BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.

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 811-07080

Name of Fund:  BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

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

            Michigan Quality Fund, 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: 07/31/2016

Date of reporting period: 10/31/2015

Item 1 – Schedule of Investments

Schedule of Investments October 31, 2015 (Unaudited)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Michigan — 133.0%

                 

Corporate — 4.1%

  

  

County of Monroe EDC Michigan, Refunding RB, Detroit Edison Co. Project, Series AA (NPFGC), 6.95%, 9/01/22

    $ 14,500      $ 18,920,035   

County/City/Special District/School District — 21.5%

  

  

Anchor Bay School District, GO, Refunding (Q-SBLF):

     

4.38%, 5/01/27

      1,600        1,725,872   

4.50%, 5/01/29

      1,505        1,613,992   

Berkley School District, GO, School Building & Site (Q-SBLF), 5.00%, 5/01/35

      2,965        3,339,776   

Charter Township of Canton Michigan, GO, Capital Improvement (AGM):

     

5.00%, 4/01/25

      3,090        3,266,810   

5.00%, 4/01/26

      3,250        3,437,395   

5.00%, 4/01/27

      1,000        1,052,990   

City of Oak Park Michigan, GO, Street Improvement (NPFGC), 5.00%, 5/01/16 (a)

      1,100        1,126,312   

Columbia Michigan School District, GO, Unlimited Tax, School Building & Site (Q-SBLF), 5.00%, 5/01/38

      5,185        5,777,386   

Comstock Park Public Schools, GO, School Building & Site, Series B (Q-SBLF):

     

5.50%, 5/01/36

      1,200        1,391,316   

5.50%, 5/01/41

      2,185        2,529,072   

County of Genesee Michigan, GO, Refunding, Series A (NPFGC), 5.00%, 5/01/19

      1,000        1,019,870   

Dearborn Brownfield Redevelopment Authority, GO, Limited Tax, Redevelopment, Series A (AGC), 5.50%, 5/01/39

      5,300        5,911,302   

Dearborn School District, GO, Series A (Q-SBLF):

     

5.00%, 5/01/32

      1,500        1,707,450   

5.00%, 5/01/33

      1,600        1,812,784   

5.00%, 5/01/34

      1,200        1,354,152   

Farmington Public School District, GO, Refunding, School Building & Site (AGM):

     

5.00%, 5/01/33

      1,500        1,701,315   

5.00%, 5/01/34

      1,500        1,701,315   

5.00%, 5/01/35

      1,000        1,132,470   
Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

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

  

  

Flint EDC, RB, Michigan Department of Human Services Office Building Project, 5.25%, 10/01/41

    $ 4,950      $ 5,273,086   

Goodrich Area School District Michigan, GO, School Building & Site (Q-SBLF):

     

5.50%, 5/01/32

      1,000        1,161,360   

5.50%, 5/01/36

      2,000        2,318,860   

5.50%, 5/01/41

      2,575        2,980,485   

Grandville Public Schools, GO, School Building & Site, Series II (Q-SBLF), 5.00%, 5/01/40

      3,250        3,564,080   

Harper Creek Community School District Michigan, GO, Refunding (AGM) (Q-SBLF), 5.00%, 5/01/22

      2,125        2,127,593   

Hudsonville Public Schools, GO, School Building & Site (Q-SBLF), 5.25%, 5/01/41

      6,750        7,669,215   

Jonesville Community Schools Michigan, GO, Refunding (NPFGC) (Q-SBLF), 5.00%, 5/01/29

      1,085        1,085,152   

Lincoln Consolidated School District Michigan, GO, Refunding (NPFGC) (Q-SBLF), 4.63%, 5/01/28

      4,425        4,502,039   

Livonia Public Schools School District Michigan, GO, Series I (AGM), 5.00%, 5/01/43

      5,000        5,501,550   

Mattawan Consolidated School District, GO, Series I (Q-SBLF), 5.00%, 5/01/39

      3,375        3,755,295   

Montrose Community Schools, GO (NPFGC) (Q-SBLF), 6.20%, 5/01/17

      415        433,858   

Thornapple Kellogg School District Michigan, GO, Refunding, School Building & Site (NPFGC) (Q-SBLF), 5.00%, 5/01/17 (a)

      3,000        3,201,900   

Troy School District, GO (Q-SBLF), 5.00%, 5/01/28

      2,000        2,328,060   

Walled Lake Consolidated School District, GO (Q-SBLF):

     

5.00%, 5/01/37

      2,850        3,188,323   

5.00%, 5/01/40

      2,630        2,918,774   

5.00%, 5/01/43

      1,530        1,692,364   
 

 

                
   BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    OCTOBER 31, 2015    1

Schedule of Investments (continued)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

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

  

  

Zeeland Public Schools, GO, School Building & Site, Series A (AGM):

     

5.00%, 5/01/33

    $ 1,000      $ 1,117,800   

5.00%, 5/01/34

      1,000        1,114,380   

5.00%, 5/01/35

      1,000        1,110,130   
    

 

 

  
        98,645,883   

Education — 20.7%

     

Ciy of Grand Rapids Michigan, EDC, RB, Ferris State University Project, Series A, 5.50%, 10/01/35

      760        857,865   

Ferris State University, Refunding RB, General (AGM):

     

4.50%, 10/01/24

      1,595        1,742,490   

4.50%, 10/01/25

      1,405        1,534,920   

Grand Valley State University, RB (NPFGC), 5.50%, 2/01/18

      1,115        1,163,224   

Michigan Finance Authority, Refunding RB, Series 25 A, AMT, Student Loan Revenue:

     

4.00%, 11/01/28

      8,750        8,845,637   

4.00%, 11/01/29

      5,900        5,938,586   

4.00%, 11/01/30

      2,850        2,851,454   

4.00%, 11/01/31

      3,150        3,143,952   

Michigan State University, Refunding RB, General:

     

Series A, 5.00%, 8/15/41

      5,000        5,612,450   

Series C, 5.00%, 2/15/40

      8,470        9,445,659   

Series C, 5.00%, 2/15/44

      1,000        1,115,190   

Michigan Technological University, RB, General, Series A, 5.00%, 10/01/45

      1,800        1,964,628   

Michigan Technological University, Refunding RB, Series A, 5.00%, 10/01/34

      840        948,310   

Oakland University, RB, General:

     

5.00%, 3/01/32

      400        438,816   

Series A, 5.00%, 3/01/38

      6,515        7,173,145   

Series A, 5.00%, 3/01/43

      16,845        18,466,500   

University of Michigan, RB, Series A, 5.00%, 4/01/39

      3,425        3,893,026   

Wayne State University, RB, Series A, 5.00%, 11/15/40

      3,000        3,326,310   

Western Michigan University, Refunding RB, General, University and College Improvements:

     

5.25%, 11/15/40

      3,500        3,860,955   

5.25%, 11/15/43

      8,475        9,576,326   
Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

Education (continued)

  

  

Western Michigan University, Refunding RB, General, University and College Improvements (continued):

     

(AGM), 5.25%, 11/15/33

    $ 1,000      $ 1,134,460   

(AGM), 5.00%, 11/15/39

      1,750        1,927,433   
    

 

 

  
        94,961,336   

Health — 34.8%

     

Grand Traverse County Hospital Finance Authority, RB, Series A:

     

5.00%, 7/01/44

      4,230        4,569,288   

5.00%, 7/01/47

      2,200        2,371,424   

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

      7,500        8,072,700   

Kent Hospital Finance Authority Michigan, Refunding RB, Spectrum Health, Series A, 5.00%, 11/15/29

      7,500        8,486,850   

Michigan Finance Authority, RB, Sparrow Obligated Group:

     

5.00%, 11/15/36

      2,500        2,696,600   

5.00%, 11/15/45

      3,750        4,113,563   

Michigan Finance Authority, Refunding RB:

     

5.00%, 6/01/39

      1,500        1,637,670   

Hospital, McLaren Health Care, 5.00%, 5/15/32

      1,000        1,125,090   

Hospital, McLaren Health Care, 5.00%, 5/15/33

      2,000        2,240,280   

Hospital, McLaren Health Care, 5.00%, 5/15/34

      5,000        5,590,950   

Hospital, McLaren Health Care, 5.00%, 5/15/34

      1,500        1,677,285   

Hospital, McLaren Health Care, 5.00%, 5/15/35

      4,945        5,508,235   

Hospital, Oakwood Obligated Group, 5.00%, 8/15/31

      1,500        1,646,835   

Trinity Health Credit Group, 5.00%, 12/01/31

      5,000        5,573,000   

Trinity Health Credit Group, 5.00%, 12/01/35

      6,500        7,164,885   

Trinity Health Credit Group, 5.00%, 12/01/39

      5,000        5,470,850   

Michigan State Hospital Finance Authority, RB:

     

Ascension Health Senior Credit Group, 5.00%, 11/15/25

      6,000        6,775,860   
 

 

                
2    BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    OCTOBER 31, 2015   

Schedule of Investments (continued)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

Health (continued)

  

  

Michigan State Hospital Finance Authority, RB (continued):

     

MidMichigan Obligated Group, Series A, 5.00%, 4/15/16 (a)

    $ 1,000      $ 1,021,600   

MidMichigan Obligated Group, Series A, 5.00%, 4/15/16 (a)

      3,550        3,626,680   

Trinity Health Credit, Series A, 5.00%, 12/01/16 (a)

      855        897,382   

Michigan State Hospital Finance Authority, Refunding RB:

     

Henry Ford Health System, Series A, 5.25%, 11/15/46

      2,500        2,595,600   

Henry Ford Health System, 5.75%, 11/15/39

      3,165        3,591,959   

Hospital, Oakwood Obligated Group, 5.00%, 11/01/32

      4,000        4,398,440   

Hospital, Oakwood Obligated Group, Series A, 5.00%, 7/15/17 (a)

      5,730        6,162,271   

Hospital, Oakwood Obligated Group, Series A, 5.00%, 7/15/17 (a)

      3,970        4,269,497   

Hospital, Oakwood Obligated Group, Series A, 5.00%, 7/15/17 (a)

      1,000        1,075,440   

Hospital, Sparrow Obligated Group, 5.00%, 11/15/17 (a)

      3,330        3,626,170   

Hospital, Sparrow Obligated Group, 5.00%, 11/15/31

      1,365        1,440,880   

McLaren Health Care, Series A, 5.75%, 5/15/18 (a)

      6,000        6,746,700   

McLaren Health Care, Series A, 5.00%, 6/01/35

      2,250        2,477,498   

Trinity Health Credit Group, 6.50%, 12/01/18 (a)

      1,895        2,218,079   

Trinity Health Credit Group, 6.50%, 12/01/33

      505        576,599   

Trinity Health Credit Group, Series A, 6.13%, 12/01/18 (a)

      940        1,089,554   

Trinity Health Credit Group, Series A, 6.25%, 12/01/18 (a)

      1,500        1,744,350   

Trinity Health Credit Group, Series C, 4.00%, 12/01/32

      5,300        5,463,982   

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital:

     

Series D, 5.00%, 9/01/39

      25,505        27,787,187   

Series V, 8.25%, 9/01/18 (a)

      2,000        2,409,820   
Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

Health (continued)

  

  

Royal Oak Hospital Finance Authority Michigan, Refunding RB, William Beaumont Hospital(continued):

     

Series W, 6.00%, 8/01/19 (a)

    $ 1,500      $ 1,771,065   
    

 

 

  
        159,712,118   

Housing — 6.9%

     

Michigan State HDA, RB:

     

Deaconess Tower, AMT (Ginnie Mae), 5.25%, 2/20/48

      2,000        2,039,720   

Series A, 4.75%, 12/01/25

      6,840        7,342,261   

Series A, 4.45%, 10/01/34

      1,000        1,028,610   

Series A, 4.63%, 10/01/39

      3,490        3,590,338   

Series A, 4.30%, 10/01/40

      3,320        3,346,859   

Series A, 4.75%, 10/01/44

      5,000        5,147,850   

Williams Pavilion, AMT (Ginnie Mae), 4.75%, 4/20/37

      3,485        3,513,542   

Michigan State HDA, Refunding RB, Series A, 6.05%, 10/01/41

      5,460        5,884,406   
    

 

 

  
        31,893,586   

State — 15.1%

     

Michigan Finance Authority, Refunding RB, Detroit Regional Convention Facility Authority Local Project Bonds, 5.00%, 10/01/39

      5,400        5,920,452   

Michigan State Finance Authority, RB, Local Government Loan Program, Series F, 5.00%, 4/01/31

      1,000        1,077,880   

Michigan Strategic Fund, RB, Michigan Senate Offices Project, Series A, 5.25%, 10/15/40

      3,000        3,365,730   

Michigan Strategic Fund, Refunding RB, Cadillac Place Office Building Project, 5.25%, 10/15/31

      7,000        7,962,430   

State of Michigan, COP (AMBAC),
0.00%, 6/01/22 (b)(c)

      3,000        2,663,910   

State of Michigan Building Authority, RB, Local Government Loan Program, Series F, 5.25%, 10/01/41

      8,595        9,202,752   

State of Michigan Building Authority, Refunding RB, Facilities Program:

     

Series I, 6.25%, 10/15/18 (a)

      3,780        4,372,591   

Series I, 6.25%, 10/15/38

      2,470        2,804,957   

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

      6,000        6,836,280   
 

 

                
   BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    OCTOBER 31, 2015    3

Schedule of Investments (continued)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

State (continued)

  

  

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

     

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

    $ 3,500      $ 3,976,910   

Series I (AGC), 5.25%, 10/15/26

      1,000        1,133,270   

Series I-A, 5.50%, 10/15/45

      2,000        2,232,780   

Series II (AGM), 5.00%, 10/15/26

      7,500        8,428,125   

State of Michigan Trunk Line Fund, RB:

     

5.00%, 11/15/33

      3,000        3,466,950   

5.00%, 11/15/36

      5,345        6,067,590   
    

 

 

  
        69,512,607   

Transportation — 14.4%

     

State of Michigan, RB, GAB (AGM), 5.25%, 9/15/27

      8,500        9,188,755   

Wayne County Airport Authority, RB:

     

Detroit Metropolitan Wayne County Airport, AMT (NPFGC), 5.25%, 12/01/25

      10,000        10,042,300   

Detroit Metropolitan Wayne County Airport, AMT (NPFGC), 5.00%, 12/01/34

      7,985        8,017,100   

Detroit Metropolitan Wayne County Airport, AMT (NPFGC), 5.00%, 12/01/39

      1,475        1,565,609   

Series D, 5.00%, 12/01/45

      5,000        5,424,450   

Wayne County Airport Authority, Refunding RB, AMT:

     

(AGC), 5.75%, 12/01/25

      4,000        4,490,120   

(AGC), 5.75%, 12/01/26

      4,060        4,557,472   

(AGC), 5.38%, 12/01/32

      13,000        14,339,650   

Series F, 5.00%, 12/01/34

      8,000        8,665,280   
    

 

 

  
        66,290,736   

Utilities — 15.5%

     

City of Detroit Michigan Sewage Disposal System, Refunding RB, Senior Lien, Series A, 5.25%, 7/01/39

      2,655        2,874,914   

City of Detroit Michigan Water Supply System, RB, Senior Lien, Series A (NPFGC), 5.00%, 7/01/34

      2,340        2,347,769   
Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

Utilities (continued)

  

  

City of Detroit Michigan Water Supply System, Refunding RB, 2nd Lien, Series C (AGM), 5.00%, 7/01/29

    $ 16,745      $ 16,998,184   

City of Grand Rapids Michigan Sanitary Sewer System, Refunding RB, Series A (NPFGC), 5.50%, 1/01/22

      1,500        1,726,860   

City of Holland Michigan Electric Utility System, RB, Series A, 5.00%, 7/01/39

      10,000        11,305,500   

City of Lansing Michigan, RB, Board of Water & Light Utilities System, Series A:

     

5.00%, 7/01/27

      3,180        3,698,181   

5.00%, 7/01/31

      6,830        7,782,034   

5.00%, 7/01/37

      3,335        3,737,401   

5.50%, 7/01/41

      5,000        5,887,950   

City of Port Huron Michigan, RB, Water Supply System:

     

5.25%, 10/01/31

      500        544,450   

5.63%, 10/01/40

      1,500        1,675,845   

Michigan Finance Authority, Refunding RB, Senior Lien, Detroit Water and Sewer, Series C-3:

     

5.00%, 7/01/31

      1,000        1,116,830   

5.00%, 7/01/32

      5,250        5,825,977   

5.00%, 7/01/33

      3,000        3,329,130   

Michigan Municipal Bond Authority, RB, State Clean Water Revolving Fund, Pooled Project, 5.00%, 10/01/27

      2,000        2,311,200   
    

 

 

  
        71,162,225   
Total Municipal Bonds in Michigan        611,098,526   
    

Guam — 3.0%

                 

State — 3.0%

     

Territory of Guam, RB:

     

Business Privilege Tax Bonds, Series A, 5.25%, 1/01/36

      810        887,533   

Business Privilege Tax Bonds, Series A, 5.13%, 1/01/42

      8,240        8,891,372   

Business Privilege Tax Bonds, Series B-1, 5.00%, 1/01/32

      1,495        1,634,872   

Business Privilege Tax Bonds, Series B-1, 5.00%, 1/01/37

      70        75,376   
 

 

                
4    BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    OCTOBER 31, 2015   

Schedule of Investments (continued)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

Municipal Bonds   

Par  

(000)

     Value  

Guam (continued)

                 

State (continued)

  

  

Territory of Guam, RB (continued):

     

Limited Obligation Bonds, Section 30, Series A, 5.63%, 12/01/29

    $ 2,250      $ 2,486,430   
Total Municipal Bonds in Guam              13,975,583   
    

U.S. Virgin Islands — 2.1%

                 

State — 2.1%

  

  

Virgin Islands Public Finance Authority, Refunding RB, Series C, 5.00%, 10/01/39

      8,935        9,489,238   
Total Municipal Bonds — 138.1%              634,563,347   
    
                  

Municipal Bonds Transferred to

Tender Option Bond Trusts (d)

             

Michigan — 17.6%

                 

County/City/Special District/School District — 4.3%

  

  

Lakewood Public Schools Michigan, GO, School Building & Site (AGM) (Q-SBLF), 5.00%, 5/01/17 (a)

      10,925        11,660,227   

Portage Public Schools Michigan, GO, School Building & Site (AGM), 5.00%, 5/01/31

      7,500        8,070,825   
    

 

 

  
               19,731,052   

Education — 12.0%

  

  

Michigan State University, Refunding RB, General, Series A, 5.00%, 8/15/38

      10,000        11,291,000   

Saginaw Valley State University, Refunding RB, General (AGM), 5.00%, 7/01/31

      10,000        10,823,400   

Wayne State Univeristy, RB, General, Series A, 5.00%, 11/15/40

      10,000        11,087,700   
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)		   

Par  

(000)

     Value  

Michigan (continued)

                 

Education (continued)

  

  

Wayne State University, Refunding RB, General (AGM), 5.00%, 11/15/35

    $ 20,000      $ 21,883,568   
    

 

 

  
               55,085,668   

Health — 1.3%

     

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

      190        207,892   

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

      5,150        5,707,900   
    

 

 

  
               5,915,792   

Total Municipal Bonds Transferred to

Tender Option Bond Trusts — 17.6%

  

  

     80,732,512   

Total Long-Term Investments

(Cost — $667,728,650) — 155.7%

  

  

     715,295,859   
    
                  
Short-Term Securities    Shares         

FFI Institutional Tax-Exempt
Fund, 0.02% (e)(f)

      7,153,514        7,153,514   

Total Short-Term Securities

(Cost — $7,153,514) — 1.5%

  

  

     7,153,514   
Total Investments (Cost — $674,882,164*) — 157.2%        722,449,373   
Other Assets Less Liabilities — 1.9%        8,614,933   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (8.6)%

   

     (39,564,867 ) 
VRDP Shares, at Liquidation Value — (50.5)%        (231,900,000 ) 
    

 

 

  
Net Assets Applicable to Common Shares — 100.0%      $ 459,599,439   
    

 

 

  

 

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

 

Tax cost

   $ 635,392,369   
 

 

 

  

Gross unrealized appreciation

   $ 47,862,426   

Gross unrealized depreciation

     (360,420 ) 
 

 

 

  

Net unrealized appreciation

   $ 47,502,006   
 

 

 

  
 

 

                
   BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    OCTOBER 31, 2015    5

Schedule of Investments (continued)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

 

Notes to Schedule of Investments

 

(a)   U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

(b)   Security is collateralized by municipal bonds or U.S. Treasury obligations.

 

(c)   Zero-coupon bond.

 

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

 

(e)   During the period ended October 31, 2015, investments in issuers considered to be an affiliate of the Fund 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,
2015		        Net
Activity		        Shares Held
at October 31,
2015		        Income  

FFI Institutional Tax-Exempt Fund

        1,873,459           5,280,055           7,153,514         $ 340   

 

(f)   Represents the current yield as of period end.

 

Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.
AGM    Assured Guaranty Municipal Corp.
AMBAC    American Municipal Bond Assurance Corp.
AMT    Alternative Minimum Tax (subject to)
COP    Certificates of Participation
EDC    Economic Development Corp.
GAB    Grant Anticipation Bonds
GO    General Obligation Bonds
HDA    Housing Development Authority
NPFGC    National Public Finance Guarantee Corp.
RB    Revenue Bonds

 

Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

 

Contracts
Short		     Issue   Expiration   Notional
Value		   Unrealized
Appreciation		  
  (27 )    5-Year U.S. Treasury Note   December 2015   $3,233,883   $ 37,733   
  (46 )    10-Year U.S. Treasury Note   December 2015   $5,873,625     83,678   
  (19 )    Long U.S. Treasury Bond   December 2015   $2,972,312     62,518   
  (3 )    U.S. Ultra Bond   December 2015   $479,250     10,215   
  Total            $ 194,144   
       

 

 

  

 

                
6    BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    OCTOBER 31, 2015   

Schedule of Investments (continued)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  •  

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as level 3.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its annual report.

As of period end, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                 
Investments:                 

Long-Term Investments1

     —         $ 715,295,859         —      $ 715,295,859   

Short-TermSecurities

   $ 7,153,514           —         —        7,153,514   
 

 

 

  

Total

   $ 7,153,514         $ 715,295,859         —      $ 722,449,373   
 

 

 

  

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

     
     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments1             

Assets:

                 

Interest rate contracts

   $ 194,144           —         —      $ 194,144   

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

       

 

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

 

                
   BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    OCTOBER 31, 2015    7

Schedule of Investments (concluded)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3      Total  

Assets:

                 

Cash pledged for financial futures contracts

   $ 375,950           —         —      $ 375,950   

Liabilities:

                 

Bank overdraft

     —         $ (391,755 )       —        (391,755 ) 

TOB Trust Certificates

     —           (39,554,998 )       —        (39,554,998 ) 

VRDP Shares

     —           (231,900,000 )       —        (231,900,000 ) 
 

 

 

  

Total

   $ 375,950         $ (271,846,753 )       —      $ (271,470,803 ) 
 

 

 

  

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

 

                
8    BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    OCTOBER 31, 2015   

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 Michigan Quality Fund, Inc.
  By:   /s/ John M. Perlowski                        
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of BlackRock MuniYield Michigan Quality Fund, Inc.
  Date:   December 22, 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 MuniYield Michigan Quality Fund, Inc.
  Date:   December 22, 2015
  By:   /s/ Neal J. Andrews                        
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of BlackRock MuniYield Michigan Quality Fund, Inc.
  Date:   December 22, 2015