BLACKROCK NEW YORK MUNICIPAL INCOME 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 811-21179

Name of Fund: BlackRock New York Municipal Income Quality Trust (BSE)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock New York

            Municipal Income 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: 08/31/2014

Date of reporting period: 11/30/2013

Item 1 – Schedule of Investments

Schedule of Investments November 30, 2013 (Unaudited)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

New York — 130.5%

                 

Corporate — 1.1%

  

  

City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/28

    $ 165      $ 155,997   

New York Liberty Development Corp., RB, Goldman Sachs Headquarters, 5.25%, 10/01/35

      750        784,905   
    

 

 

  
               940,902   

County/City/Special District/School District — 28.7%

     

City of New York New York, GO:

     

Fiscal 2012, Series A-1, 5.00%, 8/01/35

      200        209,322   

Fiscal 2014, Sub-Series D-1, 5.00%, 8/01/31

      440        470,760   

City of New York New York, GO, Refunding, Series E:

     

5.50%, 8/01/25

      830        980,620   

5.00%, 8/01/30

      1,000        1,073,710   

City of New York New York, GO:

     

Sub-Series A-1, 5.00%, 10/01/34

      330        346,322   

Sub-Series G-1, 5.00%, 4/01/29

      1,000        1,073,930   

City of New York New York Convention Center Development Corp., RB, Hotel Unit Fee Secured, (AMBAC):

     

5.00%, 11/15/44

      3,610        3,612,599   

4.75%, 11/15/45

      500        488,730   

City of New York New York Housing Development Corp., RB, Fund Grant Program, New York City Housing Authority Program, Series B1:

     

5.25%, 7/01/32

      915        966,469   

5.00%, 7/01/33

      400        413,532   

City of New York New York Industrial Development Agency, RB, PILOT:

     

CAB, Yankee Stadium Project, Series A (AGC), 5.69%, 3/01/39 (a)

      1,000        242,800   

Queens Baseball Stadium (AGC), 6.38%, 1/01/39

      150        162,498   

Yankee Stadium Project (NPFGC), 4.75%, 3/01/46

      160        154,578   
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

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

     

County of Erie New York Industrial Development Agency, RB, City School District of Buffalo Project Series A:

     

5.25%, 5/01/31

    $ 200      $ 213,660   

(AGM), 5.75%, 5/01/25

      1,000        1,137,230   

Hudson Yards Infrastructure Corp., RB, Series A:

     

5.00%, 2/15/47

      500        499,510   

5.75%, 2/15/47

      1,000        1,066,940   

(AGC), 5.00%, 2/15/47

      1,250        1,258,537   

(AGM), 5.00%, 2/15/47

      750        755,123   

(NPFGC), 4.50%, 2/15/47

      1,150        1,075,135   

New York Liberty Development Corp., Refunding RB, Liberty:

     

4 World Trade Center Project, 5.00%, 11/15/31

      1,000        1,041,960   

4 World Trade Center Project, 5.75%, 11/15/51

      670        713,972   

7 World Trade Center Project, Class 1, 4.00%, 9/15/35

      1,100        1,065,680   

Sales Tax Asset Receivable Corp., Refunding RB, Series A (AMBAC), 5.00%, 10/15/32

      6,000        6,162,120   
    

 

 

  
               25,185,737   

Education — 33.8%

     

City of New York New York Trust for Cultural Resources, Refunding RB:

     

American Museum of Natural History, Series A (NPFGC), 5.00%, 7/01/44

      2,500        2,499,875   

Museum of Modern Art, Series 1A, 5.00%, 4/01/31

      700        759,416   

Wildlife Conservation Society, Series A, 3.25%, 8/01/32

      440        368,262   

Wildlife Conservation Society, Series A, 5.00%, 8/01/42

      410        422,661   

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project, Series A, 5.13%, 9/01/40

      2,500        2,531,825   

County of Dutchess New York Local Development Corp., RB, Vassar College, Series A, 5.00%, 1/01/49

      250        252,398   

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2013    1

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Education (continued)

     

County of Herkimer New York Industrial Development Agency, RB, College Foundation, Inc., Student Housing Project, 6.25%, 8/01/34

    $ 1,000      $ 1,000,390   

County of Madison New York Capital Resource Corp., Refunding RB, Colgate University Project, Series A, 4.50%, 7/01/39

      1,600        1,599,936   

County of Madison New York Industrial Development Agency, RB, Colgate University Project, Series A (AMBAC), 5.00%, 7/01/30

      1,000        1,021,560   

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series A, 5.00%, 7/01/31

      500        527,410   

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester, Series A, 5.00%, 7/01/38

      400        418,596   

County of Oneida New York Local Development Corp., RB, Hamilton College Project, 4.00%, 7/01/38

      300        280,104   

County of Orange New York Funding Corp., Refunding RB, Mount St. Mary College Project, Series A:

     

5.00%, 7/01/37

      180        175,131   

5.00%, 7/01/42

      115        108,015   

County of Schenectady New York Capital Resource Corp., Refunding RB, Union College, 5.00%, 7/01/32

      940        990,948   

County of Tompkins New York Development Corp., RB, Ithaca College Project (AGM), 5.50%, 7/01/33

      250        266,895   

County of Tompkins New York Industrial Development Agency, RB, Civic Facility Cornell University Project, Series A, 5.00%, 7/01/37

      1,000        1,056,790   

State of New York Dormitory Authority, RB:

     

Convent of the Sacred Heart (AGM), 5.75%, 11/01/40

      300        321,474   
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Education (continued)

     

State of New York Dormitory Authority, RB (concluded):

     

FIT Student Housing Corp. (NPFGC), 5.13%, 7/01/14 (b)

    $ 2,500      $ 2,573,025   

Fordham University, Series A, 5.00%, 7/01/28

      500        538,875   

New York University, Series B, 5.00%, 7/01/37

      500        523,430   

New York University, Series C, 5.00%, 7/01/38

      1,000        1,046,410   

Rochester Institute of Technology, 5.00%, 7/01/40

      550        565,565   

State University Dormitory Facilities, Series A, 5.00%, 7/01/40

      600        621,066   

State University Dormitory Facilities, Series A, 5.00%, 7/01/41

      1,000        1,038,320   

Teachers College, Series B, 5.00%, 7/01/42

      500        507,655   

The New School (AGM), 5.50%, 7/01/43

      350        366,499   

State of New York Dormitory Authority, Refunding RB:

     

Cornell University, Series A, 5.00%, 7/01/40

      250        262,870   

New York University Mount Sinai School of Medicine (NPFGC), 5.00%, 7/01/35

      2,400        2,442,456   

New York University, Series A, 5.00%, 7/01/37

      745        779,911   

Rochester Institute of Technology, 4.00%, 7/01/32

      395        364,194   

Skidmore College, Series A, 5.00%, 7/01/27

      135        144,945   

State University Dormitory Facilities, Series A, 5.25%, 7/01/30

      1,500        1,630,620   

State University Dormitory Facilities, Series A, 5.25%, 7/01/32

      600        640,974   

State University Dormitory Facilities, Series A, 5.00%, 7/01/42

      450        466,839   

 

                
2    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2013   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Education (concluded)

     

State of New York Dormitory Authority, Refunding RB (concluded):

     

Teachers College, Series A, 5.00%, 7/01/31

    $ 525      $ 552,683   
    

 

 

  
               29,668,023   

Health — 15.4%

     

County of Dutchess New York Industrial Development Agency, RB, Vassar Brothers Medical Center (AGC), 5.50%, 4/01/30

      500        528,520   

County of Monroe New York Industrial Development Corp., RB, Rochester General Hospital Project, Series A, 5.00%, 12/01/37

      850        834,844   

County of Monroe New York Industrial Development Corp., Refunding RB, Unity Hospital of Rochester Project (FHA), 5.50%, 8/15/40

      725        783,674   

State of New York Dormitory Authority, RB:

     

Hudson Valley Hospital (BHAC), 5.00%, 8/15/36

      1,250        1,279,025   

Mental Health Services (AGM), 5.00%, 8/15/18 (b)

      5        5,894   

Mental Health Services (AGM), 5.00%, 2/15/22

      995        1,130,370   

New York University Hospitals Center, Series A, 6.00%, 7/01/40

      250        267,200   

North Shore-Long Island Jewish Obligated Group, Series A, 5.50%, 5/01/37

      350        363,591   

North Shore-Long Island Jewish Obligated Group, Series C, 4.25%, 5/01/39

      185        161,067   

St. Joachim & Anne Residence, 5.25%, 7/01/27

      3,000        2,795,400   

State of New York Dormitory Authority, Refunding RB:

     

New York University Hospital Center, Series A, 5.00%, 7/01/36

      500        503,730   

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/32

      750        760,650   

North Shore-Long Island Jewish Obligated Group, Series A, 5.25%, 5/01/34

      1,840        1,903,885   
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Health (concluded)

     

State of New York Dormitory Authority, Refunding RB (concluded):

     

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/41

    $ 750      $ 745,537   

St. Luke’s Roosevelt Hospital (FHA), 4.90%, 8/15/31

      1,500        1,504,290   
    

 

 

  
               13,567,677   

Housing — 1.8%

     

State of New York Mortgage Agency, RB, 49th Series, 4.00%, 10/01/43

      500        425,630   

State of New York Mortgage Agency, Refunding RB, 48th Series, 3.70%, 10/01/38

      1,425        1,148,137   
    

 

 

  
               1,573,767   

State — 12.6%

     

City of New York New York Transitional Finance Authority, BARB:

     

Fiscal 2009, Series S-4 (AGC), 5.50%, 1/15/33

      1,000        1,103,360   

Series S-2 (AGM, NPFGC), 5.00%, 1/15/37

      850        898,051   

Metropolitan Transportation Authority, Refunding RB, Dedicated Tax Fund, Sub-Series B-1, 5.00%, 11/15/31

      750        801,570   

State of New York Dormitory Authority, ERB:

     

Series B, 5.75%, 3/15/36

      600        669,912   

Series C, 5.00%, 12/15/31

      1,500        1,603,140   

State of New York Dormitory Authority, RB:

     

General Purpose, Series B, 5.00%, 3/15/37

      1,000        1,045,500   

School Districts Financing Program, Series A (AGM), 5.00%, 10/01/35

      1,000        1,024,080   

State of New York Dormitory Authority, Refunding RB, 3rd General Resolution, State University Educational Facilities Issue, Series A, 5.00%, 5/15/30

      1,500        1,602,315   

State of New York Thruway Authority, RB, Transportation, Series A, 5.00%, 3/15/32

      320        342,054   

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2013    3

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

State (concluded)

     

State of New York Thruway Authority, Refunding RB, 2nd General Highway and Bridge Trust, Series A, 5.00%, 4/01/32

    $ 250      $ 263,035   

State of New York Urban Development Corp., RB, Personal Income Tax:

     

Series A, 3.50%, 3/15/28

      1,200        1,159,236   

State Series C, 5.00%, 3/15/30

      500        539,675   
    

 

 

  
               11,051,928   

Transportation — 25.7%

     

Metropolitan Transportation Authority, RB:

     

Series A, 5.00%, 11/15/27

      575        615,584   

Series C, 6.50%, 11/15/28

      750        875,617   

Series D, 5.25%, 11/15/41

      1,750        1,800,400   

Series H, 5.00%, 11/15/25

      1,500        1,638,300   

Series H, 5.00%, 11/15/30

      500        522,765   

Metropolitan Transportation Authority, Refunding RB:

     

Series B, 5.00%, 11/15/34

      540        561,119   

Series D, 5.25%, 11/15/31

      750        796,597   

Series F, 5.00%, 11/15/30

      630        658,684   

Port Authority of New York & New Jersey, Refunding RB, 178th Series, 5.00%, 12/01/38

      430        449,281   

State of New York Thruway Authority, Refunding RB, General:

     

Series H (AGM, NPFGC), 5.00%, 1/01/37

      4,000        4,122,080   

Series I, 5.00%, 1/01/24

      1,000        1,125,840   

Series I, 5.00%, 1/01/37

      2,000        2,056,160   

Series I, 5.00%, 1/01/42

      425        432,905   

Triborough Bridge & Tunnel Authority, Refunding RB:

     

General, CAB, Series B, 4.93%, 11/15/32 (a)

      1,250        496,988   

General, Remarketing, Series A, 5.00%, 11/15/34

      1,000        1,058,450   

General, Series B, 5.00%, 11/15/31

      90        96,231   

Series C, 5.00%, 11/15/38

      1,000        1,030,960   

Series E (NPFGC), 5.00%, 11/15/32

      2,660        2,667,022   

Sub-Series A, 5.00%, 11/15/29

      1,485        1,599,776   
    

 

 

  
               22,604,759   
Municipal Bonds   

Par  

(000)

     Value  

New York (concluded)

                 

Utilities — 11.4%

     

Albany Municipal Water Finance Authority, Refunding RB, Series A, 5.00%, 12/01/33

    $ 1,000      $ 1,056,000   

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

     

Series DD, 5.00%, 6/15/32

      1,100        1,152,261   

Series FF, 4.00%, 6/15/45

      400        352,388   

County of Suffolk New York Water Authority, Refunding RB, 3.00%, 6/01/25

      750        722,572   

Long Island Power Authority, RB, General Electric System:

     

Series A (AGM), 5.00%, 5/01/36

      500        509,290   

Series C (CIFG), 5.25%, 9/01/29

      1,000        1,064,110   

Long Island Power Authority, Refunding RB, Electric System Series A (AGC):

     

5.75%, 4/01/39

      1,690        1,874,278   

General, 6.00%, 5/01/33

      2,000        2,247,400   

State of New York Power Authority, Refunding RB, Series A, 5.00%, 11/15/38

      1,000        1,054,340   
    

 

 

  
               10,032,639   
Total Municipal Bonds — 130.5%              114,625,432   
    
   
Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts (c)		  

New York — 25.6%

                 

County/City/Special District/School District — 8.9%

  

City of New York New York, GO, Sub-Series C-3 (AGC), 5.75%, 8/15/28 (d)

      1,000        1,135,130   

City of New York New York Transitional Finance Authority, RB, Future Tax Secured, Fiscal 2012, Sub-Series D-1, 5.00%, 11/01/38

      2,475        2,591,894   

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

      1,800        1,920,334   

 

                
4    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2013   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

(Percentages shown are based on Net Assets)

 

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

Par  

(000)

     Value  

New York (continued)

                 

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

  

  

New York Liberty Development Corp., Refunding RB, Liberty, 7 World Trade Center Project, Class 1, 5.00%, 9/15/40

    $ 2,085      $ 2,165,147   
    

 

 

  
               7,812,505   

Education — 5.4%

  

State of New York Dormitory Authority, LRB, State University Dormitory Facilities, Series A, 5.00%, 7/01/35

      1,999        2,111,391   

State of New York Dormitory Authority, RB, New York University, Series A (AMBAC), 5.00%, 7/01/37

      2,499        2,623,271   
    

 

 

  
               4,734,662   

Transportation — 5.1%

  

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

      3,495        3,648,605   

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

      800        856,392   
    

 

 

  
               4,504,997   

Utilities — 6.2%

  

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A, 5.75%, 6/15/40

      495        548,465   
Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts (c)		   

Par  

(000)

     Value  

New York (concluded)

                 

Utilities (concluded)

     

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

     

Fiscal 2011, Series HH, 5.00%, 6/15/32

    $ 2,249      $ 2,381,951   

Fiscal 2012, Series BB, 5.00%, 6/15/44

      2,011        2,062,790   

Series FF-2, 5.50%, 6/15/40

      405        431,553   
    

 

 

  
               5,424,759   
Total Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts — 25.6%		         22,476,923   

Total Long-Term Investments

(Cost — $136,012,957) — 156.1%

  

  

     137,102,355   
    
   
Short-Term Securities    Shares         

BIF New York Municipal Money Fund, 0.00% (e)(f)

      2,786,162        2,786,162   

Total Short-Term Securities
(Cost — $2,786,162) — 3.2%

   

     2,786,162   
Total Investments
(Cost — $138,799,119*) — 159.3%		         139,888,517   
Other Assets Less Liabilities — 1.7%        1,474,411   

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (14.9%)

   

     (13,060,980 ) 
VRDP Shares, at Liquidation Value — (46.1%)        (40,500,000 ) 
    

 

 

  
Net Assets Applicable to Common Shares — 100.0%      $ 87,801,948   
 

 

 

  

*  As of November 30, 2013, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

      

Tax cost

  

   $ 126,047,603   
    

 

 

  

Gross unrealized appreciation

  

   $ 3,475,798   

Gross unrealized depreciation

  

     (2,692,021 ) 
    

 

 

  

Net unrealized appreciation

  

   $ 783,777   
    

 

 

  

 

Notes to Schedule of investments

 

(a)   Represents a zero-coupon bond. Rate shown reflects the current yield 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)   Represent bonds transferred to a TOB. In exchange the Trust acquired residual interest certificates. These bonds serve as collateral in a financing transaction.

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2013    5

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

 

(d)   All or a portion of security is subject to a recourse agreement, which may require the Trust to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire from February 15, 2017 to February 15, 2019 is $ 1,482,592.

 

(e)   Investments in issuers considered to be an affiliate of the Trust during the period ended November 30, 2013, 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, 2013

     Net
Activity		    

Shares

Held at

November 30, 2013

     Income  

BIF New York Municipal Money Fund

     3,752,091        (965,929 )      2,786,162        —   

 

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

 

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 Guarantee Corp.
     AGM    Assured Guaranty Municipal Corp.
     AMBAC    American Municipal Bond Assurance Corp.
     AMT    Alternative Minimum Tax (subject to)
     BARB    Building Aid Revenue Bonds
     BHAC    Berkshire Hathaway Assurance Corp.
     CAB    Capital Appreciation Bonds
     CIFG    CDC IXIS Financial Guaranty
     ERB    Education Revenue Bonds
     FHA    Federal Housing Administration
     GO    General Obligation Bonds
     LRB    Lease Revenue Bonds
     NPFGC    National Public Finance Guarantee Corp.
     PILOT    Payment in Lieu of Taxes
     RB    Revenue Bonds

 

Ÿ  

Financial futures contracts as of November 30, 2013 were as follows:

 

Contracts
Sold		   Issue   Exchange   Expiration   Notional
Value		     Unrealized
Appreciation		  
(36)   10-Year US Treasury Note   Chicago Board of Trade   December 2013   $ 4,559,063      $ 23,023   
Ÿ  

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 Trust management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

                
6    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2013   

Schedule of Investments (continued)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

 

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 as follows:

 

  Ÿ  

Level 1 — unadjusted price quotations 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)

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.

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. 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 Trust’s policy regarding valuation of investments and derivative financial instruments, please 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, 2013:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                 
Investments:                 

Long-Term Investments1

     —         $ 137,102,355           —         $ 137,102,355   

Short-Term Securities

   $ 2,786,162           —           —           2,786,162   
 

 

 

       

 

 

       

 

 

       

 

 

  

Total

   $ 2,786,162         $ 137,102,355           —         $ 139,888,517   
 

 

 

       

 

 

       

 

 

       

 

 

  

 

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

      

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments2             

Assets:

                 

Interest rate contracts

   $ 23,023           —           —         $ 23,023   

 

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

      

 

                
   BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2013    7

Schedule of Investments (concluded)

   

BlackRock New York Municipal Income Quality Trust (BSE)

 

Certain of the Trust’s assets and/or liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of November 30, 2013, 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

   $ 64,000        —      —   $ 64,000   

Liabilities:

        

Bank overdraft

     —      $ (3,342 )    —     (3,342 ) 

TOB trust certificates

     —        (13,057,137 )    —     (13,057,137 ) 

VRDP Shares

     —        (40,500,000 )    —     (40,500,000 ) 
 

 

 

    

 

 

    

 

  

 

 

  

Total

   $ 64,000      $ (53,560,479 )    —   $ (53,496,479 ) 
 

 

 

    

 

 

    

 

  

 

 

  

There were no transfers between levels during the period ended November 30, 2013.

 

                
8    BLACKROCK NEW YORK MUNICIPAL INCOME QUALITY TRUST    NOVEMBER 30, 2013   

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 New York Municipal Income Quality Trust

 

By:  

/s/ John M. Perlowski

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock New York Municipal Income Quality Trust
Date:   January 24, 2014

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 New York Municipal Income Quality Trust
Date:   January 24, 2014

 

By:  

/s/ Neal J. Andrews

  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock New York Municipal Income Quality Trust
Date:   January 24, 2014