|
|
|
24 |
|
2022 BLACKROCK SEMI-ANNUAL REPORT
TO SHAREHOLDERS |
Statements of Cash
Flows (unaudited)
Six Months Ended
January 31, 2022
|
|
|
|
|
|
|
|
|
|
|
MYC |
|
|
MYJ |
|
|
|
|
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES |
|
|
|
|
|
|
|
|
Net decrease in net assets resulting from operations |
|
$ |
(21,113,365 |
) |
|
$ |
(16,989,078 |
) |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by
operating activities |
|
|
|
|
|
|
|
|
Proceeds from sales of long-term investments |
|
|
93,814,582 |
|
|
|
21,518,234 |
|
Purchases of long-term investments |
|
|
(95,315,409 |
) |
|
|
(43,593,314 |
) |
Net proceeds from sales (purchases) of short-term securities |
|
|
(121,261 |
) |
|
|
16,853,015 |
|
Amortization of premium and accretion of discount on investments and other fees |
|
|
2,861,805 |
|
|
|
1,200,718 |
|
Net realized loss on investments |
|
|
130,255 |
|
|
|
73,179 |
|
Net unrealized depreciation on investments |
|
|
28,028,227 |
|
|
|
26,484,921 |
|
(Increase) Decrease in Assets |
|
|
|
|
|
|
|
|
Receivables |
|
|
|
|
|
|
|
|
Dividends affiliated |
|
|
1 |
|
|
|
81 |
|
Interest unaffiliated |
|
|
145,725 |
|
|
|
31,131 |
|
Variation margin on futures contracts |
|
|
(15,094 |
) |
|
|
(4,375 |
) |
Prepaid expenses |
|
|
(5,558 |
) |
|
|
(801 |
) |
Increase (Decrease) in Liabilities |
|
|
|
|
|
|
|
|
Payables |
|
|
|
|
|
|
|
|
Accounting services fees |
|
|
(45,174 |
) |
|
|
(49,022 |
) |
Custodian fees |
|
|
(2,088 |
) |
|
|
(5,840 |
) |
Interest expense and fees |
|
|
3,538 |
|
|
|
1,650 |
|
Investment advisory fees |
|
|
(7,411 |
) |
|
|
(4,473 |
) |
Directors and Officers fees |
|
|
796 |
|
|
|
(7,197 |
) |
Other accrued expenses |
|
|
(8,584 |
) |
|
|
(6,853 |
) |
Professional fees |
|
|
(12,447 |
) |
|
|
(12,739 |
) |
Reorganization costs |
|
|
205,094 |
|
|
|
152,645 |
|
Transfer agent fees |
|
|
(2,283 |
) |
|
|
(2,391 |
) |
Variation margin on futures contracts |
|
|
(73,599 |
) |
|
|
(72,015 |
) |
|
|
|
|
|
|
|
|
|
Net cash provided by operating activities |
|
|
8,467,750 |
|
|
|
5,567,476 |
|
|
|
|
|
|
|
|
|
|
|
|
|
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES |
|
|
|
|
|
|
|
|
Cash dividends paid to Common Shareholders |
|
|
(8,213,733 |
) |
|
|
(9,046,657 |
) |
Repayments of TOB Trust Certificates |
|
|
|
|
|
|
(41,632 |
) |
Proceeds from TOB Trust Certificates |
|
|
|
|
|
|
3,330,973 |
|
Amortization of deferred offering costs |
|
|
8,427 |
|
|
|
15,206 |
|
|
|
|
|
|
|
|
|
|
Net cash used for financing activities |
|
|
(8,205,306 |
) |
|
|
(5,742,110 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
CASH |
|
|
|
|
|
|
|
|
Net increase (decrease) in restricted and unrestricted cash |
|
|
262,444 |
|
|
|
(174,634 |
) |
Restricted and unrestricted cash at beginning of period |
|
|
416,556 |
|
|
|
359,634 |
|
|
|
|
|
|
|
|
|
|
Restricted and unrestricted cash at end of period |
|
$ |
679,000 |
|
|
$ |
185,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION |
|
|
|
|
|
|
|
|
Cash paid during the period for interest expense |
|
$ |
402,610 |
|
|
$ |
903,973 |
|
|
|
|
|
|
|
|
|
|
|
|
|
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND
LIABILITIES |
|
|
|
|
|
|
|
|
Cash pledged |
|
|
|
|
|
|
|
|
Futures contracts |
|
|
679,000 |
|
|
|
185,000 |
|
|
|
|
|
|
|
|
|
|
|
|
$ |
679,000 |
|
|
$ |
185,000 |
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
Financial Highlights
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MYC |
|
|
|
Six Months Ended 01/31/22 (unaudited) |
|
|
|
|
|
Year Ended July 31, |
|
|
|
|
|
|
2021 |
|
|
2020 |
|
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
16.66 |
|
|
|
|
|
|
$ |
16.24 |
|
|
$ |
15.62 |
|
|
$ |
15.11 |
|
|
$ |
15.61 |
|
|
$ |
17.07 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
0.26 |
|
|
|
|
|
|
|
0.55 |
|
|
|
0.51 |
|
|
|
0.56 |
|
|
|
0.66 |
|
|
|
0.74 |
|
Net realized and unrealized gain (loss) |
|
|
(1.24 |
) |
|
|
|
|
|
|
0.39 |
|
|
|
0.69 |
|
|
|
0.70 |
|
|
|
(0.41 |
) |
|
|
(1.10 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) from investment operations |
|
|
(0.98 |
) |
|
|
|
|
|
|
0.94 |
|
|
|
1.20 |
|
|
|
1.26 |
|
|
|
0.25 |
|
|
|
(0.36 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
From net investment income |
|
|
(0.27 |
) |
|
|
|
|
|
|
(0.52 |
) |
|
|
(0.51 |
) |
|
|
(0.60 |
) |
|
|
(0.69 |
) |
|
|
(0.80 |
) |
From net realized gain |
|
|
(0.12 |
) |
|
|
|
|
|
|
|
|
|
|
(0.07 |
) |
|
|
(0.15 |
) |
|
|
(0.06 |
) |
|
|
(0.30 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total distributions to Common Shareholders |
|
|
(0.39 |
) |
|
|
|
|
|
|
(0.52 |
) |
|
|
(0.58 |
) |
|
|
(0.75 |
) |
|
|
(0.75 |
) |
|
|
(1.10 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period |
|
$ |
15.29 |
|
|
|
|
|
|
$ |
16.66 |
|
|
$ |
16.24 |
|
|
$ |
15.62 |
|
|
$ |
15.11 |
|
|
$ |
15.61 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market price, end of period |
|
$ |
14.12 |
|
|
|
|
|
|
$ |
15.52 |
|
|
$ |
14.46 |
|
|
$ |
14.11 |
|
|
$ |
13.19 |
|
|
$ |
15.43 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Applicable to Common Shareholders(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
(5.84 |
)%(d) |
|
|
|
|
|
|
6.23 |
% |
|
|
8.33 |
% |
|
|
9.34 |
% |
|
|
2.02 |
% |
|
|
(1.83 |
)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on market price |
|
|
(6.65 |
)%(d) |
|
|
|
|
|
|
11.15 |
% |
|
|
6.78 |
% |
|
|
13.15 |
% |
|
|
(9.91 |
)% |
|
|
(4.96 |
)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets Applicable to Common Shareholders(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
1.56 |
%(f)(g) |
|
|
|
|
|
|
1.40 |
% |
|
|
2.11 |
% |
|
|
2.64 |
% |
|
|
2.26 |
% |
|
|
2.08 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and/or reimbursed |
|
|
1.53 |
%(f)(g) |
|
|
|
|
|
|
1.40 |
% |
|
|
2.11 |
% |
|
|
2.64 |
% |
|
|
2.26 |
% |
|
|
2.08 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and/or reimbursed and excluding interest expense, fees, and amortization of
offering costs(h)(i) |
|
|
1.29 |
%(f)(g) |
|
|
|
|
|
|
1.15 |
% |
|
|
1.17 |
% |
|
|
0.98 |
% |
|
|
0.94 |
% |
|
|
0.96 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income to Common Shareholders |
|
|
3.18 |
%(f) |
|
|
|
|
|
|
3.40 |
% |
|
|
3.27 |
% |
|
|
3.72 |
% |
|
|
4.32 |
% |
|
|
4.68 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to Common Shareholders, end of period (000) |
|
$ |
327,495 |
|
|
|
|
|
|
$ |
356,887 |
|
|
$ |
347,799 |
|
|
$ |
334,652 |
|
|
$ |
323,745 |
|
|
$ |
334,456 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VRDP Shares outstanding at $100,000 liquidation value, end of period (000) |
|
$ |
105,900 |
|
|
|
|
|
|
$ |
105,900 |
|
|
$ |
105,900 |
|
|
$ |
105,900 |
|
|
$ |
105,900 |
|
|
$ |
105,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset coverage per VRDP Shares at $100,000 liquidation value, end of period |
|
$ |
409,250 |
|
|
|
|
|
|
$ |
437,003 |
|
|
$ |
428,422 |
|
|
$ |
416,008 |
|
|
$ |
405,708 |
|
|
$ |
415,823 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings outstanding, end of period (000) |
|
$ |
104,691 |
|
|
|
|
|
|
$ |
104,691 |
|
|
$ |
104,691 |
|
|
$ |
122,165 |
|
|
$ |
114,108 |
|
|
$ |
122,501 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio turnover rate |
|
|
19 |
% |
|
|
|
|
|
|
26 |
% |
|
|
50 |
% |
|
|
45 |
% |
|
|
37 |
% |
|
|
34 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Based on average Common Shares outstanding. |
(b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) |
Total returns based on market price, which can be significantly greater or less than the net asset value, may result in
substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(d) |
Aggregate total return. |
(e) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(g) |
Includes non-recurring expenses of reorganization costs. Without these costs,
total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense, fees, and amortization of offering cost would have been 1.40%, 1.40% and 1.16%, respectively.
|
(h) |
Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10
of the Notes to Financial Statements for details. |
(i) |
The total expense ratio after fees waived and/or reimbursed and excluding interest expense, fees, amortization of offering
costs, liquidity and remarketing fees as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended 01/31/22 (unaudited) |
|
|
|
|
|
Year Ended July 31, |
|
|
|
|
|
|
2021 |
|
|
2020 |
|
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
|
Expense ratios |
|
|
1.03 |
% |
|
|
|
|
|
|
0.89 |
% |
|
|
0.93 |
% |
|
|
0.95 |
% |
|
|
0.94 |
% |
|
|
0.96 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
|
|
|
26 |
|
2022 BLACKROCK SEMI-ANNUAL REPORT
TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MYJ |
|
|
|
Six Months Ended 01/31/22 (unaudited) |
|
|
|
|
|
Year Ended July 31, |
|
|
|
|
|
|
2021 |
|
|
2020 |
|
|
2019 |
|
|
2018 |
|
|
2017 |
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period |
|
$ |
16.37 |
|
|
|
|
|
|
$ |
15.89 |
|
|
$ |
16.08 |
|
|
$ |
15.57 |
|
|
$ |
15.89 |
|
|
$ |
16.93 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
0.34 |
|
|
|
|
|
|
|
0.77 |
|
|
|
0.74 |
|
|
|
0.72 |
|
|
|
0.77 |
|
|
|
0.81 |
|
Net realized and unrealized gain (loss) |
|
|
(1.04 |
) |
|
|
|
|
|
|
0.46 |
|
|
|
(0.20 |
) |
|
|
0.52 |
|
|
|
(0.21 |
) |
|
|
(0.95 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) from investment operations |
|
|
(0.70 |
) |
|
|
|
|
|
|
1.23 |
|
|
|
0.54 |
|
|
|
1.24 |
|
|
|
0.56 |
|
|
|
(0.14 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions to Common Shareholders from net investment
income(b) |
|
|
(0.38 |
) |
|
|
|
|
|
|
(0.75 |
) |
|
|
(0.73 |
) |
|
|
(0.73 |
) |
|
|
(0.88 |
) |
|
|
(0.90 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, end of period |
|
$ |
15.29 |
|
|
|
|
|
|
$ |
16.37 |
|
|
$ |
15.89 |
|
|
$ |
16.08 |
|
|
$ |
15.57 |
|
|
$ |
15.89 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market price, end of period |
|
$ |
14.26 |
|
|
|
|
|
|
$ |
15.62 |
|
|
$ |
14.28 |
|
|
$ |
15.08 |
|
|
$ |
13.51 |
|
|
$ |
16.58 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Applicable to Common Shareholders(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value |
|
|
(4.32 |
)%(d) |
|
|
|
|
|
|
8.35 |
% |
|
|
3.83 |
% |
|
|
8.78 |
% |
|
|
3.94 |
% |
|
|
(0.68 |
)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on market price |
|
|
(6.48 |
)%(d) |
|
|
|
|
|
|
15.03 |
% |
|
|
(0.50 |
)% |
|
|
17.57 |
% |
|
|
(13.57 |
)% |
|
|
0.32 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets Applicable to Common Shareholders(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses |
|
|
1.52 |
%(f)(g) |
|
|
|
|
|
|
1.39 |
% |
|
|
2.09 |
% |
|
|
2.49 |
% |
|
|
2.38 |
%(h) |
|
|
1.93 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and/or reimbursed |
|
|
1.46 |
%(f)(g) |
|
|
|
|
|
|
1.39 |
% |
|
|
2.09 |
% |
|
|
2.47 |
% |
|
|
2.25 |
%(h) |
|
|
1.93 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses after fees waived and/or reimbursed and excluding interest expense, fees, and amortization of
offering costs(i) |
|
|
0.99 |
%(f)(g) |
|
|
|
|
|
|
0.89 |
% |
|
|
0.92 |
% |
|
|
0.91 |
% |
|
|
0.94 |
%(h) |
|
|
0.93 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income to Common Shareholders |
|
|
4.18 |
%(f) |
|
|
|
|
|
|
4.81 |
% |
|
|
4.67 |
% |
|
|
4.65 |
% |
|
|
4.93 |
% |
|
|
5.11 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to Common Shareholders, end of period (000) |
|
$ |
368,828 |
|
|
|
|
|
|
$ |
394,863 |
|
|
$ |
383,928 |
|
|
$ |
388,399 |
|
|
$ |
376,178 |
|
|
$ |
228,284 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VRDP Shares outstanding at $100,000 liquidation value, end of period (000) |
|
$ |
180,000 |
|
|
|
|
|
|
$ |
180,000 |
|
|
$ |
180,000 |
|
|
$ |
180,000 |
|
|
$ |
180,000 |
|
|
$ |
102,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset coverage per VRDP Shares at $100,000 liquidation value, end of period |
|
$ |
304,904 |
|
|
|
|
|
|
$ |
319,369 |
|
|
$ |
313,293 |
|
|
$ |
315,777 |
|
|
$ |
308,988 |
|
|
$ |
323,370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings outstanding, end of period (000) |
|
$ |
55,813 |
|
|
|
|
|
|
$ |
52,524 |
|
|
$ |
69,740 |
|
|
$ |
60,135 |
|
|
$ |
70,288 |
|
|
$ |
45,634 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio turnover rate |
|
|
4 |
% |
|
|
|
|
|
|
10 |
% |
|
|
14 |
% |
|
|
14 |
% |
|
|
11 |
% |
|
|
6 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Based on average Common Shares outstanding. |
(b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) |
Total returns based on market price, which can be significantly greater or less than the net asset value, may result in
substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(d) |
Aggregate total return. |
(e) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(g) |
Includes non-recurring expenses of reorganization costs. Without these costs,
total expenses, total expenses after fees waived and/or reimbursed and total expenses after fees waived and/or reimbursed and excluding interest expense, fees, and amortization of offering cost would have been 1.36%, 1.36% and 0.89%, respectively.
|
(h) |
Includes reorganization costs associated with the Funds reorganization. Without these costs, total expenses, total
expenses after fees waived and/or reimbursed and paid indirectly and total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense, fees, and amortization of offering costs, would have been 2.26%, 2.25% and
0.94%, respectively, for the year ended July 31, 2018. |
(i) |
Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10
of the Notes to Financial Statements for details. |
See notes to financial statements.
Notes to Financial
Statements (unaudited)
The following are registered under the Investment Company Act of 1940, as amended (the 1940 Act), as closed-end
management investment companies and are referred to herein collectively as the Funds, or individually as a Fund:
|
|
|
|
|
|
|
Fund Name |
|
Herein Referred To As |
|
Organized |
|
Diversification Classification |
BlackRock MuniYield California Fund, Inc. |
|
MYC |
|
Maryland |
|
Non-diversified |
BlackRock MuniYield New Jersey Fund, Inc. |
|
MYJ |
|
Maryland |
|
Non-diversified |
The Boards of Directors of the Funds are collectively referred to throughout this report as the Board, and the directors
thereof are collectively referred to throughout this report as Directors. The Funds determine and make available for publication the net asset values (NAVs) of their Common Shares on a daily basis.
On September 24, 2021, the Board of Directors of BlackRock MuniYield California Fund, Inc. (MYC) and the Board of Directors of BlackRock MuniHoldings California
Quality Fund, Inc. (MUC) each approved the reorganization of the MYC into MUC. The reorganization was approved by each Funds shareholders and is expected to occur during the second quarter of 2022, subject to the satisfaction of customary
closing conditions.
On September 24, 2021, the Board of Directors of BlackRock MuniYield New Jersey Fund, Inc. (MYJ) and the Board of Directors of BlackRock
MuniHoldings New Jersey Quality Fund, Inc. (MUJ) each approved the reorganization of the MYJ into MUJ. The reorganization was approved by each Funds shareholders and is expected to occur during the second quarter of 2022, subject to the
satisfaction of customary closing conditions.
The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the
Manager) or its affiliates, are included in a complex of open-end non-index fixed-income funds and all BlackRock-advised
closed-end funds referred to as the BlackRock Fixed-Income Complex.
2. |
SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP), which may
require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported
amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting
guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For
financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital
gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend
dates at fair value. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.
Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., futures contracts) or certain borrowings (e.g.,TOB Trust
transactions) that would be treated as senior securities for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations
under such investments or borrowings. Doing so allows the investments or borrowings to be excluded from treatment as a senior security. Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to
deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions:
Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates and made at least annually. The character and timing of
distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Distributions to Preferred Shareholders are
accrued and determined as described in Note 10.
Deferred Compensation Plan: Under the Deferred Compensation Plan (the Plan) approved by each
Funds Board, the directors who are not interested persons of the Funds, as defined in the 1940 Act (Independent Directors), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an
approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors
as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and
obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, if any, are included in the Directors and Officers fees payable in the Statements of
Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.
Indemnifications: In the
normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Funds maximum exposure under these arrangements is unknown because it involves future potential claims
against a Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses
shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
|
|
|
28 |
|
2022 BLACKROCK
SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
3. |
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Funds investments are valued at fair value (also referred to as market value within the financial statements)
each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction
between market participants at the measurement date. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. If a securitys market price is
not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies
Committee (the Global Valuation Committee) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Funds assets and liabilities:
|
|
|
Fixed-income investments for which market quotations are readily available are generally valued using the last available bid
price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third-party
pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower
prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market
data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the
estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used
with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
|
|
|
Investments in open-end U.S. mutual funds (including money market funds) are valued
at that days published NAV. |
|
|
|
Futures contracts are valued based on that days last reported settlement or trade price on the exchange where the
contract is traded. |
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect
the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the
investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (Fair Valued Investments). The fair valuation approaches that may be used by the
Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in
determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase
of that asset or liability in an arms-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and
consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a
fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
|
|
|
Level 1 Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each
Fund has the ability to access; |
|
|
|
Level 2 Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities
in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and default rates) or other marketcorroborated inputs); and |
|
|
|
Level 3 Unobservable inputs based on the best information available in the circumstances, to the extent
observable inputs are not available (including the Global Valuation Committees assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority
to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of
the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified
within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that
may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an
indication of the risks associated with investing in those securities.
4. |
SECURITIES AND OTHER INVESTMENTS |
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds
may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Forward
Commitments, When-Issued and Delayed Delivery Securities: The Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month
or more after the purchase or sale commitment is made. The Funds may
|
|
|
NOTES TO FINANCIAL STATEMENTS |
|
29 |
Notes to Financial Statements (unaudited) (continued)
purchase securities under such conditions
with the intention of actually acquiring them but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more
at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the
security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.
Municipal Bonds Transferred to TOB Trusts: The Funds leverage their assets through the use of TOB Trust transactions. The funds transfer municipal
bonds into a special purpose trust (a TOB Trust). A TOB Trust issues two classes of beneficial interests: short-term floating rate interests (TOB Trust Certificates), which are sold to third-party investors, and residual
inverse floating rate interests (TOB Residuals), which are issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that reset weekly and their holders have
the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a fund provide the fund with the right to cause the holders of a proportional share of the TOB Trust
Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The funds may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment adviser may also contribute
municipal bonds to a TOB Trust into which a fund has contributed bonds. If multiple BlackRock-advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residuals will be shared among the funds ratably in
proportion to their participation in the TOB Trust.
TOB Trusts are supported by a liquidity facility provided by a third-party bank or other financial institution
(the Liquidity Provider) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment of par plus accrued interest on any business day. The tendered TOB Trust Certificates are remarketed by a
Remarketing Agent. In the event of a failed remarketing, the TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB
Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on number of days the loan is outstanding.
The TOB Trust may be
collapsed without the consent of a fund, upon the occurrence of a termination event as defined in the TOB Trust agreement. Upon the occurrence of a termination event, a TOB Trust would be liquidated with the proceeds applied first to any accrued
fees owed to the trustee of the TOB Trust, the Remarketing Agent and the Liquidity Provider. Upon certain termination events, TOB Trust Certificates holders will be paid before the TOB Residuals holders (i.e., the Funds) whereas in other termination
events, TOB Trust Certificates holders and TOB Residuals holders will be paid pro rata.
While a funds investment policies and restrictions expressly permit
investments in inverse floating rate securities, such as TOB Residuals, they restrict the ability of a fund to borrow money for purposes of making investments. The Funds management believes that a funds restrictions on borrowings do not
apply to the Funds TOB Trust transactions. Each Funds transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust
Certificates, less certain transaction expenses, is paid to a Fund. A Fund typically invests the cash received in additional municipal bonds.
Accounting for TOB
Trusts: The municipal bonds deposited into a TOB Trust are presented in a Funds Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB
Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a Funds payable to the holder of the TOB Trust Certificates, as reported in the
Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.
Interest income, including amortization and accretion of premiums and
discounts, from the underlying municipal bonds is recorded by a Fund on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a
TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and
amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to non-bank sponsored TOB Trusts, a Fund
incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of offering costs in the Statements of Operations. Amounts recorded within interest expense,
fees and amortization of offering costs in the Statements of Operations are:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund Name |
|
Interest Expense |
|
|
Liquidity Fees |
|
|
Other Expenses |
|
|
Total |
|
MYC |
|
$ |
40,239 |
|
|
$ |
222,968 |
|
|
$ |
69,304 |
|
|
$ |
332,511 |
|
MYJ |
|
|
26,122 |
|
|
|
94,035 |
|
|
|
64,036 |
|
|
|
184,193 |
|
For the six months ended January 31, 2022, the following table is a summary of each Funds TOB Trusts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund Name |
|
Underlying Municipal Bonds Transferred to TOB
Trusts(a) |
|
|
Liability for TOB Trust Certificates(b)
|
|
|
Range of Interest Rates on TOB Trust Certificates at Period End |
|
|
Average TOB Trust Certificates Outstanding |
|
|
Daily Weighted Average Rate of Interest and Other Expenses on TOB Trusts |
|
MYC |
|
$ |
238,124,813 |
|
|
$ |
104,690,676 |
|
|
|
0.08% 0.15% |
|
|
$ |
104,690,676 |
|
|
|
0.63 |
% |
MYJ |
|
|
100,149,378 |
|
|
|
55,812,927 |
|
|
|
0.06 0.14 |
|
|
|
54,860,876 |
|
|
|
0.67 |
|
|
(a) |
The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal
bonds transferred are lower grade municipal bonds, the TOB Trust transaction may include a credit enhancement feature that provides for the timely payment of principal and interest on the bonds to the TOB Trust by a credit enhancement provider in
the event of default of the municipal bond. The TOB Trust would be responsible for the payment of the credit enhancement fee and the Funds, as TOB Residuals holders, would be responsible for reimbursement of any payments of principal and interest
made by the credit enhancement provider. The maximum potential amounts owed by the Funds, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts in the Schedules of Investments.
|
|
|
|
|
30 |
|
2022 BLACKROCK
SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
|
(b) |
TOB Trusts may be structured on a non-recourse or recourse basis. When a Fund
invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity
Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a Fund invests in a TOB Trust on a recourse basis, a Fund enters into a reimbursement agreement with the Liquidity Provider where a Fund is required to reimburse the
Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the Liquidation Shortfall). As a result, if a Fund invests in a
recourse TOB Trust, a Fund will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a Fund at
January 31, 2022, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a fund at January 31, 2022. |
|
5. |
DERIVATIVE FINANCIAL INSTRUMENTS |
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to
certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the
Schedules of Investments. These contracts may be transacted on an exchange or over-the-counter (OTC).
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes
in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between
the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying
instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that
varies depending on a contracts size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for
futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash
deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market
value of the contract (variation margin). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and
Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was
closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
6. |
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds investment adviser and an indirect, wholly-owned
subsidiary of BlackRock, Inc. (BlackRock), to provide investment advisory and administrative services. The Manager is responsible for the management of each Funds portfolio and provides the personnel, facilities, equipment and
certain other services necessary to the operations of each Fund.
For such services, each Fund pays the Manager a monthly fee at an annual rate equal to 0.50% of the
average daily value of each Funds net assets.
For purposes of calculating these fees, net assets mean the total assets of the Fund minus the sum of
its accrued liabilities (which does not include liabilities represented by TOB Trusts and the liquidation preference of any outstanding preferred shares). It is understood that the liquidation preference of any outstanding preferred stock (other
than accumulated dividends) and TOB Trusts is not considered a liability in determining a Funds NAV.
Expense Waivers: With respect to each Fund, the
Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the affiliated money market fund
waiver) through June 30, 2023. The contractual agreement may be terminated upon 90 days notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are
included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended January 31, 2022, the amounts waived were as follows:
|
|
|
|
|
Fund Name |
|
Fees Waived and/or Reimbursed by
the Manager |
|
MYC |
|
$ |
6 |
|
MYJ |
|
|
826 |
|
The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Funds assets invested in
affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The agreement can be renewed for annual periods thereafter, and may be terminated on 90
days notice, each subject to approval by a majority of the Funds Independent Directors. For the six months ended January 31, 2022, there were no fees waived by the Manager pursuant to this arrangement.
The Manager reimbursed MYC and MYJ $49,441 and $106,766 respectively, for reorganization costs.
Directors and Officers: Certain directors and/or officers of the Fund are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager
for a portion of the compensation paid to the Funds Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.
|
|
|
NOTES TO FINANCIAL STATEMENTS |
|
31 |
Notes to Financial Statements (unaudited) (continued)
For the six months ended January 31, 2022, purchases and sales of investments, excluding short-term investments, were as follows:
|
|
|
|
|
|
|
|
|
Fund Name |
|
Purchases |
|
|
Sales |
|
MYC |
|
$ |
103,157,608 |
|
|
$ |
102,779,171 |
|
MYJ |
|
|
40,193,314 |
|
|
|
21,518,234 |
|
8. |
INCOME TAX INFORMATION |
It is each Funds policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to
distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Fund files U.S. federal and
various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Funds U.S. federal tax returns generally remains open for a period of three fiscal years after they are filed. The
statutes of limitations on each Funds state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has
analyzed tax laws and regulations and their application to the Funds as of January 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in
the Funds financial statements.
As of July 31, 2021, the Funds had non-expiring capital loss carryforwards
available to offset future realized capital gains as follows:
|
|
|
|
|
Fund Name |
|
Non-Expiring |
|
MYJ |
|
$ |
6,572,209 |
|
As of January 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and
derivatives, if any) for U.S. federal income tax purposes were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund Name |
|
Tax Cost |
|
|
Gross Unrealized Appreciation |
|
|
Gross Unrealized
Depreciation |
|
|
Net Unrealized Appreciation (Depreciation) |
|
MYC |
|
$ |
404,486,629 |
|
|
$ |
26,494,678 |
|
|
$ |
(3,565,231 |
) |
|
$ |
22,929,447 |
|
MYJ |
|
|
518,975,522 |
|
|
|
33,889,470 |
|
|
|
(6,703,958 |
) |
|
|
27,185,512 |
|
In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to
various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without
limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or
(iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on
the Funds and their investments.
The Funds may hold a significant amount of bonds subject to calls by the issuers at defined dates and prices. When bonds are called
by issuers and the Funds reinvest the proceeds received, such investments may be in securities with lower yields than the bonds originally held, and correspondingly, could adversely impact the yield and total return performance of a Fund.
A Fund structures and sponsors the TOB Trusts in which it holds TOB Residuals and has certain duties and responsibilities, which may give rise to certain
additional risks including, but not limited to, compliance, securities law and operational risks.
Should short-term interest rates rise, the Funds investments
in the TOB Trusts may adversely affect the Funds net investment income and dividends to Common Shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect the Funds NAVs per
share.
The U.S. Securities and Exchange Commission (SEC) and various federal banking and housing agencies have adopted credit risk retention rules for
securitizations (the Risk Retention Rules). The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trusts municipal bonds. The Risk
Retention Rules may adversely affect the Funds ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.
TOB Trusts constitute an important component of the municipal bond market. Any modifications or changes to rules governing TOB Trusts may adversely impact the municipal
market and the Funds, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. The ultimate impact of any potential modifications on the TOB Trust market and the overall municipal
market is not yet certain.
Each Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily
available or which are otherwise illiquid, including private placement securities. A Fund may not be able to readily dispose of such investments at prices that approximate those at which a Fund could sell such investments if they were more widely
traded and, as a result of such illiquidity, a Fund may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments,
thereby adversely affecting a Funds NAV and ability to make dividend
|
|
|
32 |
|
2022 BLACKROCK
SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
distributions. Privately issued debt
securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled
during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Funds portfolio will decline if each
Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolios current earnings rate.
Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or
the bankruptcy of the issuer could have a significant effect on an issuers ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political
or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection
with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the
inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for
issuers of other securities.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing
borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many
nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a funds
investments. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Funds may be exposed to
counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations.
The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds exposure to market, issuer and
counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract
decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees
against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a
contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that
is held in a clearing brokers customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a
shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing brokers customers, potentially resulting in losses to the
Funds.
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a funds objectives, minimizes the risk that a price
change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Funds portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a substantial amount of their assets in issuers located in a single state or limited number of states. When a Fund concentrates its investments in
this manner, it assumes the risk that economic, regulatory, political or social conditions affecting that state or group of states could have a significant impact on the fund and could affect the income from, or the value or liquidity of, the
funds portfolio. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.
Certain Funds invest a
significant portion of their assets in securities within a single or limited number of market sectors. When a Fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions affecting
such sectors may have a significant impact on the Fund and could affect the income from, or the value or liquidity of, the Funds portfolio. Investment percentages in specific sectors are presented in the Schedules of Investments.
Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest
rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.
The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
LIBOR Transition Risk: The United
Kingdoms Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (LIBOR). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure
after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment
obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments
whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
|
|
|
NOTES TO FINANCIAL STATEMENTS |
|
33 |
Notes to Financial Statements (unaudited) (continued)
10. |
CAPITAL SHARE TRANSACTIONS |
Each Fund is authorized to issue 200 million shares, all of which were initially classified as Common Shares. The par value for each Funds Common Shares is
$0.10. The par value for each Funds Preferred Shares outstanding is $0.10. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.
Common Shares
For the six months ended January 31, 2022 and for the
year ended July 31, 2021, shares issued and outstanding remained constant for MYC.
The Funds participate in an open market share repurchase program (the
Repurchase Program). From December 1, 2020 through November 30, 2021, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of
business on November 30, 2020, subject to certain conditions. From December 1, 2021 through November 30, 2022, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares
outstanding as of the close of business on November 30, 2021, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts. For the six months ended January 31, 2022, the Funds did not
repurchase any shares.
The total cost of the shares repurchased is reflected in MYJs Statements of Changes in Net Assets. For the periods shown, shares
repurchased and cost, including transaction costs were as follows:
|
|
|
|
|
|
|
|
|
|
|
MYJ |
|
|
|
Shares |
|
|
Amounts |
|
Six Months Ended January 31, 2022 |
|
|
|
|
|
$ |
|
|
Year Ended July 31, 2021 |
|
|
33,688 |
|
|
|
453,828 |
|
Preferred Shares
A Funds Preferred
Shares rank prior to its Common Shares as to the payment of dividends by the Fund and distribution of assets upon dissolution or liquidation of the Fund. The 1940 Act prohibits the declaration of any dividend on Common Shares or the repurchase of
Common Shares if the Fund fails to maintain asset coverage of at least 200% of the liquidation preference of the Funds outstanding Preferred Shares. In addition, pursuant to the Preferred Shares governing instruments, a Fund is
restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with its Preferred Shares or repurchasing such shares if the Fund fails to declare and pay dividends on the Preferred Shares, redeem any Preferred
Shares required to be redeemed under the Preferred Shares governing instruments or comply with the basic maintenance amount requirement of the ratings agencies rating the Preferred Shares.
Holders of Preferred Shares have voting rights equal to the voting rights of holders of Common Shares (one vote per share) and vote together with holders of Common Shares
(one vote per share) as a single class on certain matters. Holders of Preferred Shares, voting as a separate class, are also entitled to (i) elect two members of the Board, (ii) elect the full Board if dividends on the Preferred Shares are not
paid for a period of two years and (iii) a separate class vote to amend the Preferred Share governing documents. In addition, the 1940 Act requires the approval of the holders of a majority of any outstanding Preferred Shares, voting as a
separate class, to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Funds sub-classification as a
closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.
VRDP Shares
MYC and MYJ (for purposes of this section, each a VRDP
Fund) have issued Series W-7 VRDP Shares, $100,000 liquidation preference per share, in one or more privately negotiated offerings to qualified institutional buyers as defined pursuant to Rule 144A under
the Securities Act of 1933, as amended (the Securities Act). The VRDP Shares include a liquidity feature and may be subject to a special rate period. As of period end, the VRDP Shares outstanding were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund Name |
|
Issue Date |
|
|
Shares Issued |
|
|
Aggregate Principal |
|
|
Maturity Date |
|
MYC |
|
|
05/19/11 |
|
|
|
1,059 |
|
|
$ |
105,900,000 |
|
|
|
06/01/41 |
|
MYJ |
|
|
04/21/11 |
|
|
|
1,022 |
|
|
|
102,200,000 |
|
|
|
05/01/41 |
|
|
|
|
06/11/18 |
|
|
|
778 |
|
|
|
77,800,000 |
|
|
|
05/01/41 |
|
Redemption Terms: A VRDP Fund is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased.
Six months prior to the maturity date, a VRDP Fund is required to begin to segregate liquid assets with the Funds custodian to fund the redemption. In addition, a VRDP Fund is required to redeem certain of its outstanding VRDP Shares if it
fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.
Subject to certain conditions, the VRDP Shares may also be redeemed,
in whole or in part, at any time at the option of a VRDP Fund. The redemption price per VRDP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends.
Liquidity Feature: VRDP Shares are subject to a fee agreement between the VRDP Fund and the liquidity provider that requires a per annum liquidity fee and, in some
cases, an upfront or initial commitment fee, payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations. As of period end, the fee agreement is set to expire, unless renewed or
terminated in advance, as follows:
|
|
|
|
|
|
|
|
|
|
|
MYC |
|
|
MYJ |
|
Expiration date |
|
|
07/02/22 |
|
|
|
07/02/22 |
|
|
|
|
34 |
|
2022 BLACKROCK
SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
The VRDP Shares are also subject to a
purchase agreement in connection with the liquidity feature. In the event a purchase agreement is not renewed or is terminated in advance, and the VRDP Shares do not become subject to a purchase agreement with an alternate liquidity provider, the
VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the purchase agreement. In the event of such mandatory purchase, a VRDP Fund is required to redeem the VRDP Shares six months after the purchase
date. Immediately after such mandatory purchase, the VRDP Fund is required to begin to segregate liquid assets with its custodian to fund the redemption. There is no assurance that a VRDP Fund will replace such redeemed VRDP Shares with any other
preferred shares or other form of leverage.
Remarketing: A VRDP Fund may incur remarketing fees on the aggregate principal amount of all its VRDP Shares,
which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. During any special rate period (as described below), a VRDP Fund may incur nominal or no remarketing fees.
Ratings: As of period end, the VRDP Shares were assigned the following ratings:
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Fund Name |
|
Moodys Investors Service,
Inc. Long-Term Ratings |
|
|
Fitch Ratings, Inc. Long-Term Ratings |
|
|
Fitch Ratings, Inc. Short-Term Ratings |
|
|
S&P Global Short-Term Ratings |
|
MYC |
|
|
Aa2 |
|
|
|
AA |
|
|
|
F1+ |
|
|
|
A-1+ |
|
MYJ |
|
|
Aa2 |
|
|
|
AA |
|
|
|
N/A |
|
|
|
N/A |
|
Any short-term ratings on VRDP Shares are directly related to the short-term ratings of the liquidity provider for such VRDP Shares.
Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares as rated by Moodys Investors Service, Inc., Fitch Ratings, Inc. and S&P Global Ratings. The liquidity provider
may be terminated prior to the scheduled termination date if the liquidity provider fails to maintain short-term debt ratings in one of the two highest rating categories.
Special Rate Period: A VRDP Fund has commenced a special rate period with respect to its VRDP Shares, during which the VRDP Shares will not be subject
to any remarketing and the dividend rate will be based on a predetermined methodology. During a special rate period, short-term ratings on VRDP Shares are withdrawn. As of period end, the following VRDP Funds have commenced/are set to commence a
special rate period:
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Fund Name |
|
Commencement Date |
|
|
Expiration Date as of Period Ended 01/31/22 |
|
MYJ |
|
|
06/21/12 |
|
|
|
06/17/22 |
|
Prior to the expiration date, the VRDP Fund and the VRDP Shares holder may mutually agree to extend the special rate period. If a special
rate period is not extended, the VRDP Shares will revert to remarketable securities upon the termination of the special rate period and will be remarketed and available for purchase by qualified institutional investors.
During the special rate period: (i) the liquidity and fee agreements remain in effect, (ii) VRDP Shares remain subject to mandatory redemption by the VRDP Fund
on the maturity date, (iii) VRDP Shares will not be remarketed or subject to optional or mandatory tender events, (iv) the VRDP Fund is required to comply with the same asset coverage, basic maintenance amount and leverage requirements for
the VRDP Shares as is required when the VRDP Shares are not in a special rate period, (v) the VRDP Fund will pay dividends monthly based on the sum of an agreed upon reference rate and a percentage per annum based on the long-term ratings
assigned to the VRDP Shares and (vi) the VRDP Fund will pay nominal or no fees to the liquidity provider and remarketing agent.
Dividends: Except during
the Special Rate Period as described above, dividends on the VRDP Shares are payable monthly at a variable rate set weekly by the remarketing agent. Such dividend rates are generally based upon a spread over a base rate and cannot exceed a maximum
rate. A change in the short-term credit rating of the liquidity provider or the VRDP Shares may adversely affect the dividend rate paid on such shares, although the dividend rate paid on the VRDP Shares is not directly based upon either short-term
rating. In the event of a failed remarketing, the dividend rate of the VRDP Shares will be reset to a maximum rate. The maximum rate is determined based on, among other things, the long-term preferred share rating assigned to the VRDP Shares and the
length of time that the VRDP Shares fail to be remarketed.
For the six months ended January 31, 2022, the annualized dividend rate for the VRDP Shares were as
follows:
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|
|
|
|
|
|
|
|
MYC |
|
|
MYJ |
|
Dividend rates |
|
|
0.14 |
% |
|
|
0.80 |
% |
For the six months ended January 31, 2022, VRDP Shares issued and outstanding of each VRDP Fund remained constant.
Offering Costs: The Funds incurred costs in connection with the issuance of VRDP Shares, which were recorded as a direct deduction from the carrying value of the
related debt liability and will be amortized over the life of the VRDP Shares with the exception of any upfront fees paid by a VRDP Fund to the liquidity provider which, if any, were amortized over the life of the liquidity agreement. Amortization
of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.
Financial Reporting: The VRDP Shares
are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the VRDP Shares, is recorded as a liability in the Statements of Assets and Liabilities net of deferred offering costs. Unpaid dividends are
included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends accrued and paid on the VRDP Shares are included as a component of interest expense, fees and amortization of offering costs in the
Statements of Operations. The VRDP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP Shares are generally classified
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|
NOTES TO FINANCIAL STATEMENTS |
|
35 |
Notes to Financial Statements (unaudited) (continued)
as
tax-exempt income for tax-reporting purposes. Dividends and amortization of deferred offering costs on VRDP Shares are included in interest expense, fees and
amortization of offering costs in the Statements of Operations:
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|
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|
|
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|
Fund Name |
|
Dividends Accrued |
|
|
Deferred Offering
Costs Amortization |
|
MYC |
|
$ |
73,637 |
|
|
$ |
8,427 |
|
MYJ |
|
|
721,430 |
|
|
|
15,206 |
|
11. SUBSEQUENT EVENTS
Managements evaluation of the impact of all subsequent events on the Funds financial statements was completed through the date the financial statements were
issued and the following items were noted:
The Funds declared and paid or will pay distributions to Common Shareholders as follows:
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|
Fund Name |
|
Declaration
Date |
|
|
Record
Date |
|
|
Payable/
Paid Date |
|
|
Dividend Per
Common Share |
|
MYC |
|
|
02/01/22 |
|
|
|
02/15/22 |
|
|
|
03/01/22 |
|
|
$ |
0.046000 |
|
|
|
|
03/01/22 |
|
|
|
03/15/22 |
|
|
|
04/01/22 |
|
|
|
0.046000 |
|
|
|
|
03/18/22 |
|
|
|
04/07/22 |
|
|
|
05/02/22 |
|
|
|
0.061300 |
(a) |
MYJ |
|
|
02/01/22 |
|
|
|
02/15/22 |
|
|
|
03/01/22 |
|
|
|
0.062500 |
|
|
|
|
03/01/22 |
|
|
|
03/15/22 |
|
|
|
04/01/22 |
|
|
|
0.062500 |
|
|
|
|
03/18/22 |
|
|
|
04/07/22 |
|
|
|
05/02/22 |
|
|
|
0.062500 |
(a) |
|
(a) |
Net investment income special dividend. |
|
The Funds declared and paid or will pay distributions to Preferred Shareholders as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Shares(a) |
|
Fund Name |
|
Shares |
|
|
Series |
|
|
Declared |
|
MYC |
|
|
VRDP |
|
|
|
W-7 |
|
|
$ |
20,106 |
|
MYJ |
|
|
VRDP |
|
|
|
W-7 |
|
|
|
125,310 |
|
|
(a) |
Dividends declared for period February 1, 2022 to February 28, 2022. |
|
|
|
|
36 |
|
2022 BLACKROCK
SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Additional Information