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 811-21053
Name of Fund: BlackRock Virginia Municipal Bond Trust (BHV)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Virginia Municipal Bond Trust, 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2012
Date of reporting period: 05/31/2012
Item 1 – Schedule of Investments
|
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|
|
|
|
Schedule of Investments May 31, 2012 (Unaudited) |
BlackRock Virginia Municipal Bond Trust
(BHV) |
|
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|
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|
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|
|
|
Municipal Bonds |
|
Par |
|
Value |
|
||
|
Virginia — 110.2% |
|
|
|
|
|
|
|
|
Corporate — 11.3% |
|
|
|
|
|
|
|
|
Chesterfield County EDA, RB, Virginia |
|
$ |
500 |
|
$ |
521,810 |
|
|
Isle Wight County IDA Virginia, RB, |
|
|
1,300 |
|
|
1,363,843 |
|
|
Louisa IDA, Refunding RB, Virginia |
|
|
1,000 |
|
|
1,059,260 |
|
|
|
|
|
|
|
|
2,944,913 |
|
|
County/City/Special District/School District — 14.0% |
|
|
|
|
|
|
|
|
City of Portsmouth Virginia, GO, |
|
|
500 |
|
|
568,505 |
|
|
County of Prince William Virginia, RB, |
|
|
100 |
|
|
100,000 |
|
|
Dulles Town Center Community |
|
|
880 |
|
|
880,748 |
|
|
Fairfax County Redevelopment & |
|
|
1,500 |
|
|
1,629,180 |
|
|
Mosaic District Community |
|
|
250 |
|
|
275,600 |
|
|
White Oak Village Shops Community |
|
|
175 |
|
|
186,770 |
|
|
|
|
|
|
|
|
3,640,803 |
|
|
Education — 15.2% |
|
|
|
|
|
|
|
|
Montgomery County EDA, Refunding RB, |
|
|
355 |
|
|
395,545 |
|
|
Virginia College Building Authority, |
|
|
|
|
|
|
|
|
Liberty University Projects, |
|
|
1,000 |
|
|
1,093,180 |
|
|
Washington & Lee University Project |
|
|
500 |
|
|
624,585 |
|
|
Washington & Lee University Project |
|
|
1,000 |
|
|
1,270,870 |
|
|
Virginia Small Business Financing |
|
|
500 |
|
|
555,475 |
|
|
|
|
|
|
|
|
3,939,655 |
|
|
Health — 23.5% |
|
|
|
|
|
|
|
|
Danville IDA Virginia, Refunding RB, |
|
|
1,000 |
|
|
1,281,680 |
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds |
|
Par |
|
Value |
|
||
|
Virginia (continued) |
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|
|
|
|
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Health (concluded) |
|
|
|
|
|
|
|
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Fairfax County EDA, Refunding RB, |
|
$ |
1,000 |
|
$ |
1,034,430 |
|
|
Henrico County EDA, Refunding RB, Bon |
|
|
1,440 |
|
|
1,453,939 |
|
|
Peninsula Ports Authority, Refunding RB, |
|
|
250 |
|
|
185,020 |
|
|
Roanoke EDA, RB, Carilion Clinic |
|
|
795 |
|
|
881,297 |
|
|
Roanoke IDA, Refunding RB, Carillion |
|
|
500 |
|
|
540,165 |
|
|
Winchester IDA Virginia, RB, Valley |
|
|
650 |
|
|
718,893 |
|
|
|
|
|
|
|
|
6,095,424 |
|
|
Housing — 9.4% |
|
|
|
|
|
|
|
|
Virginia HDA, RB, Rental Housing: |
|
|
|
|
|
|
|
|
Series A, 5.25%, 5/01/41 |
|
|
750 |
|
|
813,067 |
|
|
Series B, 5.63%, 6/01/39 |
|
|
1,000 |
|
|
1,096,190 |
|
|
Series D, 4.60%, 9/01/40 |
|
|
500 |
|
|
521,760 |
|
|
|
|
|
|
|
|
2,431,017 |
|
|
State — 12.1% |
|
|
|
|
|
|
|
|
Virginia College Building Authority, RB, |
|
|
1,000 |
|
|
1,112,560 |
|
|
Virginia Public School Authority, RB, |
|
|
360 |
|
|
425,056 |
|
|
Virginia Public School Authority, RB, |
|
|
|
|
|
|
|
|
5.25%, 8/01/33 |
|
|
500 |
|
|
566,195 |
|
|
4.00%, 8/01/36 |
|
|
1,000 |
|
|
1,040,630 |
|
|
|
|
|
|
|
|
3,144,441 |
|
|
Transportation — 10.4% |
|
|
|
|
|
|
|
|
City of Norfolk Virginia, Refunding RB, |
|
|
465 |
|
|
465,409 |
|
|
Richmond Metropolitan Authority |
|
|
500 |
|
|
584,000 |
|
|
Virginia Port Authority Commonwealth |
|
|
500 |
|
|
563,645 |
|
|
Virginia Small Business Financing |
|
|
1,000 |
|
|
1,098,350 |
|
|
|
|
|
|
|
|
2,711,404 |
|
|
|
|
|
|
|
|
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|
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|
BLACKROCK VIRGINIA MUNICIPAL BOND TRUST |
MAY 31, 2012 |
1 |
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|
Schedule of Investments (continued) |
BlackRock Virginia Municipal Bond Trust
(BHV) |
|
|
|
|
|
|
|
|
|
|
Municipal Bonds |
|
Par |
|
Value |
|
||
|
Virginia (concluded) |
|
|
|
|
|
|
|
|
Utilities — 14.3% |
|
|
|
|
|
|
|
|
City of Portsmouth Virginia, GO, |
|
$ |
1,000 |
|
$ |
1,147,100 |
|
|
Virginia Resources Authority, RB, |
|
|
250 |
|
|
283,895 |
|
|
Virginia Resources Authority, Refunding |
|
|
2,000 |
|
|
2,282,720 |
|
|
|
|
|
|
|
|
3,713,715 |
|
|
Total Municipal Bonds in Virginia |
|
|
|
|
|
28,621,372 |
|
|
|
|
|
|
|
|
|
|
|
District of Columbia — 7.4% |
|
|
|
|
|
|
|
|
Transportation — 7.4% |
|
|
|
|
|
|
|
|
Metropolitan Washington Airports |
|
|
|
|
|
|
|
|
First Senior Lien, Series A, |
|
|
290 |
|
|
314,006 |
|
|
First Senior Lien, Series A, |
|
|
460 |
|
|
502,316 |
|
|
Series B, 5.00%, 10/01/29 |
|
|
1,000 |
|
|
1,116,090 |
|
|
Total Municipal Bonds in District of Columbia |
|
|
|
|
|
1,932,412 |
|
|
|
|
|
|
|
|
|
|
|
Guam — 1.9% |
|
|
|
|
|
|
|
|
State — 1.9% |
|
|
|
|
|
|
|
|
Government of Guam Business Privilege |
|
|
250 |
|
|
270,747 |
|
|
Territory of Guam, Limited Obligation |
|
|
200 |
|
|
214,320 |
|
|
Total Municipal Bonds in Guam |
|
|
|
|
|
485,067 |
|
|
|
|
|
|
|
|
|
|
|
Multi-State — 6.4% |
|
|
|
|
|
|
|
|
Housing — 6.4% |
|
|
|
|
|
|
|
|
Centerline Equity Issuer Trust, 7.20%, |
|
|
1,500 |
|
|
1,668,615 |
|
|
|
|
|
|
|
|
|
|
|
Puerto Rico — 4.3% |
|
|
|
|
|
|
|
|
State — 4.1% |
|
|
|
|
|
|
|
|
Puerto Rico Sales Tax Financing Corp., |
|
|
1,000 |
|
|
1,059,620 |
|
|
Utilities — 0.2% |
|
|
|
|
|
|
|
|
Puerto Rico Electric Power Authority, |
|
|
50 |
|
|
50,511 |
|
|
Total Municipal Bonds in Puerto Rico |
|
|
|
|
|
1,110,131 |
|
|
Total Municipal Bonds – 130.2% |
|
|
|
|
|
33,817,597 |
|
|
|
|
|
|
|
|
|
|
|
Municipal
Bonds Transferred to |
|
Par |
|
Value |
|
||
|
Virginia — 27.1% |
|
|
|
|
|
|
|
|
Education — 13.0% |
|
|
|
|
|
|
|
|
University of Virginia, Refunding RB, |
|
$ |
2,999 |
|
$ |
3,370,884 |
|
|
Health — 8.5% |
|
|
|
|
|
|
|
|
Fairfax County IDA Virginia, Refunding |
|
|
999 |
|
|
1,126,401 |
|
|
Virginia Small Business Financing |
|
|
1,000 |
|
|
1,085,971 |
|
|
|
|
|
|
|
|
2,212,372 |
|
|
Transportation — 5.6% |
|
|
|
|
|
|
|
|
Virginia State Commonwealth |
|
|
1,259 |
|
|
1,460,388 |
|
|
Total Municipal Bonds in Virginia |
|
|
|
|
|
7,043,644 |
|
|
|
|
|
|
|
|
|
|
|
Puerto Rico — 2.2% |
|
|
|
|
|
|
|
|
State — 2.2% |
|
|
|
|
|
|
|
|
Puerto Rico Sales Tax Financing Corp., |
|
|
500 |
|
|
553,200 |
|
|
Total Municipal Bonds Transferred to |
|
|
|
|
|
7,596,844 |
|
|
Total Long-Term Investments |
|
|
|
|
|
41,414,441 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
Shares |
|
|
|
|
|
FFI Institutional Tax-Exempt Fund, |
|
|
320,358 |
|
|
320,358 |
|
|
Total Short-Term Securities |
|
|
|
|
|
320,358 |
|
|
Total Investments (Cost - $38,089,057*) – 160.7% |
|
|
|
|
|
41,734,799 |
|
|
Other Assets Less Liabilities – 0.1% |
|
|
|
|
|
27,879 |
|
|
Liability for TOB Trust Certificates, Including
Interest |
|
|
|
|
|
(4,109,092 |
) |
|
VRDP Shares, at Liquidation Value – (45.0)% |
|
|
|
|
|
(11,675,000 |
) |
|
Net Assets Applicable to Common Shares – 100.0% |
|
|
|
|
$ |
25,978,586 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK VIRGINIA MUNICIPAL BOND TRUST |
MAY 31, 2012 |
2 |
|
|
|
|
|
|
|
Schedule of Investments (continued) |
BlackRock Virginia Municipal Bond Trust (BHV) |
|
|
|
|
* |
As of May 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows: |
|
|
|
|
|
|
|
Tax cost |
|
$ |
33,884,439 |
|
|
Gross unrealized appreciation |
|
$ |
3,804,655 |
|
|
Gross unrealized depreciation |
|
|
(61,845 |
) |
|
Net unrealized appreciation |
|
$ |
3,742,810 |
|
|
|
|
|
(a) |
Variable rate security. Rate shown is as of report date. |
|
|
|
|
(b) |
US government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par. |
|
|
|
|
(c) |
Security is collateralized by Municipal or US Treasury obligations. |
|
|
|
|
(d) |
When-issued security. Unsettled when-issued transactions were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Value |
|
Unrealized |
|
||
|
|
Wells Fargo Bank N.A. |
|
$ |
283,895 |
|
$ |
1,493 |
|
|
|
|
|
(e) |
Security represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity. |
|
|
|
|
(f) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
|
|
|
|
(g) |
Securities represent bonds transferred to a TOB in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction. |
|
|
|
|
(h) |
Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliate |
|
|
Shares |
|
|
Net |
|
|
Shares |
|
Income |
|
|
|
FFI Institutional |
|
|
115,091 |
|
|
205,267 |
|
|
320,358 |
|
$ |
62 |
|
|
|
|
|
(i) |
Represents the current yield as of report date. |
|
|
|
|
• |
Financial futures contracts sold as of May 31, 2012 were as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts |
|
Issue |
|
Exchange |
|
Expiration |
|
Notional |
|
Unrealized |
|
||
|
9 |
|
10-Year US |
|
Chicago |
|
September |
|
$ |
1,205,438 |
|
$ |
(10,564 |
) |
|
|
|
|
Portfolio Abbreviations |
|
|
|
|
|
To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list: |
|
|
|
|
|
|
|
|
AMBAC |
American Municipal Bond Assurance Corp. |
|
AMT |
Alternative Minimum Tax (subject to) |
|
EDA |
Economic Development Authority |
|
GO |
General Obligation Bonds |
|
HDA |
Housing Development Authority |
|
IDA |
Industrial Development Authority |
|
NPFGC |
National Public Finance Guarantee Corp. |
|
RB |
Revenue Bonds |
|
|
|
|
|
• |
For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine sector sub-classifications for reporting ease. |
|
|
|
|
|
|
• |
Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows: |
|
|
|
|
|
|
|
• |
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities |
|
|
|
|
|
|
• |
Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
|
|
|
|
|
|
• |
Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its semi-annual report.
|
|
|
|
|
|
|
|
|
|
|
|
BLACKROCK VIRGINIA MUNICIPAL BOND TRUST |
MAY 31, 2012 |
3 |
|
|
|
|
|
|
|
Schedule of Investments (concluded) |
BlackRock Virginia Municipal Bond Trust (BHV) |
The following tables summarize the inputs used as of May 31, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term |
|
|
— |
|
$ |
41,414,441 |
|
|
— |
|
$ |
41,414,441 |
|
|
Short-Term |
|
$ |
320,358 |
|
|
— |
|
|
— |
|
|
320,358 |
|
|
Total |
|
$ |
320,358 |
|
$ |
41,414,441 |
|
|
— |
|
$ |
41,734,799 |
|
|
|
|
|
1 |
See above Schedule of Investments for values in each sector. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
Derivative
Financial |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate |
|
$ |
(10,564 |
) |
|
— |
|
|
— |
|
$ |
(10,564 |
) |
|
|
|
|
2 |
Derivative financial instruments are financial futures contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of May 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Inputs |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash |
|
$ |
252 |
|
|
— |
|
|
— |
|
$ |
252 |
|
|
Cash pledged |
|
|
20,000 |
|
|
— |
|
|
— |
|
|
20,000 |
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOB trust |
|
|
— |
|
$ |
(4,107,550 |
) |
|
— |
|
|
(4,107,550 |
) |
|
VRDP shares |
|
|
— |
|
|
(11,675,000 |
) |
|
— |
|
|
(11,675,000 |
) |
|
Total |
|
$ |
20,252 |
|
$ |
(15,782,550 |
) |
|
— |
|
$ |
(15,762,298 |
) |
There were no transfers between levels during the period ended May 31, 2012.
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BLACKROCK VIRGINIA MUNICIPAL BOND TRUST |
MAY 31, 2012 |
4 |
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Item 2 – |
Controls and Procedures |
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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. |
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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. |
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Item 3 – |
Exhibits |
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Certifications – Attached hereto |
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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. |
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BlackRock Virginia Municipal Bond Trust |
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| By: | /s/ John M. Perlowski | ||
| John M. Perlowski | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Virginia Municipal Bond Trust | |||
| Date: July 25, 2012 | |||
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | |||
| By: | /s/ John M. Perlowski | ||
| John M. Perlowski | |||
| Chief Executive Officer (principal executive officer) of | |||
| BlackRock Virginia Municipal Bond Trust | |||
| Date: July 25, 2012 | |||
| By: | /s/ Neal J. Andrews | ||
| Neal J. Andrews | |||
| Chief Financial Officer (principal financial officer) of | |||
| BlackRock Virginia Municipal Bond Trust | |||
| Date: July 25, 2012 | |||