BLACKROCK NEW YORK MUNICIPAL BOND TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-21037

Name of Fund:  BlackRock New York Municipal Bond Trust (BQH)

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 Bond Trust, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2015

Date of reporting period: 05/31/2015

Item 1 – Schedule of Investments

Schedule of Investments May 31, 2015 (Unaudited)

   

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)		     Value  

New York — 138.7%

                 

Corporate — 11.6%

  

City of New York New York Build Resource Corp., Refunding RB, Pratt Paper, Inc. Project, AMT, 5.00%, 1/01/35 (a)

    $ 100      $ 106,542   

City of New York New York Industrial Development Agency, ARB, American Airlines, Inc., JFK International Airport, AMT (b):

     

7.63%, 8/01/25

      750        807,833   

7.75%, 8/01/31

      1,000        1,078,830   

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

      690        754,501   

County of Chautauqua New York Industrial Development Agency, RB, NRG Dunkirk Power Project, 5.88%, 4/01/42

      750        838,837   

County of Essex New York Industrial Development Agency, RB, International Paper Co. Project, Series A, AMT, 6.63%, 9/01/32

      100        112,498   

County of Suffolk New York Industrial Development Agency, RB, KeySpan Generation LLC, Port Jefferson, AMT, 5.25%, 6/01/27

      500        502,115   

Niagara Area Development Corp., Refunding RB, Solid Waste Disposal Facility, Covanta Energy Project, Series A, AMT, 5.25%, 11/01/42 (a)

      375        387,739   

Port Authority of New York & New Jersey, ARB, Continental Airlines, Inc. & Eastern Air Lines, Inc. Project, LaGuardia, AMT, 9.13%, 12/01/15

      480        487,584   
    

 

 

  
               5,076,479   

County/City/Special District/School District — 35.6%

  

City of New York New York, GO:

     

Fiscal 2009, Series A-1, 4.75%, 8/15/25

      500        550,380   

Fiscal 2012, Sub-Series G-1, 5.00%, 4/01/29

      250        283,343   

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

      245        278,558   

Series D, 5.38%, 6/01/32

      15        15,062   

Series G-1, 6.25%, 12/15/18 (c)

      245        288,559   
Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

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

  

City of New York New York, GO (concluded):

     

Series G-1, 6.25%, 12/15/31

    $ 5      $ 5,877   

Sub-Series I-1, 5.38%, 4/01/36

      450        510,885   

City of New York New York, GO, Refunding:

     

Series E, 5.50%, 8/01/25

      455        560,137   

Series J, 5.00%, 8/01/32

      1,620        1,843,236   

City of New York New York, GO:

     

City of New York New York Convention Center Development Corp., RB, Hotel Unit Fee Secured (AMBAC), 4.75%, 11/15/45

      500        502,025   

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

     

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/41 (d)

      4,155        1,313,022   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/42 (d)

      500        150,705   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/43 (d)

      2,000        574,860   

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/45 (d)

      950        248,178   

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

      100        114,702   

Queens Baseball Stadium (AMBAC), 5.00%, 1/01/39

      325        332,663   

Yankee Stadium Project (NPFGC), 5.00%, 3/01/46

      175        178,316   

City of New York New York Transitional Finance Authority Future Tax Secured, RB, Sub-Series B-1, 5.00%, 11/01/35

      200        226,088   

City of Yonkers, GO, Refunding Series B (AGM), 5.00%, 8/01/23

      100        119,399   

 

                
   BLACKROCK NEW YORK MUNICIPAL BOND TRUST    MAY 31, 2015    1

Schedule of Investments (continued)

   

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

 

Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

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

  

Hudson Yards Infrastructure Corp., RB, Series A:

     

5.00%, 2/15/47

    $ 650      $ 684,710   

(AGM), 5.00%, 2/15/47

      750        792,135   

(NPFGC), 4.50%, 2/15/47

      790        815,991   

(NPFGC), 5.00%, 2/15/47

      465        489,831   

New York Liberty Development Corp., Refunding RB:

     

2nd Priority, Bank of America Tower at 1 Bryant Park Project, Class 2, 5.63% 7/15/47

      1,350        1,521,463   

2nd Priority, Bank of America Tower at 1 Bryant Park Project, Class 3, 6.38% 7/15/49

      285        323,558   

3 World Trade Center Project, Class 2, 5.38%, 11/15/40 (a)

      120        129,648   

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

      750        846,892   

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

      340        392,170   

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

      320        343,600   

7 World Trade Center Project, Class 2, 5.00%, 9/15/43

      550        605,412   

7 World Trade Center Project, Class 3, 5.00%, 3/15/44

      520        560,903   
    

 

 

  
        15,602,308   

Education — 36.1%

     

Amherst Development Corp., Refunding RB, University at Buffalo Foundation Faculty-Student Housing Corp., Series A (AGM), 4.63%, 10/01/40

      140        147,638   

Build NYC Resource Corp., RB, South Bronx Charter School for International Cultures & The Arts Project, Series A, 5.00%, 4/15/33

      200        204,166   

Build NYC Resource Corp., Refunding RB:

     

5.00%, 6/01/32

      450        507,375   

City University New York-Queens College Student Residences, LLC Project, Series A, 5.00%, 6/01/38

      250        279,368   

Packer Collegiate Institute Project, 5.00%, 6/01/40

      310        341,809   
Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Education (continued)

  

City of New York New York Trust for Cultural Resources, RB, Juilliard School, Series A, 5.00%, 1/01/39

    $ 250      $ 276,210   

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

     

American Museum of National History, 5.00%, 7/01/37

      110        124,671   

Carnegie Hall, 4.75%, 12/01/39

      400        428,364   

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

      610        661,331   

City of Yonkers New York Industrial Development Agency, RB, Sarah Lawrence College Project, Series A, 6.00%, 6/01/41

      250        283,265   

County of Cattaraugus New York, St. Bonaventure University Project, 5.00%, 5/01/39

      60        63,083   

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series A:

     

5.00%, 7/01/31

      500        555,555   

5.00%, 7/01/41

      500        545,375   

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

      120        133,206   

County of Nassau New York Industrial Development Agency, Refunding RB, New York Institute of Technology Project, Series A, 4.75%, 3/01/26

      200        210,320   

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

      100        111,736   

Geneva Development Corp., Refunding RB, Hobart and William Smith Colleges, 5.25%, 9/01/44

      160        180,773   

Hempstead Town Local Development Corp., Refunding RB, Adelphini University Project, 5.00%, 10/01/34

      105        118,252   

 

                
2    BLACKROCK NEW YORK MUNICIPAL BOND TRUST    MAY 31, 2015   

Schedule of Investments (continued)

   

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

 

Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Education (continued)

  

State of New York Dormitory Authority, ERB, Series B, 5.75%, 3/15/36

    $ 300      $ 344,886   

State of New York Dormitory Authority, RB:

     

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

      300        345,456   

New York University, Series 1 (AMBAC) (BHAC), 5.50%, 7/01/31

      245        306,321   

New York University, Series B, 5.00%, 7/01/42

      1,250        1,375,012   

Series C, 5.00%, 12/15/31

      155        165,438   

State University Dormitory Facilities, Series A, 5.00%, 7/01/39

      150        164,696   

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

      1,800        1,970,514   

Touro College & University System, Series A, 5.25%, 1/01/34

      250        277,225   

Touro College & University System, Series A, 5.50%, 1/01/39

      500        553,850   

University of Rochester, Series A, 5.13%, 7/01/39

      215        241,565   

University of Rochester, Series A, 5.75%, 7/01/39

      175        200,160   

State of New York Dormitory Authority, Refunding RB:

     

Barnard College, Series A, 5.00%, 7/01/34

      100        114,670   

Brooklyn Law School, 5.75%, 7/01/33

      125        140,101   

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

      150        168,998   

Fordham University, 5.00%, 7/01/44

      340        377,723   

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

      445        494,836   

New York University, Series A, 5.00%, 7/01/42

      1,750        1,925,017   

Skidmore College, Series A, 5.00%, 7/01/28

      250        285,780   

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

      350        408,915   

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

      350        406,998   
Municipal Bonds    Par  
(000)		     Value  

New York (continued)

                 

Education (concluded)

  

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

     

Teachers College, 5.50%, 3/01/39

    $ 350      $ 388,577   
    

 

 

  
               15,829,235   

Health — 18.9%

     

Buffalo & Erie County Industrial Land Development Corp., RB, 5.25%, 7/01/35

      500        561,160   

County of Dutchess New York Local Development Corp., Refunding RB, Health Quest System, Inc., Series A (AGM), 5.75%, 7/01/30

      350        402,045   

County of Genesee New York Industrial Development Agency, Refunding RB, United Memorial Medical Center Project, 5.00%, 12/01/27

      150        150,125   

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

      370        396,015   

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

      275        317,559   

County of Saratoga New York Industrial Development Agency, RB, Saratoga Hospital Project, Series B, 5.25%, 12/01/32

      200        213,478   

County of Suffolk New York Economic Development Corp., RB, Catholic Health Services, Series C, 5.00%, 7/01/32

      80        88,027   

County of Suffolk New York Industrial Development Agency, Refunding RB, Jefferson’s Ferry Project, 5.00%, 11/01/28

      260        266,092   

County of Westchester New York Healthcare Corp., Refunding RB, Senior Lien:

     

Remarketing, Series A, 5.00%, 11/01/30

      1,150        1,236,882   

Series B, 6.00%, 11/01/30

      200        227,152   

 

                
   BLACKROCK NEW YORK MUNICIPAL BOND TRUST    MAY 31, 2015    3

Schedule of Investments (continued)

   

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Health (concluded)

     

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project, 5.00%, 1/01/34

    $ 500      $ 531,760   

State of New York Dormitory Authority, RB:

     

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

      5        5,619   

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

      330        367,366   

New York State Association for Retarded Children, Inc., Series B (AMBAC), 6.00%, 7/01/32

      185        208,708   

New York University Hospitals Center, Series A, 5.75%, 7/01/31

      220        252,941   

North Shore-Long Island Jewish Obligated Group, Series A, 5.50%, 5/01/19 (c)

      450        498,352   

North Shore-Long Island Jewish Obligated Group, Series A, 5.75%, 5/01/19 (c)

      500        559,150   

State of New York Dormitory Authority, Refunding RB:

     

Miriam Osborn Memorial Home Association, 5.00%, 7/01/29

      290        307,223   

Mount Sinai Hospital, Series A, 5.00%, 7/01/26

      315        353,364   

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

      1,000        1,092,430   

North Shore-Long Island Jewish Obligated Group, Series E, 5.50%, 5/01/33

      250        278,147   
    

 

 

  
        8,313,595   

Housing — 4.8%

     

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

      735        830,432   

5.00%, 7/01/33

      250        275,655   

City of New York New York Housing Development Corp., Refunding RB, M/F Housing, 8 Spruce Street, Class F, 4.50%, 2/15/48

      500        519,615   
Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Housing (concluded)

     

State of New York HFA, RB, M/F Housing, Highland Avenue Senior Apartments, Series A, AMT (SONYMA), 5.00%, 2/15/39

    $ 500      $ 505,765   
    

 

 

  
        2,131,467   

State — 6.2%

     

City of New York New York Transitional Finance Authority, BARB, Fiscal 2015, Series S-1, 5.00%, 7/15/43

      500        558,235   

Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A, 4.00%, 10/15/32

      250        267,130   

State of New York, GO, Series A, 5.00%, 2/15/39

      250        279,652   

State of New York Dormitory Authority, RB, State Supported Debt, Series A, 5.00%, 3/15/44

      90        101,154   

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

      80        90,450   

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

      1,000        1,128,720   

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C, 5.00%, 3/15/30

      250        285,817   
    

 

 

  
        2,711,158   

Tobacco — 1.1%

     

Chautauqua New York Tobacco Asset Securitization Corp., Refunding RB, 4.75%, 6/01/39

      75        72,599   

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (a)

      200        204,060   

 

                
4    BLACKROCK NEW YORK MUNICIPAL BOND TRUST    MAY 31, 2015   

Schedule of Investments (continued)

   

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

New York (continued)

                 

Tobacco (concluded)

     

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed, 5.25%, 5/15/40

    $ 170      $ 187,619   
    

 

 

  
        464,278   

Transportation — 17.2%

     

Metropolitan Transportation Authority, RB:

     

Dedicated Tax Fund, Series A, 5.63%, 11/15/39

      250        281,645   

Series C, 6.50%, 11/15/28

      700        824,635   

Series D, 5.25%, 11/15/41

      1,000        1,130,400   

Metropolitan Transportation Authority, Refunding RB:

     

Series D, 5.25%, 11/15/30

      250        291,148   

Series D, 5.25%, 11/15/31

      250        290,135   

Series D, 5.25%, 11/15/32

      170        196,059   

Series F, 5.00%, 11/15/30

      500        573,455   

Port Authority of New York & New Jersey, ARB, Special Project, JFK International Air Terminal LLC Project, Series 8, 6.00%, 12/01/42

      500        585,560   

Port Authority of New York & New Jersey, Refunding ARB:

     

179th Series, 5.00%, 12/01/38

      150        168,777   

Consolidated, 146th Series, AMT (AGM), 4.50%, 12/01/34

      500        512,820   

Consolidated, 147th Series, AMT, 4.75%, 4/15/37

      150        154,476   

Port Authority of New York & New Jersey, Refunding RB:

     

178th Series, AMT, 5.00%, 12/01/32

      270        299,362   

Consolidated, 189th Series, 5.00%, 5/01/45

      575        648,301   

State of New York Thruway Authority, Refunding RB:

     

General:

     

Series I, 5.00%, 1/01/37

      500        556,525   

Series I, 5.00%, 1/01/42

      140        152,688   

Series J, 5.00%, 1/01/41

      250        274,685   

Triborough Bridge & Tunnel Authority, RB, General, Series A, 5.25%, 11/15/45

      275        317,427   
Municipal Bonds   

Par  

(000)

     Value  

New York (concluded)

                 

Transportation (concluded)

     

Triborough Bridge & Tunnel Authority, Refunding RB (d):

     

CAB, Sub-Series A, 0.00%, 11/15/32

    $ 170      $ 88,164   

General, Series B, 0.00%, 11/15/32

      400        216,008   
    

 

 

  
               7,562,270   

Utilities — 7.2%

     

Long Island Power Authority, RB, General:

     

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

      500        603,160   

Series A (AGM), 5.00%, 5/01/36

      225        248,603   

Long Island Power Authority, Refunding RB, Electric System, Series A, 5.50%, 4/01/24

      100        111,330   

New York City Water & Sewer System, Refunding RB, 2nd General Resolution, 5.00%, 6/15/39

      250        281,750   

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

      600        669,624   

Utility Debt Securitization Authority, Refunding RB, Restructuring, Series E, 5.00%, 12/15/41

      1,115        1,264,878   
    

 

 

  
               3,179,345   
Total Municipal Bonds in New York              60,870,135   
    

Puerto Rico — 0.6%

                 

Housing — 0.6%

     

Puerto Rico Housing Finance Authority, Refunding RB, M/F Housing, Subordinate, Capital Fund Modernization, 5.13%, 12/01/27

      250        267,295   
Total Municipal Bonds — 139.3%        61,137,430   
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)		               

New York — 19.8%

                 

County/City/Special District/School District — 7.3%

     

City of New York New York, GO, Sub-Series I-1, 5.00%, 3/01/36

      250        281,470   

 

                
   BLACKROCK NEW YORK MUNICIPAL BOND TRUST    MAY 31, 2015    5

Schedule of Investments (continued)

   

BlackRock New York Municipal Bond Trust (BQH)

(Percentages shown are based on Net Assets)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (e)		   

Par  

(000)

     Value  

New York (continued)

                 

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

     

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

    $ 825      $ 922,762   

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

      700        799,013   

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

      1,050        1,187,130   
    

 

 

  
        3,190,375   

State — 1.9%

     

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

      500        556,784   

Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A, 5.00%, 10/15/31

      255        299,829   
    

 

 

  
        856,613   

Transportation — 3.2%

     

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

      630        718,874   

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

      600        683,352   
    

 

 

  
        1,402,226   

Utilities — 7.4%

     

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

      405        458,925   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)		   

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:

     

Series BB, 5.00%, 6/15/44

    $ 1,500      $ 1,662,520   

Series HH, 5.00%, 6/15/32

      990        1,121,997   
    

 

 

  
        3,243,442   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 19.8%		         8,692,656   
Total Long-Term Investments
(Cost — $64,442,771) — 159.1%		         69,830,086   
    
                  
Short-Term Securities    Shares         

BIF New York Municipal Money Fund, 0.00% (g)(h)

      360,308        360,308   
Total Short-Term Securities
(Cost — $360,308) — 0.8%		              360,308   
Total Investments (Cost — $64,803,079*) — 159.9%        70,190,394   
Other Assets Less Liabilities — 2.1%        867,792   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (11.6)%

   

     (5,072,049 ) 
VRDP Shares, at Liquidation Value — (50.4)%        (22,100,000 ) 
    

 

 

  
Net Assets Applicable to Common Shares — 100.0%      $ 43,886,137   
    

 

 

  

*  As of May 31, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

      

Tax cost

      $ 59,712,036   
    

 

 

  

Gross unrealized appreciation

      $ 5,503,143   

Gross unrealized depreciation

        (95,000 ) 
    

 

 

  

Net unrealized appreciation

      $ 5,408,143   
    

 

 

  

 

Notes to Schedule of Investments

 

(a)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(b)   Variable rate security. Rate shown is as of report date.

 

(c)   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.

 

(d)   Zero-coupon bond.

 

(e)   Represent bonds transferred to a TOB Trust in exchange of cash and residual interest certificates received by the Trust. These bonds serve as collateral in a secured borrowing.

 

                
6    BLACKROCK NEW YORK MUNICIPAL BOND TRUST    MAY 31, 2015   

Schedule of Investments (continued)

   

BlackRock New York Municipal Bond Trust (BQH)

 

 

(f)   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 or in the event of a default on the security. In the case of a shortfall or default, the aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on February 15, 2019, is $370,682.

 

(g)   During the period ended May 31, 2015, investments in issuers considered to be an affiliate 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,

2014

        Net
Activity		       

Shares Held

at May 31,

2015

        Income  

BIF New York Municipal Money Fund

        426,743           (66,435 )         360,308           —   

 

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

 

Portfolio Abbreviations

 

AGC

   

Assured Guarantee Corp.

AGM

   

Assured Guaranty Municipal Corp.

AMBAC

   

American Municipal Bond Assurance Corp.

AMT

   

Alternative Minimum Tax (subject to)

ARB

   

Airport Revenue Bonds

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

HFA

   

Housing Finance Agency

M/F

   

Multi-Family

NPFGC

   

National Public Finance Guarantee Corp.

PILOT

   

Payment in Lieu of Taxes

RB

   

Revenue Bonds

SONYMA

   

State of New York Mortgage Agency

 

•  

As of May 31, 2015, financial futures contracts outstanding were as follows:

 

Contracts
Short		     Issue   Exchange   Expiration   Notional
Value		     Unrealized
Depreciation		  
  (41 )    10-Year U.S. Treasury Note   Chicago Board of Trade   September 2015   $ 5,235,188      $ (16,716 ) 

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

 

                
   BLACKROCK NEW YORK MUNICIPAL BOND TRUST    MAY 31, 2015    7

Schedule of Investments (continued)

   

BlackRock New York Municipal Bond Trust (BQH)

 

 

•  

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

 

  •  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the 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 the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its semi-annual report.

As of May 31, 2015, 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

     —         $ 69,830,086         —      $ 69,830,086   

Short-Term Securities

   $ 360,308           —         —        360,308   
 

 

 

  

Total

   $ 360,308         $ 69,830,086         —      $ 70,190,394   
 

 

 

  

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

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2                 

Liabilities:

                 

Interest rate contracts

   $ (16,716 )         —         —      $ (16,716 ) 

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

       

 

                
8    BLACKROCK NEW YORK MUNICIPAL BOND TRUST    MAY 31, 2015   

Schedule of Investments (concluded)

   

BlackRock New York Municipal Bond Trust (BQH)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of May 31, 2015, 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

   $ 55,350           —         —      $ 55,350   

Liabilities:

                 

TOB Trust Certificates

     —         $ (5,070,215 )       —        (5,070,215 ) 

VRDP Shares

     —           (22,100,000 )       —        (22,100,000 ) 
 

 

 

  

Total

   $ 55,350         $ (27,170,215 )       —      $ (27,114,865 ) 
 

 

 

  

During the period ended May 31, 2015, there were no transfers between levels.

 

                
   BLACKROCK NEW YORK MUNICIPAL BOND TRUST    MAY 31, 2015    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 New York Municipal Bond Trust
By:   

/s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock New York Municipal Bond Trust
Date: July 23, 2015
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By:   

/s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock New York Municipal Bond Trust
Date: July 23, 2015
By:   

/s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock New York Municipal Bond Trust
Date: July 23, 2015