BLACKROCK MUNIYIELD QUALITY FUND III, 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 811-06540

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

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

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

        Fund III, Inc., 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 07/31/2015

Date of reporting period: 10/31/2014

Item 1 – Schedule of Investments

Schedule of Investments October 31, 2014 (Unaudited)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Alabama — 0.4%

     

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

    $ 3,605      $ 4,197,374   

Alaska — 1.7%

     

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

      2,000        2,075,500   

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

      2,690        3,046,129   

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

      10,150        12,227,705   
    

 

 

  
               17,349,334   

Arizona — 0.4%

     

City of Phoenix & County of Maricopa Arizona IDA, Refunding RB, S/F, Series A-2, AMT (Fannie Mae), 5.80%, 7/01/40

      205        208,594   

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

      3,075        3,409,006   
    

 

 

  
               3,617,600   

California — 14.7%

     

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

      10,000        10,801,800   

California Health Facilities Financing Authority, RB:

     

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

      1,550        1,804,712   

St. Joseph’s Health System, Series A, 5.00%, 7/01/37

      2,965        3,361,243   

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

      3,200        3,853,184   

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

      1,255        1,281,066   

California State University, RB, Systemwide, Series A, 5.50%, 11/01/39

      1,525        1,768,360   

California Statewide Communities Development Authority, RB:

     

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

      4,030        4,444,566   
Municipal Bonds   

Par  

(000)

     Value  

California (continued)

     

California Statewide Communities Development Authority, RB (concluded):

     

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

    $ 4,000      $ 4,291,240   

Chabot-Las Positas Community College District, GO, CAB, Series C (AMBAC) (b):

     

0.00%, 8/01/34

      5,725        2,145,501   

0.00%, 8/01/36

      7,790        2,632,942   

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

      1,900        2,106,112   

City of San Jose California, Refunding ARB, AMT:

     

Series A (AMBAC), 5.50%, 3/01/32

      11,965        13,011,698   

Series A-1, 5.75%, 3/01/34

      2,300        2,618,159   

Coast Community College District, GO, Election of 2002, Series C (AGM), 0.00%, 8/01/33 (b)

      8,100        3,068,361   

County of Sacramento California, ARB, Senior Series A, 5.00%, 7/01/41

      10,000        11,051,700   

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

      1,830        2,247,460   

Dublin Unified School District California, GO, CAB, Election of 2004, Series D, 0.00%, 8/01/34 (b)

      5,000        1,663,800   

Grossmont Union High School District, GO, CAB, Election of 2004, 0.00%, 8/01/31 (b)

      5,110        2,597,822   

Las Virgenes Unified School District, GO, Series A, 5.00%, 8/01/16 (c)

      10,000        10,813,800   

Long Beach Unified School District, GO, Election of 2008, Series B, 0.00%, 8/01/34 (b)

      5,000        2,221,550   

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

      1,200        1,322,088   

Mount San Antonio Community College District, GO, Refunding, CAB, Election of 2008, Series A, 0.00%, 8/01/43 (a)

      3,975        2,574,965   

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014    1

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

California (continued)

     

Norwalk-La Mirada Unified School District, GO, Refunding, CAB, Election of 2002, Series E (AGC), 0.00%, 8/01/38 (b)

    $ 7,620      $ 2,623,718   

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

      2,500        2,788,875   

Poway Unified School District, GO, Refunding, CAB, School Facilities Improvement, Election of 2008, Series B (b):

     

0.00%, 8/01/35

      7,820        3,348,289   

0.00%, 8/01/36

      10,000        4,066,600   

Rio Hondo Community College District California, GO, CAB, Election of 2004, Series C (b):

     

0.00%, 8/01/37

      8,000        3,058,400   

0.00%, 8/01/38

      12,940        4,732,029   

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

      2,165        2,313,822   

San Diego California Unified School District, GO, CAB, Election of 2008, Series G (b):

     

0.00%, 7/01/34

      1,860        728,822   

0.00%, 7/01/35

      1,970        724,369   

0.00%, 7/01/36

      2,960        1,022,295   

0.01%, 7/01/37

      1,975        643,218   

San Diego California Unified School District, GO, Refunding, CAB, Election of 2008, Series R-1, 0.00%, 7/01/31 (b)

      3,485        1,830,740   

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

     

5.00%, 8/01/34

      1,800        2,021,922   

5.00%, 8/01/38

      1,600        1,775,568   

State of California, GO, Refunding, Various Purpose:

     

5.00%, 2/01/38

      4,000        4,454,200   

5.00%, 9/01/41

      2,700        3,025,971   

5.00%, 10/01/41

      2,555        2,866,889   

State of California, GO:

     

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

      10        10,041   

Various Purpose, 5.00%, 4/01/42

      2,000        2,220,620   

State of California, Refunding, GO,Various Purposes, 5.50%, 3/01/40

      1,020        1,178,477   
Municipal Bonds   

Par  

(000)

     Value  

California (concluded)

     

State of California Public Works Board, LRB:

     

Various Capital Project, Series I, 5.00%, 11/01/38

    $ 5,040      $ 5,656,594   

Various Judicial Council Projects, Series A, 5.00%, 3/01/38

      1,940        2,162,033   

Walnut Valley Unified School District, GO, CAB, Election of 2007, Series B, 0.00%, 8/01/36 (b)

      6,545        2,470,999   

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

      3,600        3,853,980   
    

 

 

  
               151,260,600   

Colorado — 1.1%

     

Regional Transportation District, COP, Series A, 5.00%, 6/01/39

      9,870        10,912,963   

Florida — 11.9%

     

County of Alachua Florida Health Facilities Authority, RB, 5.00%, 12/01/44

      3,930        4,284,014   

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

      13,100        14,588,029   

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

      2,250        2,536,808   

County of Collier Florida School Board, COP, (AGM), 5.00%, 2/15/16 (c)

      5,000        5,303,900   

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

      1,750        2,065,770   

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

     

5.63%, 10/01/26

      2,600        3,042,806   

5.38%, 10/01/32

      3,440        3,816,680   

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

     

Series B, 6.38%, 7/01/28

      6,000        7,040,820   

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

      3,700        4,227,620   

County of Miami-Dade Florida, RB:

     

Seaport, Series A, 6.00%, 10/01/38

      5,695        6,879,105   

Seaport, Series B, AMT, 6.00%, 10/01/30

      1,820        2,210,972   

Seaport, Series B, AMT, 6.25%, 10/01/38

      1,165        1,422,523   

 

                
2    BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014   

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Florida (concluded)

     

County of Miami-Dade Florida, RB (concluded):

     

Seaport, Series B, AMT, 6.00%, 10/01/42

    $ 1,865      $ 2,191,300   

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

      2,800        3,089,268   

County of Miami-Dade Florida, Refunding RB, Water & Sewer System, Series C (BHAC), 6.00%, 10/01/23

      20,095        23,995,742   

County of Miami-Dade Florida Aviation, Refunding ARB, AMT:

     

5.00%, 10/01/34

      530        589,069   

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

      19,020        21,438,964   

County of Miami-Dade Florida Aviation Revenue, Refunding RB, AMT, 5.00%, 10/01/31

      4,000        4,509,680   

County of Palm Beach Florida Solid Waste Authority, Refunding RB, 5.00%, 10/01/31

      3,100        3,590,544   

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

      5,135        5,731,892   
    

 

 

  
               122,555,506   

Georgia — 1.0%

     

County of Burke Georgia Development Authority, Refunding RB, Oglethorpe Power-Vogtle Project, Series C, 5.70%, 1/01/43

      6,450        6,966,000   

Private Colleges & Universities Authority, RB, Savannah College of Art & Design:

     

5.00%, 4/01/30

      790        878,978   

5.00%, 4/01/31

      540        597,634   

5.00%, 4/01/33

      395        432,872   

5.00%, 4/01/44

      1,775        1,910,184   
    

 

 

  
               10,785,668   

Hawaii — 0.4%

     

State of Hawaii Department of Transportation, COP, AMT:

     

5.00%, 8/01/27

      2,000        2,295,920   
Municipal Bonds   

Par  

(000)

     Value  

Hawaii (concluded)

     

State of Hawaii Department of Transportation, COP, AMT (concluded):

     

5.00%, 8/01/28

    $ 1,775      $ 2,022,879   
    

 

 

  
               4,318,799   

Illinois — 21.3%

     

City of Chicago Illinois, GARB, 3rd Lien:

     

O’Hare International Airport, Series B-2, AMT (NPFGC), 5.25%, 1/01/27

      8,530        8,559,684   

O’Hare International Airport, Series A, 5.75%, 1/01/39

      9,000        10,269,270   

O’Hare International Airport, Series B-2, AMT (NPFGC), 6.00%, 1/01/27

      1,695        1,702,763   

City of Chicago Illinois, GO, Refunding, Series A:

     

5.25%, 1/01/33

      11,065        11,546,770   

5.00%, 1/01/34

      2,000        2,044,140   

5.00%, 1/01/35

      9,280        9,450,195   

5.00%, 1/01/36

      4,245        4,310,246   

City of Chicago Illinois, Refunding GARB, O’Hare International Airport, AMT:

     

3rd Lien, Series C-2 (AGM), 5.25%, 1/01/30

      13,240        13,259,992   

Series B, 5.00%, 1/01/31

      2,425        2,640,849   

City of Chicago Illinois, Refunding RB, Series A:

     

Sales Tax Receipts, 5.00%, 1/01/41

      4,190        4,432,559   

Waterworks, 2nd Lien (AMBAC), 5.00%, 11/01/36

      3,500        3,701,180   

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

      —        —   

City of Chicago Illinois Midway International Airport, Refunding RB, 2nd Lien, Series A, AMT, 5.00%, 1/01/34

      3,035        3,319,440   

City of Chicago Illinois Park District, GO, Series C:

     

Harbor Facilities Revenue, 5.25%, 1/01/40

      1,505        1,629,042   

Harbor Facilities Revenues, 5.25%, 1/01/37

      4,000        4,382,720   

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/36

      1,620        1,834,439   

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014    3

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Illinois (continued)

     

County of Cook Illinois Community College District No. 508, GO, City College of Chicago, 5.13%, 12/01/38

    $ 3,250      $ 3,634,995   

County of Cook Illinois Forest Preserve District, GO, Refunding, Limited Tax Project, Series B, 5.00%, 12/15/37

      775        853,787   

County of Cook Illinois Forest Preserve District, GO, Series C, 5.00%, 12/15/37

      890        977,354   

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

      8,700        9,912,693   

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

      5,250        6,164,918   

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

     

5.00%, 2/01/35

      17,935        19,136,645   

5.25%, 2/01/35

      15,000        16,076,850   

Illinois State Toll Highway Authority, RB, Series B:

     

5.50%, 1/01/33

      4,000        4,437,800   

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

      2,000        2,226,740   

Metropolitan Pier & Exposition Authority, RB, CAB, Series A (NPFGC) (b):

     

McCormick Place Explosion Project, 0.00%, 12/15/26

      8,500        5,324,230   

Mccormick Place Explosion Project, 0.00%, 6/15/32

      14,000        6,535,620   

McCormick Place Explosion Project, 0.00%, 12/15/33

      20,000        8,572,000   

Mccormick Place Explosion Project, 0.00%, 12/15/34

      41,880        17,104,630   

Metropolitan Pier & Exposition Authority, Refunding RB, CAB, McCormick Place Expansion Project, Series B (AGM), 0.00%, 6/15/44 (b)

      9,430        2,293,659   

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

      1,700        1,994,814   

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

      1,000        1,195,160   

State of Illinois, GO:

     

5.25%, 7/01/29

      3,160        3,466,141   

5.25%, 2/01/33

      5,860        6,388,220   

5.50%, 7/01/33

      2,235        2,473,184   

5.25%, 2/01/34

      5,360        5,830,179   

5.50%, 7/01/38

      1,200        1,314,096   
Municipal Bonds   

Par  

(000)

     Value  

Illinois (concluded)

     

State of Illinois, GO (concluded):

     

5.00%, 2/01/39

    $ 7,500      $ 7,914,300   

University of Illinois, RB, Auxiliary Facilities System, Series A, 5.00%, 4/01/39

      2,580        2,881,525   
    

 

 

  
               219,792,829   

Indiana — 3.1%

     

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

      5,000        5,560,000   

Indiana Finance Authority, RB, Series A:

     

CWA Authority Project, 1st Lien, 5.25%, 10/01/38

      2,900        3,327,924   

Private Activity Bond (Ohio River Bridges), AMT, 5.00%, 7/01/40

      2,425        2,553,767   

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/44

      1,400        1,474,340   

Indiana Municipal Power Agency, RB:

     

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

      3,850        4,105,447   

Series B, 6.00%, 1/01/39

      5,000        5,730,850   

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

     

5.75%, 1/01/38

      2,900        3,307,653   

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

      1,350        1,513,607   

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

      4,250        4,789,070   
    

 

 

  
               32,362,658   

Iowa — 2.9%

     

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

      12,650        14,505,755   

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

     

5.60%, 12/01/26

      3,540        3,855,980   

5.70%, 12/01/27

      3,535        3,850,569   

5.75%, 12/01/28

      1,870        2,034,336   

5.80%, 12/01/29

      2,390        2,599,699   

 

                
4    BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014   

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Iowa (concluded)

     

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

     

5.85%, 12/01/30

    $ 2,475      $ 2,689,459   
    

 

 

  
               29,535,798   

Kentucky — 1.1%

     

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.38%, 1/01/40

      1,000        1,141,290   

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C, 0.00%, 7/01/39 (a)

      8,225        5,648,765   

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

      4,000        4,556,480   
    

 

 

  
               11,346,535   

Louisiana — 0.9%

     

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

      6,405        6,708,533   

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, East Baton Rouge Sewerage Commission Projects, Sub-Lien, Series A, 5.00%, 2/01/43

      2,385        2,657,391   
    

 

 

  
               9,365,924   

Massachusetts — 1.0%

     

Massachusetts HFA, RB, M/F Housing, Series B, 7.00%, 12/01/38

      3,150        3,497,603   

Massachusetts HFA, Refunding RB, Series C, AMT, 5.35%, 12/01/42

      3,100        3,230,262   

Massachusetts School Building Authority, RB, Dedicated Sales Tax, Senior, Series A, 5.00%, 5/15/43

      3,495        3,945,051   
    

 

 

  
               10,672,916   

Michigan — 7.6%

     

City of Detroit Michigan Water Supply System, RB, 2nd Lien, Series B (AGM), 6.25%, 7/01/36

      1,075        1,182,253   
Municipal Bonds   

Par  

(000)

     Value  

Michigan (concluded)

     

City of Detroit Michigan Water Supply System, Refunding RB, 2nd Lien, Series D (NPFGC), 5.00%, 7/01/33

    $ 5,000      $ 5,121,000   

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

      3,185        3,737,152   

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

      16,100        17,624,187   

State of Michigan, RB, GAB (AGM):

     

5.25%, 9/15/22

      10,000        11,185,600   

5.25%, 9/15/26

      6,650        7,414,351   

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

     

Series I, 6.25%, 10/15/38

      3,125        3,647,594   

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

      1,750        2,037,928   

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

      3,250        3,776,337   

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

      2,075        2,343,360   

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

      1,900        2,149,508   

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

      8,040        9,060,356   

State of Michigan HDA, RB, S/F Housing, Series C, AMT, 5.50%, 12/01/28

      2,300        2,456,791   

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

      5,000        5,608,950   

Western Michigan University, Refunding RB, General, University and College Improvements (AGM), 5.00%, 11/15/39

      1,080        1,198,400   
    

 

 

  
               78,543,767   

Minnesota — 0.6%

     

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

      5,500        6,467,395   

Nebraska — 0.7%

     

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

      6,825        7,494,533   

Nevada — 1.0%

     

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

      2,250        2,628,113   

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014    5

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Nevada (concluded)

     

County of Clark Nevada, ARB, Las Vegas-McCarran International Airport, Series A:

     

5.25%, 7/01/42

    $ 2,000      $ 2,246,140   

(AGM), 5.25%, 7/01/39

      5,170        5,843,909   
    

 

 

  
               10,718,162   

New Jersey — 7.3%

     

New Jersey EDA, RB:

     

Private Activity Bond, The Goethals Bridge Replacement Project, AMT, 5.13%, 1/01/34

      1,930        2,109,085   

Private Activity Bond, The Goethals Bridge Replacement Project, AMT, 5.38%, 1/01/43

      4,920        5,442,553   

School Facilities Construction, Series UU, 5.00%, 6/15/34

      1,620        1,759,045   

School Facilities Construction, Series UU, 5.00%, 6/15/40

      4,015        4,336,200   

New Jersey EDA, Refunding RB, School Facilities Construction:

     

Series N-1 (AMBAC), 5.50%, 9/01/24

      6,325        7,525,991   

Series N-1 (NPFGC), 5.50%, 9/01/28

      1,685        2,083,368   

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

     

5.50%, 12/01/25

      1,250        1,430,525   

5.50%, 12/01/26

      1,800        2,035,602   

5.75%, 12/01/28

      200        227,606   

5.88%, 12/01/33

      6,895        7,764,528   

New Jersey Housing & Mortgage Finance Agency, Refunding RB, M/F Housing, Series 2, AMT, 4.35%, 11/01/33

      3,360        3,453,744   

New Jersey Transportation Trust Fund Authority, RB:

     

CAB, Transportation System, Series A, 0.01%, 12/15/35 (b)

      18,525        6,802,009   

CAB, Transportation System, Series C (AGC)(AMBAC), 0.00%, 12/15/25 (b)

      10,000        6,851,900   

Transportation Program, Series AA, 5.25%, 6/15/33

      4,150        4,653,519   

Transportation Program, Series AA, 5.50%, 6/15/39

      5,725        6,502,169   

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

      4,000        4,940,000   
Municipal Bonds   

Par  

(000)

     Value  

New Jersey (concluded)

     

New Jersey Transportation Trust Fund Authority, RB (concluded):

     

Transportation System, Series B, 5.00%, 6/15/42

    $ 6,500      $ 6,890,130   
    

 

 

  
               74,807,974   

New York — 2.1%

     

City of New York New York Transitional Finance Authority, RB:

     

Fiscal 2009, Series S-4, 5.50%, 1/15/34

      7,250        8,336,702   

Future Tax Secured, Series C, 5.50%, 11/01/35

      1,820        2,173,116   

City of New York New York Transitional Finance Authority, Refunding RB, Future Tax Secured, Series B, 5.00%, 11/01/32

      4,150        4,871,768   

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

      1,920        2,210,669   

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

      3,250        3,701,718   
    

 

 

  
               21,293,973   

Ohio — 2.1%

     

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

      3,000        3,704,640   

County of Montgomery Ohio, RB, Catholic Health Initiatives, Series D-2, 5.45%, 10/01/38

      11,135        12,955,350   

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1:

     

5.25%, 2/15/32

      1,950        2,263,579   

5.25%, 2/15/33

      2,730        3,160,330   
    

 

 

  
               22,083,899   

Pennsylvania — 3.2%

     

Commonwealth Financing Authority, RB, Series B, 5.00%, 6/01/42

      3,305        3,632,592   

Pennsylvania Turnpike Commission, RB:

     

Series A, 5.00%, 12/01/38

      1,775        2,001,135   

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

      15,600        15,798,120   

Series C, 5.50%, 12/01/33

      1,565        1,874,025   

 

                
6    BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014   

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Pennsylvania (concluded)

                 

Pennsylvania Turnpike Commission, RB (concluded):

     

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

    $ 5,695      $ 6,532,848   

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

      2,575        3,054,491   
    

 

 

  
        32,893,211   

South Carolina — 2.5%

     

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

      3,600        4,213,368   

State of South Carolina Public Service Authority, RB, Santee Cooper:

     

Series A, 5.50%, 12/01/54

      11,450        13,040,405   

Series E, 5.50%, 12/01/53

      2,025        2,297,504   

State of South Carolina Public Service Authority, Refunding RB, Santee Cooper, Series B, 5.00%, 12/01/38

      5,870        6,554,325   
    

 

 

  
        26,105,602   

Texas — 16.2%

     

City of Houston Texas Utility System, Refunding RB:

     

Combined 1st Lien, Series A (AGC), 6.00%, 11/15/35

      5,700        6,802,893   

Combined 1st Lien, Series A (AGC), 5.38%, 11/15/38

      3,650        4,163,738   

Series A (AGM), 5.00%, 11/15/36

      10,000        10,981,500   

City of San Antonio Texas Public Service Board, RB, Junior Lien, 5.00%, 2/01/38

      1,450        1,630,032   

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A, 0.00%, 9/15/36 (b)

      5,810        2,194,728   

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Cook Children’s Medical Center, 5.25%, 12/01/39

      2,095        2,420,437   

Dallas ISD, GO, School Building (PSF-GTD), 6.38%, 2/15/18 (c)

      10,000        11,828,400   

Dallas-Fort Worth International Airport, ARB:

     

Joint Improvement, Series D, AMT, 5.00%, 11/01/38

      13,080        14,128,624   

Series F, 5.00%, 11/01/35

      5,000        5,380,300   
Municipal Bonds   

Par  

(000)

     Value  

Texas (concluded)

                 

Dallas-Fort Worth International Airport, Refunding ARB, Series F, 5.25%, 11/01/33

    $ 2,745      $ 3,149,668   

Grand Prairie ISD, GO, Refunding, 0.01%, 8/15/28 (b)

      10,000        4,870,000   

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

      10,000        10,745,700   

Leander Independent School District, GO, CAB, Refunding, Series D, 0.00%, 8/15/38 (b)

      9,685        3,331,543   

North Texas Tollway Authority, RB, Series B, 0.00%, 9/01/43 (b)

      36,000        7,344,720   

North Texas Tollway Authority, Refunding RB, System:

     

1st Tier Series A, 6.00%, 1/01/28

      6,275        7,375,133   

1st Tier Series B (NPFGC), 5.75%, 1/01/40

      10,000        11,161,100   

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

      20,000        21,869,400   

San Antonio Public Facilities Corp., Refunding RB, Convention Center Refinancing and Expansion Project, CAB (b):

     

0.00%, 9/15/35

      680        261,977   

0.00%, 9/15/36

      12,195        4,419,468   

0.00%, 9/15/37

      8,730        2,975,184   

State of Texas Turnpike Authority, RB, CAB (AMBAC), 0.00%, 8/15/31 (b)

      20,265        7,444,348   

Texas Municipal Gas Acquisition & Supply Corp. III, RB:

     

5.00%, 12/15/31

      1,665        1,822,925   

5.00%, 12/15/32

      5,565        6,039,861   

Texas Transportation Commission, Refunding RB, Central Texas Turnpike System, 1st Tier, Series A, 5.00%, 8/15/41

      13,435        14,484,273   
    

 

 

  
        166,825,952   

Utah — 1.7%

     

Utah Transit Authority, Refunding RB, CAB (b):

     

Sub-Series A (AGC), 0.00%, 6/15/20

      10,000        8,418,500   

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014    7

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

     Value  

Utah (concluded)

                 

Utah Transit Authority, Refunding RB, CAB (b) (concluded):

     

Sub-Series A (NPFGC), 0.00%, 6/15/24

    $ 13,930      $ 9,583,561   
    

 

 

  
        18,002,061   

Vermont — 0.1%

     

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

      715        727,341   

Washington — 1.0%

     

Washington Health Care Facilities Authority, RB:

     

MultiCare Health System, Remarketing, Series B, 5.00%, 8/15/44

      1,000        1,078,790   

Providence Health & Services, Series A, 5.25%, 10/01/39

      2,725        3,025,050   

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

      5,400        6,321,240   
    

 

 

  
        10,425,080   

Wisconsin — 0.4%

     

State of Wisconsin Health & Educational Facilities Authority, RB, Ascension Health Senior Credit Group, Series E, 5.00%, 11/15/33

      3,745        4,172,492   
Total Municipal Bonds — 108.4%              1,118,635,946   
    
                  

Municipal Bonds Transferred to

Tender Option Bond (TOB) Trusts (d)

               

Arizona — 1.5%

     

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

      10,000        11,304,600   

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

      3,500        3,827,320   
    

 

 

  
        15,131,920   

California — 9.9%

     

California State University, RB, Systemwide, Series A (AGM), 5.00%, 11/01/33 (e)

      7,996        8,882,884   

Municipal Bonds Transferred to

Tender Option Bond (TOB) Trusts (d)

   

Par  

(000)

     Value  

California (concluded)

                 

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

    $ 21,981      $ 23,968,506   

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

      20,000        22,141,800   

County of Alameda California Joint Powers Authority, Refunding LRB, (AGM), 5.00%, 12/01/34

      6,990        7,717,869   

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

      10,780        11,666,116   

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

      9,370        10,378,399   

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

      7,500        7,771,575   

Los Angeles Community College District California, GO, Refunding, Election of 2008, Series A, 6.00%, 8/01/33

      5,248        6,337,517   

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

      1,047        1,212,296   

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

      2,205        2,592,852   
    

 

 

  
        102,669,814   

Colorado — 0.3%

     

Colorado Health Facilities Authority, Refunding RB, Catholic Health Initiatives, Series A, 5.50%, 7/01/34 (e)

      2,469        2,833,473   

Connecticut — 0.5%

     

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

      5,019        5,458,424   

District of Columbia — 2.6%

     

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

      2,595        3,067,679   

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 6.00%, 10/01/35 (e)

      4,279        5,117,881   

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

      10,000        10,719,200   

 

                
8    BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014   

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

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

Par  

(000)

     Value  

District of Columbia (concluded)

     

Metropolitan Washington Airports Authority, Refunding ARB, Series A, AMT, 5.00%, 10/01/30

    $ 6,880      $ 7,806,736   
    

 

 

  
        26,711,496   

Florida — 6.4%

     

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

      3,300        3,601,884   

County of Highlands Florida Health Facilities Authority, RB, Adventist, Series C, 5.25%, 11/15/16

      5,400        5,793,768   

County of Miami-Dade Florida, Refunding RB, Transit System Sales Surtax, 5.00%, 7/01/42

      4,840        5,314,030   

County of Miami-Dade Florida Transit System, RB, (Syncora), 5.00%, 7/01/31

      19,800        20,907,414   

County of Miami-Dade Florida Water & Sewer System, RB, (AGM), 5.00%, 10/01/39

      11,702        13,256,202   

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

      12,013        13,532,444   

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

      3,299        3,628,597   
    

 

 

  
        66,034,339   

Georgia — 1.0%

     

Metropolitan Atlanta Rapid Transit Authority, Refunding RB, 3rd Indenture, Series B (AGM), 5.00%, 7/01/37

      10,000        10,872,133   

Illinois — 2.7%

     

City of Chicago Illinois, RB, Motor Fuel Tax Project, Series A (AGC), 5.00%, 1/01/38

      4,000        4,315,800   

Metropolitan Pier & Exposition Authority, RB, McCormick Place Expansion Project, Series A, 5.00%, 6/15/42

      720        776,448   

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

      3,499        3,939,947   

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

      10,000        11,965,300   
Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts (d)		   

Par  

(000)

     Value  

Illinois (concluded)

     

State of Illinois Toll Highway Authority, RB, Series A, 5.00%, 1/01/38

    $ 5,836      $ 6,518,935   
    

 

 

  
        27,516,430   

Kentucky — 0.7%

     

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

      5,985        6,890,616   

Louisiana — 1.0%

     

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

      10,000        10,701,400   

Nevada — 0.6%

     

County of Clark Nevada Water Reclamation District, GO, Series B:

     

Limited Tax, 5.75%, 7/01/34

      4,813        5,691,709   

5.50%, 7/01/29

      510        598,431   
    

 

 

  
        6,290,140   

New Jersey — 1.8%

     

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

      10,000        13,017,000   

New Jersey Transportation Trust Fund Authority, RB, Transportation System, Series B, 5.25%, 6/15/36 (e)

      4,961        5,491,666   
    

 

 

  
        18,508,666   

New York — 7.7%

     

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution:

     

Fiscal 2013, Series CC, 5.00%, 6/15/47

      15,521        17,289,164   

Series DD, 5.00%, 6/15/37

      17,567        19,508,770   

City of New York New York Water & Sewer System, Refunding RB, 2nd General Resolution, Fiscal 2014, Series DD, 5.00%, 6/15/35

      4,740        5,501,291   

Metropolitan Transportation Authority of New York, RB, Sub-Series D1, 5.25%, 11/15/44

      9,850        11,235,698   

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014    9

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

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

Par  

(000)

     Value  

New York (concluded)

     

New York State Urban Development Corp., RB, Personal Income Tax, General Purpose, Series A-1, 5.00%, 3/15/43

    $ 14,280      $ 16,009,451   

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

      5,180        5,350,267   

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

      4,500        5,143,725   
    

 

 

  
        80,038,366   

North Carolina — 0.7%

     

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

      7,086        7,389,141   

Ohio — 0.7%

     

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

      4,990        5,292,993   

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

      1,520        1,730,322   
    

 

 

  
        7,023,315   

South Carolina — 0.3%

     

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

      2,951        3,025,667   

Texas — 5.0%

     

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Baylor Health Care System Project, Series A, 5.00%, 11/15/38

      1,799        1,993,496   

Dallas Fort Worth International Airport, ARB, Series H, AMT, 5.00%, 11/01/37 (e)

      8,868        9,595,848   

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

      12,955        14,221,060   

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

      10,000        10,827,800   

North East Texas ISD, GO, School Building, Series A (PSF-GTD), 5.00%, 8/01/37 (e)

      3,500        3,823,190   
Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts (d)		   

Par  

(000)

     Value  

Texas (concluded)

     

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

    $ 10,000      $ 11,298,800   
    

 

 

  
        51,760,194   

Virginia — 0.4%

     

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

      3,944        4,393,736   

Washington — 3.5%

     

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

      17,000        18,671,383   

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

      15,785        17,139,776   
    

 

 

  
        35,811,159   

Wisconsin — 2.8%

     

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

      14,780        17,534,105   

Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert & Community Health, Inc., Obligated Group, Froedtert & Community Health, Inc.:

     

Froedtert & Community Health Inc., Series A, 5.00%, 4/01/42

      2,490        2,739,000   

Froedtert & Community Health Inc., Series C, 5.25%, 4/01/39 (e)

      7,459        8,203,040   
    

 

 

  
        28,476,145   
Total Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts — 50.1%		         517,536,574   

Total Long-Term Investments

(Cost — $1,480,567,334 ) — 158.5%

  

  

     1,636,172,520   
    
   
Short-Term Securities    Shares         

FFI Institutional Tax-Exempt Fund, 0.03% (f)(g)

      9,154,397        9,154,397   

Total Short-Term Securities

(Cost — $9,154,397) — 0.9%

  

  

     9,154,397   

 

                
10    BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014   

Schedule of Investments (continued)

   

BlackRock MuniYield Quality Fund III, Inc. (MYI)

(Percentages shown are based on Net Assets)

 

 

           Value  

Total Investments

(Cost — $1,489,721,731*) — 159.4%

   $ 1,645,326,917   
Liabilities in Excess of Other Assets — (50.8)%     (523,453,986 ) 
Liability for TOB Trust Certificates, Including Interest
    Expense and Fees Payable — 25.9%		     266,966,265   
VRDP Shares, at Liquidation Value — (34.5%)     (356,400,000 ) 
    

 

 

  
Net Assets Applicable to Common Shares — 100.0%   $  1,032,439,196   
    

 

 

  

*  As of October 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

      

Tax cost

      $ 951,444,021   
    

 

 

  

Gross unrealized appreciation

      $ 155,894,980   

Gross unrealized depreciation

                         (4,976,165 ) 
    

 

 

  

Net unrealized appreciation

      $ 150,918,815   
    

 

 

  

 

Notes to Schedule of Investments

 

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

 

(b)   Zero-coupon bond.

 

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

 

(d)   Represent bonds transferred to a TOB. In exchange for which the Fund received cash and residual interest certificates. These bonds serve as collateral in a financing transaction.

 

(e)   All or a portion of security is subject to a recourse agreement, which may require the Fund to pay the liquidity provider in the event there is a shortfall between the TOB trust certificates and proceeds received from the sale of the security contributed to the TOB trust. In the case of a shortfall, the aggregate maximum potential amount the Fund could ultimately be required to pay under the agreement, which expire from February 1, 2016 to December 1, 2029 is $37,542,695.

 

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

 

(g)   Investments in issuers considered to be an affiliate of the Fund during the period ended October 31, 2014, 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,
2014		       

Net

Activity

        Shares Held
at October 31,
2014		        Income  

FFI Institutional Tax-Exempt Fund

        7,872,927           1,281,372           9,154,299         $ 1,341   

 

Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.
AGM    Assured Guaranty Municipal Corp.
AMBAC    American Municipal Bond Assurance Corp.
AMT    Alternative Minimum Tax (subject to)
ARB    Airport Revenue Bonds
BHAC    Berkshire Hathaway Assurance Corp.
CAB    Capital Appreciation Bonds
COP    Certificates of Participation
EDA    Economic Development Authority
ERB    Education Revenue Bonds

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014    11

Schedule of Investments (continued)

    BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

Fannie

Mae

    Federal National Mortgage Association
GAB    Grant Anticipation Bonds
GARB    General Airport Revenue Bonds
GO    General Obligation Bonds
GTD    Guaranteed
HDA    Housing Development Authority
HFA    Housing Finance Agency
IDA    Industrial Development Authority
ISD    Independent School District
LRB    Lease Revenue Bonds
NPFGC    National Public Finance Guarantee Corp.
PSF    Public School Fund
RB    Revenue Bonds
Syncora    Syncora Guarantee

 

Ÿ  

Financial futures contracts outstanding as of October 31, 2014 were as follows:

 

Contracts
Sold		     Issue   Exchange   Expiration   Notional
Value		     Unrealized
Appreciation
  (616 )    10-Year U.S. Treasury Note   Chicago Board of Trade   December 2014   $ 77,837,375      $          666,537

 

Ÿ  

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

 

  Ÿ  

Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

 

  Ÿ  

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)

 

  Ÿ  

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

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

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of October 31, 2014:

 

                
12    BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014   

Schedule of Investments (concluded)

    BlackRock MuniYield Quality Fund III, Inc. (MYI)

 

 

     Level 1        Level 2        Level 3      Total  

Assets:

                 
Investments:                 

Long-Term Investments1

        $ 1,636,172,520              $ 1,636,172,520   

Short-Term Securities

   $ 9,154,397                     9,154,397   
 

 

 

  

Total

   $ 9,154,397         $ 1,636,172,520         —      $ 1,645,326,917   
 

 

 

  

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

 

       

     Level 1        Level 2        Level 3      Total  
Derivative Financial Instruments2                 

Assets:

                 

Interest rate contracts

   $ 666,537           —              $ 666,537   
 

 

 

  

2    Derivative financial instruments are financial futures contracts, which 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 October 31, 2014, 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

   $ 777,000                   $ 777,000   

Liabilities:

                 

TOB trust certificates

        $ (266,904,842 )              (266,904,842 ) 

VRDP Shares

          (356,400,000 )              (356,400,000 ) 
 

 

 

  

Total

   $ 777,000         $ (623,304,842 )            $ (622,527,842 ) 
 

 

 

  

There were no transfers between levels during the period ended October 31, 2014.

 

                
   BLACKROCK MUNIYIELD QUALITY FUND III, INC.    OCTOBER 31, 2014    13

Item 2 –   Controls and Procedures
2(a) –   The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
2(b) –   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3 –   Exhibits
          Certifications – Attached hereto

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock MuniYield Quality Fund III, Inc.

 

By:       

/s/ John M. Perlowski

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock MuniYield Quality Fund III, Inc.
Date: December 23, 2014

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

 

By:       

/s/ John M. Perlowski

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock MuniYield Quality Fund III, Inc.
Date: December 23, 2014
By:  

/s/ Neal J. Andrews

  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock MuniYield Quality Fund III, Inc.
Date: December 23, 2014