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 811-06540

 

Name of Fund: BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock MuniYield Quality Fund III, Inc., 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 Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 0.4%

 

 

 

 

 

 

 

Birmingham Special Care Facilities
Financing Authority, RB, Children’s
Hospital (AGC), 6.00%, 6/01/39

 

$

3,605

 

$

4,106,960

 

Alaska — 1.7%

 

 

 

 

 

 

 

Alaska Housing Finance Corp., RB,
General Housing, Series B (NPFGC),
5.25%, 12/01/30

 

 

2,000

 

 

2,074,780

 

Alaska Industrial Development & Export
Authority, RB, Providence Health
Services, Series A, 5.50%, 10/01/41

 

 

2,690

 

 

3,021,973

 

Borough of Matanuska-Susitna Alaska,
RB, Goose Creek Correctional Center
(AGC), 6.00%, 9/01/28

 

 

10,150

 

 

12,126,509

 

 

 

 

 

 

 

17,223,262

 

Arizona — 0.6%

 

 

 

 

 

 

 

Maricopa County & Phoenix Industrial
Development Authorities, Refunding
RB, S/F, Series A-2, AMT (Ginnie
Mae), 5.80%, 7/01/40

 

 

1,320

 

 

1,361,118

 

State of Arizona, COP, Department of
Administration, Series A (AGM),
5.00%, 10/01/27

 

 

3,725

 

 

4,155,498

 

 

 

 

 

 

 

5,516,616

 

California — 13.1%

 

 

 

 

 

 

 

Alameda Corridor Transportation
Authority, Refunding RB, CAB,
Subordinate Lien, Series A (AMBAC),
5.40%, 10/01/24 (a)

 

 

10,000

 

 

9,961,300

 

California Health Facilities Financing
Authority, Refunding RB:

 

 

 

 

 

 

 

Saint Joseph Health System,
Series A, 5.75%, 7/01/39

 

 

1,550

 

 

1,754,662

 

Sutter Health, Series B,
5.88%, 8/15/31

 

 

3,200

 

 

3,803,520

 

California HFA, RB, Home Mortgage,
Series K, AMT, 5.50%, 2/01/42

 

 

3,925

 

 

4,068,576

 

California State Public Works Board
Lease, Various Capital Projects, Series
A, 5.00%, 4/01/37

 

 

360

 

 

377,492

 

California State University, RB,
Systemwide, Series A:

 

 

 

 

 

 

 

5.50%, 11/01/39

 

 

1,525

 

 

1,704,950

 

(NPFGC), 5.00%, 11/01/32

 

 

9,865

 

 

10,194,590

 

California State University, Refunding
RB, Systemwide, Series A (AGM),
5.00%, 11/01/37

 

 

3,545

 

 

3,863,341

 

California Statewide Communities
Development Authority, RB:

 

 

 

 

 

 

 

Kaiser Permanente, Series A,
5.00%, 4/01/42

 

 

4,030

 

 

4,299,325

 

Saint Joseph Health System, Series
E (AGM), 5.25%, 7/01/47

 

 

5,000

 

 

5,263,850

 

Sutter Health, Series D (AGM),
5.05%, 8/15/38

 

 

300

 

 

317,865

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (continued)

 

 

 

 

 

 

 

City of Redding California, COP,
Refunding, Series A (AGM), 5.00%,
6/01/30

 

$

1,900

 

$

2,086,618

 

City of San Jose California, ARB, Series
A-1, AMT, 5.75%, 3/01/34

 

 

2,300

 

 

2,550,010

 

City of San Jose California, Refunding
RB, Series A, AMT (AMBAC), 5.50%,
3/01/32

 

 

11,965

 

 

12,622,596

 

Coast Community College District, GO,
Election of 2002, Series C (AGM),
6.05%, 8/01/33 (b)

 

 

8,100

 

 

2,562,030

 

County of Sacramento California, RB,
Senior Series A (AGM), 5.00%,
7/01/41

 

 

14,500

 

 

15,341,870

 

Dublin Unified School District California,
GO, CAB, Election of 2004, Series D,
6.95%, 8/01/34 (b)

 

 

5,000

 

 

1,308,550

 

Fairfield-Suisun Unified School District
California, GO, Election of 2002
(NPFGC), 5.50%, 8/01/28

 

 

5,800

 

 

6,276,064

 

Grossmont Union High School District,
GO, CAB, Election of 2004, 5.41%,
8/01/31 (b)

 

 

5,110

 

 

1,905,468

 

Long Beach Unified School District, GO,
Election of 2008, Series B, 6.54%,
8/01/34

 

 

5,000

 

 

1,575,750

 

Los Angeles Community College District
California, GO, Election of 2001,
Series A (AGM), 5.00%, 8/01/32

 

 

1,200

 

 

1,347,552

 

Norwalk-La Mirada Unified School
District California, GO, Refunding,
CAB, Election of 2002, Series E (AGC),
6.47%, 8/01/38 (b)

 

 

7,620

 

 

1,801,292

 

Oceanside Unified School District
California, GO, Series A (AGC), 5.25%,
8/01/33

 

 

2,500

 

 

2,753,975

 

Port of Oakland, Refunding RB, Series M
(NPFGC), 5.38%, 11/01/27

 

 

8,030

 

 

8,138,164

 

Poway Unified School District, GO, CAB,
School Facilities Improvement,
District, Election of 2008, Series B,
6.27%, 8/01/36 (b)

 

 

10,000

 

 

2,818,700

 

Rio Hondo Community College District
California, GO, CAB, Election of 2004,
Series C, 6.18%, 8/01/38 (b)

 

 

12,940

 

 

3,284,043

 

San Bernardino Community College
District, GO, Election of 2002, Series
C (AGM), 5.00%, 8/01/31

 

 

2,165

 

 

2,403,799

 

San Diego Unified School District
California, GO, Refunding, CAB, Series
R-1, 5.08%, 7/01/31 (b)

 

 

3,485

 

 

1,336,184

 

San Joaquin County Transportation
Authority, RB, Limited Tax, Measure K,
Series A, 6.00%, 3/01/36

 

 

1,830

 

 

2,195,067

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD QUALITY FUND III, INC.

APRIL 30, 2012

1


 

 

Schedule of Investments (continued)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

San Marcos Unified School District, GO,
Election of 2010, Series A:

 

 

 

 

 

 

 

5.00%, 8/01/34

 

$

1,800

 

$

1,977,390

 

5.00%, 8/01/38

 

 

1,600

 

 

1,735,520

 

State of California, GO:

 

 

 

 

 

 

 

5.50%, 3/01/40

 

 

1,020

 

 

1,132,129

 

5.00%, 10/01/41

 

 

2,555

 

 

2,720,768

 

Series 2007-2 (NPFGC), 5.50%,
4/01/30

 

 

10

 

 

10,617

 

Walnut Valley Unified School District,
GO, CAB, Election of 2007, Series B,
6.14%, 8/01/36 (b)

 

 

6,545

 

 

1,854,068

 

West Valley-Mission Community College
District, GO, Election of 2004, Series
A (AGM), 5.00%, 8/01/30

 

 

3,600

 

 

3,989,376

 

 

 

 

 

 

 

131,337,071

 

Connecticut — 0.3%

 

 

 

 

 

 

 

Connecticut Housing Finance Authority,
RB, Sub-Series E-2, 5.00%, 11/15/31

 

 

3,235

 

 

3,423,601

 

Florida — 14.5%

 

 

 

 

 

 

 

Broward County School Board Florida,
COP, Series A (AGM), 5.25%, 7/01/33

 

 

14,800

 

 

15,893,720

 

Broward County Water & Sewer Utility,
RB, Series A, 5.25%, 10/01/34

 

 

2,250

 

 

2,551,995

 

City of Jacksonville, Refunding RB,
Transportation, Series A, 5.00%,
10/01/30

 

 

770

 

 

854,469

 

Collier County School Board, COP (AGM),
5.00%, 2/15/23

 

 

5,000

 

 

5,640,400

 

County of Lee Florida, Refunding RB,
Series A, AMT:

 

 

 

 

 

 

 

5.63%, 10/01/26

 

 

2,600

 

 

2,888,782

 

5.38%, 10/01/32

 

 

3,440

 

 

3,682,451

 

County of Miami-Dade Florida, GO,
Building Better Communities Program:

 

 

 

 

 

 

 

Series B, 6.38%, 7/01/28

 

 

6,000

 

 

7,144,380

 

Series B-1, 5.75%, 7/01/33

 

 

3,700

 

 

4,213,153

 

County of Miami-Dade Florida, RB:

 

 

 

 

 

 

 

Miami International Airport, AMT
(NPFGC), 5.38%, 10/01/25

 

 

7,500

 

 

7,567,425

 

Miami International Airport, AMT
(NPFGC), 5.38%, 10/01/27

 

 

1,000

 

 

1,007,460

 

Miami International Airport, Series
A, AMT (AGM), 5.50%, 10/01/41

 

 

19,020

 

 

20,080,365

 

Water & Sewer System (AGM),
5.00%, 10/01/39

 

 

11,700

 

 

12,668,175

 

County of Miami-Dade Florida,
Refunding RB:

 

 

 

 

 

 

 

Miami International Airport (AGC),
5.00%, 10/01/40

 

 

11,000

 

 

11,245,630

 

Series C (BHAC), 6.00%, 10/01/23

 

 

20,095

 

 

24,846,262

 

Transit System Sales Surtax (AGM),
5.00%, 7/01/35

 

 

2,800

 

 

2,984,688

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Florida (concluded)

 

 

 

 

 

 

 

Highlands County Health Facilities
Authority, RB, Adventist Health
System/Sunbelt, Series B, 6.00%,
11/15/37

 

$

1,750

 

$

2,010,260

 

Orange County School Board, COP,
Series A (AGC), 5.50%, 8/01/34

 

 

12,000

 

 

13,265,880

 

Sarasota County Public Hospital District,
RB, Sarasota Memorial Hospital
Project, Series A, 5.63%, 7/01/39

 

 

5,135

 

 

5,514,579

 

The School Board of Miami-Dade County
Florida, RB, COP, Series B (AGC),
5.25%, 5/01/31

 

 

1,010

 

 

1,098,113

 

 

 

 

 

 

 

145,158,187

 

Georgia — 1.8%

 

 

 

 

 

 

 

Burke County Development Authority,
RB, Oglethorpe Power Corp., Vogtle
Project, Series C, 5.70%, 1/01/43

 

 

6,450

 

 

6,927,106

 

City of Atlanta Georgia, RB, General,
Series B (AGM), 5.25%, 1/01/33

 

 

10,000

 

 

10,690,800

 

 

 

 

 

 

 

17,617,906

 

Illinois — 17.8%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO,
Series A, 5.50%, 12/01/39

 

 

6,470

 

 

7,313,235

 

Chicago Park District, GO, Harbor
Facilities, Series C:

 

 

 

 

 

 

 

5.25%, 1/01/37

 

 

4,000

 

 

4,396,880

 

5.25%, 1/01/40

 

 

1,505

 

 

1,650,835

 

Chicago Transit Authority, RB, 5.25%,
12/01/36

 

 

1,620

 

 

1,804,437

 

City of Chicago Illinois, ARB, General,
Third Lien, Series B-2, AMT (NPFGC):

 

 

 

 

 

 

 

5.25%, 1/01/27

 

 

10,000

 

 

10,290,700

 

6.00%, 1/01/27

 

 

26,230

 

 

27,970,098

 

City of Chicago Illinois, GO, CAB, City
Colleges (NPFGC) (b):

 

 

 

 

 

 

 

5.58%, 1/01/29

 

 

4,000

 

 

1,790,680

 

5.71%, 1/01/33

 

 

7,950

 

 

2,745,851

 

City of Chicago Illinois, RB, Series A:

 

 

 

 

 

 

 

O’Hare International Airport,
General Third Lien, 5.75%,
1/01/39

 

 

9,000

 

 

10,306,890

 

Second Lien (AMBAC), 5.00%, 11/01/36

 

 

3,500

 

 

3,661,980

 

City of Chicago Illinois, Refunding RB,
ARB, O’Hare International Airport,
General, Third Lien, Series C-2, AMT
(AGM), 5.25%, 1/01/30

 

 

16,400

 

 

16,639,440

 

Illinois Finance Authority, RB, Series A,
5.75%, 8/15/34

 

 

8,700

 

 

9,401,046

 

Illinois Finance Authority, Refunding RB,
Northwestern Memorial Hospital,
Series A, 6.00%, 8/15/39

 

 

5,250

 

 

6,051,412

 

Illinois Municipal Electric Agency, RB,
Series A (NPFGC):

 

 

 

 

 

 

 

5.00%, 2/01/35

 

 

17,935

 

 

19,102,568

 

5.25%, 2/01/35

 

 

15,000

 

 

16,139,400

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD QUALITY FUND III, INC.

APRIL 30, 2012

2


 

 

Schedule of Investments (continued)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

Illinois State Toll Highway Authority, RB,
Series B:

 

 

 

 

 

 

 

5.50%, 1/01/33

 

$

4,000

 

$

4,364,960

 

(BHAC), 5.50%, 1/01/33

 

 

2,000

 

 

2,193,200

 

Kane, Kendall, Etc. Counties Community
College District No. 516 Illinois, GO,
CAB, Series E (NPFGC), 5.21%,
12/15/25 (b)

 

 

5,000

 

 

2,548,500

 

Metropolitan Pier & Exposition Authority,
RB, CAB, McCormick Place Expansion
Project, Series A (NPFGC) (b):

 

 

 

 

 

 

 

5.16%, 12/15/26

 

 

9,600

 

 

4,986,048

 

5.76%, 6/15/32

 

 

14,000

 

 

5,151,440

 

5.97%, 12/15/34

 

 

41,880

 

 

13,196,388

 

Metropolitan Pier & Exposition Authority,
Refunding RB, CAB, McCormick Place
Expansion Project, Series B (AGM),
6.25%, 6/15/44 (b)

 

 

9,430

 

 

1,676,183

 

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

 

 

1,700

 

 

1,929,092

 

Regional Transportation Authority, RB,
Series C (NPFGC), 7.75%, 6/01/20

 

 

1,000

 

 

1,250,670

 

State of Illinois, GO:

 

 

 

 

 

 

 

5.00%, 3/01/36

 

 

970

 

 

1,019,965

 

5.00%, 3/01/37

 

 

390

 

 

409,133

 

 

 

 

 

 

 

177,991,031

 

Indiana — 2.9%

 

 

 

 

 

 

 

City of Indianapolis Indiana, Refunding
RB, Second Lien, Series B (AGC),
5.25%, 8/15/27

 

 

5,000

 

 

5,506,050

 

Indiana Finance Authority, RB,
Wastewater Utility, 5.25%, 10/01/38

 

 

2,900

 

 

3,232,688

 

Indiana Municipal Power Agency, RB:

 

 

 

 

 

 

 

Series A (NPFGC), 5.00%, 1/01/37

 

 

3,850

 

 

4,084,696

 

Series B, 5.75%, 1/01/34

 

 

1,050

 

 

1,116,266

 

Series B, 6.00%, 1/01/39

 

 

5,000

 

 

5,727,900

 

Indianapolis Local Public Improvement
Bond Bank, Refunding RB,
Waterworks Project, Series A:

 

 

 

 

 

 

 

5.75%, 1/01/38

 

 

2,900

 

 

3,252,002

 

(AGC), 5.25%, 1/01/29

 

 

1,350

 

 

1,502,104

 

(AGC), 5.50%, 1/01/38

 

 

4,250

 

 

4,732,757

 

 

 

 

 

 

 

29,154,463

 

Iowa — 3.3%

 

 

 

 

 

 

 

Iowa Finance Authority, RB, Series A
(AGC), 5.63%, 8/15/37

 

 

12,650

 

 

13,871,104

 

Iowa Student Loan Liquidity Corp., RB,
Senior Series A-2, AMT:

 

 

 

 

 

 

 

5.60%, 12/01/26

 

 

4,530

 

 

4,991,834

 

5.70%, 12/01/27

 

 

4,530

 

 

4,992,921

 

5.75%, 12/01/28

 

 

2,400

 

 

2,636,544

 

5.80%, 12/01/29

 

 

3,060

 

 

3,363,032

 

5.85%, 12/01/30

 

 

3,170

 

 

3,476,824

 

 

 

 

 

 

 

33,332,259

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Kentucky — 1.0%

 

 

 

 

 

 

 

Kentucky State Property & Buildings
Commission, Refunding RB, Project
No. 93 (AGC), 5.25%, 2/01/28

 

$

4,000

 

$

4,535,800

 

Louisville & Jefferson County
Metropolitan Sewer District Kentucky,
RB, Series A (NPFGC), 5.25%,
5/15/37

 

 

5,000

 

 

5,399,400

 

 

 

 

 

 

 

9,935,200

 

Louisiana — 0.8%

 

 

 

 

 

 

 

Jefferson Parish Hospital Service District
No. 1, Refunding RB, Jefferson
Medical Center, Series A (AGM),
6.00%, 1/01/39

 

 

1,320

 

 

1,490,056

 

New Orleans Aviation Board Louisiana,
RB, New Orleans Aviation, Series A,
AMT (AGM), 5.25%, 1/01/32

 

 

6,505

 

 

6,896,536

 

 

 

 

 

 

 

8,386,592

 

Massachusetts — 3.8%

 

 

 

 

 

 

 

Massachusetts HFA, RB:

 

 

 

 

 

 

 

S/F Housing, Series 128 AMT
(AGM), 4.88%, 12/01/38 (c)

 

 

7,955

 

 

8,096,838

 

Series B, 7.00%, 12/01/38

 

 

3,150

 

 

3,563,753

 

Massachusetts HFA, Refunding RB:

 

 

 

 

 

 

 

Housing Development, Series B
(NPFGC), 5.40%, 12/01/28

 

 

1,835

 

 

1,836,358

 

Rental Housing, Series A, AMT
(AGM), 5.15%, 7/01/26

 

 

12,640

 

 

12,813,926

 

Series C, AMT, 5.35%,
12/01/42

 

 

3,100

 

 

3,269,725

 

Massachusetts Port Authority,
Refunding RB, BOSFUEL Project, AMT
(NPFGC), 5.00%, 7/01/38

 

 

8,275

 

 

8,364,535

 

 

 

 

 

 

 

37,945,135

 

Michigan — 8.4%

 

 

 

 

 

 

 

City of Detroit Michigan, RB, Series B
(AGM):

 

 

 

 

 

 

 

Second Lien, 6.25%, 7/01/36

 

 

1,075

 

 

1,233,057

 

Second Lien, 7.00%, 7/01/36

 

 

500

 

 

597,820

 

Senior Lien, 7.50%, 7/01/33

 

 

1,000

 

 

1,253,060

 

City of Detroit Michigan, Refunding RB:

 

 

 

 

 

 

 

Senior Lien, Series C-1 (AGM),
7.00%, 7/01/27

 

 

1,500

 

 

1,818,585

 

Senior Lien, Series D (AGM), 5.00%,
7/01/23

 

 

5,000

 

 

5,316,300

 

Series D (NPFGC), 5.00%, 7/01/33

 

 

5,000

 

 

5,010,850

 

Kalamazoo Hospital Finance Authority,
RB, Bronson Methodist Hospital
(AGM), 5.25%, 5/15/36

 

 

410

 

 

443,181

 

Lansing Board of Water & Light Utilities
System, RB, Series A, 5.50%,
7/01/41

 

 

3,185

 

 

3,680,809

 

Michigan State Building Authority,
Refunding RB, Facilities Program:

 

 

 

 

 

 

 

Series I, 6.25%, 10/15/38

 

 

3,125

 

 

3,599,344

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD QUALITY FUND III, INC.

APRIL 30, 2012

3


 

 

Schedule of Investments (continued)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Michigan (concluded)

 

 

 

 

 

 

 

Michigan State Building Authority,
Refunding RB, Facilities Program
(concluded):

 

 

 

 

 

 

 

Series I, (AGC), 5.25%, 10/15/24

 

$

1,750

 

$

2,021,863

 

Series I, (AGC), 5.25%, 10/15/25

 

 

3,250

 

 

3,727,457

 

Series I-A, 5.38%, 10/15/36

 

 

2,075

 

 

2,334,354

 

Series II-A, 5.38%, 10/15/41

 

 

1,900

 

 

2,126,252

 

Series II-A, (AGM), 5.25%,
10/15/36

 

 

8,040

 

 

8,992,740

 

Michigan State Finance Authority,
Refunding RB, Trinity Health Credit
Group, 5.00%, 12/01/39

 

 

11,600

 

 

12,477,424

 

Michigan State HDA, RB, Series C,
5.50%, 12/01/28

 

 

2,900

 

 

3,060,428

 

Michigan Strategic Fund, Refunding RB,
Detroit Edison Co. Project, Series A
(Syncora), 5.50%, 6/01/30

 

 

2,500

 

 

2,532,775

 

State of Michigan, RB, GAB (AGM):

 

 

 

 

 

 

 

5.25%, 9/15/22

 

 

10,000

 

 

11,351,100

 

5.25%, 9/15/26

 

 

6,650

 

 

7,338,408

 

Wayne County Airport Authority,
Refunding RB, AMT (AGC), 5.38%,
12/01/32

 

 

5,000

 

  

5,223,600

  
           

84,139,407

  

Minnesota — 0.6%

 

 

 

 

 

 

 

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

    

5,500

    

6,471,245

  

Mississippi — 0.2%

 

 

 

 

 

 

 

Medical Center Educational Building
Corporation, RB, University of
Mississippi Medical Center Facilities
and Expansion and Renovation
Project, Series A, 5.00%, 6/01/41

    

2,000

    

2,187,180

  

Nebraska — 0.2%

 

 

 

 

 

 

 

Central Plains Energy Project Nebraska,
RB, Gas Project No. 3, 5.25%,
9/01/37

    

2,050

    

2,131,180

  

Nevada — 2.9%

 

 

 

 

 

 

 

City of Las Vegas Nevada, GO, Limited
Tax, Performing Arts Center, 6.00%,
4/01/34

 

 

2,250

 

 

2,606,422

 

County of Clark Nevada, RB:

 

 

 

 

 

 

 

Las Vegas-McCarran International
Airport, Series A (AGC), 5.25%,
7/01/39

 

 

5,170

 

 

5,621,393

 

Subordinate Lien, Series A-2
(NPFGC), 5.00%, 7/01/30

 

 

19,250

 

  

20,418,860

  

 

    

 

    

28,646,675

  

New Jersey — 4.8%

 

 

 

 

 

 

 

New Jersey EDA, RB, Cigarette Tax,
5.75%, 6/15/34

 

 

4,000

 

 

4,448,200

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey (concluded)

 

 

 

 

 

 

 

New Jersey EDA, Refunding RB, School
Facilities Construction, Series N-1:

 

 

 

 

 

 

 

(AMBAC), 5.50%, 9/01/24

 

$

6,500

 

$

8,103,940

 

(NPFGC), 5.50%, 9/01/28

 

 

1,685

 

 

2,084,817

 

New Jersey Higher Education Student
Assistance Authority, RB, Series 1,
AMT:

 

 

 

 

 

 

 

5.50%, 12/01/25

 

 

1,250

 

 

1,402,588

 

5.50%, 12/01/26

 

 

1,800

 

 

1,996,974

 

5.75%, 12/01/28

 

 

200

 

 

222,412

 

5.88%, 12/01/33

 

 

6,895

 

 

7,581,190

 

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

 

 

 

 

 

 

 

CAB, Series A, 5.93%,
12/15/35 (b)

 

 

18,525

 

 

5,464,504

 

CAB, Series C (AGC), 5.73%,
12/15/25 (b)

 

 

10,000

 

 

5,579,200

 

Series A (NPFGC), 5.75%, 6/15/25

 

 

4,250

 

 

5,389,213

 

Series B, 5.25%, 6/15/36

 

 

4,970

 

  

5,553,577

  

 

    

 

 

  

47,826,615

  

New York — 2.9%

 

 

 

 

 

 

 

City of New York, New York, GO, Series J:

 

 

 

 

 

 

 

5.25%, 5/15/24

 

 

6,500

 

 

7,150,195

 

5.25%, 5/15/24

 

 

3,500

 

 

3,793,160

 

Hudson New York Yards Infrastructure
Corp., RB, 5.75%, 2/15/47

 

 

1,920

 

 

2,166,854

 

New York City Transitional Finance
Authority, RB, Fiscal 2009, Series S-4,
5.50%, 1/15/34

 

 

7,250

 

 

8,267,973

 

New York State Dormitory Authority,
ERB, Series B, 5.25%, 3/15/38

 

 

3,250

 

 

3,601,000

 

Port Authority of New York & New
Jersey, RB, Consolidated 172nd
Series, AMT, 4.50%, 4/01/37

 

 

4,270

 

  

4,303,904

  

 

    

 

    

29,283,086

  

North Carolina — 0.4%

 

 

 

 

 

 

 

North Carolina Medical Care
Commission, RB, Novant Health
Obligation, Series A, 4.75%,
11/01/43

    

4,075

    

4,195,661

  

Ohio — 0.7%

 

 

 

 

 

 

 

County of Allen Ohio, Refunding RB,
Catholic HealthCare Partners, Series
A, 5.00%, 5/01/42 (d)

 

 

2,030

 

 

2,159,818

 

County of Lucas Ohio, Refunding RB,
Promedica Healthcare, Series A,
6.50%, 11/15/37

 

 

3,000

 

 

3,656,580

 

Ohio Higher Educational Facility
Commission, Refunding RB, Summa
Health System, 2010 Project (AGC),
5.25%, 11/15/40

 

 

1,250

 

  

1,336,388

  

 

    

 

    

7,152,786

  

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD QUALITY FUND III, INC.

APRIL 30, 2012

4


 

 

Schedule of Investments (continued)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Pennsylvania — 2.7%

 

 

 

 

 

 

 

Pennsylvania Turnpike Commission, RB:

 

 

 

 

 

 

 

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

 

$

15,600

 

$

17,056,416

 

Sub-Series C (AGC), 6.25%,
6/01/38

 

 

5,695

 

 

6,763,268

 

Subordinate, Special Motor
License Fund, 6.00%,
12/01/36

 

 

2,575

 

 

3,103,905

 

 

 

 

 

 

 

26,923,589

 

Puerto Rico — 3.8%

 

 

 

 

 

 

 

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

 

 

3,860

 

 

3,853,747

 

Puerto Rico Public Buildings Authority,
Refunding RB, Government Facilities,
Series M-3 (NPFGC), 6.00%, 7/01/27

 

 

3,720

 

 

4,120,830

 

Puerto Rico Sales Tax Financing Corp.,
RB:

 

 

 

 

 

 

 

CAB, Series C, 5.95%,
8/01/38 (b)

 

 

9,400

 

 

2,210,692

 

CAB, Series C, 6.12%,
8/01/39 (b)

 

 

24,000

 

 

5,313,360

 

First Sub-Series A, 5.75%,
8/01/37

 

 

2,000

 

 

2,211,700

 

First Sub-Series A, 6.38%,
8/01/39

 

 

10,195

 

 

11,858,824

 

First Sub-Series A, 5.50%,
8/01/42

 

 

5,155

 

 

5,562,348

 

Puerto Rico Sales Tax Financing Corp.,
Refunding RB:

 

 

 

 

 

 

 

CAB, Series A (NPFGC), 5.68%,
8/01/41 (b)

 

 

7,500

 

 

1,440,675

 

First Sub-Series C, 6.00%,
8/01/39

 

 

1,180

 

 

1,348,870

 

 

 

 

 

 

 

37,921,046

 

South Carolina — 0.4%

 

 

 

 

 

 

 

South Carolina Jobs-EDA, Refunding RB,
Palmetto Health, Series A (AGM),
6.50%, 8/01/39

 

 

3,600

 

 

4,223,088

 

Tennessee — 0.2%

 

 

 

 

 

 

 

Memphis Center City Revenue Finance
Corp., RB, Pyramid and Pinch
Distribution, Series B (AGM), 5.25%,
11/01/30

 

 

1,785

 

 

2,040,326

 

Texas — 12.3%

 

 

 

 

 

 

 

City of Houston Texas, RB, Combined,
First Lien, Series A (AGM), 5.00%,
11/15/36

 

 

10,000

 

 

10,942,400

 

City of Houston Texas, Refunding RB,
Combined, First Lien, Series A (AGC):

 

 

 

 

 

 

 

6.00%, 11/15/35

 

 

5,700

 

 

6,826,092

 

5.38%, 11/15/38

 

 

3,650

 

 

4,139,538

 

Dallas ISD, GO, School Building (PSF-
GTD), 6.38%, 2/15/34

 

 

10,000

 

 

12,467,800

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

Dallas-Fort Worth International Airport
Facilities Improvement Corp.,
Refunding RB, Joint Series A, AMT
(NPFGC), 5.63%, 11/01/26

 

$

5,670

 

$

5,687,974

 

Grand Prairie ISD Texas, GO, Refunding,
CAB, 6.59%, 8/15/28 (b)

 

 

10,000

 

 

4,139,600

 

Harris County Hospital District, RB,
Senior Lien, Series A (NPFGC), 5.25%,
2/15/37

 

 

5,400

 

 

5,629,176

 

Judson ISD Texas, GO, School Building
(AGC), 5.00%, 2/01/37

 

 

10,000

 

 

10,503,400

 

North Texas Tollway Authority,
Refunding RB, Series B (NPFGC),
5.75%, 1/01/40

 

 

10,000

 

 

10,858,100

 

North Texas Tollway Authority,
Refunding RB, First Tier, System,
Series A:

 

 

 

 

 

 

 

6.00%, 1/01/28

 

 

6,275

 

 

7,216,689

 

(NPFGC), 5.13%, 1/01/28

 

 

20,000

 

 

21,700,000

 

Texas Department of Housing &
Community Affairs, MRB, Series A,
AMT (NPFGC), 5.45%, 9/01/23

 

 

3,870

 

 

3,874,837

 

Texas State Turnpike Authority, RB
(AMBAC):

 

 

 

 

 

 

 

CAB, 6.03%, 8/15/31 (b)

 

 

20,265

 

 

6,442,649

 

First Tier, Series A, 5.50%,
8/15/39

 

 

5,500

 

 

5,523,540

 

First Tier, Series A, 5.00%,
8/15/42

 

 

6,900

 

 

6,902,760

 

 

 

 

 

 

 

122,854,555

 

Utah — 1.5%

 

 

 

 

 

 

 

Utah Transit Authority, Refunding RB,
CAB, Sub-Series A (b):

 

 

 

 

 

 

 

(AGC), 5.46%, 6/15/20

 

 

10,000

 

 

7,400,600

 

(NPFGC), 5.23%, 6/15/24

 

 

13,930

 

 

8,058,784

 

 

 

 

 

 

 

15,459,384

 

Vermont — 0.2%

 

 

 

 

 

 

 

Vermont HFA, HRB, Series 12B, AMT
(AGM), 6.30%, 11/01/19

 

 

215

 

 

219,266

 

Vermont HFA, Refunding RB, Multiple
Purpose, Series C, AMT (AGM), 5.50%,
11/01/38 (c)

 

 

1,880

 

 

1,970,240

 

 

 

 

 

 

 

2,189,506

 

Washington — 1.1%

 

 

 

 

 

 

 

Washington Health Care Facilities
Authority, RB, Series A:

 

 

 

 

 

 

 

5.00%, 10/01/39

 

 

1,125

 

 

1,214,145

 

5.25%, 10/01/39

 

 

2,725

 

 

3,006,683

 

Washington Health Care Facilities
Authority, Refunding RB, Catholic
Health Initiatives, Series D, 6.38%,
10/01/36

 

 

5,400

 

 

6,358,500

 

 

 

 

 

 

 

10,579,328

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD QUALITY FUND III, INC.

APRIL 30, 2012

5


 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Wisconsin — 1.1%

 

 

 

 

 

 

 

Wisconsin Health & Educational
Facilities Authority, RB:

 

 

 

 

 

 

 

Ascension Health Senior Credit
Group, 5.00%, 11/15/33

 

$

3,745

 

$

4,078,193

 

Froedtert & Community
Health, Inc., 5.25%,
4/01/39

 

 

3,500

 

 

3,803,905

 

SynergyHealth Inc., 6.00%,
11/15/32

 

 

3,395

 

 

3,488,668

 

 

 

 

 

 

 

11,370,766

 

Total Municipal Bonds – 106.4%

 

 

 

 

 

1,066,723,706

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Arizona — 1.5%

 

 

 

 

 

 

 

Arizona School Facilities Board, COP
(AGC), 5.13%, 9/01/21

 

 

10,000

 

 

11,359,600

 

Salt River Project Agricultural
Improvement & Power District, RB,
Series A, 5.00%, 1/01/38

 

 

3,500

 

 

3,795,785

 

 

 

 

 

 

 

15,155,385

 

California — 11.8%

 

 

 

 

 

 

 

Alameda County Joint Powers Authority,
Refunding RB, Lease (AGM), 5.00%,
12/01/34

 

 

6,990

 

 

7,495,587

 

California State University, RB,
Systemwide, Series A (AGM):

 

 

 

 

 

 

 

5.00%, 11/01/33

 

 

7,996

 

 

8,604,924

 

5.00%, 11/01/37

 

 

18,435

 

 

20,090,906

 

City of Riverside California, RB, Issue D
(AGM), 5.00%, 10/01/38

 

 

20,000

 

 

21,261,400

 

Foothill-De Anza Community College
District, GO, Election of 1999, Series
C (NPFGC), 5.00%, 8/01/36

 

 

7,500

 

 

8,107,650

 

Las Virgenes Unified School District
California, GO, Series A (AGM), 5.00%,
8/01/31

 

 

10,000

 

 

10,681,538

 

Los Angeles Community College District
California, GO, Series A, 6.00%,
8/01/33

 

 

5,248

 

 

6,206,610

 

Orange County Sanitation District, COP,
Series B (AGM), 5.00%, 2/01/37

 

 

10,780

 

 

11,646,389

 

San Diego Community College District
California, GO, Election of 2002,
5.25%, 8/01/33

 

 

1,047

 

 

1,201,625

 

San Diego County Water Authority, COP,
Refunding, Series 2008-A (AGM),
5.00%, 5/01/33

 

 

9,370

 

 

10,220,327

 

San Francisco Bay Area Rapid Transit
District, RB (AGM), 5.00%, 7/01/36

 

 

10,000

 

 

10,745,570

 

University of California, RB, Series O,
5.75%, 5/15/34

 

 

2,205

 

 

2,558,461

 

 

 

 

 

 

 

118,820,987

 

 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Colorado — 0.3%

 

 

 

 

 

 

 

Colorado Health Facilities Authority,
Refunding RB, Catholic Healthcare,
Series A, 5.50%, 7/01/34

 

$

2,469

 

$

2,763,447

 

Connecticut — 0.6%

 

 

 

 

 

 

 

Connecticut State Health & Educational
Facility Authority, RB, Yale University,
Series T-1, 4.70%, 7/01/29

 

 

5,010

 

 

5,689,556

 

District of Columbia — 1.9%

 

 

 

 

 

 

 

District of Columbia, RB, Series A,
5.50%, 12/01/30

 

 

2,595

 

 

3,167,950

 

District of Columbia Water & Sewer
Authority, RB, Series A, 6.00%,
10/01/35

 

 

4,281

 

 

5,304,133

 

Metropolitan Washington Airports
Authority, RB, Series B, AMT (AMBAC),
5.00%, 10/01/32

 

 

10,000

 

 

10,403,500

 

 

 

 

 

 

 

18,875,583

 

Florida — 3.4%

 

 

 

 

 

 

 

City of Tallahassee Florida Energy
System, RB (NPFGC), 5.00%,
10/01/32

 

 

3,300

 

 

3,517,173

 

County of Miami Dade Florida, RB,
(XLCA), 5.00%, 7/01/31

 

 

19,800

 

 

21,052,548

 

Florida State Board of Education, GO,
Series D, 5.00%, 6/01/37

 

 

3,299

 

 

3,640,049

 

Highlands County Health Facilities
Authority, RB, Adventist, Series C,
5.25%, 11/15/36

 

 

5,400

 

 

5,693,760

 

 

 

 

 

 

 

33,903,530

 

Georgia — 1.1%

 

 

 

 

 

 

 

Metropolitan Atlanta Rapid Transit
Authority, RB, Third Indenture, Series
B (AGM), 5.00%, 7/01/37

 

 

10,000

 

 

10,891,443

 

Hawaii — 1.1%

 

 

 

 

 

 

 

Honolulu City & County Board of Water
Supply, RB, Series A (FGIC), 5.00%,
7/01/33

 

 

9,830

 

 

10,816,932

 

Illinois — 3.5%

 

 

 

 

 

 

 

City of Chicago Illinois, GO, Refunding,
Series A (AGC), 5.25%, 1/01/24

 

 

11,000

 

 

12,342,000

 

City of Chicago Illinois, RB:

 

 

 

 

 

 

 

Motor Fuel Tax, Series A (AGC),
5.00%, 1/01/38

 

 

4,000

 

 

4,174,080

 

Sales Tax Revenue, Series A,
5.00%, 1/01/41

 

 

2,190

 

 

2,382,392

 

Illinois Finance Authority, RB, University
of Chicago, Series B, 6.25%, 7/01/38

 

 

10,000

 

 

12,112,900

 

State of Illinois, RB, Build Illinois, Series
B, 5.25%, 6/15/34

 

 

3,499

 

 

3,849,524

 

 

 

 

 

 

 

34,860,896

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD QUALITY FUND III, INC.

APRIL 30, 2012

6


 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Kentucky — 0.7%

 

 

 

 

 

 

 

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

 

$

5,985

 

$

6,827,676

 

Louisiana — 1.1%

 

 

 

 

 

 

 

State of Louisiana Gas & Fuels, RB,
Series A (AGM), 5.00%, 5/01/36

 

 

10,000

 

 

10,729,300

 

Nevada — 0.6%

 

 

 

 

 

 

 

Clark County Water Reclamation
District, GO, Series B:

 

 

 

 

 

 

 

5.50%, 7/01/29

 

 

510

 

 

588,318

 

5.75%, 7/01/34

 

 

4,813

 

 

5,796,627

 

 

 

 

 

 

 

6,384,945

 

New Jersey — 1.3%

 

 

 

 

 

 

 

Garden State Preservation Trust, RB,
Election of 2005, Series A (AGM),
5.75%, 11/01/28

 

 

10,000

 

 

13,067,700

 

New York — 5.0%

 

 

 

 

 

 

 

New York City Municipal Water & Sewer
Finance Authority, Refunding RB,
Series DD, 5.00%, 6/15/37

 

 

17,567

 

 

18,967,966

 

Port Authority of New York & New
Jersey, RB, 155th Series (AGM),
5.13%, 7/15/30

 

 

19,500

 

 

20,934,420

 

Port Authority of New York & New
Jersey, RB, Consolidated, 143rd
Series, 5.00%, 10/01/30

 

 

5,180

 

 

5,589,790

 

Triborough Bridge & Tunnel Authority,
RB, General, Series A-2, 5.25%,
11/15/34

 

 

4,500

 

 

5,085,900

 

 

 

 

 

 

 

50,578,076

 

North Carolina — 1.0%

 

 

 

 

 

 

 

North Carolina HFA, RB, Series 31-A,
AMT, 5.25%, 7/01/38

 

 

9,886

 

 

10,127,716

 

Ohio — 0.7%

 

 

 

 

 

 

 

County of Montgomery Ohio, RB,
Catholic Health, Series C-1 (AGM),
5.00%, 10/01/41

 

 

4,990

 

 

5,353,946

 

State of Ohio, RB, Cleveland Clinic
Health, Series B, 5.50%, 1/01/34

 

 

1,520

 

 

1,695,529

 

 

 

 

 

 

 

7,049,475

 

Puerto Rico — 0.7%

 

 

 

 

 

 

 

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

 

 

6,540

 

 

7,156,068

 

South Carolina — 0.5%

 

 

 

 

 

 

 

South Carolina State Housing Finance &
Development Authority, Refunding RB,
Series B-1, 5.55%, 7/01/39

 

 

4,518

 

 

4,771,687

 

South Dakota — 0.2%

 

 

 

 

 

 

 

South Dakota HDA, RB, Homeownership
Mortgage, Series K, 5.05%, 5/01/36

 

 

2,500

 

 

2,525,550

 

 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Texas — 4.1%

 

 

 

 

 

 

 

Friendswood ISD Texas, GO,
Schoolhouse (PSF-GTD), 5.00%,
2/15/37

 

$

12,955

 

$

13,986,613

 

Houston ISD, GO, Schoolhouse (PSF-
GTD), 5.00%, 2/15/33

 

 

10,000

 

 

11,174,700

 

North East ISD Texas, GO, School
Building, Series A, 5.00%, 8/01/37

 

 

3,500

 

 

3,862,740

 

Texas State University Systems,
Refunding RB, 5.25%, 3/15/26

 

 

10,000

 

 

11,841,500

 

 

 

 

 

 

 

40,865,553

 

Virginia — 0.4%

 

 

 

 

 

 

 

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

 

 

3,944

 

 

4,350,512

 

Washington — 5.7%

 

 

 

 

 

 

 

Central Puget Sound Regional Transit
Authority, RB, Series A (AGM), 5.00%,
11/01/34

 

 

16,770

 

 

18,861,806

 

County of King Washington, RB (AGM),
5.00%, 1/01/37

 

 

15,785

 

 

17,176,251

 

Port of Seattle Washington, Refunding
RB, Series B, AMT (NPFGC), 5.20%,
7/01/29

 

 

20,565

 

 

20,907,115

 

 

 

 

 

 

 

56,945,172

 

Wisconsin — 1.6%

 

 

 

 

 

 

 

State of Wisconsin, Refunding RB,
Series A, 6.00%, 5/01/36

 

 

10,000

 

 

12,104,400

 

Wisconsin Health & Educational
Facilities Authority, Refunding RB,
Froedtert & Community Health Inc.,
5.25%, 4/01/39

 

 

3,959

 

 

4,302,891

 

 

 

 

 

 

 

16,407,291

 

Total Municipal Bonds Transferred to Tender Option
Bond (TOB) Trusts – 48.8%

 

 

 

 

 

489,564,480

 

Total Long-Term Investments
(Cost – $1,427,794,468) – 155.2%

 

 

 

 

 

1,556,288,186

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund,
0.01% (f)(g)

 

 

26,452,031

 

 

26,452,031

 

Total Short-Term Securities
(Cost – $26,452,031) – 2.6%

 

 

 

 

 

26,452,031

 

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD QUALITY FUND III, INC.

APRIL 30, 2012

7


 

 

 

 

Schedule of Investments (continued)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)


 

 

 

 

 

 

 

Value

 

Total Investments (Cost - $1,454,246,499*) – 157.8%

 

$

1,582,740,217

 

Other Assets Less Liabilities – 1.2%

 

 

12,384,000

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable – (23.5)%

 

 

(235,896,044

)

VRDP Shares, at Liquidation Value – (35.5)%

 

 

(356,400,000

)

Net Assets Applicable to Common Shares – 100.0%

 

$

1,002,828,173

 

 

 

 

*

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


 

 

 

 

 

Tax Cost

 

$

1,220,820,176

 

Gross unrealized appreciation

 

$

128,534,786

 

Gross unrealized depreciation

 

$

(2,381,242

)

Net unrealized appreciation

 

$

126,153,544

 

 

 

(a)

Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown reflects the current yield as of report date.

 

 

(b)

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

 

 

(c)

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

 

 

(d)

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


 

 

 

 

 

 

 

 

 Counterparty

 

Value

 

Unrealized
Appreciation

 

 Morgan Stanley & Co., Inc.

 

$

6,013,565

 

$

48,561

 

 

 

(e)

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.

 

 

(f)

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

 

 

FFI Institutional
Tax-Exempt
Fund

 

 

4,703,282

 

 

21,748,749

 

 

26,452,031

 

$

3,016

 

 

 

(g)

Represents the current yield as of report date.

 

 

•

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

560

 

10-Year
US
Treasury
Note

 

Chicago
Board of
Trade

 

June
2012

 

$

74,077,500

 

$

(889,111

)

 

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

COP

Certificates of Participation

EDA

Economic Development Authority

ERB

Education Revenue Bonds

FGIC

Financial Guaranty Insurance Co.

GAB

Grant Anticipation Bonds

Ginnie Mae

Government National Mortgage Association

GO

General Obligation Bonds

HDA

Housing Development Authority

HFA

Housing Finance Agency

HRB

Housing Revenue Bonds

ISD

Independent School District

MRB

Mortgage Revenue Bonds

NPFGC

National Public Finance Guarantee Corp.

PSF-GTD

Permanent School Fund Guaranteed

RB

Revenue Bonds

S/F

Single-Family

Syncora

Syncora Guarantee

XLCA

XL Capital Assurance, Inc.

 

 

 

 

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 QUALITY FUND III, INC.

APRIL 30, 2012

8


 

 

 

 

Schedule of Investments (concluded)

BlackRock MuniYield Quality Fund III, Inc. (MYI)

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

 

 

—

 

 

$1,556,288,186

 

 

—

 

$

1,556,288,186

 

Short-Term
Securities

 

$

26,452,031

 

 

—

 

 

—

 

 

26,452,031

 

Total

 

$

26,452,031

 

$

1,556,288,186

 

 

—

 

$

1,582,740,217

 

 

 

1

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


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate
contracts

 

$

(889,111

)

 

—

 

 

—

 

$

(889,111

)

 

 

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

 

$

740,000

 

 

—

 

 

—

 

$

740,000

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Bank overdraft

 

 

(29,700

)

 

—

 

 

—

 

 

(29,700

)

TOB trust
certificates

 

 

—

 

$

(235,766,497

)

 

—

 

 

(235,766,497

)

VRDP shares

 

 

—

 

 

(356,400,000

)

 

—

 

 

(356,400,000

)

Total

 

$

710,300

 

$

(592,166,497

)

 

—

 

$

(591,456,197

)

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

 

 

 

 

 

 

 

 

 

BLACKROCK MUNIYIELD QUALITY FUND III, INC.

APRIL 30, 2012

9

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 Quality Fund III, Inc.

 

 
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock MuniYield Quality Fund III, Inc.
   
  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 Quality Fund III, Inc.
   
  Date: June 22, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock MuniYield Quality Fund III, Inc.
     
  Date: June 22, 2012