BLACKROCK MUNICIPAL INCOME QUALITY TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-21178

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

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 08/31/2017

Date of reporting period: 05/31/2017


Item 1 – Schedule of Investments


Schedule of Investments May 31, 2017 (Unaudited)

  

BlackRock Municipal Income Quality Trust (BYM)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 4.4%

    

City of Birmingham Alabama, GO, Convertible CAB, Series A1, 0.00%, 3/01/45 (a)

   $ 1,165     $ 1,211,460  

City of Birmingham Alabama Airport Authority, ARB (AGM), 5.50%, 7/01/40

     5,800       6,409,522  

City of Birmingham Alabama Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC), 6.00%, 6/01/19 (b)

     1,495       1,642,646  

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

     2,800       2,808,932  

State of Alabama Docks Department, Refunding RB,
6.00%, 10/01/20 (b)

     3,800       4,402,984  

Tuscaloosa County Board of Education, RB, Special Tax School Warrants, 5.00%, 2/01/43 (c)

     1,005       1,160,142  
    

 

 

 
               17,635,686  

Alaska — 0.3%

    

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

     1,070       1,195,886  

Arizona — 0.7%

    

County of Maricopa Arizona IDA, Refunding RB, Banner Health Obligation Group, Series A:

    

3.25%, 1/01/37

     670       658,530  

5.00%, 1/01/38

     440       508,446  

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

    

5.00%, 10/01/27

     1,250       1,355,025  

5.25%, 10/01/28

     250       272,498  
    

 

 

 
               2,794,499  

California — 13.5%

    

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

     625       677,925  

California Health Facilities Financing Authority, Refunding RB, Kaiser Permanente, Sub-Series A-2,
5.00%, 11/01/47

     1,465       1,880,782  
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

    

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

   $ 10,100     $ 13,021,627  

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

     1,620       1,804,810  

Coast Community College District, GO, CAB, Election of 2002, Series C (AGM), 5.00%, 8/01/18 (b)

     7,450       7,818,030  

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

    

0.00%, 2/01/18

     13,575       6,792,387  

0.00%, 2/01/18

     14,150       6,719,410  

Mount San Antonio Community College District, GO, Refunding, CAB, Election of 2008, Series A,
0.00%, 8/01/43 (a)

     1,580       1,226,254  

San Diego California Unified School District, GO, Election of 2008 (d):

    

CAB, Series C, 0.00%, 7/01/38

     2,000       913,780  

CAB, Series G, 0.00%, 7/01/34

     725       334,885  

CAB, Series G, 0.00%, 7/01/35

     775       336,265  

CAB, Series G, 0.00%, 7/01/36

     1,155       471,067  

CAB, Series G, 0.00%, 7/01/37

     770       295,487  

San Diego California Unified School District, GO, Refunding, CAB, Series R-1, 0.00%, 7/01/31 (d)

     1,400       884,170  

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

     1,100       1,231,439  

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

     3,000       3,390,420  

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

     1,415       1,705,202  
 

 

    

 

                
   BLACKROCK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2017    1


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds   

Par  

(000)

    Value  

California (continued)

    

Yosemite Community College District, GO, CAB, Election of 2004, Series D, 0.00%, 8/01/37 (d)

   $ 10,000     $ 4,616,300  
    

 

 

 
               54,120,240  

Colorado — 0.6%

    

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

     960       1,058,141  

Regional Transportation District, COP, Series A,
5.00%, 6/01/39

     1,305       1,463,322  
    

 

 

 
               2,521,463  

District of Columbia — 2.4%

    

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

     9,500       9,652,665  

Florida — 14.0%

    

City of Tallahassee Florida Energy System Revenue, RB (NPFGC):

    

5.00%, 10/01/32

     3,000       3,038,430  

5.00%, 10/01/37

     5,000       5,064,050  

County of Brevard Florida Health Facilities Authority, Refunding RB, Health First, Inc. Project,
5.00%, 4/01/39

     1,795       1,979,077  

County of Broward Florida School Board, COP, Series A (AGM), 5.25%, 7/01/18 (b)

     1,400       1,465,968  

County of Broward Florida Water & Sewer Utility, Refunding RB, Series A, 5.25%, 10/01/18 (b)

     6,750       7,140,487  

County of Duval Florida School Board, COP, Master Lease Program (AGM), 5.00%, 7/01/17 (b)

     3,475       3,487,197  

County of Miami-Dade Florida, RB, Seaport Department, Series A, 6.00%, 10/01/38

     2,770       3,348,930  

County of Miami-Dade Florida Aviation, Refunding ARB:

    

Aviation, Miami International Airport, Series A-1, 5.50%, 10/01/41

     5,000       5,552,900  

Series A, 5.50%, 10/01/36

     5,000       5,464,950  

County of Miami-Dade Florida Educational Facilities Authority, RB, University Miami, Series A,
5.00%, 4/01/40

     3,910       4,408,525  
Municipal Bonds   

Par  

(000)

    Value  

Florida (continued)

    

County of Miami-Dade Florida Health Facilities Authority, Refunding RB, Nicklaus Children’s Hospital Project, 5.00%, 8/01/42

   $ 685     $ 779,146  

County of Miami-Dade Florida Transit System, RB, Surtax (AGM), 5.00%, 7/01/18 (b)

     1,300       1,357,759  

County of Orange Florida Health Facilities Authority, Refunding RB, Presbyterian Retirement Communities Project:

    

5.00%, 8/01/41

     630       686,165  

5.00%, 8/01/47

     1,845       2,002,010  

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

     300       320,679  

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

     6,150       6,232,656  

Reedy Creek Improvement District, GO, Series A,
5.25%, 6/01/33

     1,340       1,571,847  

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

     2,000       2,339,140  
    

 

 

 
               56,239,916  

Georgia — 2.5%

    

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series C, 6.00%, 1/01/30

     7,500       8,738,775  

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A, 5.50%, 8/15/54

     545       644,637  

Private Colleges & Universities Authority, RB, Savannah College of Art & Design:

    

5.00%, 4/01/33

     155       171,596  

5.00%, 4/01/44

     595       647,669  
    

 

 

 
               10,202,677  

Hawaii — 1.4%

    

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

     5,000       5,517,550  

Illinois — 11.7%

    

City of Chicago Illinois O’Hare International Airport, RB, Senior Lien, Series D, 5.25%, 1/01/42

     3,300       3,896,277  
 

 

    

 

                
2    BLACKROCK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds   

Par  

(000)

    Value  

Illinois (continued)

    

City of Chicago Illinois O’Hare International Airport, Refunding GARB, Senior Lien, Series D, 5.25%, 1/01/34

   $ 9,800     $ 10,995,110  

City of Chicago Illinois O’Hare International Airport, GARB, 3rd Lien, Series A, 5.63%, 1/01/35

     1,525       1,715,777  

City of Chicago Illinois Transit Authority, RB:

    

5.25%, 12/01/49

     3,500       3,896,305  

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

     650       704,015  

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

    

5.13%, 12/01/38

     7,700       8,121,652  

5.50%, 12/01/38

     1,000       1,079,180  

County of Cook Illinois Forest Preserve District, GO, Refunding, Limited Tax Project, Series B,
5.00%, 12/15/37

     210       226,445  

Illinois Finance Authority, Refunding RB:

    

Silver Cross Hospital and Medical Centers,
4.13%, 8/15/37

     3,130       3,169,000  

Silver Cross Hospital and Medical Centers,
5.00%, 8/15/44

     390       419,004  

University of Chicago Medical Center, Series B, 4.00%, 8/15/41

     900       922,545  

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

     710       812,915  

State of Illinois, GO:

    

5.25%, 2/01/33

     2,435       2,507,928  

5.50%, 7/01/33

     880       920,621  

5.25%, 2/01/34

     5,910       6,066,556  

5.50%, 7/01/38

     1,475       1,550,269  
    

 

 

 
               47,003,599  

Indiana — 1.8%

    

Indiana Finance Authority, RB, CWA Authority Project, 1st Lien, Series A, 5.25%, 10/01/38

     1,100       1,247,290  

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

    

5.50%, 1/01/19 (b)

     1,125       1,206,169  
Municipal Bonds   

Par  

(000)

    Value  

Indiana (continued)

    

Indianapolis Local Public Improvement Bond Bank, Refunding RB, Waterworks Project, Series A (AGC) (continued):

    

5.50%, 1/01/38

   $ 4,625     $ 4,911,842  
    

 

 

 
               7,365,301  

Iowa — 2.3%

    

Iowa Finance Authority, RB, Iowa Health Care Facilities:

    

Genesis Health System, 5.50%, 7/01/33

     3,000       3,547,620  

Series A (AGC), 5.63%, 8/15/19 (b)

     5,000       5,502,850  
    

 

 

 
               9,050,470  

Kentucky — 0.4%

    

State of Kentucky Property & Building Commission, Refunding RB, Project No. 93 (AGC):

    

5.25%, 2/01/19 (b)

     1,330       1,424,084  

5.25%, 2/01/29

     170       181,096  
    

 

 

 
               1,605,180  

Massachusetts — 1.2%

    

Massachusetts Development Finance Agency, RB, Emerson College Issue, Series A, 5.00%, 1/01/47

     2,370       2,632,786  

Massachusetts Development Finance Agency, Refunding RB, Emmanuel College Issue, Series A, 5.00%, 10/01/43

     420       466,943  

Massachusetts School Building Authority, RB, Dedicated Sales Tax, Senior Series A, 5.00%, 5/15/43

     1,395       1,590,998  
    

 

 

 
               4,690,727  

Michigan — 6.3%

    

City of Detroit Michigan Sewage Disposal System, Refunding RB, 2nd Lien, Series E (BHAC), 5.75%, 7/01/18 (b)

     3,000       3,156,150  

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

     1,100       1,255,100  

Michigan Finance Authority, Refunding RB:

    

Henry Ford Health System, 5.00%, 11/15/41

     2,235       2,516,275  
 

 

    

 

                
   BLACKROCK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2017    3


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds   

Par  

(000)

    Value  

Michigan (continued)

    

Michigan Finance Authority, Refunding RB (continued):

    

Henry Ford Health System, 3.25%, 11/15/42

   $ 995     $ 898,664  

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

     30       34,955  

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

     9,020       10,212,173  

Royal Oak Hospital Finance Authority, Refunding RB, Beaumont Health Credit Group, Series D,
5.00%, 9/01/39

     1,560       1,735,188  

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

    

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

     2,000       2,266,760  

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

     800       906,704  

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

     1,500       1,694,715  

Western Michigan University, Refunding RB, General, University and College Improvements (AGM),
5.00%, 11/15/39

     430       480,125  
    

 

 

 
               25,156,809  

Nebraska — 1.7%

    

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

     6,345       6,994,474  

Nevada — 1.9%

    

County of Clark Nevada, ARB, Las Vegas-McCarran International Airport, Series A:

    

5.25%, 7/01/42

     3,000       3,246,600  

(AGM), 5.25%, 7/01/39

     4,100       4,439,193  
    

 

 

 
               7,685,793  

New Jersey — 6.3%

    

New Jersey EDA, RB, Series WW:

    

5.25%, 6/15/33

     170       178,976  

5.00%, 6/15/34

     225       231,138  

5.00%, 6/15/36

     1,395       1,429,289  

5.25%, 6/15/40

     400       418,668  

New Jersey Transportation Trust Fund Authority, RB:

    

5.00%, 6/15/36

     5,070       5,183,821  

CAB, Transportation System, Series A,
0.00%, 12/15/38 (d)

     5,845       1,890,390  

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

     1,660       1,740,361  

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

     945       965,213  
Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

    

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

    

Transportation System, Series A, 5.50%, 6/15/41

   $ 3,000     $ 3,117,450  

Transportation System, Series AA, 5.50%, 6/15/39

     3,785       4,013,917  

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

     5,000       5,168,700  

Transportation System, Series D, 5.00%, 6/15/32

     900       931,977  
    

 

 

 
               25,269,900  

New Mexico — 0.1%

    

New Mexico Hospital Equipment Loan Council, Refunding RB, Presbyterian Healthcare Services, 5.00%, 8/01/44

     405       457,630  

New York — 2.7%

    

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

     1,950       2,088,665  

City of New York New York Transitional Finance Authority, RB, Future Tax Secured Fiscal, Sub-Series E-1,
5.00%, 2/01/37

     1,465       1,737,607  

City of New York New York Transitional Finance Authority, Refunding RB, Future Tax Secured, Series B,
5.00%, 11/01/32

     1,650       1,925,946  

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

     770       877,307  

Hudson Yards Infrastructure Corp., Refunding RB, Series A, 5.00%, 2/15/39

     710       832,688  

Metropolitan Transportation Authority, Refunding RB, Series B, 5.00%, 11/15/37

     1,570       1,840,935  

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

     1,300       1,408,459  
    

 

 

 
               10,711,607  

Ohio — 0.7%

    

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

     610       724,442  

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1:

    

5.25%, 2/15/32

     780       919,714  
 

 

    

 

                
4    BLACKROCK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds   

Par  

(000)

    Value  

Ohio (continued)

    

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1 (continued):

    

5.25%, 2/15/33

   $ 1,095     $ 1,286,603  
    

 

 

 
               2,930,759  

Oregon — 0.4%

    

Clackamas County School District No. 12 North Clackamas, GO, CAB, Series A, 0.00%, 6/15/38 (d)

     1,115       464,665  

Counties of Washington & Multnomah Oregon School District No. 48J Beaverton, GO, Convertible CAB, Series D, 0.00%, 6/15/36 (a)

     945       1,071,167  
    

 

 

 
               1,535,832  

Pennsylvania — 3.5%

    

Pennsylvania HFA, RB, S/F Housing Mortgage, Series 118-B, 4.05%, 10/01/40

     1,770       1,828,764  

Pennsylvania Higher Educational Facilities Authority, Refunding RB, Thomas Jefferson University, Series A, 5.25%, 9/01/50

     4,245       4,766,668  

Pennsylvania Turnpike Commission, RB:

    

Series A, 5.00%, 12/01/38

     695       780,784  

Series A-1, 5.00%, 12/01/41

     2,730       3,075,236  

Series B, 5.00%, 12/01/40

     1,060       1,199,326  

Series C, 5.50%, 12/01/33

     630       743,154  

Subordinate, Special Motor License Fund,
6.00%, 12/01/20 (b)

     625       730,844  

Pennsylvania Turnpike Commission, Refunding RB, Series A-1, 5.00%, 12/01/40

     850       955,961  
    

 

 

 
               14,080,737  

Rhode Island — 1.5%

    

Rhode Island Commerce Corp., RB, Airport Corp., Series D, 5.00%, 7/01/46

     250       280,610  

Tobacco Settlement Financing Corp., Refunding RB, Series B, 4.50%, 6/01/45

     5,855       5,925,670  
    

 

 

 
               6,206,280  

South Carolina — 5.0%

    

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

     260       304,723  
Municipal Bonds   

Par  

(000)

    Value  

South Carolina (continued)

    

South Carolina Public Service Authority, RB, Santee Cooper, Series E, 5.50%, 12/01/53

   $ 610     $ 678,058  

South Carolina Public Service Authority, Refunding RB, Series B (AGM), 5.00%, 12/01/56

     2,845       3,172,431  

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

     5,000       5,464,650  

State of South Carolina Public Service Authority, RB, Santee Cooper, Series A, 5.50%, 12/01/54

     6,960       7,779,749  

State of South Carolina Public Service Authority, Refunding RB, Santee Cooper, Series B,
5.00%, 12/01/38

     2,360       2,565,650  
    

 

 

 
               19,965,261  

Tennessee — 0.0%

    

Metropolitan Government of Nashville & Davidson County Health & Educational Facilities Board, RB, Health & Educational Facilities Board, Vanderbilt University Medical Center, Series A,
5.00%, 7/01/40

     35       39,548  

Texas — 19.1%

    

City of Houston Texas Combined Utility System Revenue, Refunding RB, 1st Lien, Series B, 5.00%, 11/15/36

     2,890       3,407,050  

City of San Antonio Texas Electric & Gas Revenue, RB, Junior Lien, 5.00%, 2/01/38

     615       699,925  

Coppell Texas ISD, GO, CAB, Refunding (PSF-GTD), 0.00%, 8/15/30 (d)

     10,030       6,999,837  

County of Harris Texas, GO, Refunding (NPFGC) (d):

    

0.00%, 8/15/25

     7,485       6,362,624  

0.00%, 8/15/28

     10,915       8,489,905  

County of Harris Texas Houston Sports Authority, Refunding RB, CAB, Junior Lien, Series H (NPFGC) (d):

    

0.00%, 11/15/38

     5,785       2,097,352  

0.00%, 11/15/39

     6,160       2,094,954  

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A, 0.00%, 9/15/36 (d)

     2,340       1,060,792  
 

 

    

 

                
   BLACKROCK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2017    5


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds   

Par  

(000)

    Value  

Texas (continued)

    

Dallas-Fort Worth International Airport, Refunding ARB, Series F, 5.25%, 11/01/33

   $ 1,090     $ 1,271,583  

Grand Parkway Transportation Corp., RB, Convertible CAB, Series B, 0.00%, 10/01/46 (a)

     2,365       2,136,872  

Harris County-Houston Sports Authority, Refunding RB, 3rd Lien, Series A (NPFGC) (d):

    

0.00%, 11/15/24 (b)

     5,965       2,269,623  

0.00%, 11/15/38

     10,925       3,592,577  

Leander ISD, GO, Refunding, CAB, Series D,
0.00%, 8/15/38 (d)

     3,775       1,535,104  

North Texas Tollway Authority, RB:

    

CAB, Special Project System, Series B,
0.00%, 9/01/37 (d)

     1,975       777,716  

Convertible CAB, Series C,
0.00%, 9/01/45 (a)

     2,500       2,923,100  

Special Projects System, Series A,
6.00%, 9/01/41

     1,000       1,174,650  

North Texas Tollway Authority, Refunding RB:

    

1st Tier System (NPFGC), 5.75%, 1/01/18 (b)

     8,650       8,897,044  

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

     2,785       2,854,597  

1st Tier System, Series A, 6.00%, 1/01/19 (b)

     510       550,372  

1st Tier System, Series A (NPFGC),
6.00%, 1/01/28

     115       123,895  

1st Tier System, Series S, 5.75%, 1/01/18 (b)

     11,615       11,946,725  

Series B, 5.00%, 1/01/40

     385       431,023  

Texas Municipal Gas Acquisition & Supply Corp. III, RB:

    

5.00%, 12/15/32

     2,540       2,801,518  

Natural Gas Utility Improvements,
5.00%, 12/15/31

     2,105       2,329,667  
    

 

 

 
               76,828,505  

Utah — 2.1%

    

Salt Lake City Corp. Airport Revenue, RB, Series B, 5.00%, 7/01/42

     2,575       3,022,638  
Municipal Bonds   

Par  

(000)

    Value  

Utah (continued)

    

Utah Transit Authority, RB, Series A (AGM),
5.00%, 6/15/18 (b)

   $ 5,000     $ 5,211,100  
    

 

 

 
               8,233,738  

Virginia — 0.1%

    

County of Fairfax Virginia IDA, Refunding RB, Health Care-Inova Health:

    

5.50%, 5/15/19 (b)

     140       152,321  

5.50%, 5/15/35

     260       280,543  
    

 

 

 
               432,864  

Washington — 2.7%

    

Central Puget Sound Regional Transit Authority, RB, Series A (AGM), 5.00%, 11/01/17 (b)

     3,500       3,560,760  

Washington Health Care Facilities Authority, RB:

    

MultiCare Health System, Remarketing, Series B, 5.00%, 8/15/44

     2,000       2,217,820  

MultiCare Health System, Series C (AGC), 5.50%, 8/15/18 (b)

     4,000       4,212,240  

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

     675       728,521  
    

 

 

 
               10,719,341  

Wisconsin — 1.3%

    

Public Finance Authority, RB, KU Campus Development Corp., Central District Development Project,
5.00%, 3/01/46

     3,215       3,624,687  

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

     1,500       1,628,040  
    

 

 

 
               5,252,727  
Total Municipal Bonds 112.6%              452,097,664  
    
   

Municipal Bonds Transferred to

Tender Option Bond Trusts (e)

 

Arizona — 0.3%

    

City of Phoenix Arizona Civic Improvement Corp., Refunding RB, Water System, Junior Lien, Series A, 5.00%, 7/01/19 (b)

     1,300       1,408,056  
 

 

    

 

                
6    BLACKROCK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds Transferred to

Tender Option Bond Trusts (e)

  

Par  

(000)

    Value  

California — 3.5%

    

California State University, RB, Systemwide, Series A (AGM) (f):

    

5.00%, 5/01/18 (b)

   $ 3,292     $ 3,417,132  

5.00%, 11/01/33

     86       89,417  

County of San Diego California Water Authority Financing Corp., COP, Refunding, Series A (AGM) (b):

    

5.00%, 5/01/18

     808       839,030  

5.00%, 5/01/18

     4,062       4,218,416  

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

     5,000       5,035,750  

San Diego Community College District California, GO, Election of 2002, 5.25%, 8/01/19 (b)

     449       490,298  
    

 

 

 
               14,090,043  

Connecticut — 0.4%

    

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

     1,561       1,774,899  

District of Columbia — 0.3%

    

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

     1,080       1,192,632  

Florida — 6.7%

    

City of Miami Beach Florida, RB, 5.00%, 9/01/45

     3,500       3,999,835  

County of Miami-Dade Florida, Refunding RB, Transit System Sales Surtax, 5.00%, 7/01/42

     1,950       2,178,384  

County of Miami-Dade Florida Water & Sewer System (AGC), 5.00%, 10/01/39

     10,101       11,162,987  

County of Orange Florida School Board, COP, Series A (AGC), 5.50%, 8/01/19 (b)

     6,096       6,687,188  

State of Florida Board of Education, GO, Refunding, Series C, 5.00%, 6/01/18 (f)

     2,999       3,028,650  
    

 

 

 
               27,057,044  

Illinois — 6.3%

    

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

     2,400       2,748,744  

State of Illinois, RB, Build Illinois, Series B,
5.25%, 6/15/19 (b)(f)

     1,400       1,519,768  

Municipal Bonds Transferred to

Tender Option Bond Trusts (e)

  

Par  

(000)

    Value  

Illinois (continued)

    

State of Illinois Toll Highway Authority, RB:

    

Senior Priority, Series A, 5.00%, 1/01/40

   $ 3,045     $ 3,442,412  

Senior Priority, Series B, 5.50%, 1/01/18 (b)

     4,499       4,621,725  

Senior, Series B, 5.00%, 1/01/40

     1,170       1,327,403  

Series A, 5.00%, 1/01/38

     7,714       8,657,795  

Series C, 5.00%, 1/01/38

     2,658       2,994,546  
    

 

 

 
               25,312,393  

Kansas — 1.6%

    

County of Wyandotte Kansas Unified School District, GO, Series A, 5.50%, 9/01/47

     5,363       6,500,784  

Maryland — 0.9%

    

City of Baltimore Maryland Water Utility Fund, RB, Sub-Water Projects, Series A, 5.00%, 7/01/41

     3,139       3,658,243  

Massachusetts — 0.5%

    

Commonwealth of Massachusetts, GO, Series A,
5.00%, 3/01/46

     1,661       1,893,504  

Michigan — 0.9%

    

Michigan Finance Authority, RB, Beaumont Health Credit Group, 5.00%, 11/01/44

     2,220       2,485,437  

Michigan State Building Authority, Refunding RB, Facilities Program, Series I, 5.00%, 10/15/45

     960       1,080,000  
    

 

 

 
               3,565,437  

Nevada — 2.8%

    

City of Las Vegas Nevada, GO, Limited Tax, Performing Arts Center, 6.00%, 4/01/19 (b)(f)

     4,197       4,581,693  

County of Clark Nevada Water Reclamation District, GO, Limited Tax, Series B, 5.75%, 7/01/19 (b)

     2,024       2,223,798  

Las Vegas Valley Water District Nevada, GO, Refunding, Water Improvement, Series A, 5.00%, 6/01/46

     3,900       4,484,688  
    

 

 

 
               11,290,179  

 

 

 

    

 

                
   BLACKROCK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2017    7


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds Transferred to

Tender Option Bond Trusts (e)

  

Par  

(000)

    Value  

New Jersey — 0.8%

    

County of Hudson New Jersey Improvement Authority, RB, Hudson County Vocational-Technical Schools Project, 5.25%, 5/01/51

   $ 920     $ 1,071,478  

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

     2,000       2,067,956  
    

 

 

 
               3,139,434  

New York — 13.5%

    

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Fiscal 2013, Series CC, 5.00%, 6/15/47

     6,240       7,064,976  

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

    

Fiscal 2014, Series DD, 5.00%, 6/15/35

     1,845       2,152,654  

Series FF, 5.00%, 6/15/39

     8,355       9,735,246  

Metropolitan Transportation Authority, RB, Sub-Series D-1, 5.25%, 11/15/44

     3,850       4,503,268  

Metropolitan Transportation Authority, Refunding RB, Series C-1, 5.25%, 11/15/56

     1,700       1,977,521  

New York City Transitional Finance Authority, Refunding RB, Future Tax Secured, Series B, 5.00%, 11/01/30

     12,500       14,690,625  

New York State Urban Development Corp., RB, Personal Income Tax, General Purpose, Series A-1, 5.00%, 3/15/43

     5,720       6,430,252  

Port Authority of New York & New Jersey, Refunding RB, Consolidated, 198th Series, 5.25%, 11/15/56

     2,561       3,020,186  

Municipal Bonds Transferred to

Tender Option Bond Trusts (e)

  

Par  

(000)

    Value  

New York (continued)

    

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

   $ 4,500     $ 4,779,135  
    

 

 

 
               54,353,863  

Ohio — 0.2%

    

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

     620       662,594  

Pennsylvania — 1.8%

    

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB (BAM), 5.00%, 8/15/42

     1,020       1,163,382  

Pennsylvania Turnpike Commission, RB, Sub-Series A, 5.50%, 12/01/42

     4,997       5,878,845  
    

 

 

 
               7,042,227  

South Carolina — 0.2%

    

South Carolina Public Service Authority, Refunding RB, Series A (b)(f):

    

5.50%, 1/01/19

     48       51,278  

5.50%, 1/01/19

     553       592,915  
    

 

 

 
               644,193  

Texas — 2.4%

    

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

     4,167       4,365,394  

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

     719       802,735  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Texas Health Resources System, Series A, 5.00%, 2/15/41

     3,920       4,471,897  
    

 

 

 
               9,640,026  

Washington — 1.0%

    

Washington Health Care Facilities Authority, Refunding RB, Seattle Children’s Hospital, Series B, 5.00%, 10/01/38

     3,210       3,866,702  
 

 

    

 

                
8    BLACKROCK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

Municipal Bonds Transferred to

Tender Option Bond Trusts (e)

  

Par  

(000)

    Value  

Wisconsin — 1.6%

    

Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert & Community Health, Inc., Obligated Group:

    

Series A, 5.00%, 4/01/42

   $ 3,520     $ 3,835,462  

Series C, 5.25%, 4/01/19 (b)

     2,500       2,693,000  
    

 

 

 
               6,528,462  

Total Municipal Bonds Transferred to

Tender Option Bond Trusts 45.7%

 

 

    183,620,715  

Total Long-Term Investments

(Cost — $588,132,538) — 158.3%

 

 

    635,718,379  

 

Short-Term Securities

   Shares     Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.60% (g)(h)

     5,619,402     $ 5,620,526  

Total Short-Term Securities

(Cost — $5,620,377) — 1.4%

 

 

    5,620,526  

Total Investments

(Cost — $593,752,915*) — 159.7%

 

 

    641,338,905  
Other Assets Less Liabilities 1.3%       5,019,124  
Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable (26.8)%       (107,452,857

Loan for TOB Trust Certificates (0.0)%

 

    (83,280

VMTP Shares, at Liquidation Value (34.2)%

 

    (137,200,000
    

 

 

 

Net Assets Applicable to Common Shares 100.0%

 

  $ 401,621,892  
    

 

 

 

 

* As of May 31, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income tax purposes were as follows:

 

Tax cost

     $ 488,535,032  
    

 

 

 

Gross unrealized appreciation

     $ 48,544,705  

Gross unrealized depreciation

       (3,276,969
    

 

 

 

Net unrealized appreciation

     $ 45,267,736  
    

 

 

 

 

 
Notes to Schedule of Investments

 

(a)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

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

 

(c)   When-issued security.

 

(d)   Zero-coupon bond.

 

(e)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing.

 

(f)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between June 01, 2017 to December 01, 2029, is $12,093,907.

 

(g)   During the period ended May 31, 2017, investments in issuers considered to be affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate      Shares Held at
August 31,
2016
       Net
Activity
      

Shares Held

at May 31,
2017

       Value at
May 31, 2017
       Income       

Net

Realized
Gain1

       Change in
Unrealized
Appreciation
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

       3,605,050          2,014,352          5,619,402        $ 5,620,526        $ 18,759        $ 4,334        $ 149  

 

1   

Includes net capital gain distributions.

 

    

 

                
   BLACKROCK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2017    9


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

 

(h)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts

Short

  Issue     Expiration     Notional
Value
    Unrealized
Depreciation
 
    (65)     5-Year U.S. Treasury Note       September 2017     $ 7,690,312     $ (11,356
  (163)     10-Year U.S. Treasury Note       September 2017     $ 20,586,391       (61,952
  (127)     Long U.S. Treasury Bond       September 2017     $ 19,534,188       (158,927
    (28)     Ultra U.S. Treasury Bond       September 2017     $ 4,623,500       (55,531
Total         $ (287,766
       

 

 

 

 

Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.              
AGM    Assured Guaranty Municipal Corp.              
AMBAC    American Municipal Bond Assurance Corp.              
ARB    Airport Revenue Bonds              
BAM    Build America Mutual Assurance Co.              
BARB    Building Aid Revenue Bonds              
BHAC    Berkshire Hathaway Assurance Corp.              
CAB    Capital Appreciation Bonds              
COP    Certificates of Participation              
EDA    Economic Development Authority              
GARB    General Airport Revenue Bonds              
GO    General Obligation Bonds              
HFA    Housing Finance Agency              
IDA    Industrial Development Authority              
ISD    Independent School District              
LRB    Lease Revenue Bonds              
NPFGC    National Public Finance Guarantee Corp.              
PSF-GTD    Permanent School Fund Guaranteed              
RB    Revenue Bonds              
S/F    Single-Family              

 

                
10    BLACKROCK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Quality Trust (BYM)

 

 

Fair Value Hierarchy as of Period End

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 reporting purposes as follows:

 

   

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the 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 market–corroborated inputs)

 

   

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

The 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 BlackRock Global Valuation Methodologies Committee (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. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

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

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

        Level 1        Level 2        Level 3          Total  

Assets:

                   
Investments:                    

Long-Term Investments 1

              $ 635,718,379              —        $ 635,718,379  

Short-Term Securities

     $ 5,620,526                       —          5,620,526  
    

 

 

 

Total

     $ 5,620,526        $ 635,718,379              —        $ 641,338,905  
    

 

 

 
Derivative Financial Instruments 2            

Liabilities:

                   

Interest rate contracts

     $ (287,766                     —        $ (287,766
  1   

See above schedule of investments for values in each state or political subdivision.

  2   

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

 

 

                
   BLACKROCK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2017    11


Schedule of Investments (concluded)

  

BlackRock Municipal Income Quality Trust (BYM)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Liabilities:

                

TOB Trust Certificates

           $ (107,452,857               $ (107,452,857

Loan for TOB Trust Certificates

             (83,280                 (83,280

VMTP Shares at Liquidation Value

             (137,200,000                 (137,200,000
 

 

 

 

Total

           $ (244,736,137               $ (244,736,137
 

 

 

 

During the period ended May 31, 2017, there were no transfers between levels.

 

 

                
12    BLACKROCK MUNICIPAL INCOME QUALITY TRUST    MAY 31, 2017   


Item 2 –   Controls and Procedures
2(a) –   The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) –   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3 –   Exhibits
  Certifications – Attached hereto


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

 

BlackRock Municipal Income Quality Trust
By:       /s/ John M. Perlowski                    
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of BlackRock Municipal Income Quality Trust

Date: July 24, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:       /s/ John M. Perlowski                    
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of BlackRock Municipal Income Quality Trust

Date: July 24, 2017

 

By:       /s/ Neal J. Andrews                        
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of BlackRock Municipal Income Quality Trust

Date: July 24, 2017