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 811-07136

 

Name of Fund: BlackRock MuniYield Pennsylvania Quality Fund (MPA)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock MuniYield Pennsylvania Quality Fund, 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: 07/31/2012

 

Date of reporting period: 04/30/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments April 30, 2012 (Unaudited)

BlackRock MuniYield Pennsylvania Quality Fund (MPA)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Pennsylvania — 104.3%

 

 

 

 

 

 

 

Corporate — 5.7%

 

 

 

 

 

 

 

Beaver County IDA, Refunding RB,
FirstEnergy, Mandatory Put Bonds,
3.38%, 1/01/35 (a)

 

$

1,200

 

$

1,223,316

 

Delaware County IDA Pennsylvania,
Refunding RB, Water Facilities, Aqua
Pennsylvania, Inc. Project, Series B,
AMT (NPFGC), 5.00%, 11/01/36

 

 

2,520

 

 

2,596,608

 

Northumberland County IDA, Refunding
RB, Aqua Pennsylvania, Inc. Project,
AMT (NPFGC), 5.05%, 10/01/39

 

 

4,500

 

 

4,593,195

 

Pennsylvania Economic Development
Financing Authority, RB, Series A,
Waste Management, Inc. Project,
AMT, 5.10%, 10/01/27

 

 

1,200

 

 

1,235,928

 

Pennsylvania Economic Development
Financing Authority, Refunding RB,
Amtrak Project, Series A, AMT, 5.00%,
11/01/41

 

 

865

 

 

902,359

 

 

 

 

 

 

 

10,551,406

 

County/City/Special District/School District — 28.6%

 

 

 

 

 

 

 

Chambersburg Area School District, GO
(NPFGC):

 

 

 

 

 

 

 

5.25%, 3/01/26

 

 

2,115

 

 

2,341,263

 

5.25%, 3/01/27

 

 

2,500

 

 

2,756,375

 

City of Philadelphia Pennsylvania, GO,
Refunding, Series A:

 

 

 

 

 

 

 

(AGC), 5.00%, 8/01/24

 

 

2,000

 

 

2,225,120

 

(AGM), 5.25%, 12/15/32

 

 

5,000

 

 

5,457,600

 

City of Pittsburgh Pennsylvania, GO,
Refunding, Series B, 5.00%, 9/01/26

 

 

970

 

 

1,083,015

 

Connellsville Area School District, GO,
Series B (AGM), 5.00%, 11/15/37

 

 

1,000

 

 

1,016,590

 

County of York Pennsylvania, GO, 5.00%,
3/01/36

 

 

400

 

 

438,192

 

East Stroudsburg Area School District, GO,
Series A:

 

 

 

 

 

 

 

(AGM), 5.00%, 9/01/25

 

 

7,000

 

 

7,732,550

 

(NPFGC), 7.75%, 9/01/27

 

 

2,000

 

 

2,508,860

 

Falls Township Pennsylvania, RB, Water &
Sewer Authority, 5.00%, 12/01/37

 

 

1,070

 

 

1,172,324

 

Lower Merion School District, GO,
Refunding, Series A, 3.25%, 11/15/27

 

 

2,035

 

 

2,049,448

 

Marple Newtown School District, GO
(AGM), 5.00%, 6/01/31

 

 

3,500

 

 

4,067,385

 

Northeastern School District York County,
GO, Series B (NPFGC), 5.00%, 4/01/32

 

 

1,585

 

 

1,696,727

 

Philadelphia Redevelopment Authority,
RB:

 

 

 

 

 

 

 

Neighborhood Transformation,
Series A, 5.50%, 4/15/22

 

 

1,750

 

 

1,750,262

 

Quality Redevelopment Neighborhood,
Series B, AMT (NPFGC), 5.00%,
4/15/27

 

 

4,645

 

 

4,760,800

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Pennsylvania (continued)

 

 

 

 

 

 

 

County/City/Special District/School District
(concluded)

 

 

 

 

 

 

 

Philadelphia School District, GO:

 

 

 

 

 

 

 

Series B (NPFGC), 5.63%,
8/01/21 (b)

 

$

3,650

 

$

3,700,078

 

Series E, 6.00%, 9/01/38

 

 

3,300

 

 

3,740,946

 

Philadelphia School District, GO,
Refunding, Series A (BHAC), 5.00%,
6/01/34

 

 

1,000

 

 

1,123,570

 

Philipsburg Osceola Area School District
Pennsylvania, GO (AGM), 5.00%,
4/01/41

 

 

755

 

 

790,576

 

Shaler Area School District
Pennsylvania, GO, CAB (Syncora),
4.82%, 9/01/30 (c)

 

 

6,145

 

 

2,827,806

 

 

 

 

 

 

 

53,239,487

 

Education — 8.4%

 

 

 

 

 

 

 

Adams County IDA, Refunding RB,
Gettysburg College, 5.00%, 8/15/26

 

 

100

 

 

111,862

 

Pennsylvania Higher Educational
Facilities Authority, RB:

 

 

 

 

 

 

 

Drexel University, Series A (NPFGC),
5.00%, 5/01/37

 

 

1,500

 

 

1,588,620

 

University of Pennsylvania
Health System, Series A,
4.00%, 8/15/39 (d)

 

 

7,750

 

 

7,756,122

 

University of Pennsylvania
Health System, Series A,
5.00%, 8/15/42 (d)

 

 

1,135

 

 

1,238,932

 

Pennsylvania Higher Educational
Facilities Authority, Refunding RB:

 

 

 

 

 

 

 

Drexel University, Series A,
5.25%, 5/01/41

 

 

2,750

 

 

3,018,648

 

State System Higher
Education, Series Al, 5.00%,
6/15/35

 

 

1,780

 

 

2,003,515

 

 

 

 

 

 

 

15,717,699

 

Health — 11.1%

 

 

 

 

 

 

 

Allegheny County Hospital Development
Authority, RB, Health Center, UPMC
Health, Series B (NPFGC), 6.00%,
7/01/26

 

 

2,000

 

 

2,561,180

 

Centre County Hospital Authority, RB,
Mount Nittany Medical Center Project,
7.00%, 11/15/46

 

 

2,020

 

 

2,375,257

 

County of Lehigh Pennsylvania, RB,
Lehigh Valley Health Network,
Series A (AGM), 5.00%, 7/01/33

 

 

7,995

 

 

8,414,418

 

Cumberland County Municipal Authority,
RB, Diakon Lutheran, 6.38%,
1/01/39

 

 

500

 

 

535,035

 

Montgomery County Higher Education &
Health Authority, Refunding RB
Abington Memorial Hospital, Series A,
5.13%, 6/01/33

 

 

490

 

 

511,408

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD PENNSYLVANIA QUALITY FUND

APRIL 30, 2012

1


 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield Pennsylvania Quality Fund (MPA)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Pennsylvania (continued)

 

 

 

 

 

 

 

Health (concluded)

 

 

 

 

 

 

 

Montgomery County IDA Pennsylvania,
RB, Acts Retirement Life Community:

 

 

 

 

 

 

 

4.50%, 11/15/36

 

$

295

 

$

270,373

 

Series A-1, 6.25%, 11/15/29

 

 

235

 

 

259,941

 

Philadelphia Hospitals & Higher
Education Facilities Authority,
Refunding RB, Presbyterian Medical
Center, 6.65%, 12/01/19 (e)

 

 

3,000

 

 

3,673,380

 

South Fork Municipal Authority,
Refunding RB, Conemaugh Valley
Memorial, Series B (AGC), 5.38%,
7/01/35

 

 

2,000

 

 

2,165,280

 

 

 

 

 

 

 

20,766,272

 

Housing — 3.0%

 

 

 

 

 

 

 

Pennsylvania HFA, RB, Series 95-A,
AMT, 4.90%, 10/01/37

 

 

1,000

 

 

1,009,670

 

Pennsylvania HFA, Refunding RB, Series
99-A, AMT, 5.15%, 4/01/38

 

 

800

 

 

877,760

 

Pennsylvania HFA, Refunding RB, S/F
Mortgage, Series 92-A, AMT, 4.75%,
4/01/31

 

 

680

 

 

686,617

 

Philadelphia Housing Authority Capital
Fund Program, RB, Series A (AGM),
5.50%, 12/01/18

 

 

3,000

 

 

3,087,630

 

 

 

 

 

 

 

5,661,677

 

State — 11.1%

 

 

 

 

 

 

 

Commonwealth of Pennsylvania, GO:

 

 

 

 

 

 

 

5.00%, 11/15/30

 

 

6,355

 

 

7,425,754

 

First Series, 5.00%, 6/01/28

 

 

1,250

 

 

1,488,950

 

Pennsylvania Turnpike Commission, RB,
Series C of 2003 Pennsylvania Turnpike
(NPFGC), 5.00%, 12/01/32

 

 

3,600

 

 

3,921,696

 

State Public School Building Authority, RB (AGM):

 

 

 

 

 

 

 

CAB, Corry Area School District,
4.85%, 12/15/22 (c)

 

 

1,640

 

 

1,166,056

 

CAB, Corry Area School District,
4.87%, 12/15/23 (c)

 

 

1,980

 

 

1,341,351

 

CAB, Corry Area School District,
4.89%, 12/15/24 (c)

 

 

1,980

 

 

1,274,823

 

CAB, Corry Area School District,
4.92%, 12/15/25 (c)

 

 

1,770

 

 

1,082,886

 

School District Philadelphia Project,
Series B, 5.00%, 6/01/26

 

 

1,500

 

 

1,621,800

 

State Public School Building Authority,
Refunding RB, Harrisburg School District
Project, Series A (AGC), 5.00%,
11/15/33

 

 

1,200

 

 

1,285,920

 

 

 

 

 

 

 

20,609,236

 

Transportation — 17.9%

 

 

 

 

 

 

 

City of Philadelphia Pennsylvania, ARB,
Series A, AMT (AGM), 5.00%,
6/15/37

 

 

7,500

 

 

7,721,400

 

City of Philadelphia Pennsylvania, RB,
Series A, 5.00%, 6/15/40

 

 

2,500

 

 

2,610,100

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Pennsylvania (concluded)

 

 

 

 

 

 

 

Transportation (concluded)

 

 

 

 

 

 

 

Delaware River Port Authority, RB,
Series D (AGM), 5.00%, 1/01/40

 

$

1,560

 

$

1,677,000

 

Pennsylvania Turnpike Commission, RB:

 

 

 

 

 

 

 

5.00%, 12/01/37

 

 

705

 

 

774,196

 

5.25%, 12/01/41

 

 

1,750

 

 

1,896,580

 

5.00%, 12/01/42

 

 

1,100

 

 

1,203,334

 

Series A (AMBAC), 5.50%,
12/01/31

 

 

7,800

 

 

8,528,208

 

Series A (AMBAC), 5.25%,
12/01/32

 

 

350

 

 

380,474

 

Sub-Series A, 6.00%,
12/01/41

 

 

700

 

 

777,245

 

Sub-Series B (AGM), 5.25%,
6/01/39

 

 

3,500

 

 

3,812,550

 

Southeastern Pennsylvania
Transportation Authority, RB, Capital
Grant Receipts:

 

 

 

 

 

 

 

5.00%, 6/01/28

 

 

1,570

 

 

1,753,188

 

5.00%, 6/01/29

 

 

2,080

 

 

2,315,851

 

 

 

 

 

 

 

33,450,126

 

Utilities — 18.5%

 

 

 

 

 

 

 

Allegheny County Sanitation Authority,
Refunding RB, Series A (NPFGC),
5.00%, 12/01/30

 

 

5,000

 

 

5,507,200

 

City of Philadelphia Pennsylvania, RB:

 

 

 

 

 

 

 

1998 General Ordinance, 4th
Series (AGM), 5.00%, 8/01/32

 

 

3,300

 

 

3,336,102

 

Ninth Series, 5.25%, 8/01/40

 

 

1,430

 

 

1,483,182

 

Series A, 5.25%, 1/01/36

 

 

700

 

 

756,266

 

Series C (AGM), 5.00%, 8/01/40

 

 

3,000

 

 

3,261,660

 

Delaware County IDA Pennsylvania, RB,
Pennsylvania Suburban Water Co.
Project, Series A, AMT (AMBAC),
5.15%, 9/01/32

 

 

5,500

 

 

5,582,115

 

Lycoming County Water & Sewer
Authority, RB (AGM), 5.00%,
11/15/41

 

 

400

 

 

421,024

 

Northampton Boro Municipal Authority,
RB (NPFGC), 5.00%, 5/15/34

 

 

935

 

 

958,122

 

Pennsylvania Economic Development
Financing Authority, RB:

 

 

 

 

 

 

 

American Water Co. Project,
6.20%, 4/01/39

 

 

1,300

 

 

1,502,774

 

Philadelphia Biosolids Facility,
6.25%, 1/01/32

 

 

1,420

 

 

1,552,600

 

Pennsylvania IDA, Refunding RB,
Economic Development (AMBAC),
5.50%, 7/01/20

 

 

7,000

 

 

7,117,600

 

Reading Area Water Authority
Pennsylvania, RB (AGM), 5.00%,
12/01/27

 

 

2,680

 

 

2,904,825

 

 

 

 

 

 

 

34,383,470

 

Total Municipal Bonds in Pennsylvania

 

 

 

 

 

194,379,373

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD PENNSYLVANIA QUALITY FUND

APRIL 30, 2012

2


 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield Pennsylvania Quality Fund (MPA)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Guam — 2.3%

 

 

 

 

 

 

 

County/City/Special District/School District — 0.4%

 

 

 

 

 

 

 

Territory of Guam, RB, Section 30,
Series A, 5.63%, 12/01/29

 

$

805

 

$

853,598

 

Transportation — 1.4%

 

 

 

 

 

 

 

Guam International Airport Authority,
Refunding RB, Series C, AMT (NPFGC),
5.00%, 10/01/23

 

 

2,500

 

 

2,532,125

 

Utilities — 0.5%

 

 

 

 

 

 

 

Guam Power Authority, Refunding RB,
Series A (AGM), 5.00%, 10/01/37

 

 

850

 

 

917,158

 

Total Municipal Bonds in Guam

 

 

 

 

 

4,302,881

 

 

 

 

 

 

 

 

 

Puerto Rico — 1.3%

 

 

 

 

 

 

 

State — 0.8%

 

 

 

 

 

 

 

Commonwealth of Puerto Rico, GO,
Refunding, Public Improvement,
Series A-4 (AGM), 5.25%, 7/01/30

 

 

1,270

 

 

1,350,797

 

Utilities — 0.5%

 

 

 

 

 

 

 

Puerto Rico Electric Power Authority,
Refunding RB, Series A, 5.00%,
7/01/42 (d)

 

 

950

 

 

948,461

 

Total Municipal Bonds in Puerto Rico

 

 

 

 

 

2,299,258

 

 

 

 

 

 

 

 

 

Total Municipal Bonds – 107.9%

 

 

 

 

 

200,981,512

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Pennsylvania — 44.8%

 

 

 

 

 

 

 

County/City/Special District/School District — 5.0%

 

 

 

 

 

 

 

Erie County Conventional Center
Authority, RB, 5.00%, 1/15/36

 

 

8,850

 

 

9,357,190

 

Education — 9.0%

 

 

 

 

 

 

 

Pennsylvania Higher Educational
Facilities Authority, RB:

 

 

 

 

 

 

 

Series AE (NPFGC), 4.75%,
6/15/32

 

 

8,845

 

 

9,234,794

 

University of Pennsylvania
Health System, 5.75%,
8/15/41

 

 

4,270

 

 

4,887,655

 

University of Pittsburgh Pennsylvania,
RB, Capital Project, Series B, 5.00%,
9/15/28

 

 

2,202

 

 

2,582,801

 

 

 

 

 

 

 

16,705,250

 

Health — 9.7%

 

 

 

 

 

 

 

Geisinger Authority, RB:

 

 

 

 

 

 

 

5.13%, 6/01/34

 

 

2,500

 

 

2,728,350

 

5.25%, 6/01/39

 

 

3,128

 

 

3,416,101

 

5.13%, 6/01/41

 

 

6,270

 

 

6,862,703

 

Philadelphia Hospitals & Higher
Education Facilities Authority, 5.00%,
7/01/41

 

 

4,680

 

 

5,054,681

 

 

 

 

 

 

 

18,061,835

 

 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Pennsylvania (concluded)

 

 

 

 

 

 

 

Housing — 3.9%

 

 

 

 

 

 

 

Pennsylvania HFA, Refunding RB:

 

 

 

 

 

 

 

AMT, 4.70%, 10/01/37

 

$

2,950

 

$

2,968,615

 

S/F Mortgage, Series 113,
4.85%, 10/01/37

 

 

4,120

 

 

4,252,334

 

 

 

 

 

 

 

7,220,949

 

State — 17.2%

 

 

 

 

 

 

 

Commonwealth of Pennsylvania, GO,
First Series, 5.00%, 3/15/28

 

 

5,203

 

 

6,102,807

 

Pennsylvania Turnpike Commission, RB,
Series C of 2003 Pennsylvania
Turnpike, 5.00%, 12/01/32

 

 

10,000

 

 

10,893,600

 

State Public School Building Authority,
Refunding RB, School District of
Philadelphia Project, Series B (AGM),
5.00%, 6/01/26

 

 

14,026

 

 

15,165,125

 

 

 

 

 

 

 

32,161,532

 

 

 

 

 

 

 

83,506,756

 

 

 

 

 

 

 

 

 

Puerto Rico — 3.0%

 

 

 

 

 

 

 

State — 3.0%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp.,
Refunding RB, Series C, 5.25%,
8/01/40

 

 

5,000

 

 

5,471,000

 

Total Municipal Bonds Transferred to Tender Option
Bond (TOB) Trusts – 47.8%

 

 

 

 

 

88,977,756

 

Total Long-Term Investments
(Cost – $272,408,224) – 155.7%

 

 

 

 

 

289,959,268

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

BIF Pennsylvania Municipal Money
Fund, 0.01% (g)(h)

 

 

74,846

 

 

74,846

 

Total Short-Term Securities
(Cost – $74,846) – 0.0%

 

 

 

 

 

74,846

 

Total Investments (Cost - $272,483,070*) – 155.7%

 

 

 

 

 

290,034,114

 

Other Assets Less Liabilities – 5.5%

 

 

 

 

 

10,309,286

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable – (25.6)%

 

 

 

 

 

(47,716,835

)

VRDP Shares, at Liquidation Value – (35.6)%

 

 

 

 

 

(66,300,000

)

Net Assets Applicable to Common Shares – 100.0%

 

 

 

 

$

186,326,565

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD PENNSYLVANIA QUALITY FUND

APRIL 30, 2012

3


 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield Pennsylvania Quality Fund (MPA)

 

 

*

As of April 30, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


 

 

 

 

 

Tax cost

 

$

224,792,899

 

Gross unrealized appreciation

 

$

17,569,613

 

Gross unrealized depreciation

 

 

(28,300

)

Net unrealized appreciation

 

$

17,541,313

 

 

 

(a)

Variable rate security. Rate shown is as of report date.

 

 

(b)

US 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.

 

 

(c)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

 

(d)

When-issued security. Unsettled when-issued transactions were as follows:


 

 

 

 

 

 

 

 

 

 

Counterparty

 

Value

 

Unrealized
Appreciation

 

 

Bank of America Merrill Lynch

 

$

8,995,054

 

$

71,656

 

 

Morgan Stanley & Co., Inc.

 

$

948,461

 

$

10,203

 

 

 

(e)

Security is collateralized by Municipal or US Treasury obligations.

 

 

(f)

Securities represent bonds transferred to a TOB in exchange for which the Fund acquired residual interest certificates. These securities serve as collateral in a financing transaction.

 

 

(g)

Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
July 31, 2011

 

Net
Activity

 

Shares
Held at
April 30, 2012

 

Income

 

 

BIF
Pennsylvania
Municipal
Money Fund

 

 

8,744,788

 

 

(8,669,942

)

 

74,846

 

$

1

 

 

 

(h)

Represents the current yield as of report date.

 

 

•

For Fund compliance purposes, the Fund’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 Fund management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.


 

Portfolio Abbreviations

 

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:


 

 

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

ARB

Airport Revenue Bonds

BHAC

Berkshire Hathaway Assurance Corp.

CAB

Capital Appreciation Bonds

GO

General Obligation Bonds

HFA

Housing Finance Agency

IDA

Industrial Development Authority

NPFGC

National Public Finance Guarantee Corp.

RB

Revenue Bonds

S/F

Single-Family

Syncora

Syncora Guarantee

 

 

•

Financial futures contracts sold as of April 30, 2012 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

132

 

10-Year US
Treasury
Note

 

Chicago
Board of
Trade

 

June 2012

 

$

17,461,125

 

$

(193,095

)

 

 

 

•

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

 

 

 

 

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

•

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 Fund’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 Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its semi-annual report.

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD PENNSYLVANIA QUALITY FUND

APRIL 30, 2012

4


 

 

 

 

Schedule of Investments (concluded)

BlackRock MuniYield Pennsylvania Quality Fund (MPA)

The following tables summarize the inputs used as of April 30, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term
Investments1

 

 

—

 

$

289,959,268

 

 

—

 

$

289,959,268

 

Short-Term
Securities

 

$

74,846

 

 

—

 

 

—

 

 

74,846

 

Total

 

$

74,846

 

$

289,959,268

 

 

—

 

$

290,034,114

 

 

 

1

See above Schedule of Investments for values in each sector.


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial
Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(193,095

)

 

—

 

 

—

 

$

(193,095

)

 

 

2

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

Certain of the Fund’s assets and liabilities are held at carrying amount which approximates fair value. Such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash pledged
as collateral
for financial
futures
contracts

 

$

146,000

 

 

—

 

 

—

 

$

146,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank Overdraft

 

 

(5,524

)

 

—

 

 

—

 

 

(5,524

)

TOB trust
certificates

 

 

—

 

$

(47,699,902

)

 

—

 

 

(47,699,902

)

VRDP shares

 

 

—

 

 

(66,300,000

)

 

—

 

 

(66,300,000

)

Total

 

$

140,476

 

$

(113,999,902

)

 

—

 

$

(113,859,426

)

There were no transfers between levels during the period ended April 30, 2012.

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD PENNSYLVANIA QUALITY FUND

APRIL 30, 2012

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 MuniYield Pennsylvania Quality Fund

 

 

 

 By: /s/ John M. Perlowski

 

 

 

John M. Perlowski

 

 

Chief Executive Officer (principal executive officer) of

 

 

BlackRock MuniYield Pennsylvania Quality Fund

 

 

 

Date: June 22, 2012

 

 

 

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 MuniYield Pennsylvania Quality Fund

 

 

 

Date: June 22, 2012

 

 

 

 By: /s/ Neal J. Andrews

 

 

 

Neal J. Andrews

 

 

Chief Financial Officer (principal financial officer) of

 

 

BlackRock MuniYield Pennsylvania Quality Fund

 

 

 

 

Date: June 22, 2012