UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

 

 

Investment Company Act file number 811-10335

 

Name of Fund: BlackRock New Jersey Municipal Income Trust (BNJ)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 07/31/2014

 

Date of reporting period: 01/31/2014

 

Item 1 – Report to Stockholders

 

 

 

 

 

 

 
 

JANUARY 31, 2014

SEMI-ANNUAL REPORT (UNAUDITED)  

BlackRock California Municipal Income Trust (BFZ)

BlackRock Florida Municipal 2020 Term Trust (BFO)

BlackRock Municipal Income Investment Trust (BBF)

BlackRock Municipal Target Term Trust (BTT)

BlackRock New Jersey Municipal Income Trust (BNJ)

BlackRock New York Municipal Income Trust (BNY)

Not FDIC Insured • May Lose Value • No Bank Guarantee
     
 
   

Table of Contents

 
           Page    
Dear Shareholder
           3    
Semi-Annual Report:
                
Municipal Market Overview
           4    
The Benefits and Risks of Leveraging
           5    
Derivative Financial Instruments
           5    
Trust Summaries
           6    
Financial Statements:
                
Schedules of Investments
           18    
Statements of Assets and Liabilities
           44    
Statements of Operations
           45    
Statements of Changes in Net Assets
           46    
Statements of Cash Flows
           48    
Financial Highlights
           49    
Notes to Financial Statements
           55    
Officers and Trustees
           66    
Additional Information
           67    
2 SEMI-ANNUAL REPORT JANUARY 31, 2014
 
   
Dear Shareholder    

One year ago, US financial markets were improving despite a sluggish global economy, as loose monetary policy beckoned investors to take on more risk in their portfolios. Slow but positive growth in the US was sufficient to support corporate earnings, while uncomfortably high unemployment reinforced expectations that the Federal Reserve would continue its aggressive monetary stimulus programs. International markets were not as fruitful in the earlier part of the year given uneven growth rates and more direct exposure to macro risks such as the resurgence of political instability in Italy, the banking crisis in Cyprus and a generally poor outlook for European economies. Additionally, emerging markets significantly lagged the rest of the world due to slowing growth and structural imbalances.

Global financial markets were rattled in May when Fed Chairman Bernanke mentioned the possibility of reducing (or “tapering”) the central bank’s asset purchase programs—comments that were widely misinterpreted as signaling an end to the Fed’s zero-interest-rate policy. US Treasury yields rose sharply, triggering a steep sell-off across fixed income markets. (Bond prices move in the opposite direction of yields.) Equity prices also suffered as investors feared the implications of a potential end of a program that had greatly supported the markets. Markets rebounded in late June, however, when the Fed’s tone turned more dovish, and improving economic indicators and better corporate earnings helped extend gains through most of the summer.

The fall was a surprisingly positive period for most asset classes after the Fed defied market expectations with its decision to delay tapering. Higher volatility returned in late September when the US Treasury Department warned that the national debt would soon breach its statutory maximum. The ensuing political brinksmanship led to a partial government shutdown, roiling global financial markets through the first half of October, but equities and other so-called “risk assets” resumed their rally when politicians engineered a compromise to reopen the government and extend the debt ceiling, at least temporarily.

The remainder of 2013 was generally positive for stock markets in the developed world, although investors continued to grapple with uncertainty about when and how much the Fed would scale back on stimulus. When the long-awaited taper announcement ultimately came in mid-December, the Fed reduced the amount of its monthly asset purchases but at the same time extended its time horizon for maintaining low short-term interest rates. Markets reacted positively, as this move signaled the Fed’s perception of real improvement in the economy and investors were finally relieved from the tenacious anxiety that had gripped them for quite some time.

Investors’ risk appetite diminished in the new year. Heightened volatility in emerging markets and mixed US economic data caused global equities to weaken in January while bond markets found renewed strength. While tighter global liquidity was an ongoing headwind for developing countries, financial troubles in Argentina and Turkey launched a sharp sell-off in a number of emerging market currencies. Unexpectedly poor economic data out of China added to the turmoil. In the US, most indicators continued to signal a strengthening economy; however, stagnant wage growth raised concerns about the sustainability of the overall positive momentum. US stocks underperformed other developed equity markets as a number of disappointing corporate earnings reports prompted investors to take advantage of lower valuations abroad.

While accommodative monetary policy was the main driver behind positive market performance over the period, it was also the primary cause of volatility and uncertainty. Developed market stocks were the strongest performers for the six- and 12-month periods ended January 31. In contrast, emerging markets were weighed down by uneven growth, high debt levels and severe currency weakness. Rising interest rates pressured US Treasury bonds and other high-quality fixed income sectors, including tax-exempt municipals and investment grade corporate bonds. High yield bonds, to the contrary, benefited from income-oriented investors’ search for yield in the low-rate environment. Short-term interest rates remained near zero, keeping yields on money market securities near historical lows.

At BlackRock, we believe investors need to think globally and extend their scope across a broader array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit www.blackrock.com for further insight about investing in today’s world.

Sincerely,

  

Rob Kapito
President, BlackRock Advisors, LLC



 
“ While accommodative monetary policy was the main driver behind positive market performance over the period, it was also the primary cause of volatility and uncertainty . ”

Rob Kapito

President, BlackRock Advisors, LLC

Total Returns as of January 31, 2014

     6-month      12-month
US large cap equities (S&P 500 ® Index)
       6.85 %           21.52 %  
US small cap equities (Russell 2000 ® Index)
       8.88            27.03   
International equities (MSCI Europe, Australasia, Far East Index)
       7.51            11.93   
Emerging market equities (MSCI Emerging Markets Index)
       (0.33 )           (10.17 )  
3-month Treasury bill (BofA Merrill Lynch 3-Month US Treasury Bill Index)
       0.03            0.08   
US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index)
       0.77            (2.97 )  
US investment grade bonds (Barclays US Aggregate Bond Index)
       1.78            0.12   
Tax-exempt municipal
bonds (S&P Municipal
Bond Index)
       3.13            (1.10 )  
US high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index)
       4.70            6.76   

Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.


THIS PAGE NOT PART OF YOUR FUND REPORT

3
 
   
Municipal Market Overview    

For the Reporting Period Ended January 31, 2014

Municipal Market Conditions

In the earlier months of 2013, municipal bond supply was met with robust demand as investors were starved for yield in the low-rate, low-return environment and seeking tax-exempt investments in light of higher US tax rates that became effective at the turn of the year. Investors moved into municipal bond mutual funds, favoring long-duration and high-yield funds as they tend to provide higher levels of income.

However, market conditions turned less favorable in May when the US Federal Reserve initially mentioned the eventual reduction of its bond-buying stimulus program (which ultimately took effect in January 2014). Further signals from the Fed alluding to a retrenchment of asset purchases led to rising interest rates and waning municipal bond performance in June. (Bond prices fall as rates rise.) Municipal bond mutual funds saw strong outflows in the last six months of 2013, before investors again sought the relative safety of the asset class in the New Year. For the 12-month period ended January 31, 2014, net outflows were approximately $62.8 billion (based on data from the Investment Company Institute).

High levels of interest rate volatility resulted in a sharp curtailment of tax-exempt issuance in May through the end of the period. However, from a historical perspective, total new issuance for the 12 months ended January 31, 2014 remained relatively strong at $322 billion (but meaningfully lower than the $389 billion issued in the prior 12-month period). A significant portion of new supply during this period was attributable to refinancing activity (roughly 40%) as issuers took advantage of lower interest rates to reduce their borrowing costs. Total new supply was also supported by recent activity in the taxable market, where taxable municipal issuance was up approximately 15% year-over-year.

S&P Municipal Bond Index
Total Returns as of January 31, 2014
  6 months:       3.13%
12 months:      (1.10)%

A Closer Look at Yields

 

From January 31, 2013 to January 31, 2014, muni yields increased by 99 basis points (“bps”) from 2.86% to 3.85% on AAA-rated 30-year municipal bonds, while increasing 71 bps from 1.82% to 2.53% on 10-year bonds and rising another 31 bps from 0.79% to 1.10% on 5-year issues (as measured by Thomson Municipal Market Data). Overall, the municipal yield curve remained relatively steep over the 12-month period as the spread between 2- and 30-year maturities widened by 103 bps and the spread between 2- and 10-year maturities widened by 75 bps.

During the same time period, US Treasury rates rose by 43 bps on 30-year and 66 bps on 10-year bonds, while moving up 61 bps in 5-years. Accordingly, tax-exempt municipal bonds underperformed Treasuries on the long end of the yield curve as investors sought to reduce interest rate risk later in the period. On the short end of the curve, the outperformance of municipal bonds versus Treasuries was driven largely by a supply/demand imbalance within the municipal market and a rotation from long-duration assets (which are more sensitive to interest rate movements) into short- and intermediate-duration investments (which are less sensitive to interest rate movements). Additionally, municipal bonds benefited from the increased appeal of tax-exempt investing in the new higher tax rate environment. The asset class is known for its lower relative volatility and preservation of principal with an emphasis on income as tax rates rise. The municipal market continues to be an attractive avenue for investors seeking yield in today’s environment, particularly as the recent correction has restored value in the market and placed yields at levels not obtainable since early 2011. However, opportunities have not been as broad-based as in 2011 and 2012, warranting a more tactical approach going forward.

Financial Conditions of Municipal Issuers Continue to Improve

Following an extended period of nation-wide austerity and de-leveraging as states sought to balance their budgets, 14 consecutive quarters of positive revenue growth coupled with the elimination of more than 750,000 jobs in recent years have put state and local governments in a better financial position. Many local municipalities, however, continue to face increased health care and pension costs passed down from the state level. BlackRock maintains the view that municipal bond defaults will be minimal and remain in the periphery, and that the overall market is fundamentally sound. We continue to recognize that careful credit research, appropriate structure and security selection remain imperative amid uncertainty in this tepid economic environment.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

4 SEMI-ANNUAL REPORT JANUARY 31, 2014
 
   
The Benefits and Risks of Leveraging    

The Trusts may utilize leverage to seek to enhance the yield and net asset value (“NAV”) of their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

To obtain leverage, the Trusts issue Auction Market Preferred Shares (“AMPS”), Variable Rate Demand Preferred Shares (“VRDP Shares”), Variable Rate Muni Term Preferred Shares (“VMTP Shares”) or Remarketable Variable Rate Muni Term Preferred Shares (“RVMTP Shares”) (collectively, “Preferred Shares”). Preferred Shares pay dividends at prevailing short-term interest rates, and the Trusts invest the proceeds in long-term municipal bonds. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders will benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Trusts had not used leverage.

To illustrate these concepts, assume a Trust’s Common Shares capitalization is $100 million and it issues Preferred Shares for an additional $50 million, creating a total value of $150 million available for investment in long-term municipal bonds. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Trust pays dividends on the $50 million of Preferred Shares based on the lower short-term interest rates. At the same time, the securities purchased by the Trust with assets received from Preferred Shares issuance earn income based on long-term interest rates. In this case, the dividends paid to holders of Preferred Shares (“Preferred Shareholders”) are significantly lower than the income earned on the Trust’s long-term investments, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Trust pays higher short-term interest rates whereas the Trust’s total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts’ Preferred Shares does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively in addition to the impact on Trust performance from leverage from Preferred Shares discussed above.

The Trusts may also leverage their assets through the use of tender option bond trusts (“TOBs”), as described in Note 3 of the Notes to Financial Statements. TOB investments generally will provide the Trusts with economic benefits in periods of declining short-term interest rates, but expose the Trusts to risks during periods of rising short-term interest rates similar to those associated with Preferred Shares issued by the Trusts, as described above. Additionally, fluctuations in the market value of municipal bonds deposited into the TOB trust may adversely affect each Trust’s NAV per share.

The use of leverage may enhance opportunities for increased income to the Trusts and Common Shareholders, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Trusts’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Trust’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to Common Shareholders will be reduced. Each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trust’s ability to invest in certain types of securities or use certain types of hedging strategies, such as in the case of certain restrictions imposed by rating agencies that rate the Preferred Shares issued by the Trusts. Each Trust will incur expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Trusts are permitted to issue senior securities in the form of equity securities (e.g., Preferred Shares) up to 50% of their total managed assets (each Trust’s total assets less its total accrued liabilities). In addition, each Trust voluntarily limits its economic leverage to 50% of its total managed assets for Trusts with AMPS or 45% for Trusts with VRDP Shares, VMTP Shares or RVMTP Shares. As of January 31, 2014, the Trusts had economic leverage from Preferred Shares and/or TOBs as a percentage of their total managed assets as follows:

   Percent of
Economic
Leverage
BFZ
40 %  
BFO
4 %  
BBF
40 %  
BTT
40 %  
BNJ
40 %  
BNY
40 %  

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments, including financial futures contracts and options, as specified in Note 4 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to hedge market and/or interest rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in lower dividends paid to shareholders and/or may cause a Trust to hold an investment that it might otherwise sell. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

SEMI-ANNUAL REPORT JANUARY 31, 2014 5
 
   
Trust Summary as of January 31, 2014 BlackRock California Municipal Income Trust

Trust Overview

BlackRock California Municipal Income Trust’s (BFZ) (the “Trust”) investment objective is to provide current income exempt from regular US federal income and California income taxes. The Trust seeks to achieve its investment objective by investing primarily in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and California income taxes. The Trust invests, under normal market conditions, at least 80% of its assets in municipal obligations that are investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Performance

•
  For the six-month period ended January 31, 2014, the Trust returned 8.73% based on market price and 7.62% based on NAV. For the same period, the closed-end Lipper California Municipal Debt Funds category posted an average return of 8.06% based on market price and 6.82% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.
•
  The Trust’s exposure to bonds with longer maturities, which tend to have higher durations (greater sensitivity to interest rate movements), contributed positively to performance as tax-exempt rates declined during the period. (Bond prices rise when rates fall.) Security selection had a positive impact on returns as the Trust’s holdings of high-quality school district issues performed well due to continued improvement in the State of California’s finances. Holdings of securities in the education and utilities sectors also added to results. Leverage on the Trust’s assets achieved through the use of tender option bonds amplified the positive effect of falling rates on performance.
•
  While the Trust’s cash reserves were generally maintained at a minimal level, to the extent reserves were held, the cash holdings added little in the form of additional yield and provided no price appreciation in a generally positive period for the municipal market.
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Trust Information

Symbol on New York Stock Exchange (“NYSE”)
     
BFZ
Initial Offering Date
     
July 27, 2001
Yield on Closing Market Price as of January 31, 2014 ($14.33) 1
     
6.51%
Tax Equivalent Yield 2
     
13.27%
Current Monthly Distribution per Common Share 3
     
$0.0777
Current Annualized Distribution per Common Share 3
     
$0.9324
Economic Leverage as of January 31, 2014 4
     
40%
1   Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2   Tax equivalent yield assumes the maximum marginal federal and state tax rate of 50.93%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.
3   The distribution rate is not constant and is subject to change.
4   Represents VMTP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.
6 SEMI-ANNUAL REPORT JANUARY 31, 2014
 
   
           BlackRock California Municipal Income Trust

Market Price and Net Asset Value Per Share Summary

          1/31/14     7/31/13     Change     High     Low
Market Price
        $ 14.33         $ 13.63            5.14 %        $ 14.66         $ 13.02   
Net Asset Value
        $ 15.09         $ 14.50            4.07 %        $ 15.10         $ 13.94   
Market Price and Net Asset Value History For the Past Five Years



 
    

Overview of the Trust’s Long-Term Investments

Sector Allocation         1/31/14     7/31/13
County/City/Special District/School District
           35 %           35 %  
Utilities
           28             29    
Health
           11             11    
Education
           10             10    
Transportation
           9             9    
State
           6             5    
Housing
           1             1    
 
Credit Quality Allocation 1         1/31/14     7/31/13
AAA/Aaa
           9 %           9 %  
AA/Aa
           72             72    
A
           19             19    
1   Using the higher of Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) ratings.
 
 
 
Call/Maturity Schedule 2
 
Calendar Year Ended December 31,
                
 
2014
           1 %  
2015
           3    
2016
           5    
2017
           10    
2018
           20    
2   Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.
SEMI-ANNUAL REPORT JANUARY 31, 2014 7
 
   
Trust Summary as of January 31, 2014 BlackRock Florida Municipal 2020 Term Trust

Trust Overview

BlackRock Florida Municipal 2020 Term Trust’s (BFO) (the “Trust”) investment objectives are to provide current income exempt from regular federal income tax and Florida intangible personal property tax and to return $15.00 per common share (the initial offering price per share) to holders of common shares on or about December 31, 2020. The Trust seeks to achieve its investment objectives by investing at least 80% of its assets in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Florida intangible personal property tax. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust actively manages the maturity of its bonds to seek to have a dollar weighted average effective maturity approximately equal to the Trust’s maturity date. The Trust may invest directly in such securities or synthetically through the use of derivatives. Effective January 1, 2007, the Florida intangible personal property tax was repealed.

No assurance can be given that the Trust’s investment objective will be achieved.

Performance

•
  For the six-month period ended January 31, 2014, the Trust returned 2.00% based on market price and 2.01% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of 3.25% based on market price and 4.82% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.
•
  The Trust’s duration exposure (sensitivity to interest rate movements) contributed positively to performance as tax-exempt municipal rates declined during the period. (Bond prices rise when rates fall.) The Trust also benefited from income generated from coupon payments on its portfolio of Florida tax-exempt municipal bonds.
•
  The Trust’s credit exposure had a negative impact on results due to a position in a distressed credit within the development district sector, which experienced a material price decline during the period.
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Trust Information

Symbol on NYSE
     
BFO
Initial Offering Date
     
September 30, 2003
Termination Date (on or about)
     
December 31, 2020
Yield on Closing Market Price as of January 31, 2014 ($15.11) 1
     
3.99%
Tax Equivalent Yield 2
     
7.05%
Current Monthly Distribution per Common Share 3
     
$0.05025
Current Annualized Distribution per Common Share 3
     
$0.60300
Economic Leverage as of January 31, 2014 4
     
4%
1   Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2   Tax equivalent yield assumes the maximum marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.
3   The distribution rate is not constant and is subject to change.
4   Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.
8 SEMI-ANNUAL REPORT JANUARY 31, 2014
 
   
           BlackRock Florida Municipal 2020 Term Trust

Market Price and Net Asset Value Per Share Summary

          1/31/14     7/31/13     Change     High     Low
Market Price
        $ 15.11         $ 15.12            (0.07 )%        $ 15.58         $ 14.88   
Net Asset Value
        $ 15.30         $ 15.31            (0.07 )%        $ 15.38         $ 15.04   
Market Price and Net Asset Value History For the Past Five Years



 
    

Overview of the Trust’s Long-Term Investments

Sector Allocation         1/31/14     7/31/13
County/City/Special District/School District
           32 %           30 %  
Transportation
           20             17    
Health
           15             13    
State
           14             12    
Utilities
           9             20    
Corporate
           4             4    
Education
           4             2    
Housing
           2             2    
 
Credit Quality Allocation 1         1/31/14     7/31/13
AAA/Aaa
           2 %           2 %  
AA/Aa
           43             49    
A
           36             31    
BBB/Baa
           10             8    
Not Rated 2
           9             10    
1   Using the higher of S&P’s or Moody’s ratings.
2   The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of January 31, 2014 and July 31, 2013, the market value of these securities was $1,780,972, representing 2%, and $3,035,830, representing 3%, respectively, of the Trust’s long-term investments.
 
 
 
Call/Maturity Schedule 3
 
Calendar Year Ended December 31,
                
 
2014
           11 %  
2015
           —    
2016
           —    
2017
           15    
2018
           11    
3   Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

SEMI-ANNUAL REPORT JANUARY 31, 2014 9
 
   
Trust Summary as of January 31, 2014 BlackRock Municipal Income Investment Trust

Trust Overview

BlackRock Municipal Income Investment Trust’s (BBF) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and Florida intangible personal property tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, the Board approved an amended policy in September 2008 allowing the Trust the flexibility to invest in municipal obligations regardless of geographical location.

No assurance can be given that the Trust’s investment objective will be achieved.

Performance

•
  For the six-month period ended January 31, 2014, the Trust returned 8.96% based on market price and 6.16% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 7.76% based on market price and 5.69% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.
•
  The Trust benefited from its holdings in the State of California. The continued improvement in the State’s economy was the catalyst for the price appreciation in these bonds. Additionally, as the municipal yield curve flattened during the period (i.e., rates on longer-dated bonds fell more than rates on shorter-dated securities), the Trust’s longer-dated holdings in health care, education and transportation experienced the strongest price appreciation. (Bond prices rise when rates fall.)
•
  The Trust’s exposure to Puerto Rico government-related credits, although limited, was a detractor from results as credit spreads on these bonds widened materially during the period due to investors’ lack of confidence and a weak local economy. The Trust’s positions in Puerto Rico government-related securities were eliminated by the end of the period.
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Trust Information

Symbol on NYSE
     
BBF
Initial Offering Date
     
July 27, 2001
Yield on Closing Market Price as of January 31, 2014 ($13.13) 1
     
6.61%
Tax Equivalent Yield 2
     
11.68%
Current Monthly Distribution per Common Share 3
     
$0.072375
Current Annualized Distribution per Common Share 3
     
$0.868500
Economic Leverage as of January 31, 2014 4
     
40%
1   Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2   Tax equivalent yield assumes the maximum marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.
3   The distribution rate is not constant and is subject to change.
4   Represents VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.
10 SEMI-ANNUAL REPORT JANUARY 31, 2014
 
   
           BlackRock Municipal Income Investment Trust

Market Price and Net Asset Value Per Share Summary

          1/31/14     7/31/13     Change     High     Low
Market Price
        $ 13.13         $ 12.47            5.29 %        $ 13.19         $ 11.89   
Net Asset Value
        $ 14.25         $ 13.89            2.59 %        $ 14.27         $ 13.26   
Market Price and Net Asset Value History For the Past Five Years



 
    

Overview of the Trust’s Long-Term Investments

Sector Allocation         1/31/14     7/31/13
County/City/Special District/School District
           26 %           26 %  
Transportation
           20             14    
Utilities
           16             19    
Health
           15             16    
Education
           10             10    
State
           10             11    
Tobacco
           1             2    
Corporate
           1             1    
Housing
           1             1    
 
Credit Quality Allocation 1         1/31/14     7/31/13
AAA/Aaa
           10 %           10 %  
AA/Aa
           54             57    
A
           31             28    
BBB/Baa
           3             4    
BB/Ba
           1             —    
Not Rated
           1             1 2   
1   Using the higher of S&P’s or Moody’s ratings.
2   The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2013, the market value of these securities was $240,299, representing less than 1% of the Trust’s long-term investments.
 
 
 
Call/Maturity Schedule 3
 
Calendar Year Ended December 31,
                
 
2014
           —    
2015
           —    
2016
           —    
2017
           —    
2018
           1 %  
3   Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

SEMI-ANNUAL REPORT JANUARY 31, 2014 11
 
   
Trust Summary as of January 31, 2014 BlackRock Municipal Target Term Trust

Trust Overview

BlackRock Municipal Target Term Trust’s (BTT) (the “Trust”) investment objectives are to provide current income exempt from regular federal income tax (but which may be subject to the federal alternative minimum tax in certain circumstances) and to return $25.00 per common share (the initial offering price per share) to holders of common shares on or about December 31, 2030. The Trust seeks to achieve its investment objectives by investing at least 80% of its assets in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust actively manages the maturity of its bonds to seek to have a dollar weighted average effective maturity approximately equal to the Trust’s maturity date. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Performance

•
  For the six-month period ended January 31, 2014, the Trust returned 4.47% based on market price and 9.68% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of 7.76% based on market price and 5.69% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.
•
  The Trust’s duration exposure (sensitivity to interest rate movements) contributed positively to performance as tax-exempt municipal rates declined during the period. (Bond prices rise when rates fall.) Also having a positive impact was exposure to bonds in the 15- to 22-year range of the yield curve, where rates declined most during the period.
•
  The Trust’s exposure to Puerto Rico government-related credits, although limited, was a detractor from results as credit spreads on these bonds widened materially during the period due to investors’ lack of confidence and a weak local economy. The Trust’s positions in Puerto Rico government-related securities were eliminated by the end of the period. The Trust’s use of derivatives as a strategy for hedging interest rate risk also detracted slightly from performance.
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Trust Information

Symbol on NYSE
     
BTT
Initial Offering Date
     
August 30, 2012
Termination Date (on or about)
     
December 31, 2030
Current Distribution Rate on Closing Market Price as of January 31, 2014 ($18.64) 1
     
6.04%
Tax Equivalent Rate 2
     
10.67%
Current Monthly Distribution per Common Share 3
     
$0.09375
Current Annualized Distribution per Common Share 3
     
$1.12500
Economic Leverage as of January 31, 2014 4
     
40%
1   Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results.
2   Tax equivalent yield assumes the maximum marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.
3   The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain at fiscal year end.
4   Represents RVMTP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to RVMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.
12 SEMI-ANNUAL REPORT JANUARY 31, 2014
 
   
           BlackRock Municipal Target Term Trust

Market Price and Net Asset Value Per Share Summary

          1/31/14     7/31/13     Change     High     Low
Market Price
        $ 18.64         $ 18.42            1.19 %        $ 18.83         $ 16.47   
Net Asset Value
        $ 19.92         $ 18.75            6.24 %        $ 20.04         $ 17.45   
Market Price and Net Asset Value History Since Inception


1   Commencement of operations.

Overview of the Trust’s Long-Term Investments

Sector Allocation         1/31/14     7/31/13
Transportation
           19 %           22 %  
Health
           17             17    
County/City/Special District/School District
           13             12    
Education
           13             13    
Corporate
           10             9    
Housing
           9             9    
State
           9             7    
Utilities
           8             9    
Tobacco
           2             2    
 
Credit Quality Allocation 2         1/31/14     7/31/13
AAA/Aaa
           3 %           3 %  
AA/Aa
           31             32    
A
           44             43    
BBB/Baa
           11             11    
BB/Ba
           3             3    
B
           2             3    
Not Rated 3
           6             5    
2   Using the higher of S&P’s or Moody’s ratings.
3   The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of January 31, 2014 and July 31, 2013, the market value of these securities was $454,825, representing less than 1%, and $38,601,602, representing 2%, respectively, of the Trust’s long-term investments.
 
 
 
Call/Maturity Schedule 4
 
Calendar Year Ended December 31,
                
 
2014
           2 %  
2015
           —    
2016
           —    
2017
           2    
2018
           1    
4   Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

SEMI-ANNUAL REPORT JANUARY 31, 2014 13
 
   
Trust Summary as of January 31, 2014 BlackRock New Jersey Municipal Income Trust

Trust Overview

BlackRock New Jersey Municipal Income Trust’s (BNJ) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and New Jersey gross income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New Jersey gross income taxes. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Performance

•
  For the six-month period ended January 31, 2014, the Trust returned 2.76% based on market price and 6.61% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of 4.50% based on market price and 6.00% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.
•
  As the municipal yield curve flattened during the period (i.e., rates on longer-dated bonds fell more than rates on shorter-dated securities), the Trust’s longer-dated holdings in tax development districts, health care, education and transportation experienced the strongest price appreciation. (Bond prices rise when rates fall.)
•
  The Trust’s exposure to Puerto Rico government-related credits, although limited, was a detractor from results as credit spreads on these bonds widened materially during the period due to investors’ lack of confidence and a weak local economy. The Trust’s positions in Puerto Rico government-related securities were eliminated by the end of the period.
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Trust Information

Symbol on NYSE
     
BNJ
Initial Offering Date
     
July 27, 2001
Yield on Closing Market Price as of January 31, 2014 ($13.58) 1
     
6.64%
Tax Equivalent Yield 2
     
12.89%
Current Monthly Distribution per Common Share 3
     
$0.0751
Current Annualized Distribution per Common Share 3
     
$0.9012
Economic Leverage as of January 31, 2014 4
     
40%
1   Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2   Tax equivalent yield assumes the maximum marginal federal and state tax rate of 48.48%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.
3   The distribution rate is not constant and is subject to change.
4   Represents VMTP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.
14 SEMI-ANNUAL REPORT JANUARY 31, 2014
 
   
           BlackRock New Jersey Municipal Income Trust

Market Price and Net Asset Value Per Share Summary

          1/31/14     7/31/13     Change     High     Low
Market Price
        $ 13.58         $ 13.67            (0.66 )%        $ 13.76         $ 12.74   
Net Asset Value
        $ 14.80         $ 14.36            3.06 %        $ 14.83         $ 13.77   
Market Price and Net Asset Value History For the Past Five Years



 
    

Overview of the Trust’s Long-Term Investments

Sector Allocation         1/31/14     7/31/13
Transportation
           31 %           25 %  
State
           20             26    
County/City/Special District/School District
           14             13    
Education
           12             12    
Health
           10             11    
Housing
           7             7    
Corporate
           6             6    
 
Credit Quality Allocation 1
 
 
 
   
 
1/31/14
 
   
 
7/31/13
 
AAA/Aaa
           3 %           2 %  
AA/Aa
           37             35    
A
           37             40    
BBB/Baa
           8             9    
BB/Ba
           5             5    
B
           3             3    
Not Rated 2
           7             6    
1   Using the higher of S&P’s or Moody’s ratings.
2   The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of January 31, 2014 and July 31, 2013, the market value of these securities was $10,297,902, representing 6%, and $8,401,509, representing 4%, respectively, of the Trust’s long-term investments.
 
 
 
Call/Maturity Schedule 3
 
 
Calendar Year Ended December 31,
                
 
2014
           13 %  
2015
           —    
2016
           1    
2017
           3    
2018
           13    
3   Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.
SEMI-ANNUAL REPORT JANUARY 31, 2014 15
 
   
Trust Summary as of January 31, 2014 BlackRock New York Municipal Income Trust

Trust Overview

BlackRock New York Municipal Income Trust’s (BNY) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and New York State and New York City personal income taxes. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New York State and New York City personal income taxes. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Performance

•
  For the six-month period ended January 31, 2014, the Trust returned 2.88% based on market price and 6.04% based on NAV. For the same period, the closed-end Lipper New York Municipal Debt Funds category posted an average return of 5.26% based on market price and 4.89% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.
•
  Tax-exempt rates declined over the course of the period, with longer-duration (higher sensitivity to interest rate movements) and longer-dated bonds tending to provide the largest returns. (Bond prices rise when rates fall.) In this environment, the Trust’s holdings in health care, education and transportation were positive contributors to performance as these were the best performing sectors. Exposure to lower-coupon and zero-coupon bonds also benefited returns as they had strong price performance due to their relatively long durations for their respective maturities. The Trust’s significant exposure to high-quality issues had a positive impact on results as the market’s strongest performance during the period was concentrated in high-quality issues. Additionally, the Trust benefited from income generated from coupon payments on its municipal bond holdings. The use of leverage allowed the Trust to maximize its income.
•
  The Trust’s exposure to Puerto Rico government-related credits, although limited, was a detractor from results as credit spreads on these bonds widened materially during the period due to investors’ lack of confidence and a weak local economy. The Trust’s positions in Puerto Rico government-related securities were eliminated by the end of the period.
  The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Trust Information

Symbol on NYSE
     
BNY
Initial Offering Date
     
July 27, 2001
Yield on Closing Market Price as of January 31, 2014 ($13.11) 1
     
6.32%
Tax Equivalent Yield 2
     
12.81%
Current Monthly Distribution per Common Share 3
     
$0.069
Current Annualized Distribution per Common Share 3
     
$0.828
Economic Leverage as of January 31, 2014 4
     
40%
1   Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2   Tax equivalent yield assumes the maximum marginal federal and state tax rate of 50.67%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.
3   The distribution rate is not constant and is subject to change.
4   Represents VMTP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.
16 SEMI-ANNUAL REPORT JANUARY 31, 2014
 
   
           BlackRock New York Municipal Income Trust

Market Price and Net Asset Value Per Share Summary

 
 
 
   
 
1/31/14
 
   
 
7/31/13
 
   
 
Change
 
   
 
High
 
   
 
Low
 
Market Price
        $ 13.11         $ 13.16            (0.38 )%        $ 13.53         $ 12.17   
Net Asset Value
        $ 13.83         $ 13.47            2.67 %        $ 13.89         $ 12.75   
Market Price and Net Asset Value History For the Past Five Years
     



 
    

Overview of the Trust’s Long-Term Investments

Sector Allocation
 
 
 
   
 
1/31/14
 
   
 
7/31/13
 
County/City/Special District/School District
           23 %           23 %  
Education
           20             16    
Utilities
           14             11    
Transportation
           14             14    
Health
           10             10    
Corporate
           9             10    
Housing
           6             7    
State
           4             9    
 
Credit Quality Allocation 1
 
 
 
   
 
1/31/14
 
   
 
7/31/13
 
AAA/Aaa
           16 %           13 %  
AA/Aa
           33             34    
A
           36             35    
BBB/Baa
           6             8    
BB/Ba
           4             3    
Not Rated 2
           5             7   
1   Using the higher of S&P’s or Moody’s ratings.
2   The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of January 31, 2014 and July 31, 2013, the market value of these securities was $2,595,200, representing less than 1%, and $2,500,000, representing 1%, respectively, of the Trust’s long-term investments.
 
 
 
Call/Maturity Schedule 3
 
 
Calendar Year Ended December 31,
                
 
2014
           10 %  
2015
           6    
2016
           4    
2017
           12    
2018
           3    
3   Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.
SEMI-ANNUAL REPORT JANUARY 31, 2014 17
 
   
Schedule of Investments  January 31, 2014 (Unaudited) BlackRock California Municipal Income Trust (BFZ)
(Percentages shown are based on Net Assets)