BLACKROCK VIRGINIA MUNICIPAL BOND 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 811-21053

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: 08/31/2014

Date of reporting period: 05/31/2014


Item 1 – Schedule of Investments


Schedule of Investments May 31, 2014 (Unaudited)

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Virginia — 118.4%

                

Corporate — 7.3%

  

 

County of Chesterfield Virginia EDA, RB, Virginia Electric Power Co. Project, Series A, AMT, 5.60%, 11/01/31

   $ 500      $ 533,880   

Isle Wight County Virginia IDA, RB, International Paper, Series A, AMT, 5.70%, 11/01/27

     1,300        1,300,845   
    

 

 

 
               1,834,725   

County/City/Special District/School District — 25.0%

  

City of Norfolk Virginia, GO, Refunding, Capital Improvement, Series A, 5.00%, 8/01/38

     500        563,805   

City of Portsmouth Virginia, GO, Refunding, Series D, 5.00%, 7/15/34

     500        561,970   

City of Suffolk Virginia, GO, Refunding, 5.00%, 6/01/42

     1,000        1,098,960   

County of Fairfax Virginia EDA, RB, Silverline Phase I Project, 5.00%, 4/01/37

     1,000        1,080,710   

County of Fairfax Virginia Redevelopment & Housing Authority, Refunding RB, Fairfax Redevelopment & Housing, 5.00%, 10/01/39

     1,500        1,606,320   

Dulles Town Center Community Development Authority, Refunding, Special Assessment, Dulles Town Center Project, 4.25%, 3/01/26

     500        485,100   

Mosaic District Community Development Authority, Special Assessment, Series A, 6.88%, 3/01/36

     250        287,202   

Shops at White Oak Village Community Development Authority, Special Assessment, 5.30%, 3/01/17

     113        120,955   

Virginia Public School Authority, RB, Fluvanna County School Financing, 6.50%, 12/01/18 (a)

     360        446,987   
    

 

 

 
        6,252,009   

Education — 15.4%

  

 

County of Montgomery Virginia EDA, Refunding RB, Virginia Tech Foundation, Series A, 5.00%, 6/01/39

     355        383,805   
Municipal Bonds    Par  
(000)
    Value  

Virginia (continued)

                

Education (concluded)

  

 

Virginia College Building Authority, Refunding RB:

    

Liberty University Projects, 5.00%, 3/01/41

   $ 1,000      $ 1,074,800   

Washington & Lee University Project (NPFGC), 5.25%, 1/01/26

     500        610,605   

Washington & Lee University Project (NPFGC), 5.25%, 1/01/31

     1,000        1,240,040   

Virginia Small Business Financing Authority, RB, Roanoke College, 5.75%, 4/01/41

     500        554,440   
    

 

 

 
        3,863,690   

Health — 24.6%

  

 

County of Fairfax Virginia EDA, Refunding RB:

    

Goodwin House, Inc., 5.00%, 10/01/27

     1,000        1,059,090   

Vinson Hall LLC, Series A, 5.00%, 12/01/42

     500        505,275   

County of Hanover EDA, Refunding RB, Covenant Woods, Series A, 5.00%, 7/01/42

     500        477,485   

County of Henrico Virginia EDA, Refunding RB, United Methodist Homes, 4.25%, 6/01/26

     145        143,454   

Danville Virginia IDA, Refunding RB, Danville Regional Medical Center (AMBAC), 5.25%, 10/01/28 (b)

     1,000        1,221,720   

Peninsula Ports Authority, Refunding RB, Virginia Baptist Homes, Series C, 5.40%, 12/01/33

     250        232,458   

Roanoke EDA, Refunding RB:

    

Carilion Clinic Obligation Group, 5.00%, 7/01/30

     795        880,097   

Carilion Health System (AGM), 5.00%, 7/01/20 (a)

     5        6,013   

Carilion Health System, Series B (AGM), 5.00%, 7/01/38

     495        532,278   

Winchester Virginia IDA, RB, Valley Health System Obligation, Series E, 5.63%, 1/01/44

     650        710,339   

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    MAY 31, 2014    1


Schedule of Investments (continued)

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Virginia (continued)

                

Health (concluded)

  

 

York County EDA, Refunding RB, Virginia Electric and Power Co. Project, Series A, 1.88%, 5/01/33 (c)

   $ 390      $ 393,007   
    

 

 

 
        6,161,216   

Housing — 10.9%

  

 

Virginia HDA, RB:

    

M/F Rental Housing, Series A, 5.25%, 5/01/41

     750        796,485   

M/F Rental Housing, Series B, 5.63%, 6/01/39

     1,000        1,077,240   

M/F Rental Housing, Series F, 5.25%, 10/01/38

     250        273,250   

Remarketing, S/F Housing, Sub-Series C-3, 3.25%, 4/01/31

     650        590,668   
    

 

 

 
        2,737,643   

State — 8.4%

  

 

Virginia College Building Authority, RB, Public Higher Education Financing Program, Series A, 5.00%, 9/01/33

     1,000        1,119,380   

Virginia Public School Authority, RB, School Financing, 1997 Resolution, Series B:

    

5.25%, 8/01/33

     500        561,820   

4.00%, 8/01/36

     405        414,882   
    

 

 

 
        2,096,082   

Transportation — 16.7%

  

 

Richmond Metropolitan Authority, Refunding RB (NPFGC), 5.25%, 7/15/22

     500        569,825   

Virginia Commonwealth Transportation Board, RB, Capital Projects, 5.00%, 5/15/32

     1,260        1,414,665   

Virginia Port Authority, RB, 5.00%, 7/01/36

     500        565,735   

Virginia Port Authority, Refunding RB, 5.00%, 7/01/40

     500        527,260   

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT, 6.00%, 1/01/37

     1,000        1,104,260   
    

 

 

 
        4,181,745   
Municipal Bonds    Par  
(000)
    Value  

Virginia (concluded)

                

Utilities — 10.1%

  

 

City of Richmond Virginia, Refunding RB, Series A, 5.00%, 1/15/29

   $ 250      $ 292,712   

Virginia Resources Authority, RB, Senior, Virginia Pooled Financing Program,

    

5.00%, 11/01/18 (a)

     105        123,076   

5.00%, 11/01/33

     1,895        2,124,750   
    

 

 

 
        2,540,538   
Total Municipal Bonds in Virginia              29,667,648   

District of Columbia — 7.7%

                

Transportation — 7.7%

  

 

Metropolitan Washington Airports Authority, Refunding RB:

    

1st Senior Lien, Series A, 5.00%, 10/01/39

     290        305,791   

1st Senior Lien, Series A, 5.25%, 10/01/44

     460        488,492   

Series B, 5.00%, 10/01/29

     1,000        1,127,250   
Total Municipal Bonds in District of Columbia              1,921,533   

Guam — 1.9%

                

State — 1.9%

  

 

Territory of Guam, RB, Series A:

    

Business Privilege Tax Bonds, 5.13%, 1/01/42

     250        260,918   

Limited Obligation Bonds, Section 30, 5.63%, 12/01/29

     200        219,114   
Total Municipal Bonds in Guam              480,032   

Multi-State — 6.1%

                

Housing — 6.1%

  

 

Centerline Equity Issuer Trust, Series B-2, 7.20%, 11/15/14 (d)(e)

     1,500        1,537,290   
Total Municipal Bonds134.1%              33,606,503   

 

 

                
2    BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    MAY 31, 2014   


Schedule of Investments (continued)

  

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

 

Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts (f)
   Par  
(000)
    Value  

Virginia — 22.1%

                

Education — 13.3%

    

University of Virginia, Refunding RB, General, 5.00%, 6/01/40

   $ 2,999      $ 3,333,324   

Health — 8.8%

    

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

     999        1,117,036   

Virginia Small Business Financing Authority, Refunding RB, Sentara Healthcare, 5.00%, 11/01/40

     1,000        1,075,528   
    

 

 

 
        2,192,564   
Total Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts
22.1%
        5,525,888   
Total Long-Term Investments
(Cost — $36,028,762) — 156.2%
        39,132,391   
    
                  
Short-Term Securities    Shares     Value  

FFI Institutional Tax-Exempt Fund, 0.03% (g)(h)

     8,583      $ 8,583   

Total Short-Term Securities

(Cost — $8,583) — 0.0%

  

  

    8,583   
Total Investments
(Cost — $36,037,345*) — 156.2%
        39,140,974   
Other Assets Less Liabilities2.2%        532,046   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable
(12.1%)

   

    (3,019,574
VRDP Shares, at Liquidation Value(46.3%)        (11,600,000
    

 

 

 
Net Assets Applicable to Common Shares100.0%      $ 25,053,446   

*  As of May 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

      

Tax cost

  

  $ 32,927,736   
    

 

 

 

Gross unrealized appreciation

  

  $ 3,220,167   

Gross unrealized depreciation

  

    (25,908
    

 

 

 

Net unrealized appreciation

  

  $ 3,194,259   
    

 

 

 

 

Notes to Schedule of Investments

 

(a)   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.

 

(b)   Security is collateralized by municipal or U.S. Treasury obligations.

 

(c)   Variable rate security. Rate shown is as of report date.

 

(d)   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.

 

(e)   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)   Represent bonds transferred to a TOB. In exchange for which the Trust acquired residual interest certificates. These bonds serve as collateral in a financing transaction.

 

(g)   Investments in issuers considered to be an affiliate of the Trust during the period ended May 31, 2014, 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,
2013
       Net
Activity
       Shares Held
at May 31,
2014
       Income  

FFI Institutional Tax-Exempt Fund

       389,989           (381,406        8,583         $ 170   

 

(h)   Represents the current yield as of report date.

 

Portfolio Abbreviations

 

AGM

   Assured Guaranty Municipal Corp.

AMBAC

   American Municipal Bond Assurance Corp.

AMT

   Alternative Minimum Tax (subject to)

EDA

   Economic Development Authority

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    MAY 31, 2014    3


Schedule of Investments (continued)

  

BlackRock Virginia Municipal Bond Trust (BHV)

 

GO

   General Obligation Bonds

HDA

   Housing Development Authority

IDA

   Industrial Development Authority

M/F

   Multi-Family

NPFGC

   National Public Finance Guarantee Corp.

RB

   Revenue Bonds

S/F

   Single-Family

 

Ÿ  

Financial futures contracts outstanding as of May 31, 2014 were as follows:

 

Contracts

Sold

     Issue      Exchange      Expiration     

Notional

Value

      

Unrealized

Appreciation

 
  (25    10-Year U.S. Treasury Note      Chicago Board of Trade      September 2014      $ 3,137,891         $ 1,564   

 

Ÿ  

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 the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Ÿ  

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

 

  Ÿ  

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  Ÿ  

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)

 

  Ÿ  

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.

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 instrument 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, please 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 as of May 31, 2014:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

            $ 39,132,391                   $ 39,132,391   

Short-Term Securities

  $ 8,583                               8,583   
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 8,583         $ 39,132,391                   $ 39,140,974   
 

 

 

      

 

 

      

 

 

      

 

 

 

 

1   

See above Schedule of Investments for values in each sector.

 

                
4    BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    MAY 31, 2014   


Schedule of Investments (concluded)

  

BlackRock Virginia Municipal Bond Trust (BHV)

 

 

     Level 1        Level 2      Level 3        Total  
Derivative Financial Instruments 2                 

Assets:

                

Interest rate contracts

  $ 1,564                        $ 1,564   

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

      

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of May 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                

Cash pledged for financial futures contracts

  $ 35,000                             $ 35,000   

Liabilities:

                

TOB trust certificates

            $ (3,018,979                  (3,018,979

VRDP Shares

              (11,600,000                  (11,600,000
 

 

 

      

 

 

      

 

 

      

 

 

 

Total

  $ 35,000         $ (14,618,979                $ (14,583,979
 

 

 

      

 

 

      

 

 

      

 

 

 

There were no transfers between levels during the period ended May 31, 2014.

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    MAY 31, 2014    5


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 Virginia Municipal Bond Trust

 

By:      

/s/ John M. Perlowski

 
  John M. Perlowski  
 

Chief Executive Officer (principal executive officer) of

BlackRock Virginia Municipal Bond Trust

 

Date: July 23, 2014

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 23, 2014

 

By:      

/s/ Neal J. Andrews

 
  Neal J. Andrews  
  Chief Financial Officer (principal financial officer) of BlackRock Virginia Municipal Bond Trust  

Date: July 23, 2014