BLACKROCK MUNICIPAL BOND TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-21036

Name of Fund:  BlackRock Municipal Bond Trust (BBK)

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 08/31/2017

Date of reporting period: 05/31/2017

Item 1 – Schedule of Investments

Schedule of Investments May 31, 2017 (Unaudited)

   

BlackRock Municipal Bond Trust (BBK)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Alabama — 0.6%

 

Opelika Utilities Board, Refunding RB, 4.00%, 6/01/41 (a)

    $ 960     $ 997,690  

Arizona — 9.4%

 

Arizona Health Facilities Authority, Refunding RB, Phoenix Children’s Hospital, Series A, 5.00%, 2/01/42

      2,200       2,360,446  

City of Phoenix Arizona IDA, Refunding RB, Basis Schools, Inc. Projects, 5.00%, 7/01/45 (b)

      460       468,556  

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

     

3.25%, 1/01/37

      1,805       1,774,098  

4.00%, 1/01/38

      1,250       1,302,550  

County of Pinal Arizona Electric District No.3, Refunding RB:

     

4.75%, 7/01/21 (c)

      680       777,954  

4.75%, 7/01/31

      3,070       3,373,469  

Salt Verde Financial Corp., RB, Senior:

     

5.00%, 12/01/32

      1,500       1,801,380  

5.00%, 12/01/37

      2,065       2,508,645  

University Medical Center Corp., RB, 6.50%, 7/01/19 (c)

      500       556,335  

University Medical Center Corp., Refunding RB, 6.00%, 7/01/21 (c)

      900       1,072,431  
    

 

 

  
               15,995,864  

Arkansas — 2.2%

 

City of Benton Arkansas, RB, 4.00%, 6/01/39

      505       533,078  

City of Fort Smith Arkansas Water & Sewer Revenue, Refunding RB, 4.00%, 10/01/40

      840       879,387  

City of Little Rock Arkansas, RB, 4.00%, 7/01/41

      1,835       1,906,088  

County of Pulaski Arkansas Public Facilities Board, RB, 5.00%, 12/01/42

      465       519,433  
    

 

 

  
               3,837,986  

California — 23.6%

 

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 5.88%, 8/15/31

      1,900       2,171,358  

California Health Facilities Financing Authority, Refunding RB, Adventist Health System West, Series A, 3.00%, 3/01/39

      710       645,099  
Municipal Bonds   

Par  

(000)

     Value  

California (continued)

 

California HFA, RB, Home Mortgage, Series G, AMT, 5.05%, 2/01/29

    $ 2,285     $ 2,288,245  

California Infrastructure & Economic Development Bank, Refunding RB, Academy Motion Picture Arts and Sciences, Series A, 4.00%, 11/01/45

      1,550       1,595,957  

California Statewide Communities Development Authority, RB, Loma Linda University Medical Center, Series A, 5.25%, 12/01/56 (b)

      225       245,160  

Carlsbad California Unified School District, GO, Election of 2006, Series B, 0.00%, 5/01/34 (d)

      1,000       1,100,100  

City of San Jose California, Refunding ARB, Norman Y Mineta San Jose International Airport SJC, AMT:

     

Series A (BAM), 4.00%, 3/01/42

      1,540       1,582,535  

Series A-1, 5.75%, 3/01/34

      2,000       2,277,000  

Golden State Tobacco Securitization Corp., Refunding RB, Series A-1, 5.00%, 6/01/28

      1,925       2,301,280  

Hartnell Community College District California, GO, CAB, Election of 2002, Series D, 0.00%, 8/01/34 (d)

      1,650       1,683,429  

Norwalk-La Mirada Unified School District, GO, Refunding, CAB, Election of 2002, Series E (AGC),
0.00%, 8/01/38 (e)

      8,000       3,388,480  

Palomar Community College District, GO, CAB, Election of 2006, Series B:

     

0.00%, 8/01/30 (e)

      1,500       997,620  

0.00%, 8/01/33 (e)

      4,000       1,635,480  

0.00%, 8/01/39 (d)

      2,605       2,492,490  

San Diego Community College District, GO, CAB, Election of 2002, 0.00%, 8/01/33 (d)

      2,800       3,281,068  

State of California, GO, Refunding, Various Purposes:

     

5.00%, 2/01/38

      3,000       3,410,850  

4.00%, 10/01/44

      1,080       1,125,274  

State of California, GO, Various Purposes:

     

5.75%, 4/01/31

      2,000       2,174,240  

6.00%, 3/01/33

      1,000       1,127,420  

6.50%, 4/01/33

      1,950       2,148,198  
 

 

                
   BLACKROCK MUNICIPAL BOND TRUST    MAY 31, 2017    1

Schedule of Investments (continued)

   

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

     Value  

California (continued)

 

State of California, GO, Various Purposes (continued):

     

5.50%, 3/01/40

    $ 2,350     $ 2,611,014  
    

 

 

  
               40,282,297  

Colorado — 0.7%

 

Colorado Health Facilities Authority, RB, Catholic Health Initiatives, Series D, 6.25%, 10/01/33

      1,070       1,131,397  

Connecticut — 0.9%

 

Connecticut State Health & Educational Facility Authority, Refunding RB, Lawrence & Memorial Hospital, Series F, 5.00%, 7/01/36

      550       593,720  

South Central Connecticut Regional Water Authority, Refunding RB, 32nd, Series B, 4.00%, 8/01/36

      850       909,202  
    

 

 

  
               1,502,922  

Delaware — 2.7%

 

County of Sussex Delaware, RB, NRG Energy, Inc., Indian River Power LLC Project, 6.00%, 10/01/40

      1,200       1,295,688  

Delaware Transportation Authority, RB:

     

5.00%, 6/01/45

      2,000       2,241,840  

5.00%, 6/01/55

      950       1,054,281  
    

 

 

  
               4,591,809  

Florida — 3.7%

 

Capital Trust Agency Inc., RB, M/F Housing, The Gardens Apartment Project, Series A, 4.75%, 7/01/40

      600       613,722  

County of Miami-Dade Florida, RB, AMT, Seaport Department, Series B, 6.00%, 10/01/31

      4,135       4,948,230  

County of Orange Florida Health Facilities Authority, Refunding RB, Mayflower Retirement Center, 5.00%, 6/01/36

      125       132,134  
Municipal Bonds   

Par  

(000)

     Value  

Florida (continued)

 

Stevens Plantation Community Development District, RB, Special Assessment, Series A, 7.10%, 5/01/35 (f)(g)

    $ 860     $ 601,596  
    

 

 

  
               6,295,682  

Hawaii — 0.3%

 

Hawaii State Department of Budget & Finance, Refunding RB, Special Purpose, Senior Living, Kahala Nui, 5.25%, 11/15/37

      400       439,484  

Idaho — 0.3%

 

Idaho Health Facilities Authority, RB, St. Lukes Health System Project, Series A, 5.00%, 3/01/39

      500       548,495  

Illinois — 3.9%

 

City of Chicago Illinois, Refunding ARB, O’Hare International Airport Passenger Facility Charge, Series B, AMT, 4.00%, 1/01/29

      1,600       1,672,192  

City of Chicago Illinois Midway International Airport, Refunding GARB, 2nd Lien, Series A, 5.00%, 1/01/41

      870       954,155  

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/40

      665       717,376  

Illinois Finance Authority, Refunding RB:

     

OSF Healthcare System, 6.00%, 5/15/39

      295       326,367  

Roosevelt University Project, 6.50%, 4/01/44

      1,000       1,058,070  

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

      1,150       1,316,693  

State of Illinois, GO, 5.00%, 2/01/39

      665       670,200  
    

 

 

  
               6,715,053  

Kansas — 3.3%

 

County of Johnson Kansas Unified School District No. 512 Shawnee Mission, GO, Refunding, Series B, 3.00%, 10/01/37

      1,210       1,133,201  

County of Seward Kansas Unified School District No. 480 Liberal, GO, Refunding:

     

5.00%, 9/01/39

      720       840,542  
 

 

                
2    BLACKROCK MUNICIPAL BOND TRUST    MAY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

     Value  

Kansas (continued)

 

County of Seward Kansas Unified School District No. 480 Liberal, GO, Refunding (continued):

     

5.00%, 9/01/39

    $ 3,280     $ 3,648,541  
    

 

 

  
               5,622,284  

Kentucky — 4.0%

     

County of Boyle Kentucky, Refunding RB, Centre College of Kentucky, 5.00%, 6/01/37

      2,500       2,850,350  

County of Louisville & Jefferson Kentucky Metropolitan Government, Refunding RB, Norton Healthcare, Inc., Series A, 4.00%, 10/01/35

      545       564,756  

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.38%, 1/01/40

      1,830       1,989,064  

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C (d):

     

0.00%, 7/01/34

      500       439,390  

0.00%, 7/01/39

      830       713,343  

0.00%, 7/01/43

      270       232,392  
    

 

 

  
               6,789,295  

Louisiana — 1.5%

     

City of Alexandria Louisiana Utilities, RB, 5.00%, 5/01/39

      860       957,601  

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, Westlake Chemical Corp. Project, Series A-1, 6.50%, 11/01/35

      1,050       1,198,733  

Louisiana Public Facilities Authority, RB, Belle Chasse Educational Foundation Project, 6.50%, 5/01/31

      400       443,240  
    

 

 

  
               2,599,574  

Maryland — 0.9%

     

County of Anne Arundel Maryland Consolidated, RB, Special Taxing District, Villages at Two Rivers Project:

     

5.13%, 7/01/36

      170       172,188  

5.25%, 7/01/44

      170       171,926  
Municipal Bonds   

Par  

(000)

     Value  

Maryland (continued)

 

County of Montgomery Maryland, RB, Trinity Health Credit Group, 5.00%, 12/01/45

    $ 1,000     $ 1,134,780  
    

 

 

  
               1,478,894  

Massachusetts — 3.1%

     

Massachusetts Development Finance Agency, RB:

     

Emerson College Issue, Series A, 5.00%, 1/01/47

      630       699,855  

Dana-Farber Cancer Institute Issue, Series N, 5.00%, 12/01/46

      390       444,717  

Emerson College Issue, Series A, 5.25%, 1/01/42

      565       645,885  

Massachusetts Development Finance Agency, Refunding RB:

     

Emmanuel College Issue, Series A, 4.00%, 10/01/46

      865       872,353  

International Charter School, 5.00%, 4/15/40

      400       428,440  

Suffolk University, 4.00%, 7/01/39

      870       888,096  

WGBH Educational Foundation Issue, 3.00%, 1/01/42

      1,415       1,261,458  
    

 

 

  
               5,240,804  

Michigan — 2.4%

     

Michigan Finance Authority, RB, Detroit Water & Sewage Disposal System, Senior Lien, Series 2014 C-2, AMT, 5.00%, 7/01/44

      240       256,970  

Michigan Finance Authority, Refunding RB, Henry Ford Health System, 4.00%, 11/15/46

      1,540       1,561,807  

Michigan State Hospital Finance Authority, Refunding RB, Trinity Health Credit Group, Series C, 4.00%, 12/01/32

      2,100       2,178,036  

State of Michigan Building Authority, Refunding RB, Facilities Program, Series I, 6.25%, 10/15/38

      40       42,700  
    

 

 

  
               4,039,513  

Minnesota — 4.9%

     

City of Maple Grove Minnesota, Refunding RB, Maple Grove Hospital, Corp.:

     

3.50%, 5/01/34

      190       190,946  

4.00%, 5/01/37

      880       906,893  
 

 

                
   BLACKROCK MUNICIPAL BOND TRUST    MAY 31, 2017    3

Schedule of Investments (continued)

   

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

     Value  

Minnesota (continued)

 

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC), 6.50%, 11/15/38

    $ 3,890     $ 4,164,362  

Minneapolis-St. Paul Metropolitan Airports Commission, Refunding ARB, Sub Series D, AMT, 5.00%, 1/01/41

      290       328,431  

Minnesota Higher Education Facilities Authority, RB:

     

Augsburg College, Series B, 4.25%, 5/01/40

      1,185       1,188,140  

College of St. Benedict, Series 8-K, 5.00%, 3/01/37

      660       739,840  

College of St. Benedict, Series 8-K, 4.00%, 3/01/43

      385       395,580  

Minnesota Higher Education Facilities Authority, Refunding RB, University of St. Thomas, Series 8-L, 4.00%, 4/01/39

      380       398,441  
    

 

 

  
               8,312,633  
Mississippi — 1.9%             

County of Warren Mississippi, RB, Gulf Opportunity Zone Bonds, International Paper Co. Project, Series A, 5.38%, 12/01/35

      400       442,604  

Mississippi Development Bank, RB, Special Obligation:

     

CAB, Hinds Community College District (AGM), 5.00%, 4/01/36

      845       916,580  

County of Jackson Limited Tax Note (AGC), 5.50%, 7/01/32

      1,750       1,883,490  
    

 

 

  
               3,242,674  
Missouri — 3.1%             

Missouri Development Finance Board, RB, Annual Appropriation Sewer System, Series B, 5.00%, 11/01/41

      900       965,826  

Missouri State Health & Educational Facilities Authority, RB:

     

A.T. Still University of Health Sciences, 5.25%, 10/01/31

      500       559,230  

A.T. Still University of Health Sciences, 4.25%, 10/01/32

      320       340,624  

A.T. Still University of Health Sciences, 5.00%, 10/01/39

      500       557,575  

Heartland Regional Medical Center, 4.13%, 2/15/43

      300       311,025  
Municipal Bonds   

Par  

(000)

     Value  

Missouri (continued)

 

Missouri State Health & Educational Facilities Authority, RB (continued):

     

University of Central Missouri, Series C-2, 5.00%, 10/01/34

    $ 1,000     $ 1,124,980  

Missouri State Health & Educational Facilities Authority, Refunding RB, Kansas City University of Medicine and Biosciences, Series A:

     

5.00%, 6/01/42

      540       613,218  

5.00%, 6/01/47

      770       870,131  
    

 

 

  
               5,342,609  
Montana — 0.7%             

County of Cascade Montana High School District A Great Falls, GO:

     

4.00%, 7/01/34

      570       620,821  

4.00%, 7/01/35

      550       597,042  
    

 

 

  
               1,217,863  
Nebraska — 3.1%             

Central Plains Nebraska Energy Project, RB, Gas Project No. 3, 5.00%, 9/01/42

      600       645,174  

County of Douglas Nebraska Hospital Authority No. 3, Refunding RB, Health Facilities Nebraska Methodist Health System, 5.00%, 11/01/45

      400       444,636  

County of Sarpy Nebraska Hospital Authority No. 1, Refunding RB, Nebraska Medicine:

     

3.00%, 5/15/46

      1,925       1,680,544  

4.00%, 5/15/51

      975       997,854  

Nebraska Public Power District, Refunding RB, Series A:

     

5.00%, 1/01/32

      250       283,625  

4.00%, 1/01/44

      400       409,584  

Public Power Generation Agency, Refunding RB, 3.13%, 1/01/35

      960       923,405  
    

 

 

  
               5,384,822  

Nevada — 1.2%

     

City of Las Vegas Nevada, RB, Special Assessment, No. 809 Summerlin Area, 5.65%, 6/01/23

      1,025       1,014,494  
 

 

                
4    BLACKROCK MUNICIPAL BOND TRUST    MAY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

     Value  

Nevada (continued)

 

County of Clark Nevada, Refunding ARB, Department of Aviation, Subordinate Lien, Series A-2, 4.25%, 7/01/36

    $ 1,000     $ 1,065,400  
    

 

 

  
               2,079,894  
New Jersey — 12.1%             

County of Atlantic New Jersey Improvement Authority, RB, Stockton University Atlantic City, Series A (AGM), 4.00%, 7/01/46

      850       879,453  

County of Middlesex New Jersey Improvement Authority, RB, Heldrich Center Hotel, Sub-Series B,
6.25%, 1/01/37 (f)(g)

      915       35,465  

New Jersey EDA, RB, AMT:

     

Continental Airlines, Inc. Project, Series B, 5.63%, 11/15/30

      660       742,183  

Goethals Bridge Replacement Project (AGM), 5.13%, 7/01/42

      200       220,254  

New Jersey EDA, Refunding RB, Special Assessment, Kapkowski Road Landfill Project, 6.50%, 4/01/28

      7,500       8,838,000  

New Jersey Educational Facilities Authority, Refunding RB, College of New Jersey, Series G, 3.50%, 7/01/31

      900       916,893  

New Jersey Health Care Facilities Financing Authority, Refunding RB, Series A:

     

RWJ Barnabas Health Obligated Group, 4.00%, 7/01/43

      1,945       2,007,823  

St. Barnabas Health Care System,
4.63%, 7/01/21 (c)

      510       580,273  

St. Barnabas Health Care System,
5.63%, 7/01/21 (c)

      1,700       2,002,583  

St. Barnabas Health Care System, 5.00%, 7/01/25

      500       569,305  

New Jersey Housing & Mortgage Finance Agency, RB, S/F Housing, Series AA, 6.50%, 10/01/38

      15       15,449  

New Jersey State Turnpike Authority, RB, Series E, 5.00%, 1/01/45

      1,860       2,093,132  

New Jersey Transportation Trust Fund Authority, RB:

     

CAB, Transportation System, Series A, 0.00%, 12/15/35 (e)

      1,000       386,780  
Municipal Bonds   

Par  

(000)

     Value  

New Jersey (continued)

 

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

     

Transportation Program, Series AA, 5.00%, 6/15/45

    $ 900     $ 917,280  

Transportation Program, Series AA, 5.00%, 6/15/46

      400       407,680  
    

 

 

  
               20,612,553  
New Mexico — 1.1%             

New Mexico Finance Authority, RB, Senior Lien, Series A:

     

3.25%, 6/01/33

      545       560,500  

3.25%, 6/01/34

      840       855,968  

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

      450       508,478  
    

 

 

  
               1,924,946  
New York — 6.4%             

City of New York New York Industrial Development Agency, RB, PILOT, Queens Baseball Stadium (AMBAC), 5.00%, 1/01/39

      925       927,202  

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (b)

      900       937,413  

Counties of New York Tobacco Trust VI, Refunding RB, Settlement Pass-Through Turbo, Series C, 4.00%, 6/01/51

      500       474,010  

Erie Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, Series A, 5.00%, 6/01/45

      1,160       1,153,423  

Metropolitan Transportation Authority, Refunding RB, Green Bond, Climate Bond Certified, Sub-Series B-2:

     

3.13%, 11/15/33

      2,310       2,330,351  

4.00%, 11/15/34

      1,000       1,091,980  

Metropolitan Transportation Authority Hudson Rail Yards Trust Obligations, Refunding RB, Series A, 5.00%, 11/15/56

      850       937,473  

New York Liberty Development Corp., Refunding RB:

     

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

      800       870,840  
 

 

                
   BLACKROCK MUNICIPAL BOND TRUST    MAY 31, 2017    5

Schedule of Investments (continued)

   

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

 

New York Liberty Development Corp., Refunding RB (continued):

     

3 World Trade Center Project, Class 2, 5.38%, 11/15/40 (b)

    $ 405     $ 441,677  

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT, 5.00%, 8/01/31

      1,295       1,379,317  

Niagara Area Development Corp., Refunding RB, Solid Waste Disposal Facility, Covanta Energy Project, Series A, AMT, 5.25%, 11/01/42 (b)

      400       402,036  
    

 

 

  
               10,945,722  

North Dakota — 0.3%

     

County of Burleigh North Dakota, Refunding RB, St. Alexius Medical Center Project, Series A, 5.00%, 7/01/21 (c)

      480       551,640  

Ohio — 1.2%

     

City of Dayton Ohio Airport Revenue, Refunding ARB, James M. Cox Dayton International Airport, Series A (AGM), AMT, 4.00%, 12/01/32

      2,000       2,072,460  

Oklahoma — 2.4%

     

Norman Oklahoma Regional Hospital Authority, Refunding RB, 4.00%, 9/01/37

      1,275       1,308,698  

Oklahoma City Public Property Authority, Refunding RB, 5.00%, 10/01/39

      720       809,071  

Oklahoma Development Finance Authority, RB, Provident Oklahoma Education Resources, Inc., Cross Village Student Housing Project, Series A, 5.25%, 8/01/57

      820       897,998  

Oklahoma Water Resources Board, RB, Clean Water Program, 4.00%, 4/01/40

      990       1,047,975  
    

 

 

  
               4,063,742  

Oregon — 3.2%

     

County of Lane Oregon School District No. 19 Springfield, GO, CAB, Series B, 0.00%, 6/15/40 (e)

      1,000       402,080  
Municipal Bonds   

Par  

(000)

     Value  

Oregon (continued)

 

Klamath Falls Intercommunity Hospital Authority, Refunding RB, Sky Lakes Medical Center Project:

     

3.00%, 9/01/35

    $ 705     $ 660,451  

3.00%, 9/01/41

      350       312,543  

Oregon Health & Science University, RB, Series A, 4.00%, 7/01/37

      675       716,425  

State of Oregon Facilities Authority, Refunding RB, Legacy Health Project, Series A, 4.00%, 6/01/41

      1,630       1,691,174  

State of Oregon State Facilities Authority, Refunding RB, University of Portland Project, Series A, 5.00%, 4/01/45

      1,475       1,664,154  
    

 

 

  
               5,446,827  

Pennsylvania — 4.4%

     

County of Allegheny Pennsylvania IDA, Refunding RB, U.S. Steel Corp. Project, 6.55%, 12/01/27

      1,695       1,698,254  

Delaware River Port Authority, RB:

     

4.50%, 1/01/32

      1,500       1,654,200  

Series D (AGM), 5.00%, 1/01/40

      2,600       2,824,172  

Pottsville Hospital Authority, Refunding RB, Lehigh Valley Health Network, Series B, 5.00%, 7/01/45

      1,250       1,387,525  
    

 

 

  
               7,564,151  

Puerto Rico — 1.1%

     

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds:

     

5.50%, 5/15/39

      940       944,606  

5.63%, 5/15/43

      890       890,579  
    

 

 

  
               1,835,185  

Rhode Island — 4.9%

     

Rhode Island Commerce Corp., RB, Airport Corp.,
Series D:

     

5.00%, 7/01/41

      270       304,409  

5.00%, 7/01/46

      335       376,017  

Rhode Island Health & Educational Building Corp., Refunding RB, Series A (AGM), 3.75%, 5/15/32

      1,155       1,196,476  

Rhode Island Turnpike & Bridge Authority, Refunding RB, Series A, 5.00%, 10/01/40

      1,540       1,751,766  
 

 

                
6    BLACKROCK MUNICIPAL BOND TRUST    MAY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

     Value  

Rhode Island (continued)

 

State of Rhode Island, COP, School for the Deaf Project, Series C (AGC), 5.38%, 4/01/28

    $ 900     $ 960,534  

Tobacco Settlement Financing Corp., Refunding RB:

     

Series A, 5.00%, 6/01/40

      1,000       1,081,400  

Series B, 4.50%, 6/01/45

      2,730       2,762,951  
    

 

 

  
               8,433,553  

South Dakota — 0.9%

     

Dakota Valley School District No. 61-8, GO, Refunding, 3.00%, 7/15/39

      1,730       1,591,496  

Tennessee — 3.3%

     

Chattanooga Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/40

      1,950       2,073,825  

County of Chattanooga-Hamilton Tennessee Hospital Authority, Refunding RB, Series A, 5.00%, 10/01/44

      875       932,951  

County of Knox Tennessee Health Educational & Housing Facility Board, RB, University Health System, Inc., 4.00%, 9/01/40

      755       778,549  

County of Memphis-Shelby Tennessee Sports Authority, Inc., Refunding RB, Memphis Arena Project, Series A, 5.38%, 11/01/28

      275       301,595  

Johnson City Health & Educational Facilities Board, RB, Mountain States Health, Series A, 5.00%, 8/15/42

      800       859,768  

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

      675       762,716  
    

 

 

  
               5,709,404  

Texas — 8.6%

     

County of Harris Texas Houston Sports Authority, Refunding RB, CAB, Senior Lien, Series G (NPFGC), 0.00%, 11/15/41 (e)

      11,690       3,586,843  
Municipal Bonds   

Par  

(000)

     Value  

Texas (continued)

 

County of Matagorda Texas Navigation District No. 1, Refunding RB, Central Power & Light Co., Project, Series A, 6.30%, 11/01/29

    $ 1,500     $ 1,671,225  

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A, 0.00%, 9/15/38 (e)

      10,760       4,373,079  

Leander ISD, CAB, Series D, 0.00%, 8/15/35 (e)

      4,000       1,912,280  

Red River Texas Education Financing Corp., RB, Texas Christian University Project, 5.25%, 3/15/38

      760       867,996  

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien, LBJ Infrastructure Group LLC, 7.00%, 6/30/40

      2,000       2,270,140  
    

 

 

  
               14,681,563  

Utah — 0.2%

     

Utah State Charter School Finance Authority, Refunding RB, Mountainville Academy, 4.00%, 4/15/42

      400       410,880  

Vermont — 0.8%

     

University of Vermont & State Agricultural College, Refunding RB, 4.00%, 10/01/37

      500       526,615  

Vermont Student Assistance Corp., RB, Series A, 4.13%, 6/15/30

      810       849,139  
    

 

 

  
               1,375,754  

Virginia — 0.8%

     

Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A, 5.38%, 3/01/36

      490       491,867  

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

      725       818,612  
    

 

 

  
               1,310,479  

West Virginia — 0.3%

     

County of Berkeley West Virginia Public Service Sewer District, Refunding RB, Series B (BAM), 5.00%, 6/01/36

      385       436,247  
 

 

                
   BLACKROCK MUNICIPAL BOND TRUST    MAY 31, 2017    7

Schedule of Investments (continued)

   

BlackRock Municipal Bond Trust (BBK)

 

Municipal Bonds   

Par  

(000)

     Value  

Wisconsin — 1.7%

 

Public Finance Authority, Refunding RB, National Gypsum Co., AMT, 4.00%, 8/01/35

    $ 280     $ 271,499  

Wisconsin Health & Educational Facilities Authority, Refunding RB:

     

Medical College of Wisconsin, Inc., 4.00%, 12/01/46

      600       619,008  

The Monroe Clinic, Inc., 3.00%, 2/15/35

      575       536,555  

The Monroe Clinic, Inc., 4.00%, 2/15/38

      770       796,111  

WPPI Energy Power Supply Systems, Refunding RB, Series A, 5.00%, 7/01/37

      665       751,098  
    

 

 

  
               2,974,271  
Total Municipal Bonds — 132.1%              225,630,411  
    
                  

Municipal Bonds Transferred to

Tender Option Bond Trusts (h)

               

Colorado — 2.3%

     

Colorado Health Facilities Authority, RB, Catholic Health, Series C-7 (AGM), 5.00%, 5/01/18 (c)

      3,750       3,892,500  

Connecticut — 1.7%

     

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

      2,611       2,969,542  

Georgia — 2.7%

     

City of Atlanta Georgia Water & Wastewater Revenue, Refunding RB, 5.00%, 11/01/43

      4,003       4,648,991  

New Jersey — 0.8%

     

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

      1,400       1,447,569  

New York — 12.8%

     

City of New York New York, GO, Fiscal 2015, Series B, 4.00%, 8/01/32

      3,990       4,363,903  

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A:

     

5.75%, 6/15/18 (c)

      104       108,803  

5.75%, 6/15/40

      346       363,885  

Municipal Bonds Transferred to

Tender Option Bond Trusts (h)

   

Par  

(000)

     Value  

New York (continued)

 

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

     

Fiscal 2013, Series CC, 5.00%, 6/15/47

    $ 6,000     $ 6,793,246  

Series FF-2, 5.50%, 6/15/40

      405       440,332  

Hudson Yards Infrastructure Corp., RB, Fiscal 2012, Series A, 5.75%, 2/15/47 (i)

      2,500       2,848,143  

New York Liberty Development Corp., RB, 1 World Trade Center Port Authority Consolidated Bonds, 5.25%, 12/15/43

      2,505       2,851,781  

State of New York Dormitory Authority, RB, New York University, Series A, 5.00%, 7/01/18 (c)

      2,199       2,298,054  

State of New York Thruway Authority, Refunding RB, Transportation, Personal Income Tax, Series A, 5.00%, 3/15/31

      1,560       1,782,908  
    

 

 

  
               21,851,055  

Ohio — 2.0%

     

County of Montgomery Ohio, RB, Catholic Health, Series C-1 (AGM), 5.00%, 4/28/18 (c)

      1,260       1,307,099  

Ohio Higher Educational Facility Commission, RB, Cleveland Clinic Health, Series A, 5.25%, 1/01/33

      2,000       2,048,460  
    

 

 

  
               3,355,559  

Texas — 1.1%

     

City of San Antonio Texas Public Service Board, RB, Electric & Gas Systems, Junior Lien, 5.00%, 2/01/43

      1,580       1,791,910  

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 23.4%

              39,957,126  
Total Long-Term Investments
(Cost — $246,822,939) — 155.5%		              265,587,537  
 

 

                
8    BLACKROCK MUNICIPAL BOND TRUST    MAY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Municipal Bond Trust (BBK)

 

Short-Term Securities    Shares     Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.60% (j)(k)

      4,179,195     $ 4,180,031  
Total Short-Term Securities
(Cost — $4,180,031) — 2.5%		       4,180,031  

Total Investments

(Cost — $251,002,970*) — 158.0%

 

 

     269,767,568  

Other Assets Less Liabilities — 2.0%

 

     3,359,537  
Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (13.2)%       (22,466,136 ) 

VMTP Shares, at Liquidation Value — (46.8)%

 

     (79,900,000 ) 
    

 

 

  

Net Assets Applicable to Common Shares — 100.0%

 

   $ 170,760,969  
    

 

 

  

 

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

 

Tax cost

   $ 228,656,060  
 

 

 

  

Gross unrealized appreciation

   $ 20,822,804  

Gross unrealized depreciation

     (2,115,029 ) 
 

 

 

  

Net unrealized appreciation

   $ 18,707,775  
 

 

 

  
 
Notes to Schedule of Investments

 

(a)   When-issued security.

 

(b)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

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

 

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

 

(e)   Zero-coupon bond.

 

(f)   Non-income producing security.

 

(g)   Issuer filed for bankruptcy and/or is in default.

 

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

 

(i)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between February 15, 2019 to June 15, 2019, is $2,411,645.

 

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

 

Affiliate  

Shares Held
at August 31,

2016

     

Net

Activity

      Shares Held
at May 31,
2017		      Value at
May 31, 2017		      Income     

Net

Realized
Gain1

      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, MuniCash, Institutional Class

     2,139,553        2,039,642        4,179,195      $ 4,180,031      $ 9,967      $ 1,094        —  

 

  1   

Includes net capital gain distributions.

 

(k)   Current yield as of period end.

 

                
   BLACKROCK MUNICIPAL BOND TRUST    MAY 31, 2017    9

Schedule of Investments (continued)

   

BlackRock Municipal Bond Trust (BBK)

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts

Short

     Issue     Expiration      Notional
Value		      Unrealized
Depreciation		  
  (24 )      5-Year U.S. Treasury Note       September 2017      $ 2,839,500      $ (4,193 ) 
  (64 )      10-Year U.S. Treasury Note       September 2017      $ 8,083,000        (24,325 ) 
  (74 )      Long U.S. Treasury Bond       September 2017      $ 11,382,125        (92,603 ) 
  (18 )      Ultra U.S. Treasury Bond       September 2017      $ 2,972,250        (35,698 ) 
  Total             $ (156,819 ) 
         

 

 

  

 

Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.
AGM    Assured Guaranty Municipal Corp.
AMBAC    American Municipal Bond Assurance Corp.
AMT    Alternative Minimum Tax (subject to)
ARB    Airport Revenue Bonds
BAM    Build America Mutual Assurance Co.
CAB    Capital Appreciation Bonds
COP    Certificates of Participation
EDA    Economic Development Authority
GARB    General Airport Revenue Bonds
GO    General Obligation Bonds
HFA    Housing Finance Agency
IDA    Industrial Development Authority
ISD    Independent School District
M/F    Multi-Family
NPFGC    National Public Finance Guarantee Corp.
PILOT    Payment in Lieu of Taxes
RB    Revenue Bonds
S/F    Single-Family

 

Fair Value Hierarchy as of Period End

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

 

  •  

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

 

  •  

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

  •  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the

 

                
10    BLACKROCK MUNICIPAL BOND TRUST    MAY 31, 2017   

Schedule of Investments (concluded)

   

BlackRock Municipal Bond Trust (BBK)

 

BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

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

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

 

             Level 1                  Level 2             Level 3         Total  
Assets:        

Investments:

        

Long-Term Investments 1

     —     $ 265,587,537       —     $ 265,587,537  

Short-Term Securities

   $ 4,180,031       —       —       4,180,031  
 

 

 

  

Total

   $ 4,180,031     $ 265,587,537       —     $ 269,767,568  
 

 

 

  

Derivative Financial Instruments 2

        
Liabilities:        

Interest rate contracts

   $ (156,819 )      —       —     $ (156,819 ) 
 

 

 

  

1    See above schedule of investments for values in each state or political sub-division.

     

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

     

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

 

             Level 1                  Level 2             Level 3         Total  
Liabilities:        

TOB Trust Certificates

     —     $ (22,403,733 )      —     $ (22,403,733 ) 

VMTP Shares at Liquidation Value

     —       (79,900,000 )      —       (79,900,000 ) 
 

 

 

  

Total

     —     $ (102,303,733 )      —     $ (102,303,733 ) 
 

 

 

  

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

 

                
   BLACKROCK MUNICIPAL BOND TRUST    MAY 31, 2017    11

Item 2 – Controls and Procedures

 

2(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

 

2(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

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

BlackRock Municipal Bond Trust

 

By:  

/s/ John M. Perlowski                 

   
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Municipal Bond Trust

Date: July 24, 2017

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

 

By:  

/s/ John M. Perlowski                 

   
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Municipal Bond Trust
Date: July 24, 2017
By:  

/s/ Neal J. Andrews

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

Date: July 24, 2017