50
|
%
|
|
|
4.95
|
%
|
|
|
5.19
|
%
|
|
|
5.42
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to Common Shareholders, end of period (000)
|
|
$
|
424,955
|
|
|
|
|
|
|
$
|
415,127
|
|
|
$
|
388,149
|
|
|
$
|
404,474
|
|
|
$
|
428,389
|
|
|
$
|
401,536
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VMTP Shares outstanding at $100,000 liquidation value, end of period (000)
|
|
$
|
137,200
|
|
|
|
|
|
|
$
|
137,200
|
|
|
$
|
137,200
|
|
|
$
|
137,200
|
|
|
$
|
137,200
|
|
|
$
|
137,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset coverage per VMTP Shares at $100,000 liquidation value, end of period
|
|
$
|
409,734
|
|
|
|
|
|
|
$
|
402,571
|
|
|
$
|
382,907
|
|
|
$
|
394,806
|
|
|
$
|
412,237
|
|
|
$
|
392,665
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings outstanding, end of period (000)
|
|
$
|
127,922
|
|
|
|
|
|
|
$
|
118,726
|
|
|
$
|
111,781
|
|
|
$
|
101,288
|
|
|
$
|
100,250
|
|
|
$
|
101,818
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio turnover rate
|
|
|
4
|
%
|
|
|
|
|
|
|
15
|
%
|
|
|
30
|
%
|
|
|
18
|
%
|
|
|
10
|
%
|
|
|
12
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Based on average Common Shares outstanding.
|
(b)
|
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
|
(c)
|
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal
year end.
|
(d)
|
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.
|
(e)
|
Aggregate total return.
|
(g)
|
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.
|
|
|
68
|
|
2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
|
Financial Highlights (continued)
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BLE
|
|
|
|
Six Months Ended
02/29/20
(unaudited)
|
|
|
|
|
|
Year Ended August 31,
|
|
|
|
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
15.16
|
|
|
|
|
|
|
$
|
14.55
|
|
|
$
|
15.17
|
|
|
$
|
16.12
|
|
|
$
|
15.25
|
|
|
$
|
15.48
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a)
|
|
|
0.36
|
|
|
|
|
|
|
|
0.71
|
|
|
|
0.76
|
|
|
|
0.83
|
|
|
|
0.93
|
|
|
|
0.92
|
|
Net realized and unrealized gain (loss)
|
|
|
0.37
|
|
|
|
|
|
|
|
0.60
|
|
|
|
(0.60
|
)
|
|
|
(0.89
|
)
|
|
|
0.87
|
|
|
|
(0.19
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) from investment operations
|
|
|
0.73
|
|
|
|
|
|
|
|
1.31
|
|
|
|
0.16
|
|
|
|
(0.06
|
)
|
|
|
1.80
|
|
|
|
0.73
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders from net investment
income(b)
|
|
|
(0.35
|
)
|
|
|
|
|
|
|
(0.70
|
)
|
|
|
(0.78
|
)
|
|
|
(0.89
|
)
|
|
|
(0.93
|
)
|
|
|
(0.96
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period
|
|
$
|
15.54
|
|
|
|
|
|
|
$
|
15.16
|
|
|
$
|
14.55
|
|
|
$
|
15.17
|
|
|
$
|
16.12
|
|
|
$
|
15.25
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market price, end of period
|
|
$
|
14.78
|
|
|
|
|
|
|
$
|
15.48
|
|
|
$
|
13.77
|
|
|
$
|
15.45
|
|
|
$
|
16.34
|
|
|
$
|
14.18
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Applicable to Common
Shareholders(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value
|
|
|
4.90
|
%(d)
|
|
|
|
|
|
|
9.52
|
%
|
|
|
1.35
|
%
|
|
|
(0.18
|
)%
|
|
|
12.21
|
%
|
|
|
5.01
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on market price
|
|
|
(2.29
|
)%(d)
|
|
|
|
|
|
|
18.17
|
%
|
|
|
(5.82
|
)%
|
|
|
0.29
|
%
|
|
|
22.33
|
%
|
|
|
2.83
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets Applicable to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
2.17
|
%(e)
|
|
|
|
|
|
|
2.55
|
%
|
|
|
2.32
|
%
|
|
|
2.02
|
%
|
|
|
1.62
|
%
|
|
|
1.55
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly
|
|
|
2.17
|
%(e)
|
|
|
|
|
|
|
2.55
|
%
|
|
|
2.31
|
%
|
|
|
2.02
|
%
|
|
|
1.62
|
%
|
|
|
1.55
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly and excluding interest expense, fees, and amortization
of offering costs(f)
|
|
|
0.95
|
%(e)
|
|
|
|
|
|
|
0.98
|
%
|
|
|
0.98
|
%
|
|
|
0.99
|
%
|
|
|
0.98
|
%
|
|
|
0.98
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income to Common Shareholders
|
|
|
4.81
|
%(e)
|
|
|
|
|
|
|
4.86
|
%
|
|
|
5.12
|
%
|
|
|
5.47
|
%
|
|
|
5.90
|
%
|
|
|
5.94
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to Common Shareholders, end of period (000)
|
|
$
|
365,790
|
|
|
|
|
|
|
$
|
356,649
|
|
|
$
|
342,437
|
|
|
$
|
356,901
|
|
|
$
|
378,572
|
|
|
$
|
357,868
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VMTP Shares outstanding at $100,000 liquidation value, end of period (000)
|
|
$
|
151,300
|
|
|
|
|
|
|
$
|
151,300
|
|
|
$
|
151,300
|
|
|
$
|
151,300
|
|
|
$
|
151,300
|
|
|
$
|
151,300
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset coverage per VMTP Shares at $100,000 liquidation value, end of period
|
|
$
|
341,765
|
|
|
|
|
|
|
$
|
335,723
|
|
|
$
|
326,330
|
|
|
$
|
335,890
|
|
|
$
|
350,213
|
|
|
$
|
336,529
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings outstanding, end of period (000)
|
|
$
|
69,295
|
|
|
|
|
|
|
$
|
59,519
|
|
|
$
|
67,497
|
|
|
$
|
71,274
|
|
|
$
|
77,130
|
|
|
$
|
68,692
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio turnover rate
|
|
|
9
|
%
|
|
|
|
|
|
|
18
|
%
|
|
|
7
|
%
|
|
|
9
|
%
|
|
|
7
|
%
|
|
|
10
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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.
|
(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 (continued)
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MFL
|
|
|
|
Six Months Ended
02/29/20
(unaudited)
|
|
|
|
|
|
Year Ended August 31,
|
|
|
|
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
14.94
|
|
|
|
|
|
|
$
|
14.09
|
|
|
$
|
14.91
|
|
|
$
|
15.86
|
|
|
$
|
15.18
|
|
|
$
|
15.46
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a)
|
|
|
0.28
|
|
|
|
|
|
|
|
0.59
|
|
|
|
0.71
|
|
|
|
0.78
|
|
|
|
0.86
|
|
|
|
0.89
|
|
Net realized and unrealized gain (loss)
|
|
|
0.46
|
|
|
|
|
|
|
|
0.90
|
|
|
|
(0.76
|
)
|
|
|
(0.87
|
)
|
|
|
0.68
|
|
|
|
(0.31
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) from investment operations
|
|
|
0.74
|
|
|
|
|
|
|
|
1.49
|
|
|
|
(0.05
|
)
|
|
|
(0.09
|
)
|
|
|
1.54
|
|
|
|
0.58
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders from net investment
income(b)
|
|
|
(0.27
|
)
|
|
|
|
|
|
|
(0.64
|
)
|
|
|
(0.77
|
)
|
|
|
(0.86
|
)
|
|
|
(0.86
|
)
|
|
|
(0.86
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period
|
|
$
|
15.41
|
|
|
|
|
|
|
$
|
14.94
|
|
|
$
|
14.09
|
|
|
$
|
14.91
|
|
|
$
|
15.86
|
|
|
$
|
15.18
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market price, end of period
|
|
$
|
13.75
|
|
|
|
|
|
|
$
|
13.60
|
|
|
$
|
12.73
|
|
|
$
|
15.03
|
|
|
$
|
15.86
|
|
|
$
|
14.06
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Applicable to Common
Shareholders(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value
|
|
|
5.24
|
%(d)
|
|
|
|
|
|
|
11.42
|
%
|
|
|
(0.05
|
)%
|
|
|
(0.34
|
)%
|
|
|
10.56
|
%
|
|
|
4.29
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on market price
|
|
|
3.15
|
%(d)
|
|
|
|
|
|
|
12.27
|
%
|
|
|
(10.42
|
)%
|
|
|
0.46
|
%
|
|
|
19.37
|
%
|
|
|
7.28
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets Applicable to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
2.32
|
%(e)
|
|
|
|
|
|
|
2.67
|
%
|
|
|
2.51
|
%
|
|
|
2.17
|
%
|
|
|
1.65
|
%
|
|
|
1.54
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly
|
|
|
2.24
|
%(e)
|
|
|
|
|
|
|
2.58
|
%
|
|
|
2.41
|
%
|
|
|
2.08
|
%
|
|
|
1.60
|
%
|
|
|
1.49
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly and excluding interest expense, fees, and amortization
of offering costs(f)(g)
|
|
|
0.92
|
%(e)
|
|
|
|
|
|
|
0.94
|
%
|
|
|
0.94
|
%
|
|
|
0.95
|
%
|
|
|
0.94
|
%
|
|
|
0.95
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income to Common Shareholders
|
|
|
3.84
|
%(e)
|
|
|
|
|
|
|
4.15
|
%
|
|
|
4.91
|
%
|
|
|
5.22
|
%
|
|
|
5.54
|
%
|
|
|
5.73
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to Common Shareholders, end of period (000)
|
|
$
|
583,815
|
|
|
|
|
|
|
$
|
566,341
|
|
|
$
|
534,075
|
|
|
$
|
564,383
|
|
|
$
|
599,930
|
|
|
$
|
573,885
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VRDP Shares outstanding at $100,000 liquidation value, end of period (000)
|
|
$
|
274,600
|
|
|
|
|
|
|
$
|
274,600
|
|
|
$
|
274,600
|
|
|
$
|
274,600
|
|
|
$
|
274,600
|
|
|
$
|
274,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset coverage per VRDP Shares at $100,000 liquidation value, end of period
|
|
$
|
312,606
|
|
|
|
|
|
|
$
|
306,242
|
|
|
$
|
294,492
|
|
|
$
|
305,529
|
|
|
$
|
318,474
|
|
|
$
|
308,990
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings outstanding, end of period (000)
|
|
$
|
105,978
|
|
|
|
|
|
|
$
|
95,978
|
|
|
$
|
114,546
|
|
|
$
|
123,111
|
|
|
$
|
131,279
|
|
|
$
|
85,502
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio turnover rate
|
|
|
19
|
%
|
|
|
|
|
|
|
52
|
%
|
|
|
22
|
%
|
|
|
16
|
%
|
|
|
27
|
%
|
|
|
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.
|
(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.
|
(g)
|
The total expense ratio after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees,
amortization of offering costs, liquidity and remarketing fees were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended
02/29/20
(unaudited)
|
|
|
|
|
|
Year Ended August 31,
|
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
Expense ratios
|
|
|
0.91
|
%
|
|
|
|
|
|
|
0.93
|
%
|
|
|
0.93
|
%
|
|
|
0.94
|
%
|
|
|
0.93
|
%
|
|
|
0.94
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
|
|
|
70
|
|
2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
|
Financial Highlights (continued)
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MVF
|
|
|
|
Six Months Ended
02/29/20
(unaudited)
|
|
|
|
|
|
Year Ended August 31,
|
|
|
|
|
|
|
2019
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
9.83
|
|
|
|
|
|
|
$
|
9.35
|
|
|
$
|
9.75
|
|
|
$
|
10.38
|
|
|
$
|
10.04
|
|
|
$
|
10.27
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a)
|
|
|
0.21
|
|
|
|
|
|
|
|
0.44
|
|
|
|
0.51
|
|
|
|
0.56
|
|
|
|
0.61
|
|
|
|
0.62
|
|
Net realized and unrealized gain (loss)
|
|
|
0.30
|
|
|
|
|
|
|
|
0.50
|
|
|
|
(0.39
|
)
|
|
|
(0.62
|
)
|
|
|
0.36
|
|
|
|
(0.21
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) from investment operations
|
|
|
0.51
|
|
|
|
|
|
|
|
0.94
|
|
|
|
0.12
|
|
|
|
(0.06
|
)
|
|
|
0.97
|
|
|
|
0.41
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders from net investment
income(b)
|
|
|
(0.21
|
)(c)
|
|
|
|
|
|
|
(0.46
|
)
|
|
|
(0.52
|
)
|
|
|
(0.57
|
)
|
|
|
(0.63
|
)
|
|
|
(0.64
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period
|
|
$
|
10.13
|
|
|
|
|
|
|
$
|
9.83
|
|
|
$
|
9.35
|
|
|
$
|
9.75
|
|
|
$
|
10.38
|
|
|
$
|
10.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market price, end of period
|
|
$
|
9.24
|
|
|
|
|
|
|
$
|
9.49
|
|
|
$
|
8.81
|
|
|
$
|
9.84
|
|
|
$
|
10.77
|
|
|
$
|
9.65
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Applicable to Common
Shareholders(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value
|
|
|
5.41
|
%(e)
|
|
|
|
|
|
|
10.76
|
%
|
|
|
1.52
|
%
|
|
|
(0.38
|
)%
|
|
|
9.96
|
%
|
|
|
4.27
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on market price
|
|
|
(0.40
|
)%(e)
|
|
|
|
|
|
|
13.47
|
%
|
|
|
(5.22
|
)%
|
|
|
(3.10
|
)%
|
|
|
18.70
|
%
|
|
|
4.71
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets Applicable to Common Shareholders
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
1.96
|
%(f)
|
|
|
|
|
|
|
2.29
|
%
|
|
|
2.16
|
%
|
|
|
1.92
|
%
|
|
|
1.55
|
%
|
|
|
1.43
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly
|
|
|
1.96
|
%(f)
|
|
|
|
|
|
|
2.29
|
%
|
|
|
2.16
|
%
|
|
|
1.92
|
%
|
|
|
1.55
|
%
|
|
|
1.43
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and paid indirectly and excluding interest expense, fees, and amortization
of offering costs(g)
|
|
|
0.84
|
%(f)
|
|
|
|
|
|
|
0.87
|
%
|
|
|
0.89
|
%
|
|
|
0.91
|
%
|
|
|
0.89
|
%
|
|
|
0.89
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income to Common Shareholders
|
|
|
4.24
|
%(f)
|
|
|
|
|
|
|
4.74
|
%
|
|
|
5.35
|
%
|
|
|
5.71
|
%
|
|
|
5.95
|
%
|
|
|
6.03
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to Common Shareholders, end of period (000)
|
|
$
|
657,067
|
|
|
|
|
|
|
$
|
637,636
|
|
|
$
|
605,972
|
|
|
$
|
630,489
|
|
|
$
|
667,589
|
|
|
$
|
642,889
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VMTP Shares outstanding at $100,000 liquidation value, end of period (000)
|
|
$
|
243,800
|
|
|
|
|
|
|
$
|
243,800
|
|
|
$
|
243,800
|
|
|
$
|
243,800
|
|
|
$
|
243,800
|
|
|
$
|
243,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset coverage per VMTP Shares at $100,000 liquidation value, end of period
|
|
$
|
369,511
|
|
|
|
|
|
|
$
|
361,541
|
|
|
$
|
348,553
|
|
|
$
|
358,609
|
|
|
$
|
373,827
|
|
|
$
|
363,695
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings outstanding, end of period (000)
|
|
$
|
100,737
|
|
|
|
|
|
|
$
|
100,463
|
|
|
$
|
112,817
|
|
|
$
|
139,989
|
|
|
$
|
161,957
|
|
|
$
|
148,867
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio turnover rate
|
|
|
7
|
%
|
|
|
|
|
|
|
31
|
%
|
|
|
21
|
%
|
|
|
26
|
%
|
|
|
13
|
%
|
|
|
18
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Based on average Common Shares outstanding.
|
(b)
|
Distributions for annual periods determined in accordance with U.S. federal income tax regulations.
|
(c)
|
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal
year end.
|
(d)
|
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.
|
(e)
|
Aggregate total return.
|
(g)
|
Interest expense, fees and amortization of offering costs related to TOBs and/or VMTP Shares. See Note 4 and Note 10 of
the Notes to Financial Statements for details.
|
See notes to financial statements.
Notes to Financial
Statements (unaudited)
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 Trusts, or individually as a Trust:
|
|
|
|
|
|
|
Trust Name
|
|
Herein Referred To As
|
|
Organized
|
|
Diversification
Classification
|
BlackRock Municipal Bond Trust
|
|
BBK
|
|
Delaware
|
|
Diversified
|
BlackRock Municipal Income Investment Quality Trust
|
|
BAF
|
|
Delaware
|
|
Diversified
|
BlackRock Municipal Income Quality Trust
|
|
BYM
|
|
Delaware
|
|
Diversified
|
BlackRock Municipal Income Trust II
|
|
BLE
|
|
Delaware
|
|
Diversified
|
BlackRock MuniHoldings Investment Quality Fund
|
|
MFL
|
|
Massachusetts
|
|
Diversified
|
BlackRock MuniVest Fund, Inc.
|
|
MVF
|
|
Maryland
|
|
Diversified
|
The Boards of Trustees and Boards of Directors of the Trusts are collectively referred to throughout this report as the Board of
Trustees or the Board, and the trustees thereof are collectively referred to throughout this report as Trustees. The Trusts determine and make available for publication the net asset values (NAVs) of their
Common Shares on a daily basis.
The Trusts, 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 Trust 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 Trust 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 Trust 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 Trusts 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 Trusts Board, the trustees who are not interested persons of the Trusts, as defined in the 1940 Act (Independent Trustees), 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 Trustees. This has the same economic
effect for the Independent Trustees as if the Independent Trustees 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 Trust, as applicable. Deferred compensation
liabilities are included in the Trustees and Officers fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.
Recent Accounting Standards: The Trusts 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 Trusts 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 Trusts applied the amendments on a modified
retrospective basis beginning with the fiscal period ended February 29, 2020. The adjusted cost basis of securities at August 31, 2019 are as follows:
|
|
|
|
|
BBK
|
|
$
|
254,959,342
|
|
BAF
|
|
|
213,803,733
|
|
BYM
|
|
|
600,981,763
|
|
BLE
|
|
|
521,309,639
|
|
MFL
|
|
|
871,235,972
|
|
MVF
|
|
|
895,745,721
|
|
|
|
|
72
|
|
2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
|
Notes to Financial Statements (unaudited) (continued)
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 Trusts.
Indemnifications:
In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trusts maximum exposure under these arrangements is unknown because it involves future
potential claims against a Trust, which cannot be predicted with any certainty.
Other: Expenses directly related to a Trust are charged to that Trust. 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 Trusts 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) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the period end). U.S. GAAP
defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts 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 Trusts 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 Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arms-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
Trust 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 marketcorroborated inputs)
|
|
|
|
Level 3 Unobservable inputs based on the best information available in the circumstances, to the extent
observable inputs are not available (including the BlackRock Global Valuation Committees 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.
|
|
|
|
|
NOTES TO FINANCIAL STATEMENTS
|
|
|
73
|
|
Notes to Financial Statements (unaudited) (continued)
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 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 funds 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 Trusts) whereas in other termination events, TOB Trust Certificates holders and TOB Residuals holders will be paid pro rata.
While a funds 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. MVFs management believes that the funds restrictions on borrowings do not apply to the funds TOB Trust transactions. Each funds 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 funds
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 funds 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 Trust 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. Amounts recorded within interest expense, fees and amortization of offering costs in the Statements of Operations are:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Expense
|
|
|
Liquidity Fees
|
|
|
Other Expenses
|
|
|
Total
|
|
BBK
|
|
$
|
190,432
|
|
|
$
|
62,479
|
|
|
$
|
24,725
|
|
|
$
|
277,636
|
|
BAF
|
|
|
336,955
|
|
|
|
112,891
|
|
|
|
43,783
|
|
|
|
493,629
|
|
BYM
|
|
|
763,929
|
|
|
|
264,402
|
|
|
|
84,909
|
|
|
|
1,113,240
|
|
BLE
|
|
|
367,336
|
|
|
|
122,686
|
|
|
|
43,073
|
|
|
|
533,095
|
|
MFL
|
|
|
611,944
|
|
|
|
201,454
|
|
|
|
73,949
|
|
|
|
887,347
|
|
MVF
|
|
|
626,260
|
|
|
|
213,565
|
|
|
|
75,611
|
|
|
|
915,436
|
|
|
|
|
74
|
|
2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
|
Notes to Financial Statements (unaudited) (continued)
For the six months ended February 29,
2020, the following table is a summary of each funds 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
|
|
BBK
|
|
$
|
57,430,704
|
|
|
$
|
33,442,766
|
|
|
|
1.17% 1.23%
|
|
|
$
|
31,649,915
|
|
|
|
1.76
|
%
|
BAF
|
|
|
101,919,110
|
|
|
|
56,448,869
|
|
|
|
1.15% 1.33%
|
|
|
|
54,455,468
|
|
|
|
1.82
|
|
BYM
|
|
|
215,346,724
|
|
|
|
127,922,497
|
|
|
|
1.17% 1.35%
|
|
|
|
124,108,355
|
|
|
|
1.80
|
|
BLE
|
|
|
118,344,864
|
|
|
|
69,294,759
|
|
|
|
1.15% 1.33%
|
|
|
|
60,758,510
|
|
|
|
1.76
|
|
MFL
|
|
|
240,242,642
|
|
|
|
105,978,045
|
|
|
|
1.17% 1.25%
|
|
|
|
100,098,924
|
|
|
|
1.78
|
|
MVF
|
|
|
205,537,915
|
|
|
|
100,737,488
|
|
|
|
1.15% 1.30%
|
|
|
|
101,352,916
|
|
|
|
1.82
|
|
|
(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 fund, as a TOB 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 fund, 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 Trust
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, the fund enters into a reimbursement agreement with the Liquidity Provider where the 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, the 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 February 29, 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 February 29, 2020.
|
|
5.
|
DERIVATIVE FINANCIAL INSTRUMENTS
|
The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts 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 Trusts 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 Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a
contracts 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 Trusts 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 Trust entered into an Investment Advisory Agreement with the Manager, the Trusts 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 Trusts portfolio and provides the personnel, facilities, equipment and
certain other services necessary to the operations of each Trust.
For such services, each Trust, except for MFL and MVF, pays the Manager a monthly fee at an annual
rate equal to the following percentages of the average weekly value of each Trusts managed assets.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBK
|
|
|
BAF
|
|
|
BYM
|
|
|
BLE
|
|
Investment advisory fees
|
|
|
0.65
|
%
|
|
|
0.55
|
%
|
|
|
0.55
|
%
|
|
|
0.55
|
%
|
For purposes of calculating these fees, managed assets are determined as total assets of the Trusts (including any assets
attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).
|
|
|
|
|
NOTES TO FINANCIAL STATEMENTS
|
|
|
75
|
|
Notes to Financial Statements (unaudited) (continued)
For such services, MFL and MVF pays the
Manager a monthly fee at an annual rate equal to 0.55% and 0.50%, respectively, of the average daily value of each Trusts net assets.
For purposes of
calculating these fees, net assets mean the total assets of each Trust 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 Trusts net asset value.
Expense Limitations, Waivers and Reimbursements: The Manager, for MFL, 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 February 29, 2020, the investment advisory fees waived
were $197,779.
The Manager voluntarily agreed to waive a portion of the investment advisory fees or other expenses on BBK as a percentage of its average weekly
managed assets as follows:
This voluntary waiver may be reduced or discontinued at any time without notice. For the six months ended February 29, 2020, the
investment advisory fees waived, which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations, were $107,028.
With respect to
each Trust, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust 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 Trustees, or by a vote of a majority of the outstanding voting securities of a Trust.
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 February 29, 2020, the amounts waived were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBK
|
|
|
BAF
|
|
|
BYM
|
|
|
BLE
|
|
|
MFL
|
|
|
MVF
|
|
Amounts Waived
|
|
$
|
449
|
|
|
$
|
133
|
|
|
$
|
1,586
|
|
|
$
|
3,574
|
|
|
$
|
1,768
|
|
|
$
|
3,055
|
|
The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Trusts 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 a Trusts Independent Trustees. For the six months ended February 29, 2020, there were no fees waived and/or reimbursed by the Manager pursuant to this agreement.
Trustees and Officers: Certain trustees and/or officers of the Trusts are directors and/or officers of BlackRock or its affiliates. The Trusts reimburse the
Manager for a portion of the compensation paid to the Trusts Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.
For the six months ended February 29, 2020, purchases and sales of investments, excluding short-term securities were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBK
|
|
|
BAF
|
|
|
BYM
|
|
|
BLE
|
|
|
MFL
|
|
|
MVF
|
|
Purchases
|
|
$
|
13,694,528
|
|
|
$
|
30,576,568
|
|
|
$
|
37,235,983
|
|
|
$
|
62,853,883
|
|
|
$
|
179,798,403
|
|
|
$
|
99,699,107
|
|
Sales
|
|
|
8,957,793
|
|
|
|
21,746,760
|
|
|
|
24,565,788
|
|
|
|
48,147,220
|
|
|
|
177,592,411
|
|
|
|
66,466,169
|
|
8.
|
INCOME TAX INFORMATION
|
It is each Trusts 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 Trust 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 Trusts U.S. federal tax returns generally remains open for each of the four years ended August 31, 2019.
The statutes of limitations on each Trusts 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 Trusts as of February 29, 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 Trusts financial statements.
As of August 31, 2019, the Trusts had non-expiring capital loss carryforwards
available to offset future realized capital gains as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBK
|
|
|
|
|
BAF
|
|
|
|
|
BYM
|
|
|
|
|
BLE
|
|
|
|
|
MFL
|
|
|
|
|
MVF
|
|
$
|
|
|
|
|
|
$
|
4,746,829
|
|
|
|
|
$
|
10,129,559
|
|
|
|
|
$
|
10,698,442
|
|
|
|
|
$
|
11,129,625
|
|
|
|
|
$
|
13,962,143
|
|
|
|
|
76
|
|
2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
|
Notes to Financial Statements (unaudited) (continued)
As of February 29, 2020, gross
unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBK
|
|
|
BAF
|
|
|
BYM
|
|
|
BLE
|
|
|
MFL
|
|
|
MVF
|
|
Tax Cost
|
|
$
|
228,178,259
|
|
|
$
|
166,961,517
|
|
|
$
|
490,928,828
|
|
|
$
|
470,584,338
|
|
|
$
|
765,391,491
|
|
|
$
|
814,676,864
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
33,904,557
|
|
|
$
|
20,726,308
|
|
|
$
|
73,816,465
|
|
|
$
|
54,945,826
|
|
|
$
|
78,707,700
|
|
|
$
|
97,562,444
|
|
Gross unrealized depreciation
|
|
|
(824,519
|
)
|
|
|
(573,699
|
)
|
|
|
(1,180,004
|
)
|
|
|
(4,893,509
|
)
|
|
|
(996,061
|
)
|
|
|
(2,276,489
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
33,080,038
|
|
|
$
|
20,152,609
|
|
|
$
|
72,636,461
|
|
|
$
|
50,052,317
|
|
|
$
|
77,711,639
|
|
|
$
|
95,285,955
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 Trusts ability to buy or sell bonds. As a result, a
Trust 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 Trust 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 Trusts invest in securities or other instruments and may
enter into certain transactions, and such activities subject each Trust 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 Trust and its investments.
Each Trust 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 Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment
risk, which is the risk that income from each Trusts portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Trust portfolios current
earnings rate.
The Trusts 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 Trusts 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 Trust.
A Trust 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 Trusts investments
in the TOB Trusts may adversely affect the Trusts 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 Trusts 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 Trusts municipal bonds. The Risk
Retention Rules may adversely affect the Trusts 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 Trusts, 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 Trust 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 Trust may not be able to readily dispose of such investments at prices that approximate those at which the Trust could sell such investments if
they were more widely traded and, as a result of such illiquidity, the Trust 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 the Trusts 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.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a
global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the
future, 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. This pandemic may result in substantial market volatility and may adversely impact
the prices and liquidity of a funds investments. The impact of the pandemic may be short term or may last for an extended period of time.
Counterparty
Credit Risk: The Trusts 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 Trusts manage counterparty credit risk by
entering into transactions only with counterparties that the Manager believes have the
|
|
|
|
|
NOTES TO FINANCIAL STATEMENTS
|
|
|
77
|
|
Notes to Financial Statements (unaudited) (continued)
financial resources to honor their
obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due
from counterparties. The extent of the Trusts 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 Trusts.
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 Trusts 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 Trust 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 brokers 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 brokers customers, potentially resulting in losses to the
Trusts.
Concentration Risk: As of period end, BAF, MFL and MVF invested a significant portion of their assets in securities in the transportation sector.
Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.
The Trusts 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 Trusts 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 of BBK, BAF, BYM, and BLE is authorized to issue an unlimited number of shares, including Preferred Shares, par value $0.001 per share, all of which were initially
classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.
MFL is authorized to issue an unlimited number of shares, including 1 million Preferred Shares, par value $0.10 per share.
MVF is authorized to issue 160 million shares, 150 million of which were initially classified as Common Shares, par value $0.10 per share and 10 million of
which were classified as Preferred Shares, par value $0.10 per share.
Common Shares
For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:
|
|
|
|
|
|
|
BLE
|
|
Six Months Ended February 29, 2020
|
|
|
11,725
|
|
Year Ended August 31, 2019
|
|
|
2,585
|
|
For the six months ended February 29, 2020 and year ended August 31, 2019, shares issued and outstanding remained constant for
BBK, BAF, BYM, MFL and MVF.
The Trusts participate in an open market share repurchase program (the Repurchase Program). From December 1, 2018
through November 30, 2019, each Trust 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, each Trust 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 Trusts will purchase shares in any particular amounts. For the six months ended February 29, 2020, the Trusts did not repurchase any shares.
Preferred Shares
A Trusts Preferred Shares rank prior to its Common
Shares as to the payment of dividends by the Trust and distribution of assets upon dissolution or liquidation of the Trust. The 1940 Act prohibits the declaration of any dividend on Common Shares or the repurchase of Common Shares if the Trust fails
to maintain asset coverage of at least 200% of the liquidation preference of the Trusts outstanding Preferred Shares. In addition, pursuant to the Preferred Shares governing instruments, a Trust 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 Trust 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
|
|
|
78
|
|
2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
|
Notes to Financial Statements (unaudited) (continued)
(a) adopt any plan of reorganization
that would adversely affect the Preferred Shares, (b) change a Trusts 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
MFL (for purposes of this section, a VRDP Trust), has 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
|
|
MFL
|
|
|
6/30/11
|
|
|
|
2,746
|
|
|
$
|
274,600,000
|
|
|
|
7/01/41
|
|
Redemption Terms: A VRDP Trust 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 Trust is required to begin to segregate liquid assets with the Trusts custodian to fund the redemption. In addition, a VRDP Trust 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 Trust. 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 Trust 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, on April 30, 2021.
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 Trust is required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, the VRDP Trust is required
to begin to segregate liquid assets with its custodian to fund the redemption. There is no assurance that a VRDP Trust will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.
Remarketing: A VRDP Trust 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 Trust may incur nominal or no remarketing fees.
Ratings: As of period end, the VRDP Shares were assigned the following ratings:
|
|
|
|
|
|
|
|
|
|
|
Moodys
Long-term
Rating
|
|
|
Fitch
Long-term
Rating
|
|
MFL
|
|
|
Aa1
|
|
|
|
AAA
|
|
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 Moodys and Fitch. 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.
Special Rate Period: A VRDP Trust may commence a
special rate period with respect to its VRDP Shares, during which the VRDP Shares will not be subject to any remarketing and the dividend rate will be based on a predetermined methodology. During a special rate period, short-term ratings
on VRDP Shares are withdrawn. MFLs special rate period has commenced on April 17, 2014 and has a current expiration date of April 15, 2021.
Prior to
the expiration date, the VRDP Trust and the VRDP Shares holder may mutually agree to extend the special rate period. If a special rate period is not extended, the VRDP Shares will revert to remarketable securities upon the termination of the special
rate period and will be remarketed and available for purchase by qualified institutional investors.
During the special rate period: (i) the liquidity and fee
agreements remain in effect, (ii) VRDP Shares remain subject to mandatory redemption by the VRDP Trust on the maturity date, (iii) VRDP Shares will not be remarketed or subject to optional or mandatory tender events, (iv) the VRDP
Trust is required to comply with the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares as is required when the VRDP Shares are not in a special rate period, (v) the VRDP Trust will pay dividends monthly
based on the sum of an agreed upon reference rate and a percentage per annum based on the long-term ratings assigned to the VRDP Shares and (vi) the VRDP Trust will pay nominal or no fees to the liquidity provider and remarketing agent.
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.
|
|
|
|
|
NOTES TO FINANCIAL STATEMENTS
|
|
|
79
|
|
Notes to Financial Statements (unaudited) (continued)
For the six months ended February 29,
2020, the annualized dividend rates for the VRDP Shares was 2.04%
For the six months ended February 29, 2020, VRDP Shares issued and outstanding of the VRDP
Trust remained constant.
VMTP Shares
BBK, BAF, BYM, BLE, and MVF
(collectively, the VMTP Trusts) have each issued Series W-7 VMTP Shares, $100,000 liquidation preference per share, in one or more privately negotiated offerings to qualified institutional buyers
as defined pursuant to Rule 144A under the Securities Act. The VMTP Shares are subject to certain restrictions on transfer, and a VMTP Trust may also be required to register its VMTP Shares for sale under the Securities Act under certain
circumstances. As of period end, the VMTP Shares outstanding and assigned long-term ratings were as follows:
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Issue
Date
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Shares
Issued
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Aggregate
Principal
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Term
Redemption
Date
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Moodys
Rating
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Fitch
Rating
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BBK
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12/16/11
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799
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$
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79,900,000
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07/02/21
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Aa1
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AAA
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BAF
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12/16/11
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422
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42,200,000
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07/02/21
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Aa1
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AAA
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BYM
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12/16/11
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1,372
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137,200,000
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07/02/21
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Aa1
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AAA
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BLE
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12/16/11
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1,513
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151,300,000
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07/02/21
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Aa1
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AAA
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MVF
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12/16/11
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2,438
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243,800,000
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07/02/21
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Aa1
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AAA
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Redemption Terms: Each VMTP Trust 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 Trust is required to begin to segregate liquid assets with its custodian to fund the redemption. In addition, a VMTP Trust 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 Trust. 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 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 Trust 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 February 29, 2020, the average annualized dividend rates for the VMTP
Shares were as follows:
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BBK
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BAF
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BYM
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BLE
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MVF
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Rate
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2.13
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%
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2.13
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%
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2.13
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%
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2.13
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%
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2.14
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%
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Offering Costs: MFL and the VMTP Trusts 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 MFL 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 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:
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Dividend Accrued
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Deferred Offering
Cost Amortization
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BBK
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$
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850,706
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$
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BAF
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449,309
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BYM
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1,460,786
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BLE
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1,610,911
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MFL
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2,799,688
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8,446
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MVF
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2,609,176
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80
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2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS
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Notes to Financial Statements (unaudited) (continued)
Managements evaluation of the impact of all subsequent events on the Trusts financial statements was completed through the date the financial statements were
issued and the following items were noted.
The Trusts declared and paid distributions to Common Shareholders and Preferred Shareholders as follows:
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Common Dividend
Per Share
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Preferred Shares (c)
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Paid (a)
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Declare (b)
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Shares
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Series
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Declared
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BBK
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$
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0.056000
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$
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0.056000
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VMTP
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W-7
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$
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105,431
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BAF
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0.051500
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0.051500
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VMTP
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W-7
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55,684
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BYM
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0.048000
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0.048000
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VMTP
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W-7
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181,040
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BLE
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0.058000
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0.058000
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VMTP
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W-7
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199,646
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MFL
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0.045500
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0.045500
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VRDP
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W-7
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841,957
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MVF
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0.033500
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0.033500
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VMTP
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W-7
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321,703
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(a)
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Net investment income dividend paid on April 1, 2020 to Common Shareholders of record on March 16, 2020.
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(b)
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Net investment income dividend declared on April 1, 2020, payable to Common Shareholders of record on April 15,
2020.
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(c)
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Dividends declared for period March 1, 2020 to March 31, 2020.
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NOTES TO FINANCIAL STATEMENTS
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81
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