BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY 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: 811-21180

Name of Fund:  BlackRock Municipal Income Investment Quality Trust (BAF)

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Municipal Income Investment Quality 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: 08/31/2016

Date of reporting period: 05/31/2016

Item 1 – Schedule of Investments

Schedule of Investments May 31, 2016 (Unaudited)

   

BlackRock Municipal Income Investment Quality Trust (BAF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)		     Value  

Alabama — 1.9%

     

City of Birmingham Alabama Special Care Facilities Financing Authority, RB, Children’s Hospital (AGC) (a):

     

6.00%, 6/01/19

    $ 1,000      $ 1,146,240   

6.13%, 6/01/19

      1,000        1,149,920   

City of Selma Alabama IDB, RB, Gulf Opportunity Zone, International Paper Co. Project, Series A,
5.38%, 12/01/35

      335        373,984   
    

 

 

  
               2,670,144   

California — 14.6%

     

California Educational Facilities Authority, RB, University of Southern California, Series A, 5.25%, 10/01/38

      2,155        2,373,840   

California Health Facilities Financing Authority, RB, Sutter Health, Series B, 6.00%, 8/15/42

      1,120        1,347,483   

City of Los Angeles California Department of Water & Power, RB, Power System, Sub-Series A-1,
5.25%, 7/01/38

      1,175        1,276,684   

County of Sacramento California, ARB, Senior Series A (AGC), 5.50%, 7/01/41

      1,400        1,528,352   

Kern Community College District, GO, Safety, Repair & Improvement, Series C, 5.50%, 11/01/33

      1,025        1,292,064   

Los Angeles Municipal Improvement Corp., Refunding LRB, Real Property, Series B (AGC), 5.50%, 4/01/19 (a)

      3,210        3,590,738   

Redondo Beach Unified School District, GO, Election of 2008, Series E, 5.50%, 8/01/21 (a)

      1,000        1,216,730   

San Diego Public Facilities Financing Authority Water, Refunding RB, Series B (AGC), 5.38%, 8/01/19 (a)

      1,125        1,272,971   

State of California Public Works Board, LRB, Various Capital Projects, Series I:

     

5.50%, 11/01/30

      1,000        1,255,010   

5.50%, 11/01/31

      1,500        1,877,775   

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 9/01/33

      505        619,827   
Municipal Bonds    Par  
(000)		     Value  

California (continued)

     

Township of Washington California Health Care District, GO, Election of 2004, Series B,
5.50%, 8/01/40

    $ 380      $ 465,299   

University of California, Refunding RB, Regents of the University of California Medical Center Pooled Revenue, Series J, 5.25%, 5/15/38

      2,355        2,836,998   
    

 

 

  
               20,953,771   

Colorado — 3.9%

  

City & County of Denver Colorado Airport System, ARB, Sub-System, Series B,
5.25%, 11/15/32

      3,250        3,929,413   

Colorado Health Facilities Authority, RB, Hospital, NCMC, Inc. Project, Series B (AGM),
6.00%, 5/15/19 (a)

      1,425        1,633,563   
    

 

 

  
               5,562,976   

Florida — 8.2%

  

City of Jacksonville Florida, RB, Series A,
5.25%, 10/01/31

      4,525        5,325,472   

City of Jacksonville Florida, Refunding RB, Series A,
5.25%, 10/01/33

      205        249,916   

County of Miami-Dade Florida, RB, Seaport, Series A, 6.00%, 10/01/38

      4,215        5,210,457   

Reedy Creek Improvement District, GO, Series A,
5.25%, 6/01/32

      745        894,879   
    

 

 

  
               11,680,724   

Georgia — 2.1%

  

City of Atlanta Georgia Department of Aviation, Refunding GARB, Series C, 6.00%, 1/01/30

      2,500        3,033,550   

Illinois — 21.9%

  

City of Chicago Illinois, GARB, O’Hare International Airport, 3rd Lien:

     

Series A, 5.75%, 1/01/39

      825        961,802   

Series C, 6.50%, 1/01/41

      3,740        4,531,945   

City of Chicago Illinois, Refunding GARB, O’Hare International Airport, 3rd Lien, Series C (AGC),
5.25%, 1/01/30

      1,000        1,127,720   
 

 

                
   BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2016    1

Schedule of Investments (continued)

    BlackRock Municipal Income Investment Quality Trust  (BAF)

 

Municipal Bonds    Par  
(000)		     Value  

Illinois (continued)

     

City of Chicago Illinois Transit Authority, RB:

     

Federal Transit Administration, Section 5309,
Series A (AGC), 6.00%, 12/01/18 (a)

    $ 1,300      $ 1,463,813   

Sales Tax Receipts, 5.25%, 12/01/36

      3,185        3,516,973   

Sales Tax Receipts, 5.25%, 12/01/40

      3,000        3,290,460   

City of Chicago Illinois Transit Authority, Refunding RB, Federal Transit Administration, Section 5309 (AGM), 5.00%, 6/01/28

      3,000        3,240,450   

City of Chicago Illinois Wastewater Transmission, RB,
2nd Lien, 5.00%, 1/01/42

      1,480        1,608,878   

County of Cook Illinois Community College District
No. 508, GO, City College of Chicago:

     

5.50%, 12/01/38

      1,250        1,427,825   

5.25%, 12/01/43

      3,000        3,356,280   

Illinois Finance Authority, RB, Carle Foundation, Series A, 6.00%, 8/15/41

      1,885        2,242,584   

Railsplitter Tobacco Settlement Authority, RB:

     

5.50%, 6/01/23

      915        1,072,298   

6.00%, 6/01/28

      260        309,707   

State of Illinois, GO:

     

5.25%, 2/01/31

      610        670,445   

5.25%, 2/01/32

      1,000        1,097,000   

5.50%, 7/01/33

      1,000        1,107,290   

5.50%, 7/01/38

      270        298,085   
    

 

 

  
               31,323,555   

Indiana — 1.9%

     

Indianapolis Local Public Improvement Bond Bank, Refunding RB, Waterworks Project, Series A (AGC), 5.50%, 1/01/38

      2,415        2,700,670   

Louisiana — 1.0%

     

City of New Orleans Louisiana Aviation Board, Refunding GARB, Restructuring (AGC):

     

Series A-1, 6.00%, 1/01/23

      375        419,629   

Series A-2, 6.00%, 1/01/23

      150        167,201   
Municipal Bonds    Par  
(000)		     Value  

Louisiana (continued)

     

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A, 5.50%, 5/15/29

    $ 790      $ 869,679   
    

 

 

  
               1,456,509   

Michigan — 2.3%

     

City of Detroit Michigan Water Supply System, RB,
2nd Lien, Series B (AGM), 6.25%, 7/01/36

      1,700        1,912,245   

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital, Series V,
8.25%, 9/01/18 (a)

      1,205        1,403,861   
    

 

 

  
               3,316,106   

Minnesota — 2.9%

     

City of Minneapolis Minnesota, Refunding RB, Fairview Health Services, Series B (AGC):

     

6.50%, 11/15/18 (a)

      565        641,891   

6.50%, 11/15/38

      3,115        3,494,531   
    

 

 

  
               4,136,422   

Mississippi — 2.3%

     

Mississippi Development Bank, RB, Jackson Water & Sewer System Project (AGM), 6.88%, 12/01/40

      1,500        2,014,785   

Mississippi State University Educational Building Corp., Refunding RB, Mississippi State University Improvement Project, 5.25%, 8/01/38

      1,000        1,211,500   
    

 

 

  
               3,226,285   

Nevada — 5.6%

     

County of Clark Nevada, GO, Limited Tax,
5.00%, 6/01/38

      5,410        5,813,424   

County of Clark Nevada Water Reclamation District, GO, Series A, 5.25%, 7/01/34

      2,000        2,248,680   
    

 

 

  
               8,062,104   

New Jersey — 4.9%

     

New Jersey Health Care Facilities Financing Authority, RB, Virtua Health, Series A (AGC), 5.50%, 7/01/38

      1,300        1,459,445   

New Jersey Housing & Mortgage Finance Agency, RB,
S/F Housing, Series CC, 5.25%, 10/01/29

      1,540        1,635,973   
 

 

                
2    BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2016   

Schedule of Investments (continued)

    BlackRock Municipal Income Investment Quality Trust  (BAF)

 

Municipal Bonds    Par  
(000)		     Value  

New Jersey (continued)

     

New Jersey Transportation Trust Fund Authority, RB, Transportation System:

     

Series A (AGC), 5.50%, 12/15/38

    $ 2,000      $ 2,172,560   

Series AA, 5.50%, 6/15/39

      1,620        1,802,412   
    

 

 

  
               7,070,390   

New York — 4.7%

     

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-4 (AGC),
5.50%, 1/15/29

      2,465        2,760,356   

Metropolitan Transportation Authority, RB:

     

Series A, 5.25%, 11/15/38

      1,565        1,858,688   

Series A-1, 5.25%, 11/15/39

      1,000        1,211,720   

Metropolitan Transportation Authority, Refunding RB, SubSeries B-1, 5.00%, 11/15/51

      780        929,916   
    

 

 

  
               6,760,680   

Ohio — 0.4%

     

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1, 5.25%, 2/15/31

      470        568,019   

Pennsylvania — 3.9%

     

Pennsylvania Turnpike Commission, RB:

     

Series B, 5.00%, 12/01/45

      1,620        1,889,017   

Series C, 5.00%, 12/01/43

      1,720        1,986,961   

Township of Bristol Pennsylvania School District, GO,
5.25%, 6/01/37

      1,500        1,747,680   
    

 

 

  
               5,623,658   

South Carolina — 2.9%

     

County of Charleston South Carolina, RB, Special Source, 5.25%, 12/01/38

      1,525        1,861,476   

State of South Carolina Public Service Authority,
Refunding RB:

     

Series C, 5.00%, 12/01/46

      1,000        1,153,130   

Series E, 5.25%, 12/01/55

      1,000        1,182,980   
    

 

 

  
               4,197,586   

Texas — 15.0%

     

Alamo Regional Mobility Authority, RB, Junior Lien,
5.00%, 6/15/39 (b)

      615        728,431   
Municipal Bonds    Par  
(000)		     Value  

Texas (continued)

     

Austin Community College District Public Facility Corp., RB, Educational Facilities Project, Round Rock Campus, 5.25%, 8/01/18 (a)

    $ 2,000      $ 2,189,400   

Central Texas Regional Mobility Authority, RB,
Senior Lien, Series A, 5.00%, 1/01/40

      330        383,552   

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 3/01/37

      980        1,177,401   

City of Frisco Texas ISD, GO, School Building (AGC), 5.50%, 8/15/41

      3,365        3,839,364   

City of Houston Texas Combined Utility System Revenue, Refunding RB, Combined 1st Lien,
Series A (AGC):

     

5.38%, 5/15/19 (a)

      945        1,066,735   

6.00%, 5/15/19 (a)

      2,100        2,408,679   

6.00%, 5/15/19 (a)

      2,465        2,827,330   

6.00%, 11/15/35

      135        156,020   

6.00%, 11/15/36

      115        132,906   

5.38%, 11/15/38

      55        61,358   

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Christus Health,
Series A (AGC):

     

6.50%, 1/01/19 (a)

      205        233,286   

6.50%, 7/01/37

      795        892,324   

Dallas Area Rapid Transit, Refunding RB, Series A,
5.00%, 12/01/48

      725        865,918   

Lower Colorado River Authority, Refunding RB,
5.50%, 5/15/33

      1,000        1,211,030   

North Texas Tollway Authority, Refunding RB, 1st Tier:

     

(AGM), 6.00%, 1/01/43

      1,000        1,182,030   

Series K-1 (AGC), 5.75%, 1/01/19 (a)

      1,500        1,682,475   

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

      440        528,488   
    

 

 

  
               21,566,727   

Virginia — 1.1%

     

City of Lexington Virginia IDA, RB, Washington & Lee University, 5.00%, 1/01/43

      370        427,935   
 

 

                
   BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2016    3

Schedule of Investments (continued)

    BlackRock Municipal Income Investment Quality Trust  (BAF)

 

Municipal Bonds    Par  
(000)		     Value  

Virginia (continued)

     

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

    $ 1,000      $ 1,140,000   
    

 

 

  
               1,567,935   

Washington — 1.5%

     

City of Seattle Washington Municipal Light & Power, Refunding RB, Series A, 5.25%, 2/01/36

      1,025        1,191,716   

State of Washington, GO, Various Purposes,
Series B, 5.25%, 2/01/36

      795        930,166   
    

 

 

  
               2,121,882   

Wisconsin — 0.9%

     

Wisconsin Health & Educational Facilities Authority, Refunding RB, Medical College of Wisconsin, Inc., 4.00%, 12/01/46

      1,170        1,251,268   
Total Municipal Bonds – 103.9%        148,850,961   
    
                  

Municipal Bonds Transferred to

Tender Option Bond Trusts (c)

               

California — 8.8%

     

San Marcos Unified School District, GO,
Election of 2010, Series A, 5.25%, 8/01/31

      10,680        12,642,343   

Connecticut — 1.1%

     

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

      1,306        1,545,793   

District of Columbia — 0.6%

     

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A,
6.00%, 10/01/18 (a)(d)

      759        850,125   

Illinois — 5.7%

     

State of Illinois Toll Highway Authority, RB, Senior:

     

Priority, Series A, 5.00%, 1/01/40

      825        971,264   

Priority, Series B, 5.50%, 1/01/18 (a)

      2,999        3,220,845   

Municipal Bonds Transferred to

Tender Option Bond Trusts (c)

    Par  
(000)		     Value  

Illinois (continued)

     

State of Illinois Toll Highway Authority, RB,
Senior (continued):

     

Series B, 5.00%, 1/01/40

    $ 3,329      $ 3,928,287   
    

 

 

  
               8,120,396   

Kentucky — 0.7%

     

Kentucky State Property & Building Commission,
Refunding RB, Project No. 93 (AGC),
5.25%, 2/01/27

      898        991,950   

Michigan — 2.1%

     

Michigan State Building Authority, Refunding RB, Facilities Program, Series I, 5.00%, 10/15/45

      2,650        3,094,273   

Nevada — 4.9%

     

County of Clark Nevada Water Reclamation District, GO, Limited Tax, 6.00%, 7/01/18 (a)

      2,000        2,214,420   

Las Vegas Valley Water District, GO, Refunding, Series C, 5.00%, 6/01/28

      4,100        4,785,725   
    

 

 

  
               7,000,145   

New Jersey — 6.4%

     

New Jersey EDA, RB, School Facilities Construction (AGC):

     

6.00%, 12/15/18 (a)

      329        371,225   

6.00%, 12/15/34

      671        757,221   

New Jersey State Turnpike Authority, RB, Series A,
5.00%, 1/01/38 (d)

      6,020        6,989,641   

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

      1,000        1,078,998   
    

 

 

  
               9,197,085   

New York — 12.0%

     

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

     

Series BB, 5.25%, 6/15/44

      4,993        5,941,702   

Series FF, 5.00%, 6/15/45

      3,019        3,509,427   

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-3, 5.25%, 1/15/39

      900        992,754   
 

 

                
4    BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2016   

Schedule of Investments (continued)

    BlackRock Municipal Income Investment Quality Trust  (BAF)

 

Municipal Bonds Transferred to

Tender Option Bond Trusts (c)

   Par  
(000)		     Value  

New York (continued)

    

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

   $ 1,000      $ 1,175,342   

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

     2,955        3,520,958   

New York Liberty Development Corp., Refunding RB,
4 World Trade Center Project, 5.75%, 11/15/51 (d)

     1,740        2,082,718   
   

 

 

  
        17,222,901   

North Carolina — 2.0%

    

North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B,
5.00%, 10/01/55

     2,400        2,854,824   

Texas — 5.5%

    

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Baylor Health Care System Project, Series A, 5.00%, 11/15/38

     4,456        5,129,725   

North Texas Tollway Authority, RB, Special Projects System, Series A, 5.50%, 9/01/41

     2,310        2,730,743   
   

 

 

  
        7,860,468   

Utah — 0.8%

    

City of Riverton Utah, RB, IHC Health Services, Inc.,
5.00%, 8/15/41

     1,005        1,099,807   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts – 50.6%

  

  

     72,480,110   
Total Long-Term Investments
(Cost — $198,062,185) — 154.5%		         221,331,071   
   
                 
Short-Term Securities — 0.0%   Shares         

BlackRock Liquidity Funds, MuniCash,
0.21% (e)(f)

     61,041        61,041   
Total Short-Term Securities
(Cost — $61,041) — 0.0%		         61,041   
     Value  
Total Investments
(Cost — $198,123,226*) — 154.5%		   $ 221,392,112   
Other Assets Less Liabilities — 1.4%     1,884,607   

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (26.4)%

     (37,792,023 ) 
VMTP Shares, at Liquidation Value — (29.5)%     (42,200,000 ) 
   

 

 

  
Net Assets Applicable to Common Shares — 100.0%   $ 143,284,696   
   

 

 

  

 

*   As of May 31, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 160,644,426   
 

 

 

  

Gross unrealized appreciation

   $ 23,269,634   

Gross unrealized depreciation

     (281,147 ) 
 

 

 

  

Net unrealized appreciation

   $ 22,988,487   
 

 

 

  
 

 

                
   BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2016    5

Schedule of Investments (continued)

   

BlackRock Municipal Income Investment Quality Trust (BAF)

 

 

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)   When-issued security.

 

(c)   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.

 

(d)   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 expires between October 1, 2016 to July 1, 2020, is $7,486,044.

 

(e)   During the period ended May 31, 2016, investments in issuers considered to be affiliates 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,
2015		       

Net

Activity

        Shares Held
at May 31,
2016		        Income  

BlackRock Liquidity Funds, MuniCash

        —           61,041           61,041         $ 434   

FFI Institutional Tax-Exempt Fund

        953,611           (953,611 )         —           116   

 

(f)   Current yield as of period end.

 

Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.
AGM    Assured Guaranty Municipal Corp.
ARB    Airport Revenue Bonds
BARB    Building Aid Revenue Bonds
EDA    Economic Development Authority
GARB    General Airport Revenue Bonds
GO    General Obligation Bonds
IDA    Industrial Development Authority
IDB    Industrial Development Board
ISD    Independent School District
LRB    Lease Revenue Bonds
RB    Revenue Bonds
S/F    Single-Family

 

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 2016   $ 2,882,813        $ (2,655 )   
(26)   10-Year U.S. Treasury Note   September 2016   $ 3,371,875          (3,290 )   
(10)   Long U.S. Treasury Bond   September 2016   $ 1,633,125          (14,389 )   
(2)   Ultra U.S. Treasury Bond   September 2016   $ 350,250            (1,597 )     

Total

  

     $ (21,931 )   
         

 

 

 

                
6    BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2016   

Schedule of Investments (concluded)

   

BlackRock Municipal Income Investment Quality Trust (BAF)

 

 

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 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 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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as level 3.

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, 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 Investments1

     —         $ 221,331,071         —      $ 221,331,071   

Short-Term Securities

  $ 61,041           —         —        61,041   
 

 

 

  

Total

   $ 61,041         $ 221,331,071         —      $ 221,392,112   
 

 

 

  
                
Derivative Financial Instruments2                                     

Liabilities:

                

Interest rate contracts

  $ (21,931 )         —         —      $ (21,931 ) 

1   See above Schedule of Investments for values in each state or political subdivision.

      

2   Derivative financial instruments are futures contracts. Futures contracts 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 period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

   

                
     Level 1        Level 2        Level 3      Total  

Assets:

                

Cash pledged for futures contracts

  $ 97,800           —         —      $ 97,800   

Liabilities:

                

TOB Trust Certificates

    —         $ (37,759,199 )       —        (37,759,199 ) 

VMTP Shares

    —           (42,200,000 )       —        (42,200,000 ) 
 

 

 

  

Total

  $ 97,800         $ (79,959,199 )       —      $ (79,861,399 ) 
 

 

 

  

During the period ended May 31, 2016, there were no transfers between levels.

 

                
   BLACKROCK MUNICIPAL INCOME INVESTMENT QUALITY TRUST    MAY 31, 2016    7

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 Income Investment Quality Trust

 

By:   

/s/ John M. Perlowski    

  
   John M. Perlowski
   Chief Executive Officer (principal executive officer) of 
   BlackRock Municipal Income Investment Quality Trust
Date: July 22, 2016

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 Income Investment Quality Trust
Date: July 22, 2016
By:   

/s/ Neal J. Andrews    

  
   Neal J. Andrews
   Chief Financial Officer (principal financial officer) of 
   BlackRock Municipal Income Investment Quality Trust
Date: July 22, 2016