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: 04/30/2016

 

Item 1 – Schedule of Investments

Schedule of Investments April 30, 2016 (Unaudited)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Michigan — 134.3%

                 

Corporate — 4.0%

     

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

    $ 14,500      $ 19,089,685   

County/City/Special District/School District — 22.4%

  

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

     

4.38%, 5/01/27

      1,600        1,795,552   

4.50%, 5/01/29

      1,505        1,686,413   

Battle Creek School District Michigan, GO, Refunding (Q-SBLF):

     

5.00%, 5/01/35

      1,100        1,280,675   

5.00%, 5/01/36

      1,500        1,737,960   

5.00%, 5/01/37

      1,170        1,350,180   

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

      2,965        3,473,320   

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

     

5.00%, 4/01/25

      3,090        3,205,628   

5.00%, 4/01/26

      3,250        3,372,557   

5.00%, 4/01/27

      1,000        1,036,860   

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

      1,100        1,100,275   

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

      5,185        5,967,520   

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

     

5.50%, 5/01/36

      1,200        1,397,880   

5.50%, 5/01/41

      2,185        2,545,307   

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

      1,000        1,022,350   

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

      5,300        5,899,324   
Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

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

  

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

     

5.00%, 5/01/32

    $ 1,500      $ 1,764,150   

5.00%, 5/01/33

      1,600        1,872,192   

5.00%, 5/01/34

      1,200        1,397,892   

Dowagiac Union School District, GO (Q-SBLF), 5.00%, 5/01/41

      1,140        1,330,448   

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

     

5.00%, 5/01/33

      1,500        1,780,770   

5.00%, 5/01/34

      1,500        1,778,115   

5.00%, 5/01/35

      1,000        1,179,280   

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

      4,950        5,466,879   

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

     

5.50%, 5/01/32

      1,000        1,172,030   

5.50%, 5/01/36

      2,000        2,329,800   

5.50%, 5/01/41

      2,575        2,999,618   

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

      3,250        3,743,025   

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

      6,750        7,810,965   

Kentwood Public Schools, GO, School Building & Site:

     

5.00%, 5/01/41

      1,120        1,315,552   

5.00%, 5/01/44

      1,815        2,125,038   

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

      4,425        4,434,735   

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

      5,000        5,654,600   

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

      3,375        3,904,234   

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

      3,000        3,132,150   
 

 

                
   BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    APRIL 30, 2016    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)

  

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

    $ 210      $ 214,614   

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

      2,000        2,390,100   

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

     

5.00%, 5/01/37

      2,850        3,286,363   

5.00%, 5/01/40

      2,630        3,011,560   

5.00%, 5/01/43

      1,530        1,744,215   

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

     

5.00%, 5/01/33

      1,000        1,171,440   

5.00%, 5/01/34

      1,000        1,166,250   

5.00%, 5/01/35

      1,000        1,158,520   
    

 

 

  
               106,206,336   

Education — 24.4%

     

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

      760        865,207   

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

     

4.50%, 10/01/24

      1,595        1,728,757   

4.50%, 10/01/25

      1,405        1,522,823   

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

      765        795,524   

Michigan Finance Authority, Refunding RB:

     

College for Creative Studies, 4.00%, 12/01/33

      1,720        1,758,408   

College for Creative Studies, 5.00%, 12/01/36

      1,550        1,689,717   

College for Creative Studies, 5.00%, 12/01/40

      2,900        3,127,476   

College for Creative Studies, 5.00%, 12/01/45

      4,400        4,718,120   

Series 25 A, AMT, Student Loan Revenue, 4.00%, 11/01/28

      8,750        9,147,600   

Series 25 A, AMT, Student Loan Revenue, 4.00%, 11/01/29

      5,900        6,142,313   

Series 25 A, AMT, Student Loan Revenue, 4.00%, 11/01/30

      2,850        2,956,333   
Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

Education (continued)

     

Michigan Finance Authority, Refunding RB (continued):

     

Series 25 A, AMT, Student Loan Revenue, 4.00%, 11/01/31

    $ 3,150      $ 3,261,321   

Michigan State University, Refunding RB, General:

     

Series A, 5.00%, 8/15/41

      2,500        2,941,650   

Series C, 5.00%, 2/15/40

      8,470        9,483,266   

Series C, 5.00%, 2/15/44

      1,000        1,119,630   

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

      1,800        2,066,454   

Oakland University, RB, General:

     

5.00%, 3/01/32

      400        459,860   

Series A, 5.00%, 3/01/38

      5,490        6,295,657   

Series A, 5.00%, 3/01/43

      16,845        18,968,818   

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

      3,425        4,053,076   

University of Michigan, Refunding RB, 5.00%, 4/01/46

      10,000        12,067,400   

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

      3,000        3,432,840   

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

     

5.25%, 11/15/40

      3,500        4,085,655   

5.25%, 11/15/43

      8,475        9,853,120   

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

      1,000        1,177,470   

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

      1,750        1,989,767   
    

 

 

  
               115,708,262   

Health — 34.2%

     

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

     

5.00%, 7/01/44

      4,230        4,741,238   

5.00%, 7/01/47

      2,200        2,459,490   

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

      7,500        8,389,725   

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

      7,500        8,634,825   

Michigan Finance Authority, RB:

     

Beaumont Health Credit Group, 4.00%, 11/01/46

      4,830        5,035,758   

Sparrow Obligated Group, 5.00%, 11/15/36

      2,500        2,766,875   
 

 

                
2    BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    APRIL 30, 2016   

Schedule of Investments (continued)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

Health (continued)

  

Michigan Finance Authority, RB (continued):

     

Sparrow Obligated Group, 5.00%, 11/15/45

    $ 3,750      $ 4,317,338   

Michigan Finance Authority, Refunding RB:

     

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

      1,000        1,181,710   

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

      2,000        2,352,880   

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

      5,000        5,860,400   

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

      1,500        1,758,120   

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

      4,945        5,770,172   

MidMichigan Health, 5.00%, 6/01/39

      1,500        1,696,755   

Trinity Health Credit Group, 5.00%, 12/01/21 (a)

      20        24,162   

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

      5,000        5,879,000   

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

      6,500        7,559,760   

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

      4,980        5,600,657   

Michigan State Hospital Finance Authority, RB:

     

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

      6,000        6,787,200   

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

      855        877,119   

Michigan State Hospital Finance Authority, Refunding RB:

     

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

      3,165        3,599,396   

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

      2,500        2,558,650   

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

      4,000        4,517,520   

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

      1,000        1,052,700   

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

      5,730        6,031,971   

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

      3,970        4,179,219   

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

      3,330        3,548,248   
Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

Health (continued)

     

Michigan State Hospital Finance Authority, Refunding RB (continued):

     

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

    $ 1,365      $ 1,435,079   

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

      6,000        6,604,980   

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

      2,250        2,548,170   

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

      425        487,020   

Trinity Health, 6.50%, 12/01/33

      80        90,545   

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

      1,895        2,170,495   

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

      940        1,067,643   

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

      1,500        1,708,485   

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

      5,300        5,690,557   

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

     

Series D, 5.00%, 9/01/39

      25,505        28,948,430   

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

      2,000        2,346,400   

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

      1,500        1,748,115   
    

 

 

  
               162,026,807   

Housing — 6.8%

     

Michigan State HDA, RB:

     

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

      2,000        2,013,960   

M/F Housing, Rental Housing Revenue, Series A, 4.45%, 10/01/34

      1,000        1,078,330   

M/F Housing, Rental Housing Revenue, Series A, 4.63%, 10/01/39

      3,490        3,702,960   

M/F Housing, Rental Housing Revenue, Series A, 4.75%, 10/01/44

      5,000        5,295,950   

M/F Housing, Series A, 4.30%, 10/01/40

      3,320        3,465,383   

S/F Housing, Series A, 4.75%, 12/01/25

      6,840        7,266,953   

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

      3,435        3,470,827   
 

 

                
   BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    APRIL 30, 2016    3

Schedule of Investments (continued)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

Housing (continued)

     

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

    $ 5,460      $ 5,962,538   
    

 

 

  
               32,256,901   

State — 14.9%

     

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

      5,400        6,125,274   

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

      1,000        1,102,010   

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

      3,000        3,487,950   

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

      7,000        8,059,870   

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

      3,000        2,739,810   

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

      8,595        9,492,490   

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

     

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

      3,780        4,282,702   

Series I, 6.25%, 10/15/38

      2,470        2,778,182   

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

      6,000        6,812,400   

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

      3,500        3,968,825   

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

      1,000        1,132,130   

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

      2,000        2,336,920   

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

      7,500        8,427,750   

State of Michigan Trunk Line Fund, RB:

     

5.00%, 11/15/33

      3,000        3,509,160   
Municipal Bonds   

Par  

(000)

     Value  

Michigan (continued)

                 

State (continued)

     

State of Michigan Trunk Line Fund, RB (continued):

     

5.00%, 11/15/36

    $ 5,345      $ 6,206,133   
    

 

 

  
               70,461,606   

Transportation — 11.2%

     

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

      8,500        9,012,635   

Wayne County Airport Authority, RB:

     

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

      1,475        1,622,913   

Series D, 5.00%, 12/01/35

      3,850        4,497,916   

Series D, 5.00%, 12/01/45

      5,000        5,706,950   

Wayne County Airport Authority, Refunding RB, AMT:

     

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

      4,000        4,438,040   

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

      4,060        4,504,611   

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

      13,000        14,279,460   

Series F, 5.00%, 12/01/34

      8,000        9,025,680   
    

 

 

  
               53,088,205   

Utilities — 16.4%

     

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

      2,655        2,954,378   

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

      16,745        16,859,368   

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

      10        10,032   

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

      1,500        1,712,910   

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

      10,000        11,504,100   

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

     

5.00%, 7/01/27

      3,180        3,742,288   

5.00%, 7/01/31

      6,830        7,835,581   

5.00%, 7/01/37

      3,335        3,826,012   

5.50%, 7/01/41

      5,000        5,906,950   
 

 

                
4    BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    APRIL 30, 2016   

Schedule of Investments (continued)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

Municipal Bonds  

Par  

(000)

     Value  

Michigan (continued)

                

Utilities (continued)

  

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

    

5.25%, 10/01/31

   $ 500      $ 556,165   

5.63%, 10/01/40

     1,500        1,708,530   

Marquette Board of Light & Power, Refunding RB, Series A (d):

    

5.00%, 7/01/33

     1,000        1,200,770   

3.00%, 7/01/34

     2,355        2,329,825   

3.13%, 7/01/36

     1,415        1,394,256   

Michigan Finance Authority, Refunding RB:

    

Government Loan Program, 5.00%, 7/01/34

     2,000        2,318,580   

Government Loan Program, 5.00%, 7/01/35

     750        865,568   

Senior Lien, Detroit Water and Sewer, Series C-3 (AGM), 5.00%, 7/01/31

     1,000        1,165,230   

Senior Lien, Detroit Water and Sewer, Series C-3 (AGM), 5.00%, 7/01/32

     5,250        6,092,415   

Senior Lien, Detroit Water and Sewer, Series C-3 (AGM), 5.00%, 7/01/33

     3,000        3,462,420   

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

     2,000        2,322,600   
   

 

 

  
              77,767,978   
Total Municipal Bonds in Michigan — 134.3%        636,605,780   
   

Guam — 0.5%

                

State — 0.5%

    

Territory of Guam, RB, Limited Obligation Bonds, Section 30, Series A, 5.63%, 12/01/29

     2,250        2,535,503   
Total Municipal Bonds — 134.8%             639,141,283   
   
                 
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)		        

Michigan — 22.1%

                

County/City/Special District/School District — 4.1%

  

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

     10,440        11,406,222   
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)		  

Par  

(000)

     Value  

Michigan (continued)

  

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

  

Portage Public Schools Michigan, GO, School Building & Site (AGM), 5.00%, 5/01/18 (a)

   $ 7,500      $ 8,005,425   
   

 

 

  
        19,411,647   

Education — 11.8%

  

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

     10,000        11,810,700   

Saginaw Valley State University, Refunding RB, General (AGM), 5.00%, 7/01/18 (a)

     10,000        10,909,400   

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

     10,000        11,442,800   

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

     20,000        21,834,189   
   

 

 

  
        55,997,089   

Health — 6.2%

  

Michigan Finance Authority, RB:

    

Beaumont Health Credit Group, 5.00%, 11/01/44

     10,002        11,520,760   

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

     190        213,680   

Michigan Finance Authority, Refunding RB, Trinity Health Corp., Series 2016, 5.00%, 12/01/45

     10,000        11,634,997   

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

     5,150        5,956,129   
   

 

 

  
        29,325,566   
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 22.1%		         104,734,302   

Total Long-Term Investments

(Cost — $683,320,471) — 156.9%

  

  

     743,875,585   
   
                 
Short-Term Securities   Shares         

BlackRock Liquidity Funds, MuniCash, 0.19% (f)(g)

     9,304,395        9,304,395   

Total Short-Term Securities

(Cost — $9,304,395) — 2.0%

  

  

     9,304,395   
 

 

                
   BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    APRIL 30, 2016    5

Schedule of Investments (continued)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

           Value  
Total Investments (Cost — $692,624,866*) — 158.9%   $ 753,179,980   
Other Assets Less Liabilities — 0.8%        3,984,759   

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (10.8)%

     (51,260,460 ) 
VRDP Shares, at Liquidation Value — (48.9)%     (231,900,000 ) 
    

 

 

  
Net Assets Applicable to Common Shares — 100.0%   $ 474,004,279   
    

 

 

  

 

  *   As of April 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 641,463,012   
 

 

 

  

Gross unrealized appreciation

   $ 60,555,114   

Gross unrealized depreciation

     (65,203 ) 
 

 

 

  

Net unrealized appreciation

   $ 60,489,911   
 

 

 

  
 
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)   When-issued security.

 

(e)   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.

 

(f)   During the period ended April 30, 2016, investments in issuers considered to be affiliates 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 April 30,
2016		        Income  

BlackRock Liquidity Funds, MuniCash

        —           9,304,395           9,304,395         $ 1,206   

FFI Institutional Tax-Exempt Fund

        1,873,459           (1,873,459 )         —           1,278   

Total

                  9,304,395         $ 2,484   
              

 

 

  

 

(g)   Current yield as of period end.

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.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Contracts
Short		     Issue   Expiration   Notional
Value		     Unrealized
Appreciation		  
  (11 )    5-Year U.S. Treasury Note   June 2016   $ 1,330,055      $ 4,713   
  (90 )    10-Year U.S. Treasury Note   June 2016   $ 11,705,625        50,545   
  (31 )    Long U.S. Treasury Bond   June 2016   $ 5,062,688        68,404   
  (6 )    Ultra U.S. Treasury Bond   June 2016   $ 1,028,062        16,182   

 

Total

  

   $ 139,844   
       

 

 

  

 

                
6    BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    APRIL 30, 2016   

Schedule of Investments (continued)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

 

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
M/F    Multi-Family
NPFGC    National Public Finance Guarantee Corp.
Q-SBLF    Qualified School Bond Loan Fund
RB    Revenue Bonds
S/F    Single-Family

 

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 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, refer to the Fund’s most recent financial statements as contained in its semi-annual report.

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

     —         $ 743,875,585         —      $ 743,875,585   

Short-Term Securities

   $ 9,304,395           —         —        9,304,395   
 

 

 

  

Total Investments

   $ 9,304,395         $ 743,875,585         —      $ 753,179,980   
 

 

 

  

 

                
   BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    APRIL 30, 2016    7

Schedule of Investments (concluded)

   

BlackRock MuniYield Michigan Quality Fund, Inc. (MIY)

 

 

     Level 1        Level 2      Level 3      Total  
Derivative Financial Instruments2                 

Assets:

                

Interest rate contracts

   $ 139,844         —      —      $ 139,844   

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

 

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

       

       

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 futures contracts

  $ 260,950           —         —      $ 260,950   

Liabilities:

                

Bank overdraft

    —         $ (255,596 )       —        (255,596 ) 

TOB trust certificates

    —           (51,227,057 )       —        (51,227,057 ) 

VRDP Shares

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

 

 

  

Total

  $ 260,950         $ (283,382,653 )       —      $ (283,121,703 ) 
 

 

 

  

During the period ended April 30, 2016, there were no transfers between levels.

 

                
8    BLACKROCK MUNIYIELD MICHIGAN QUALITY FUND, INC.    APRIL 30, 2016   

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:   June 22, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

  By:   /s/ John M. Perlowski                        
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of BlackRock MuniYield Michigan Quality Fund, Inc.
  Date:   June 22, 2016
  By:   /s/ Neal J. Andrews                        
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of BlackRock MuniYield Michigan Quality Fund, Inc.
  Date:   June 22, 2016