Certified Shareholder Report

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-10335

Name of Fund: BlackRock New Jersey Municipal Income Trust (BNJ)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock New Jersey Municipal Income Trust, 55 East 52 nd Street, New York, NY 10055

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

Date of fiscal year end: 07/31/2013

Date of reporting period: 07/31/2013

Item 1 – Report to Stockholders

JULY 31, 2013

ANNUAL REPORT

BlackRock California Municipal Income Trust (BFZ)

BlackRock Florida Municipal 2020 Term Trust (BFO)

BlackRock Municipal Income Investment Trust (BBF)

BlackRock Municipal Target Term Trust (BTT)

BlackRock New Jersey Municipal Income Trust (BNJ)

BlackRock New York Municipal Income Trust (BNY)

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents

Page
Dear Shareholder
3
Annual Report:
Municipal Market Overview
4
The Benefits and Risks of Leveraging
5
Derivative Financial Instruments
5
Trust Summaries
6
Financial Statements:
Schedules of Investments
18
Statements of Assets and Liabilities
44
Statements of Operations
45
Statements of Changes in Net Assets
46
Statements of Cash Flows
48
Financial Highlights
49
Notes to Financial Statements
55
Report of Independent Registered Public Accounting Firm
66
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
67
Automatic Dividend Reinvestment Plans
71
Officers and Trustees
72
Additional Information
75
2 ANNUAL REPORT JULY 31, 2013
Dear Shareholder

One year ago, risk assets (such as equities) were on the rise as weakening global economic data spurred increasing optimism that the world’s largest central banks would intervene to stimulate growth. This much-anticipated monetary policy easing ultimately came in September when the European Central Bank (“ECB”) and the US Federal Reserve announced their plans for increasing global liquidity. Although financial markets worldwide were buoyed by these aggressive policy actions, risk assets weakened later in the fall of 2012. Global trade slowed as many European countries fell into recession and growth continued to decelerate in China. In the United States, investors became increasingly concerned about the “fiscal cliff” of tax increases and spending cuts that had been scheduled to take effect at the beginning of 2013. High levels of global market volatility persisted through year-end due to fears that bipartisan gridlock would preclude a timely resolution, putting the US economy at high risk for recession. As 2013 began, the worst of the fiscal cliff was averted with a last-minute tax deal.

Investors shook off the nerve-wracking finale to 2012 and the New Year started with a powerful relief rally. Money that had been pulled to the sidelines amid year-end tax-rate uncertainty poured back into the markets in January. Key indicators signaling modest but broad-based improvements in the world’s major economies helped propel the rally. Underlying this aura of comfort was the absence of negative headlines from Europe. Global equities surged, while rising US Treasury yields pressured high quality fixed income assets. (Bond prices move in the opposite direction of yields.)

However, February brought a slowdown in global economic momentum and the pace of the rally moderated. In the months that followed, US equities outperformed international markets, as the US economic recovery showed greater stability compared to most other regions. Slow, but positive, growth in the United States was sufficient to support corporate earnings, while uncomfortably high unemployment reinforced investors’ expectations that the US Federal Reserve would keep interest rates low. International markets experienced higher levels of volatility as political instability in Italy and a severe banking crisis in Cyprus reminded investors that the eurozone was still vulnerable to a number of macro risks, while a poor outlook for European economies also dampened sentiment. Emerging markets significantly lagged the rest of the world as growth in these economies (particularly China and Brazil) fell short of expectations.

After peaking in late May, financial markets broadly sold off due to concerns about the US Federal Reserve reducing monetary stimulus. Volatility picked up considerably as investors abruptly retreated from risk assets and a sharp and dramatic rise in US Treasury yields resulted in tumbling prices for higher-quality fixed income investments. The downswing bottomed out in late June as a more dovish tone from the US central bank served to quell the volatility in interest rates, while improving economic data and a positive outlook for corporate earnings helped the markets regain strength in July, with major US equity indices regularly hitting new record highs.

Despite the swings in the markets in the second quarter, most risk asset classes generated positive returns for the 6- and 12-month periods ended July 31, 2013. US equities were particularly strong. International equities also performed well, although political and economic uncertainty in Europe resulted in less impressive gains for the last six months. Emerging markets suffered the impact of slowing growth and concerns about a shrinking global money supply. Extreme levels of interest rate volatility in the final months of the period resulted in poor performance for fixed income markets, especially US Treasury bonds and other higher quality sectors such as tax-exempt municipals and investment grade corporate bonds. The high yield sector performed relatively better as demand continued to be supported by investors’ ongoing search for income in the low-rate environment. Short-term interest rates remained near zero, keeping yields on money market securities near historical lows.

Market conditions remain volatile, and investors still face a number of uncertainties in the current environment. At BlackRock, we believe investors need to think globally and extend their scope across a broader array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit www.blackrock.com for further insight about investing in today’s world.

Sincerely,

Rob Kapito
President, BlackRock Advisors, LLC


“Despite the swings in the markets in the second quarter, most risk asset classes generated positive returns for the
6- and 12-month periods ended July 31, 2013
.

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of July 31, 2013
6-month 12-month
US large cap equities (S&P 500 ® Index)
13.73 % 25.00 %
US small cap equities (Russell 2000 ® Index)
16.66 34.76
International equities (MSCI Europe, Australasia, Far East Index) 4.11 23.48
Emerging market equities (MSCI Emerging Markets Index)
(9.87 ) 1.95
3-month Treasury bill (BofA Merrill Lynch 3-Month US Treasury Bill Index)
0.05 0.11
US Treasury securities (BofA Merrill Lynch 10-Year US Treasury Index)
(3.71 ) (6.50 )
US investment grade bonds (Barclays US Aggregate Bond Index)
(1.62 ) (1.91 )
Tax-exempt municipal bonds (S&P Municipal Bond Index)
(4.11 ) (1.99 )
US high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index)
1.97 9.49

Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.



THIS PAGE NOT PART OF YOUR FUND REPORT

3

Municipal Market Overview

For the Reporting Period Ended July 31, 2013

Municipal Market Conditions

During the majority of the period, municipal bond supply was met with strong demand as investors were starved for yield in the low-rate, low-return environment. Investors poured into municipal bond mutual funds, favoring long-duration and high-yield funds as they tend to provide higher levels of income.

However, municipal bond funds saw robust outflows in the last three months of the period, leaving net flows essentially flat for the 12-month period as a whole (based on data from the Investment Company Institute). Market conditions turned less favorable in May when signals from the US Federal Reserve suggesting a retrenchment of its bond-buying stimulus program led to rising interest rates and waning demand. (Bond prices fall as rates rise.) High levels of interest rate volatility resulted in a sharp curtailment of tax-exempt issuance in May, June and July. However, from a historical perspective, total new issuance for the 12 months ended July 31, 2013 remained relatively strong at $358 billion (down modestly from the $369 billion issued in the prior 12-month period). A significant portion of new supply during this period (roughly 60%) was attributable to refinancing activity as issuers took advantage of lower interest rates to reduce their borrowing costs. Total new supply was also supported by recent activity in the taxable market, where taxable-municipal issuance was up 58% year-over-year.

S&P Municipal Bond Index
Total Returns as of July 31, 2013
6 months: (4.11)%
12 months: (1.99)%

A Closer Look at Yields

From July 31, 2012 to July 31, 2013, municipal yields increased by 136 basis points (“bps”) from 2.84% to 4.20% on AAA-rated 30-year municipal bonds, while increasing 101 bps from 1.66% to 2.67% on 10-year bonds and rising another 62 bps from 0.65% to 1.27% on 5-year issues (as measured by Thomson Municipal Market Data). Overall, the municipal yield curve remained relatively steep over the 12-month period as the spread between 2- and 30-year maturities widened by 122 bps and the spread between 2- and 10-year maturities widened by 87 bps.

During the same time period, US Treasury rates rose by 109 bps on 30-year and 111 bps on 10-year bonds, while moving up 80 bps in 5-years. Accordingly, tax-exempt municipal bonds moderately outperformed Treasuries in the short and intermediate portion of the yield curve. This outperformance was driven largely by a supply/demand imbalance within the municipal market while evidence of a recovering domestic economy coupled with the removal of certain political and tax policy uncertainties pushed interest rates higher. Additionally, as higher US tax rates began to appear imminent late in 2012, municipal bonds benefited from the increased appeal of tax-exempt investing. The municipal market continues to be an attractive avenue for investors seeking yield in today’s environment of low absolute rates as the asset class is known for its lower volatility and preservation of principal with an emphasis on income as tax rates rise.

Financial Conditions of Municipal Issuers Continue to Improve

Following an extended period of nation-wide austerity and de-leveraging as states sought to balance their budgets, 13 consecutive quarters of positive revenue growth coupled with the elimination of more than 750,000 jobs in recent years have put state and local governments in a better financial position. Many local municipalities, however, continue to face increased health care and pension costs passed down from the state level. BlackRock maintains the view that municipal bond defaults will be minimal and remain in the periphery, and that the overall market is fundamentally sound. We continue to recognize that careful credit research, appropriate structure and security selection remain imperative amid uncertainty in this fragile economic environment.

Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

4 ANNUAL REPORT JULY 31, 2013

The Benefits and Risks of Leveraging

The Trusts may utilize leverage to seek to enhance the yield and net asset value (“NAV”) of their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

To obtain leverage, the Trusts issue Auction Market Preferred Shares (“AMPS”), Variable Rate Demand Preferred Shares (“VRDP Shares”), Variable Rate Muni Term Preferred Shares (“VMTP Shares”) or Remarketable Variable Rate Muni Term Preferred Shares (“RVMTP Shares”) (collectively, “Preferred Shares”). Preferred Shares pay dividends at prevailing short-term interest rates, and the Trusts invest the proceeds in long-term municipal bonds. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Trust on its longer-term portfolio investments. To the extent that the total assets of each Trust (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Trust’s shareholders will benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Trusts had not used leverage.

To illustrate these concepts, assume a Trust’s Common Shares capitalization is $100 million and it issues Preferred Shares for an additional $50 million, creating a total value of $150 million available for investment in long-term municipal bonds. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Trust pays dividends on the $50 million of Preferred Shares based on the lower short-term interest rates. At the same time, the securities purchased by the Trust with assets received from Preferred Shares issuance earn income based on long-term interest rates. In this case, the dividends paid to holders of Preferred Shares (“Preferred Shareholders”) are significantly lower than the income earned on the Trust’s long-term investments, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Trust pays higher short-term interest rates whereas the Trust’s total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Trusts’ Preferred Shares does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively in addition to the impact on Trust performance from leverage from Preferred Shares discussed above.

The Trusts may also leverage their assets through the use of tender option bond trusts (“TOBs”), as described in Note 3 of the Notes to Financial Statements. TOB investments generally will provide the Trusts with economic benefits in periods of declining short-term interest rates, but expose the Trusts to risks during periods of rising short-term interest rates similar to those associated with Preferred Shares issued by the Trusts, as described above. Additionally, fluctuations in the market value of municipal bonds deposited into the TOB trust may adversely affect each Trust’s NAV per share.

The use of leverage may enhance opportunities for increased income to the Trusts and Common Shareholders, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Trusts’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Trusts’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Trust’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to Common Shareholders will be reduced. Each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Trust to incur losses. The use of leverage may limit each Trust’s ability to invest in certain types of securities or use certain types of hedging strategies, such as in the case of certain restrictions imposed by rating agencies that rate the Preferred Shares issued by the Trusts. Each Trust will incur expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Trusts are permitted to issue senior securities in the form of equity securities (e.g., Preferred Shares) up to 50% of their total managed assets (each Trust’s total assets less the sum by its accrued liabilities). In addition, each Trust voluntarily limits its economic leverage to 50% of its total managed assets for Trusts with AMPS or 45% for Trusts with VRDP Shares, VMTP Shares or RVMTP Shares. As of July 31, 2013, the Trusts had economic leverage from Preferred Shares and/or TOBs as a percentage of their total managed assets as follows:






Percent of
Economic
Leverage

BFZ
42 %
BFO
19 %
BBF
42 %
BTT
43 %
BNJ
41 %
BNY
42 %

Derivative Financial Instruments

The Trusts may invest in various derivative financial instruments, including financial futures contracts and options, as specified in Note 4 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to hedge market and/or interest rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Trusts’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Trust to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Trust can realize on an investment, may result in lower dividends paid to shareholders or may cause a Trust to hold an investment that it might otherwise sell. The Trusts’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

ANNUAL REPORT JULY 31, 2013 5

Trust Summary as of July 31, 2013 BlackRock California Municipal Income Trust

Trust Overview

BlackRock California Municipal Income Trust’s (BFZ) (the “Trust”) investment objective is to provide current income exempt from regular US federal income and California income taxes. The Trust seeks to achieve its investment objective by investing primarily in municipal obligations exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and California income taxes. The Trust invests, under normal market conditions, at least 80% of its assets in municipal obligations that are investment grade quality. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Performance

For the 12-month period ended July 31, 2013, the Trust returned (13.17)% based on market price and (5.81)% based on NAV. For the same period, the closed-end Lipper California Municipal Debt Funds category posted an average return of (12.17)% based on market price and (4.63)% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.
The Trust posted a negative return as bond prices broadly declined in the rising interest rate environment. The Trust’s exposure to bonds with longer maturities, which tend to have higher durations (greater sensitivity to interest rate movements), particularly hurt performance during the period. Additionally, leverage on the Trust’s assets achieved through the use of tender option bonds amplified the negative effect of rising rates on the Trust’s holdings. As rates rose rather significantly in the latter part of the period, pushing bond prices down indiscriminately, California school districts and the utilities sector were especially exposed to price depreciation. To a degree, this represented an unwinding of the positive performance in these segments when rates fell in prior periods.
While the Trust’s cash reserves were generally maintained at a minimal level, to the extent reserves were held, the cash holdings provided liquidity to the Trust and held their value as interest rates rose during the period. Additionally, the Trust’s use of derivatives to hedge against interest rate risk helped performance. Specifically, short positions in US Treasury financial futures enhanced results as rates increased during the period.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Trust Information

Symbol on New York Stock Exchange (“NYSE”)
BFZ
Initial Offering Date
July 27, 2001
Yield on Closing Market Price as of July 31, 2013 ($13.63) 1
6.84%
Tax Equivalent Yield 2
13.94%
Current Monthly Distribution per Common Share 3
$0.0777
Current Annualized Distribution per Common Share 3
$0.9324
Economic Leverage as of July 31, 2013 4
42%
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2 Tax equivalent yield assumes the maximum marginal federal and state tax rate of 50.93%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.
3 The distribution rate is not constant and is subject to change.
4 Represents VMTP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

6 ANNUAL REPORT JULY 31, 2013

BlackRock California Municipal Income Trust

Market Price and Net Asset Value Per Share Summary





7/31/13

7/31/12

Change

High

Low
Market Price
$ 13.63 $ 16.64 (18.09 )% $ 17.52 $ 13.57
Net Asset Value
$ 14.50 $ 16.32 (11.15 )% $ 17.04 $ 14.36
Market Price and Net Asset Value History For the Past Five Years



Overview of the Trust’s Long-Term Investments

Sector Allocation




7/31/13

7/31/12
County/City/Special District/School District
35 % 37 %
Utilities
29 29
Health
11 12
Education
10 9
Transportation
9 7
State
5 5
Housing
1 1
Credit Quality Allocation 1




7/31/13

7/31/12
AAA/Aaa
9 % 9 %
AA/Aa
72 71
A
19 19
BBB/Baa
1
1 Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.

Call/Maturity Schedule 2

Calendar Year Ended December 31,
2013
2014
1 %
2015
3
2016
5
2017
10
2 Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

ANNUAL REPORT JULY 31, 2013 7

Trust Summary as of July 31, 2013 BlackRock Florida Municipal 2020 Term Trust

Trust Overview

BlackRock Florida Municipal 2020 Term Trust’s (BFO) (the “Trust”) investment objectives are to provide current income exempt from regular federal income tax and Florida intangible personal property tax and to return $15.00 per common share (the initial offering price per share) to holders of common shares on or about December 31, 2020. The Trust seeks to achieve its investment objectives by investing at least 80% of its assets in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Florida intangible personal property tax. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust actively manages the maturity of its bonds to seek to have a dollar weighted average effective maturity approximately equal to the Trust’s maturity date. The Trust may invest directly in such securities or synthetically through the use of derivatives. Effective January 1, 2007, the Florida intangible personal property tax was repealed.

No assurance can be given that the Trust’s investment objective will be achieved.

Performance

For the 12-month period ended July 31, 2013, the Trust returned 1.73% based on market price and 0.12% based on NAV. For the same period, the closed-end Lipper Other States Municipal Debt Funds category posted an average return of (14.04)% based on market price and (6.25)% based on NAV. All returns reflect reinvestment of dividends. The Trust’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.
Positive performance was derived mainly from the Trust’s coupon income component and exposure to pre-refunded bonds with terms of less than five years as investors fled longer-term investments in favor of shorter-duration instruments.
The Trust’s duration exposure (sensitivity to interest rate movements) detracted from performance as tax-exempt municipal rates increased significantly during the period. (Bond prices fall when yields rise.) The Trust’s credit exposure had a negative impact on results as spreads widened during the period (interest rates on lower quality bonds increased more than on higher quality municipal bonds). Leverage on the Trust’s assets achieved through the use of tender option bonds amplified the negative effect of rising rates on the Trust’s holdings.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Trust Information

Symbol on NYSE
BFO
Initial Offering Date
September 30, 2003
Termination Date (on or about)
December 31, 2020
Yield on Closing Market Price as of July 31, 2013 ($15.12) 1
4.44%
Tax Equivalent Yield 2
7.84%
Current Monthly Distribution per Common Share 3
$0.056
Current Annualized Distribution per Common Share 3
$0.672
Economic Leverage as of July 31, 2013 4
19%
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2 Tax equivalent yield assumes the maximum marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.
3 The distribution rate is not constant and is subject to change.
4 Represents AMPS and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to AMPS and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

8 ANNUAL REPORT JULY 31, 2013

BlackRock Florida Municipal 2020 Term Trust

Market Price and Net Asset Value Per Share Summary





7/31/13

7/31/12

Change

High

Low
Market Price
$ 15.12 $ 15.60 (3.08 )% $ 16.34 $ 15.00
Net Asset Value
$ 15.31 $ 16.05 (4.61 )% $ 16.39 $ 15.20
Market Price and Net Asset Value History For the Past Five Years



Overview of the Trust’s Long-Term Investments

Sector Allocation




7/31/13

7/31/12
County/City/Special District/School District
30 % 40 %
Utilities
20 14
Transportation
17 10
Health
13 13
State
12 15
Corporate
4 4
Education
2 2
Housing
2 2
Credit Quality Allocation 1




7/31/13

7/31/12
AAA/Aaa
2 % 8 %
AA/Aa
49 45
A
31 28
BBB/Baa
8 8
Not Rated 2
10 11
1 Using the higher of S&P’s or Moody’s ratings.
2 The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2013 and July 31, 2012, the market value of these securities was $3,035,830, representing 3%, and $7,213,160, representing 5%, respectively, of the Trust’s long-term investments.

Call/Maturity Schedule 3

Calendar Year Ended December 31,
2013
17 %
2014
9
2015
2016
2017
13
3 Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

ANNUAL REPORT JULY 31, 2013 9

Trust Summary as of July 31, 2013 BlackRock Municipal Income Investment Trust

Trust Overview

BlackRock Municipal Income Investment Trust’s (BBF) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and Florida intangible personal property tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives. Due to the repeal of the Florida intangible personal property tax, the Board approved an amended policy in September 2008 allowing the Trust the flexibility to invest in municipal obligations regardless of geographical location.

No assurance can be given that the Trust’s investment objective will be achieved.

Performance

For the 12-month period ended July 31, 2013, the Trust returned (18.75)% based on market price and (7.56)% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of (14.54)% based on market price and (5.78)% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.
The Trust’s longer duration holdings (those with greater sensitivity to interest rate movements) hindered results as the yield curve began to steepen in 2013 (rates on longer-dated bonds rose more than rates on shorter-dated securities). This especially impacted the Trust’s holdings in the water and sewer, utilities, transportation and education sectors. Leverage on the Trust’s assets achieved through the use of tender option bonds amplified the negative effect of rising rates on the Trust’s holdings. The Trust’s holdings of Puerto Rico Sales Tax Revenue Bonds had a negative impact on performance as the continued decline of Puerto Rico’s economy and concerns about credit rating agency downgrades resulted in falling prices across Puerto Rico securities.
Contributing positively to the Trust’s performance was its use of derivatives to hedge against interest rate risk. Specifically, short positions in US Treasury financial futures enhanced results as interest rates increased during the period. Additionally, the Trust’s holdings in pre-refunded bonds with terms of up to five years added to returns as investors seeking protection amid interest rate volatility moved down the yield curve.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Trust Information

Symbol on NYSE
BBF
Initial Offering Date
July 27, 2001
Yield on Closing Market Price as of July 31, 2013 ($12.47) 1
6.96%
Tax Equivalent Yield 2
12.30%
Current Monthly Distribution per Common Share 3
$0.072375
Current Annualized Distribution per Common Share 3
$0.868500
Economic Leverage as of July 31, 2013 4
42%
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2 Tax equivalent yield assumes the maximum marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.
3 The distribution rate is not constant and is subject to change.
4 Represents VRDP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

10 ANNUAL REPORT JULY 31, 2013

BlackRock Municipal Income Investment Trust

Market Price and Net Asset Value Per Share Summary





7/31/13

7/31/12

Change

High

Low
Market Price
$ 12.47 $ 16.25 (23.26 )% $ 16.75 $ 12.32
Net Asset Value
$ 13.89 $ 15.91 (12.70 )% $ 16.74 $ 13.77
Market Price and Net Asset Value History For the Past Five Years



Overview of the Trust’s Long-Term Investments

Sector Allocation




7/31/13

7/31/12
County/City/Special District/School District
26 % 22 %
Utilities
19 15
Health
16 20
Transportation
14 12
State
11 16
Education
10 12
Tobacco
2 1
Corporate
1 1
Housing
1 1
Credit Quality Allocation 1




7/31/13

7/31/12
AAA/Aaa
10 % 17 %
AA/Aa
57 54
A
28 23
BBB/Baa
4 5
Not Rated
1 2 1
1 Using the higher of S&P’s or Moody’s ratings.
2 The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2013, the market value of these securities was $240,299, representing less than 1% of the Trust’s long-term investments.

Call/Maturity Schedule 3

Calendar Year Ended December 31,
2013
2014
1 %
2015
2016
1
2017
1
3 Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

ANNUAL REPORT JULY 31, 2013 11

Trust Summary as of July 31, 2013 BlackRock Municipal Target Term Trust

Trust Overview

BlackRock Municipal Target Term Trust’s (BTT) (the “Trust”) investment objectives are to provide current income exempt from regular federal income tax (but which may be subject to the federal alternative minimum tax in certain circumstances) and to return $25.00 per common share (the initial offering price per share) to holders of common shares on or about December 31, 2030. The Trust seeks to achieve its investment objectives by investing at least 80% of its assets in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust actively manages the maturity of its bonds to seek to have a dollar weighted average effective maturity approximately equal to the Trust’s maturity date. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Performance

For the period beginning with the Trust’s initial trading date on August 30, 2012 through July 31, 2013, the Trust returned (23.05)% based on market price and (18.00)% based on NAV. For the same period, the closed-end Lipper General & Insured Municipal Debt Funds (Leveraged) category posted an average return of (13.78)% based on market price and (6.37)% based on NAV. All returns reflect reinvestment of dividends. The Trust ended the period trading at a discount to NAV, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.
The Trust’s duration exposure (sensitivity to interest rate movements) detracted from performance as tax-exempt municipal rates increased significantly during the period. (Bond prices fall when yields rise.) Exposure to the intermediate part of the yield curve hurt returns as rates increased most in the 15- to 22-year range of the curve. The Trust’s credit exposure also had a negative impact on results as spreads widened during the period. Leverage on the Trust’s assets achieved through the use of tender option bonds amplified the negative effect of rising rates on the Trust’s holdings.
The Trust’s position in an option on US Treasury futures as a strategy for hedging interest rate risk contributed positively to performance. Additionally, falling bond prices during the period provided the Trust an opportunity to improve its overall coupon structure and increase book yields.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Trust Information

Symbol on NYSE
BTT
Initial Offering Date
August 30, 2012
Termination Date (on or about)
December 31, 2030
Current Distribution Rate on Closing Market Price as of July 31, 2013 ($18.42) 1
6.11%
Tax Equivalent Rate 2
10.80%
Current Monthly Distribution per Common Share 3
$0.09375
Current Annualized Distribution per Common Share 3
$1.12500
Economic Leverage as of July 31, 2013 4
43%
1 Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. See the financial highlights for the actual sources and character of distributions. Past performance does not guarantee future results.
2 Tax equivalent yield assumes the maximum marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.
3 The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a tax return of capital or net realized gain at fiscal year end.
4 Represents RVMTP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to RVMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

12 ANNUAL REPORT JULY 31, 2013

BlackRock Municipal Target Term Trust

Market Price and Net Asset Value Per Share Summary





7/31/13

8/30/12

Change

High

Low
Market Price
$ 18.42 $ 25.00 (26.32 )% $ 25.49 $ 18.30
Net Asset Value
$ 18.75 $ 23.88 1 (21.48 )% $ 24.56 $ 18.48
1 Net asset value, beginning of period, reflects a deduction of $1.125 per share sales charge from the initial offering price of $25.00.

Market Price and Net Asset Value History Since Inception



2 Commencement of operations.

Overview of the Trust’s Long-Term Investments

Sector Allocation




7/31/13
Transportation
22 %
Health
17
Education
13
County/City/Special District/School District
12
State
7
Corporate
9
Utilities
9
Housing
9
Tobacco
2

Credit Quality Allocation 3




7/31/13
AAA/Aaa
3 %
AA/Aa
32
A
43
BBB/Baa
11
BB/Ba
3
B
3
Not Rated 4
5
3 Using the higher of S&P’s or Moody’s ratings.
4 The investment advisor has deemed certain of these non-rated securities to be of investment grade quality. As of July 31, 2013, the market value of these securities was $38,601,602, representing 2% of the Trust’s long-term investments.

Call/Maturity Schedule 5

Calendar Year Ended December 31,
2013
2 %
2014
2015
2016
2017
2
5 Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

ANNUAL REPORT JULY 31, 2013 13

Trust Summary as of July 31, 2013 BlackRock New Jersey Municipal Income Trust

Trust Overview

BlackRock New Jersey Municipal Income Trust’s (BNJ) (the “Trust”) investment objective is to provide current income exempt from regular federal income tax and New Jersey gross income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New Jersey gross income taxes. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

Performance

For the 12-month period ended July 31, 2013, the Trust returned (17.95)% based on market price and (5.82)% based on NAV. For the same period, the closed-end Lipper New Jersey Municipal Debt Funds category posted an average return of (16.01)% based on market price and (5.78)% based on NAV. All returns reflect reinvestment of dividends. The Trust moved from a premium to NAV to a discount by period end, which accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.
The Trust’s longer duration holdings (those with greater sensitivity to interest rate movements) hindered results as the yield curve began to steepen in 2013 (rates on longer-dated bonds rose more than rates on shorter-dated securities). This especially impacted the Trust’s holdings in the water and sewer, utilities, transportation and education sectors. Leverage on the Trust’s assets achieved through the use of tender option bonds amplified the negative effect of rising rates on theTrust’s holdings. The Trust’s holdings of Puerto Rico Sales Tax Revenue Bonds had a negative impact on performance as the continued decline of Puerto Rico’s economy and concerns about credit rating agency downgrades resulted in falling prices across Puerto Rico securities.
Contributing positively to the Trust’s performance was its use of derivatives to hedge against interest rate risk. Specifically, short positions in US Treasury financial futures enhanced results as interest rates increased during the period. Additionally, the Trust’s holdings in pre-refunded bonds with terms of up to six years added to returns as investors seeking protection amid interest rate volatility moved down the yield curve.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Trust Information

Symbol on NYSE
BNJ
Initial Offering Date
July 27, 2001
Yield on Closing Market Price as of July 31, 2013 ($13.67) 1
6.59%
Tax Equivalent Yield 2
12.79%
Current Monthly Distribution per Common Share 3
$0.0751
Current Annualized Distribution per Common Share 3
$0.9012
Economic Leverage as of July 31, 2013 4
41%
1 Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2 Tax equivalent yield assumes the maximum marginal federal and state tax rate of 48.48%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.
3 The distribution rate is not constant and is subject to change.
4 Represents VMTP Shares and TOBs as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOBs, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

14 ANNUAL REPORT JULY 31, 2013

BlackRock New Jersey Municipal Income Trust

Market Price and Net Asset Value Per Share Summary





7/31/13

7/31/12

Change

High

Low
Market Price
$ 13.67 $ 17.67 (22.64 )% $ 18.60 $ 13.56
Net Asset Value
$ 14.36 $ 16.17 (11.19 )% $ 16.75 $ 14.22
Market Price and Net Asset Value History For the Past Five Years



Overview of the Trust’s Long-Term Investments

Sector Allocation




7/31/13

7/31/12
State
26 % 35 %
Transportation
25 12
County/City/Special District/School District
13 9
Education
12 11
Health
11 12
Housing
7 10
Corporate
6 6
Utilities