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 811-09401

 

Name of Fund: The BlackRock Strategic Municipal Trust (BSD)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

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

 

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

 

Date of fiscal year end: 04/30/2012

 

Date of reporting period: 07/31/2011

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments July 31, 2011 (Unaudited)

BlackRock Strategic Municipal Trust (BSD)
 (Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 0.5%

 

 

 

 

 

 

 

Alabama State Docks Department,
Refunding RB, 6.00%, 10/01/40

 

$

655

 

$

672,115

 

Alaska — 0.2%

 

 

 

 

 

 

 

Northern Tobacco Securitization Corp.,
RB, Asset Backed Series A, 5.00%,
6/01/46

 

 

480

 

 

316,795

 

Arizona — 1.9%

 

 

 

 

 

 

 

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

 

 

625

 

 

639,094

 

Salt Verde Financial Corp., RB, Senior,
5.00%, 12/01/37

 

 

1,320

 

 

1,181,479

 

San Luis Facility Development Corp., RB,
Senior Lien Regional Detention Center
Project:

 

 

 

 

 

 

 

6.25%, 5/01/15

 

 

175

 

 

170,086

 

7.00%, 5/01/20

 

 

210

 

 

207,516

 

7.25%, 5/01/27

 

 

420

 

 

379,840

 

 

 

 

 

 

 

2,578,015

 

Arkansas — 0.4%

 

 

 

 

 

 

 

County of Little River Arkansas,
Refunding RB, Georgia-Pacific Corp.
Project, AMT, 5.60%, 10/01/26

 

 

525

 

 

508,284

 

California — 11.2%

 

 

 

 

 

 

 

Bay Area Toll Authority, Refunding RB,
San Francisco Bay Area, Series F-1,
5.63%, 4/01/44

 

 

720

 

 

758,642

 

California County Tobacco Securitization
Agency, RB, CAB Stanislaus,
Sub-Series C, 6.30%, 6/01/55 (a)

 

 

3,095

 

 

31,105

 

California Health Facilities Financing
Authority, Refunding RB, Sutter
Health, Series B, 6.00%, 8/15/42

 

 

1,010

 

 

1,075,933

 

California State Public Works Board, RB,
Various Capital Projects, Sub-Series I-1,
6.38%, 11/01/34

 

 

375

 

 

398,160

 

Los Angeles Department of Airports, RB,
Series A, 5.25%, 5/15/39

 

 

250

 

 

257,390

 

Los Angeles Department of Airports,
Refunding RB, Senior, Los Angeles
International Airport, Series A, 5.00%,
5/15/40

 

 

1,875

 

 

1,901,512

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

California (concluded)

 

 

 

 

 

 

 

Los Angeles Unified School District
California, GO, Series D, 5.00%,
7/01/26

 

$

1,585

 

$

1,681,717

 

San Francisco City & County Public
Utilities Commission, RB, Series B,
5.00%, 11/01/39

 

 

2,965

 

 

3,002,804

 

State of California, GO, Various Purpose:

 

 

 

 

 

 

 

6.00%, 3/01/33

 

 

800

 

 

873,944

 

6.50%, 4/01/33

 

 

650

 

 

727,688

 

University of California, RB, Limited
Project, Series B, 4.75%, 5/15/38

 

 

1,285

 

 

1,216,008

 

West Valley-Mission Community College
District, GO, Election of 2004,
Series A (AGM), 4.75%, 8/01/30

 

 

3,350

 

 

3,357,370

 

 

 

 

 

 

 

15,282,273

 

Colorado — 1.5%

 

 

 

 

 

 

 

Colorado Health Facilities Authority,
Refunding RB, Series A:

 

 

 

 

 

 

 

Catholic Health, 5.50%, 7/01/34

 

 

680

 

 

701,536

 

Sisters of Leavenworth, 5.00%,
1/01/40

 

 

690

 

 

667,609

 

Park Creek Metropolitan District
Colorado, Refunding RB, Senior,
Limited Tax, Property Tax, 5.50%,
12/01/37

 

 

440

 

 

402,354

 

Regional Transportation District, COP,
Series A, 5.38%, 6/01/31

 

 

320

 

 

332,870

 

 

 

 

 

 

 

2,104,369

 

Delaware — 1.5%

 

 

 

 

 

 

 

County of Sussex Delaware, RB, NRG
Energy, Inc., Indian River Project,
6.00%, 10/01/40

 

 

820

 

 

826,355

 

Delaware State EDA, RB, Exempt
Facilities, Indian River Power, 5.38%,
10/01/45

 

 

1,280

 

 

1,154,522

 

 

 

 

 

 

 

1,980,877

 

District of Columbia — 0.5%

 

 

 

 

 

 

 

Metropolitan Washington Airports
Authority, RB, First Senior Lien,
Series A:

 

 

 

 

 

 

 

5.00%, 10/01/39

 

 

160

 

 

160,309

 

 

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:

 

 

ACA

American Capital Access Corp.

AGC

Assured Guaranty Corp.

AGM

Assured Guaranty Municipal Corp.

AMBAC

American Municipal Bond Assurance Corp.

AMT

Alternative Minimum Tax (subject to)

CAB

Capital Appreciation Bonds

COP

Certificates of Participation

EDA

Economic Development Authority

EDC

Economic Development Corp.

ERB

Education Revenue Bonds

GO

General Obligation Bonds

HDA

Housing Development Authority

IDA

Industrial Development Authority

ISD

Independent School District

NPFGC

National Public Finance Guarantee Corp.

PSF-GTD

Permanent School Fund Guaranteed

RB

Revenue Bonds

SAN

State Aid Notes

 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JULY 31, 2011

1


 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Municipal Trust (BSD)
 (Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

District Of Columbia (concluded)

 

 

 

 

 

 

 

Metropolitan Washington Airports
Authority, RB, First Senior Lien,
Series A:

 

 

 

 

 

 

 

5.25%, 10/01/44

 

$

465

 

$

467,418

 

 

 

 

 

 

 

627,727

 

Florida — 5.6%

 

 

 

 

 

 

 

Arborwood Community Development
District, Special Assessment Bonds,
Master Infrastructure Projects,
Series B, 5.10%, 5/01/14

 

 

1,375

 

 

1,145,210

 

County of Miami-Dade Florida,
Refunding RB, Miami International
Airport, Series A-1, 5.38%, 10/01/41

 

 

370

 

 

372,235

 

Hillsborough County IDA, RB, National
Gypsum Co., Series A AMT, 7.13%,
4/01/30

 

 

3,300

 

 

3,000,954

 

Miami Beach Health Facilities Authority,
RB, Mount Sinai Medical Center of
Florida, 6.75%, 11/15/21

 

 

1,170

 

 

1,203,123

 

Mid-Bay Bridge Authority, RB, Series A,
7.25%, 10/01/40

 

 

720

 

 

733,154

 

Sumter Landing Community
Development District Florida, RB,
Sub-Series B, 5.70%, 10/01/38

 

 

1,540

 

 

1,209,916

 

 

 

 

 

 

 

7,664,592

 

Georgia — 1.4%

 

 

 

 

 

 

 

DeKalb Private Hospital Authority,
Refunding RB, Children’s Healthcare,
5.25%, 11/15/39

 

 

265

 

 

268,893

 

Metropolitan Atlanta Rapid Transit
Authority, RB, Third Series, 5.00%,
7/01/39

 

 

1,095

 

 

1,093,314

 

Private Colleges & Universities Authority,
Refunding RB, Emory University,
Series C, 5.00%, 9/01/38

 

 

485

 

 

498,080

 

 

 

 

 

 

 

1,860,287

 

Guam — 0.4%

 

 

 

 

 

 

 

Territory of Guam, GO, Series A:

 

 

 

 

 

 

 

6.00%, 11/15/19

 

 

200

 

 

198,652

 

6.75%, 11/15/29

 

 

290

 

 

295,113

 

 

 

 

 

 

 

493,765

 

Hawaii — 0.3%

 

 

 

 

 

 

 

State of Hawaii, Refunding RB, Series A,
5.25%, 7/01/30

 

 

425

 

 

439,667

 

Illinois — 11.4%

 

 

 

 

 

 

 

City of Chicago Illinois, RB, General Third
Lien, Series A:

 

 

 

 

 

 

 

5.63%, 1/01/35

 

 

800

 

 

831,080

 

5.75%, 1/01/39

 

 

1,500

 

 

1,565,310

 

City of Chicago Illinois, Refunding RB,
General, Third Lien, Series C, 6.50%,
1/01/41

 

 

1,855

 

 

2,041,446

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Illinois (concluded)

 

 

 

 

 

 

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

MJH Education Assistance IV
LLC, Sub-Series B, 5.38%,
6/01/35 (b)(c)

 

$

300

 

$

60,012

 

Northwestern University,
5.00%, 12/01/33

 

 

5,000

 

 

5,085,700

 

Illinois Finance Authority, Refunding RB:

 

 

 

 

 

 

 

Central DuPage Health,
Series B, 5.50%, 11/01/39

 

 

2,500

 

 

2,536,200

 

Friendship Village
Schaumburg, Series A, 5.63%,
2/15/37

 

 

145

 

 

115,095

 

Metropolitan Pier & Exposition Authority,
Refunding RB, McCormick Place
Expansion Project (AGM), CAB:

 

 

 

 

 

 

 

Series B, 6.25%, 6/15/44 (a)

 

 

2,980

 

 

373,185

 

Series B, 5.00%, 6/15/50

 

 

990

 

 

909,374

 

Series B-2, 5.00%, 6/15/50

 

 

785

 

 

721,070

 

Railsplitter Tobacco Settlement
Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

175

 

 

181,309

 

6.00%, 6/01/28

 

 

940

 

 

968,059

 

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

 

 

200

 

 

202,950

 

 

 

 

 

 

 

15,590,790

 

Indiana — 1.6%

 

 

 

 

 

 

 

Indiana Finance Authority, RB, Sisters of
St. Francis Health, 5.25%, 11/01/39

 

 

270

 

 

271,234

 

Indiana Finance Authority, Refunding
RB, Ascension Health Senior Credit,
Series B-5, 5.00%, 11/15/36

 

 

500

 

 

501,345

 

Indiana Health Facility Financing
Authority, Refunding RB, Methodist
Hospital Inc., 5.38%, 9/15/22

 

 

1,060

 

 

983,129

 

Indiana Municipal Power Agency, RB,
Series B, 6.00%, 1/01/39

 

 

350

 

 

371,465

 

 

 

 

 

 

 

2,127,173

 

Kansas — 0.3%

 

 

 

 

 

 

 

Kansas Development Finance Authority,
Refunding RB, Sisters of Leavenworth,
Series A, 5.00%, 1/01/40

 

 

450

 

 

453,983

 

Kentucky — 5.9%

 

 

 

 

 

 

 

Kentucky Economic Development
Finance Authority, Refunding RB:

 

 

 

 

 

 

 

Norton Healthcare Inc., Series
B (NPFGC), 6.20%, 10/01/24
(a)

 

 

16,370

 

 

7,688,825

 

Owensboro Medical Health
System, Series A, 6.38%,
6/01/40

 

 

320

 

 

326,131

 

 

 

 

 

 

 

8,014,956

 

 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JULY 31, 2011

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Strategic Municipal Trust (BSD)
 (Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Louisiana — 0.8%

 

 

 

 

 

 

 

Louisiana Local Government
Environmental Facilities & Community
Development Authority, RB, Westlake
Chemical Corp., Series A-1, 6.50%,
11/01/35

 

$

1,055

 

$

1,091,851

 

Maryland — 2.5%

 

 

 

 

 

 

 

Maryland Community Development
Administration, Refunding RB,
Residential, Series A, AMT, 4.70%,
9/01/37

 

 

2,500

 

 

2,319,125

 

Maryland EDC, RB, Transportation
Facilities Project, Series A, 5.75%,
6/01/35

 

 

135

 

 

132,296

 

Maryland EDC, Refunding RB, CNX
Marine Terminals, Inc., 5.75%,
9/01/25

 

 

260

 

 

256,531

 

Maryland Health & Higher Educational
Facilities Authority, Refunding RB,
Charlestown Community, 6.25%,
1/01/41

 

 

690

 

 

706,222

 

 

 

 

 

 

 

3,414,174

 

Massachusetts — 0.4%

 

 

 

 

 

 

 

Massachusetts Health & Educational
Facilities Authority, Refunding RB,
Partners Healthcare, Series J1,
5.00%, 7/01/39

 

 

570

 

 

571,824

 

Michigan — 2.0%

 

 

 

 

 

 

 

Kalamazoo Hospital Finance Authority,
Refunding RB, Bronson Methodist
Hospital, 5.50%, 5/15/36

 

 

435

 

 

433,795

 

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

 

 

465

 

 

492,695

 

Michigan State Hospital Finance
Authority, Refunding RB, Henry Ford
Health System, Series A, 5.25%,
11/15/46

 

 

730

 

 

654,701

 

Royal Oak Hospital Finance Authority
Michigan, Refunding RB, William
Beaumont Hospital, 8.25%, 9/01/39

 

 

1,000

 

 

1,154,490

 

 

 

 

 

 

 

2,735,681

 

Missouri — 0.2%

 

 

 

 

 

 

 

Missouri State Health & Educational
Facilities Authority, RB, Senior Living
Facilities, Lutheran Senior Home,
5.50%, 2/01/42

 

 

330

 

 

301,036

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Nebraska — 0.5%

 

 

 

 

 

 

 

Douglas County Hospital Authority No. 2,
RB, Health Facilities, Immanuel
Obligation Group, 5.63%, 1/01/40

 

$

720

 

$

727,898

 

Nevada — 0.6%

 

 

 

 

 

 

 

County of Clark Nevada, Refunding RB,
Alexander Dawson School Nevada
Project, 5.00%, 5/15/29

 

 

880

 

 

882,913

 

New Jersey — 3.7%

 

 

 

 

 

 

 

Middlesex County Improvement
Authority, RB, Subordinate Heldrich,
Center Hotel, Series B, 6.25%,
1/01/37 (b)(c)

 

 

645

 

 

58,050

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

Cigarette Tax, 5.50%,
6/15/24

 

 

1,790

 

 

1,760,715

 

Continental Airlines Inc.
Project, AMT, 6.63%, 9/15/12

 

 

500

 

 

506,110

 

New Jersey State Turnpike Authority, RB,
Series E, 5.25%, 1/01/40

 

 

1,355

 

 

1,384,160

 

New Jersey Transportation Trust Fund
Authority, RB, Transportation System,
Series A, 5.50%, 6/15/41

 

 

575

 

 

600,352

 

Tobacco Settlement Financing Corp.
New Jersey, Refunding RB, Series 1A,
4.50%, 6/01/23

 

 

785

 

 

711,571

 

 

 

 

 

 

 

5,020,958

 

New York — 4.2%

 

 

 

 

 

 

 

Albany Industrial Development Agency,
RB, New Covenant Charter School
Project, Series A, 7.00%, 5/01/35 (b)(c)

 

 

315

 

 

78,785

 

Metropolitan Transportation Authority,
Refunding RB, Transportation,
Series D, 5.25%, 11/15/40

 

 

385

 

 

389,770

 

New York City Industrial Development
Agency, RB:

 

 

 

 

 

 

 

American Airlines Inc., JFK
International Airport, AMT,
7.75%, 8/01/31 (d)

 

 

3,000

 

 

3,095,070

 

British Airways Plc Project,
7.63%, 12/01/32

 

 

1,000

 

 

1,012,080

 

New York Liberty Development Corp.,
Refunding RB, Second Priority, Bank
of America Tower at One Bryant Park
Project, 6.38%, 7/15/49

 

 

385

 

 

395,999

 

Port Authority of New York & New Jersey,
RB, JFK International Air Terminal:

 

 

 

 

 

 

 

6.00%, 12/01/36

 

 

410

 

 

416,580

 

6.00%, 12/01/42

 

 

395

 

 

399,606

 

 

 

 

 

 

 

5,787,890

 

North Carolina — 0.3%

 

 

 

 

 

 

 

North Carolina Medical Care
Commission, RB, Duke University
Health System, Series A, 5.00%,
6/01/42

 

 

440

 

 

443,661

 

 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JULY 31, 2011

3


 

 

 

Schedule of Investments (continued)

BlackRock Strategic Municipal Trust (BSD)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Ohio — 1.3%

 

 

 

 

 

 

 

County of Montgomery Ohio, Refunding
RB, Catholic Healthcare, Series A,
5.00%, 5/01/39

 

$

885

 

$

880,982

 

State of Ohio, RB, Ford Motor Co.
Project, AMT, 5.75%, 4/01/35

 

 

1,000

 

 

933,870

 

 

 

 

 

 

 

1,814,852

 

Oklahoma — 0.9%

 

 

 

 

 

 

 

Tulsa Airports Improvement Trust, RB,
Series A, Mandatory Put Bonds, AMT,
7.75%, 6/01/35 (d)

 

 

1,225

 

 

1,265,915

 

Pennsylvania — 3.1%

 

 

 

 

 

 

 

Allegheny County Hospital Development
Authority, Refunding RB, Health
System West Penn, Series A, 5.38%,
11/15/40

 

 

1,000

 

 

840,860

 

Pennsylvania Economic Development
Financing Authority, RB:

 

 

 

 

 

 

 

Amtrak Project, Series A, AMT,
6.50%, 11/01/16

 

 

1,000

 

 

1,013,060

 

Amtrak Project, Series A, AMT,
6.13%, 11/01/21

 

 

700

 

 

707,308

 

Amtrak Project, Series A, AMT,
6.25%, 11/01/31

 

 

1,000

 

 

1,004,860

 

Aqua Pennsylvania Inc.
Project, 5.00%, 11/15/40

 

 

600

 

 

609,318

 

 

 

 

 

 

 

4,175,406

 

Puerto Rico — 1.4%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp.,
RB, Sub-Series Series A, 6.50%,
8/01/44

 

 

1,770

 

 

1,913,105

 

South Carolina — 2.8%

 

 

 

 

 

 

 

South Carolina Jobs-EDA, Refunding RB,
Palmetto Health, Series C (e):

 

 

 

 

 

 

 

7.00%, 8/01/13

 

 

2,225

 

 

2,513,093

 

7.00%, 8/01/13

 

 

275

 

 

310,607

 

South Carolina State Ports Authority, RB,
5.25%, 7/01/40

 

 

1,040

 

 

1,058,491

 

 

 

 

 

 

 

3,882,191

 

Texas — 12.8%

 

 

 

 

 

 

 

Brazos River Authority, RB, TXU Electric,
Series A, AMT, 8.25%, 10/01/30

 

 

730

 

 

277,546

 

Brazos River Authority, Refunding RB,
TXU Electric Co. Project, Series C,
Mandatory Put Bonds, AMT, 5.75%,
5/01/36 (d)

 

 

500

 

 

492,145

 

Central Texas Regional Mobility
Authority, RB, Senior Lien, 6.25%,
1/01/46

 

 

680

 

 

677,572

 

City of Dallas Texas, Refunding RB,
5.00%, 10/01/35

 

 

475

 

 

499,957

 

City of Houston Texas, RB, Series A:

 

 

 

 

 

 

 

Senior Lien, 5.50%, 7/01/39

 

 

485

 

 

501,024

 

Sub Lien, AMT, 5.00%, 7/01/21

 

 

610

 

 

643,416

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

City of Houston Texas, Refunding RB, Series A:

 

 

 

 

 

 

 

Combined, First Lien, (AGC),
6.00%, 11/15/35

 

$

2,730

 

$

3,038,217

 

Sub Lien, AMT, 5.00%, 7/01/22

 

 

360

 

 

373,388

 

Harris County-Houston Sports Authority,
Refunding RB, CAB, Senior Lien,
Series A (NPFGC), 6.18%,
11/15/38 (a)

 

 

4,750

 

 

681,768

 

La Joya ISD Texas, GO (PSF-GTD),
5.00%, 2/15/34

 

 

4,060

 

 

4,120,860

 

La Vernia Higher Education Finance
Corp., RB, KIPP Inc., 6.38%, 8/15/44

 

 

500

 

 

513,090

 

North Texas Tollway Authority, RB:

 

 

 

 

 

 

 

CAB, Special Projects System,
Series B, 7.55%, 9/01/37 (a)

 

 

640

 

 

114,835

 

Toll, 2nd Tier, Series F, 6.13%,
1/01/31

 

 

1,025

 

 

1,058,302

 

Tarrant County Cultural Education
Facilities Finance Corp., RB, Scott &
White Healthcare, 6.00%, 8/15/45

 

 

1,270

 

 

1,331,328

 

Texas Private Activity Bond Surface
Transportation Corp., RB, Senior Lien:

 

 

 

 

 

 

 

LBJ Infrastructure Group LLC LBJ
Freeway Managed Lanes Project,
7.00%, 6/30/40

 

 

1,355

 

 

1,440,717

 

NTE Mobility Partners LLC North
Tarrant Express Managed Lanes
Project, 6.88%, 12/31/39

 

 

1,220

 

 

1,285,563

 

Texas State Public Finance Authority,
Refunding ERB, KIPP Inc., Series A
(ACA), 5.00%, 2/15/36

 

 

500

 

 

435,600

 

 

 

 

 

 

 

17,485,328

 

Utah — 0.8%

 

 

 

 

 

 

 

City of Riverton Utah, RB, IHC Health
Services Inc., 5.00%, 8/15/41

 

 

1,150

 

 

1,150,725

 

Virginia — 3.0%

 

 

 

 

 

 

 

City of Norfolk Virginia, Refunding RB,
Series B (AMBAC), 5.50%, 2/01/31 (e)

 

 

355

 

 

352,064

 

Fairfax County EDA, Refunding RB,
Goodwin House Inc., 5.13%,
10/01/42

 

 

500

 

 

447,605

 

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

 

 

2,500

 

 

2,595,100

 

Virginia HDA, RB, Sub-Series H-1
(NPFGC), 5.35%, 7/01/31

 

 

750

 

 

750,278

 

 

 

 

 

 

 

4,145,047

 

Washington — 0.5%

 

 

 

 

 

 

 

Washington Health Care Facilities
Authority, RB, Swedish Health
Services, Series A, 6.75%, 11/15/41

 

 

630

 

 

674,176

 

 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JULY 31, 2011

4


 

 

 

Schedule of Investments (continued)

BlackRock Strategic Municipal Trust (BSD)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Wisconsin — 1.6%

 

 

 

 

 

 

 

Wisconsin Health & Educational
Facilities Authority, RB, Ascension
Health Credit Group, Series A, 5.00%,
11/15/31

 

$

2,165

 

$

2,177,838

 

Wyoming — 1.2%

 

 

 

 

 

 

 

County of Sweetwater Wyoming,
Refunding RB, Idaho Power Co.
Project, 5.25%, 7/15/26

 

 

975

 

 

1,032,740

 

Wyoming Municipal Power Agency, RB,
Series A:

 

 

 

 

 

 

 

5.00%, 1/01/42

 

 

95

 

 

95,817

 

5.38%, 1/01/42

 

 

500

 

 

509,895

 

 

 

 

 

 

 

1,638,452

 

Total Municipal Bonds – 89.2%

 

 

 

 

 

122,016,589

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Alabama — 0.6%

 

 

 

 

 

 

 

Alabama Special Care Facilities
Financing Authority-Birmingham,
Refunding RB, Ascension Health
Senior Credit, Series C-2, 5.00%,
11/15/36

 

 

760

 

 

763,850

 

California — 1.6%

 

 

 

 

 

 

 

California Educational Facilities
Authority, RB, University of Southern
California, Series A, 5.25%, 10/01/39

 

 

855

 

 

895,484

 

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

 

 

740

 

 

758,500

 

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

 

 

553

 

 

582,915

 

 

 

 

 

 

 

2,236,899

 

Colorado — 1.4%

 

 

 

 

 

 

 

Colorado Health Facilities Authority, RB,
Catholic Health, (AGM):

 

 

 

 

 

 

 

Series C-3, 5.10%, 10/01/41

 

 

1,210

 

 

1,202,534

 

Series C-7, 5.00%, 9/01/36

 

 

780

 

 

775,546

 

 

 

 

 

 

 

1,978,080

 

Connecticut — 2.4%

 

 

 

 

 

 

 

Connecticut State Health & Educational
Facility Authority, RB, Yale University:

 

 

 

 

 

 

 

Series T-1, 4.70%, 7/01/29

 

 

1,580

 

 

1,663,297

 

Series X-3, 4.85%, 7/01/37

 

 

1,540

 

 

1,566,411

 

 

 

 

 

 

 

3,229,708

 

Massachusetts — 1.5%

 

 

 

 

 

 

 

Massachusetts Water Resources
Authority, Refunding RB, General,
Series A, 5.00%, 8/01/41

 

 

1,980

 

 

2,016,828

 

 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

New Hampshire — 0.5%

 

 

 

 

 

 

 

New Hampshire Health & Education
Facilities Authority, Refunding RB,
Dartmouth College, 5.25%, 6/01/39

 

$

645

 

$

682,849

 

New York — 3.5%

 

 

 

 

 

 

 

New York City Municipal Water Finance
Authority, RB, Series FF-2, 5.50%,
6/15/40

 

 

510

 

 

545,436

 

New York State Dormitory Authority,
ERB, Series F, 5.00%, 3/15/35

 

 

4,184

 

 

4,264,698

 

 

 

 

 

 

 

4,810,134

 

Tennessee — 1.0%

 

 

 

 

 

 

 

Shelby County Health Educational &
Housing Facilities Board, Refunding
RB, St. Jude’s Children’s Research
Hospital, 5.00%, 7/01/31

 

 

1,280

 

 

1,312,474

 

Texas — 1.6%

 

 

 

 

 

 

 

County of Harris Texas, RB, Senior Lien,
Toll Road, Series A, 5.00%, 8/15/38

 

 

2,140

 

 

2,183,977

 

Virginia — 1.3%

 

 

 

 

 

 

 

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

 

 

1,790

 

 

1,858,092

 

Washington — 2.5%

 

 

 

 

 

 

 

Central Puget Sound Regional Transit
Authority, RB, Series A (AGM), 5.00%,
11/01/32

 

 

900

 

 

931,499

 

State of Washington, GO, Various
Purpose, Series E, 5.00%, 2/01/34

 

 

2,400

 

 

2,501,616

 

 

 

 

 

 

 

3,433,115

 

Total Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts – 17.9%

 

 

 

 

 

24,506,006

 

Total Long-Term Investments
(Cost – $146,398,840) – 107.1%

 

 

 

 

 

146,522,595

 

 

 

 

 

 

 

 

Short-Term Securities

 

Shares

 

 

 

 

FFI Institutional Tax-Exempt Fund,
0.01% (g)(h)

 

 

2,359,388

 

 

2,359,388

 

 

 

 

 

 

 

 

 

 

Par
(000)

 

 

 

 

Michigan Finance Authority,
RB, SAN, Detroit Schools,
Series A-1, 6.45%, 2/20/12

 

 

1,030

 

 

1,047,664

 

Total Short-Term Securities
(Cost – $3,389,388) – 2.5%

 

 

 

 

 

3,407,052

 

 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JULY 31, 2011

5


 

 

 

 

 

Schedule of Investments (concluded)

BlackRock Strategic Municipal Trust (BSD)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

 

 

 

 

Value

 

Total Investments
(Cost – $149,788,228*) – 109.6%

 

 

 

 

$

149,929,647

 

Other Assets Less Liabilities – 31.7%

 

 

 

 

 

43,466,430

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable – (9.9)%

 

 

 

 

 

(13,602,238

)

AMPs Shares, at Redemption Value – (31.4)%

 

 

 

 

 

(43,000,220

)

Net Assets Applicable to Common Shares – 100.0%

 

 

 

 

$

136,793,619

 

 

 


*


The cost and unrealized appreciation (depreciation) of investments as of July 31, 2011, as computed for federal income tax purposes, were as follows:

 

 

 

 

 

Aggregate cost

 

$

149,664,429

 

Gross unrealized appreciation

 

$

4,069,751

 

Gross unrealized depreciation

 

 

(3,804,533

)

Net unrealized appreciation

 

$

265,218

 

 

 

(a)

Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.

 

(b)

Issuer filed for bankruptcy and/or is in default of interest payments.

 

(c)

Non-income producing security.

 

(d)

Variable rate security. Rate shown is as of report date.

 

(e)

US 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.

 

(f)

Securities represent bonds transferred to a TOB trust in exchange for which the Trust acquired residual interest certificates. These securities serve as collateral in a financing transaction.

 

(g)

Investments in companies considered to be an affiliate of the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 
                           

Affiliate

 

Shares
Held at
April 30, 2011

 

Net
Activity

 

Shares
Held at
July 31, 2011

 

Income

 

FFI Institutional Tax-Exempt Fund

 

 

1,457,085

 

 

902,303

 

 

2,359,388

 

$

459

 

 

 

(h)

Represents the current yield as of report date.

 

 

•

Financial futures contracts sold as of July 31, 2011 were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 
 

Contracts

 

Issue

 

Exchange

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

45

 

10-Year U.S. Treasury Note

 

Chicago Board of Trade

 

September 2011

 

$

5,513,563

 

$

(142,375

)

 

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized in three broad levels for financial reporting purposes as follows:

 

 

 

 

•

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

•

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

 

 

 

•

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

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 does not necessarily correspond to the Trust’s perceived risk of investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments and other significant policies, please refer to the Trust’s most recent financial statements as contained in its annual report.

The following tables summarize the inputs used as of July 31, 2011 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 
 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

—

 

$

146,522,595

 

 

—

 

$

146,522,595

 

Short-Term Securities

 

$

2,359,388

 

 

1,047,664

 

 

—

    

3,407,052

 

Total

 

$

2,359,388

 

$

147,570,259

 

 

—

 

$

149,929,647

 

 

 

1

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 
 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

(142,375

)

 

—

 

 

—

 

$

(142,375

)

 

 

2

Derivative financial instruments are financial futures contracts which are valued at the unrealized appreciation/depreciation on the instrument.

 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JULY 31, 2011

6

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.

 

 

 

The BlackRock Strategic Municipal Trust

 

 

 

 By: /s/ John M. Perlowski

 

 

 

John M. Perlowski 

 

 

Chief Executive Officer (principal executive officer) of 

 

 

The BlackRock Strategic Municipal Trust 

 

 

 

Date: September 26, 2011 

 

 

 

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 

 

 

The BlackRock Strategic Municipal Trust 

 

 

 

Date: September 26, 2011 

 

 

 

 By: /s/ Neal J. Andrews

 

 

 

Neal J. Andrews 

 

 

Chief Financial Officer (principal financial officer) of 

 

 

The BlackRock Strategic Municipal Trust 

 

 

 

 

Date: September 26, 2011