BLACKROCK VIRGINIA MUNICIPAL BOND TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-21053

Name of Fund: BlackRock Virginia Municipal Bond Trust (BHV)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 08/31/2015

Date of reporting period: 11/30/2014

Item 1 – Schedule of Investments

Schedule of Investments November 30, 2014 (Unaudited)

   

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

Municipal Bonds    Par  
(000)		     Value  

Virginia — 118.0%

                 

Corporate — 7.2%

     

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

    $ 500      $ 536,145   

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

      1,300        1,301,274   
    

 

 

  
               1,837,419   

County/City/Special District/School District — 24.8%

     

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

      500        572,985   

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

      500        571,955   

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

      1,000        1,120,970   

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

      1,000        1,105,920   

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

      1,500        1,621,545   

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

      500        494,245   

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

      250        288,603   

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

      113        119,459   

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

      360        439,027   
    

 

 

  
               6,334,709   

Education — 15.5%

     

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

      355        398,203   
Municipal Bonds    Par  
(000)		     Value  

Virginia (continued)

                 

Education (concluded)

     

Virginia College Building Authority, Refunding RB:

     

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

    $ 1,000      $ 1,127,090   

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

      500        610,180   

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

      1,000        1,254,520   

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

      500        558,220   
    

 

 

  
               3,948,213   

Health — 24.6%

     

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

      1,000        1,223,010   

County of Fairfax Virginia EDA, Refunding RB:

     

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

      1,000        1,057,690   

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

      500        512,390   

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

      500        508,825   

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

      145        146,908   

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

      250        243,170   

Roanoke EDA, Refunding RB:

     

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

      795        893,031   

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

      5        5,955   

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

      495        537,105   

Winchester EDA, Refunding RB, Valley Health System Obligation, Series A, 5.00%, 1/01/44

      400        443,408   

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2014    1

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

Municipal Bonds   

Par  

(000)

     Value  

Virginia (continued)

                 

Health (concluded)

     

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

    $ 650      $ 716,007   
    

 

 

  
               6,287,499   

Housing — 11.0%

     

Virginia HDA, RB:

     

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

      750        804,308   

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

      1,000        1,082,710   

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

      250        277,960   

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

      650        637,832   
    

 

 

  
               2,802,810   

State — 8.2%

     

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

      1,000        1,113,050   

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

     

5.25%, 8/01/33

      500        558,040   

4.00%, 8/01/36

      405        420,123   
    

 

 

  
               2,091,213   

Transportation — 16.8%

     

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

      500        564,230   

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

      1,260        1,460,466   

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

      500        568,905   

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

      500        558,275   
Municipal Bonds   

Par  

(000)

     Value  

Virginia (concluded)

                 

Transportation (concluded)

     

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

    $ 1,000      $ 1,134,340   
    

 

 

  
               4,286,216   

Utilities — 9.9%

     

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

      250        293,310   

Virginia Resources Authority, RB:

     

5.00%, 11/01/18 (a)

      105        121,518   

5.00%, 11/01/33

      1,895        2,115,369   
    

 

 

  
               2,530,197   
Total Municipal Bonds in Virginia        30,118,276   

District of Columbia — 7.6%

                 

Transportation — 7.6%

     

Metropolitan Washington Airports Authority, Refunding RB:

     

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

      290        312,150   

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

      460        502,614   

Series B, 5.00%, 10/01/29

      1,000        1,129,620   
Total Municipal Bonds in District of Columbia        1,944,384   

Guam — 1.9%

                 

State — 1.9%

     

Territory of Guam, RB, Series A:

     

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

      250        272,685   

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

      200        220,238   
Total Municipal Bonds in Guam              492,923   
Total Municipal Bonds — 127.5%              32,555,583   

 

                
2    BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2014   

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

(Percentages shown are based on Net Assets)

Municipal Bonds Transferred to

Tender Option Bond Trusts (c)

   

Par  

(000)

     Value  

Virginia — 21.8%

                 

Education — 13.1%

     

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

    $ 2,999      $ 3,328,564   

Health — 8.7%

     

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

      999        1,131,071   

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

      1,000        1,096,173   
    

 

 

  
               2,227,244   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 21.8%

              5,555,808   
Total Long-Term Investments
(Cost — $34,542,685) — 149.3%		              38,111,391   
Short-Term Securities   

    

Shares

     Value  

FFI Institutional Tax-Exempt Fund, 0.03%, (d)(e)

      1,604      $ 1,604,444   
Total Short-Term Securities
(Cost — $1,604,444) — 6.3%		              1,604,444   
Total Investments
(Cost — $36,147,129*) — 155.6%		         39,715,835   
Other Assets Less Liabilities — 1.6%        430,340   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (11.8%)

   

     (3,019,430 ) 
VRDP Shares, at Liquidation Value — (45.4%)        (11,600,000 ) 
    

 

 

  
Net Assets Applicable to Common Shares — 100.0%      $ 25,526,745   
    

 

 

  

 

  *   As of November 30, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 33,032,062   
 

 

 

  

Gross unrealized appreciation

   $ 3,664,795   

Gross unrealized depreciation

     —   
 

 

 

  

Net unrealized appreciation

   $ 3,664,795   
 

 

 

  

 

Notes to Schedule of Investments

 

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

 

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

 

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

 

(d)   Investments in issuers considered to be an affiliate of the Trust during the period ended November 30, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate     

Shares Held

at August 31,

2014

       

Net

Activity

       

Shares Held

at November 30,
2014

        Income  

FFI Institutional Tax-Exempt Fund

        76,230           1,528,214           1,604,444         $ 23   

 

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

 

Portfolio Abbreviations

 

AGM    Assured Guaranty Municipal Corp.     
AMBAC    American Municipal Bond Assurance Corp.     
AMT    Alternative Minimum Tax (subject to)     
EDA    Economic Development Authority     
GO    General Obligation Bonds     
HDA    Housing Development Authority     
IDA    Industrial Development Authority     
M/F    Multi-Family     
NPFGC    National Public Finance Guarantee Corp.     
RB    Revenue Bonds     
S/F    Single-Family     

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2014    3

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

Ÿ  

Financial futures contracts outstanding as of November 30, 2014 were as follows:

 

Contracts
Sold		     Issue   Exchange   Expiration  

Notional

Value

    

Unrealized

Depreciation

  
  (13 )    10-Year U.S. Treasury Note   Chicago Board of Trade   March 2015   $ 1,651,609      $ (4,690 ) 

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Ÿ  

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes. 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. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

 

  Ÿ  

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

 

  Ÿ  

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

 

  Ÿ  

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

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. 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 annual report.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of November 30, 2014:

 

        Level 1        Level 2        Level 3      Total  

Assets:

                    
Investments:                    

Municipal Bonds1

        —         $ 38,111,391         —      $ 38,111,391   

Short-Term Investments

      $ 1,604,444           —         —        1,604,444   
    

 

 

  

Total

      $ 1,604,444         $ 38,111,391         —      $ 39,715,835   
    

 

 

  

 

1    See above Schedule of Investments for values in each sector.

       

 

                
4    BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2014   

Schedule of Investments (continued)

   

BlackRock Virginia Municipal Bond Trust (BHV)

    

        Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2             

Liabilities:

                    

Interest Rate Contracts

      $ (4,690 )         —         —      $ (4,690 ) 

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

       

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of November 30, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

   

        Level 1        Level 2        Level 3      Total  

Assets:

                    

Cash pledged for financial futures contracts

      $ 30,000           —         —      $ 30,000   

Liabilities:

                    

TOB trust certificates

        —         $ (3,018,978 )       —        (3,018,978 ) 

VRDP Shares

        —           (11,600,000 )       —        (11,600,000 ) 
    

 

 

  

Total

      $ 30,000         $ (14,618,978 )       —      $ (14,588,978 ) 
    

 

 

  

There were no transfers between levels during the period ended November 30, 2014.

 

                
   BLACKROCK VIRGINIA MUNICIPAL BOND TRUST    NOVEMBER 30, 2014    5

Item 2 – Controls and Procedures

 

2(a) –    The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) –    There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

 Certifications – Attached hereto

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

BlackRock Virginia Municipal Bond Trust

 

By:         /s/ John M. Perlowski                
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Virginia Municipal Bond Trust
Date: January 22, 2015

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

 

By:         /s/ John M. Perlowski                
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Virginia Municipal Bond Trust
Date: January 22, 2015
By:   /s/ Neal J. Andrews                   
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Virginia Municipal Bond Trust
Date: January 22, 2015