BLACKROCK STRATEGIC MUNICIPAL TRUST

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: 04/30/2018

Date of reporting period: 07/31/2017

Item 1 – Schedule of Investments

Schedule of Investments July 31, 2017 (Unaudited)

   

BlackRock Strategic Municipal Trust (BSD)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par
(000)		     Value  
Alabama — 2.5%  

County of Jefferson Alabama, RB, Limited Obligation School, Series A, 5.25%, 1/01/19

    $ 465     $ 465,809  

County of Jefferson Alabama Sewer, Refunding RB, Sub-Lien, Series D, 7.00%, 10/01/51

      1,115       1,373,290  

State of Alabama Docks Department, Refunding RB, 6.00%, 10/01/20 (a)

      655       754,049  
    

 

 

  
               2,593,148  
Alaska — 0.3%  

Northern Tobacco Securitization Corp., Refunding RB, Tobacco Settlement, Asset-Backed, Series A, 4.63%, 6/01/23

      355       356,292  
Arizona — 1.1%  

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

      1,000       1,203,820  
California — 10.1%  

Bay Area Toll Authority, Refunding RB, San Francisco Bay Area Toll Bridge, Series F-1, 5.63%, 4/01/19 (a)

      720       776,146  

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

      1,010       1,149,047  

California Health Facilities Financing Authority, Refunding RB, St. Joseph Health System, Series A, 5.00%, 7/01/33

      400       457,036  

California Municipal Finance Authority, RB, Senior, Caritas Affordable Housing, Inc. Projects, S/F Housing, Series A:

     

5.25%, 8/15/39

      45       49,816  

5.25%, 8/15/49

      115       126,479  

California Pollution Control Financing Authority, RB, Poseidon Resources (Channel Side) LP Desalination Project, AMT, 5.00%, 11/21/45 (b)

      475       506,982  

California School Finance Authority, RB, Alliance For College-Ready Public School Projects, Series A, 5.00%, 7/01/51 (b)

      500       533,275  

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Series A:

     

Senior, 5.00%, 5/15/40

      1,875       2,062,706  
Municipal Bonds    Par
(000)		     Value  
California (continued)  

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Series A (continued):

     

5.25%, 5/15/39

    $ 250     $ 268,225  

City of Stockton California Public Financing Authority, RB, Delta Water Supply Project, Series A, 6.25%, 10/01/38

      110       134,119  

State of California, GO, Various Purposes:

     

6.00%, 3/01/33

      800       899,824  

6.50%, 4/01/33

      650       711,386  

State of California Public Works Board, LRB, Various Capital Projects:

     

Series I, 5.00%, 11/01/38

      240       273,019  

Sub-Series I-1, 6.38%, 11/01/19 (a)

      375       420,442  

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 9/01/33

      915       1,080,496  

Tobacco Securitization Authority of Southern California, Refunding RB, Tobacco Settlement, Asset-Backed, Senior Series A-1:

     

5.00%, 6/01/37

      920       921,656  

5.13%, 6/01/46

      265       262,342  
    

 

 

  
               10,632,996  
Colorado — 2.4%  

Colorado Health Facilities Authority, Refunding RB, Catholic Health Initiative, Series A, 5.50%, 7/01/34

      680       706,642  

Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40

      1,325       1,492,136  

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

      320       351,197  
    

 

 

  
               2,549,975  
Delaware — 2.0%  

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

      820       882,976  
 

 

     
                
   BLACKROCK STRATEGIC MUNICIPAL TRUST    JULY 31, 2017    1

Schedule of Investments (continued)

   

BlackRock Strategic Municipal Trust (BSD)

 

Municipal Bonds    Par
(000)		     Value  
Delaware (continued)  

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

    $ 1,210     $ 1,259,683  
    

 

 

  
               2,142,659  
District of Columbia — 1.9%  

District of Columbia, Tax Allocation Bonds, City Market at O Street Project, 5.13%, 6/01/41

      690       767,349  

Metropolitan Washington Airports Authority, Refunding RB, Dulles Toll Road, 1st Senior Lien, Series A:

     

5.00%, 10/01/39

      160       171,128  

5.25%, 10/01/44

      1,000       1,073,130  
    

 

 

  
               2,011,607  
Florida — 1.9%  

Mid-Bay Florida Bridge Authority, RB, Springing Lien, Series A, 7.25%, 10/01/21 (a)

      950       1,178,941  

Village Community Development District No.10, Special Assessment Bonds, 5.13%, 5/01/43

      735       794,160  
    

 

 

  
               1,973,101  
Georgia — 1.6%  

County of Gainesville Georgia & Hall Hospital Authority, Refunding RB, Northeast Georgia Health System, Inc. Project, Series A, 5.50%, 8/15/54

      160       188,690  

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

      265       287,583  

Metropolitan Atlanta Rapid Transit Authority, RB, Sales Tax, 3rd Indenture, Series A, 5.00%, 7/01/19

      1,095       1,170,796  
    

 

 

  
               1,647,069  
Hawaii — 0.4%  

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

      425       464,508  
Illinois — 20.5%  

City of Chicago Illinois, GO, Project, Series A, 5.00%, 1/01/34

      570       571,545  

City of Chicago Illinois, GO, Refunding, Project, Series A, 5.25%, 1/01/32

      1,000       1,022,340  
Municipal Bonds    Par
(000)		     Value  
Illinois (continued)  

City of Chicago Illinois O’Hare International Airport, ARB:

     

3rd Lien, Series A, 5.75%, 1/01/21 (a)

    $ 1,260     $ 1,455,010  

3rd Lien, Series A, 5.75%, 1/01/39

      240       272,213  

Senior Lien, Series D, AMT, 5.00%, 1/01/52

      400       443,672  

City of Chicago Illinois O’Hare International Airport, GARB, 3rd Lien:

     

5.63%, 1/01/21 (a)

      645       742,131  

5.63%, 1/01/35

      155       174,944  

Series C, 6.50%, 1/01/21 (a)

      1,855       2,188,603  

City of Chicago Illinois Transit Authority, RB, Sales Tax Receipts, 5.25%, 12/01/40

      330       355,493  

City of Chicago Illinois Waterworks, Refunding RB, 2nd Lien Project, 5.00%, 11/01/42

      1,040       1,099,342  

County of Cook Illinois Community College District No. 508, GO, City College of Chicago, 5.50%, 12/01/38

      245       262,816  

Illinois Finance Authority, Refunding RB:

     

Ascension Health, Series A, 5.00%, 11/15/37

      305       335,686  

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

      2,500       2,731,450  

Presence Health Network, Series C, 5.00%, 2/15/41

      1,600       1,710,112  

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

      730       817,578  

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Expansion Project:

     

CAB, Series B (AGM), 0.00%, 6/15/44 (c)

      2,980       903,655  

Series B (AGM), 5.00%, 6/15/50

      1,280       1,319,603  

Series B-2, 5.00%, 6/15/50

      785       787,661  

Railsplitter Tobacco Settlement Authority, RB:

     

5.50%, 6/01/23

      175       199,406  

6.00%, 6/01/28

      940       1,070,989  

State of Illinois, GO:

     

5.00%, 3/01/37

      455       466,016  

Series A, 5.00%, 4/01/35

      1,000       1,028,230  

Series A, 5.00%, 4/01/38

      1,135       1,160,764  

State of Illinois, RB, Build Illinois, Series B, 5.25%, 6/15/19 (a)

      200       215,778  
 

 

     
                
2    BLACKROCK STRATEGIC MUNICIPAL TRUST    JULY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Strategic Municipal Trust (BSD)

 

Municipal Bonds    Par
(000)		     Value  
Illinois (continued)  

University of Illinois, RB, Auxiliary Facilities System, Series A, 5.00%, 4/01/44

    $ 310     $ 337,615  
    

 

 

  
               21,672,652  
Indiana — 4.8%  

City of Valparaiso Indiana, RB, Exempt Facilities, Pratt Paper LLC Project, AMT:

     

6.75%, 1/01/34

      245       291,251  

7.00%, 1/01/44

      1,090       1,307,858  

Indiana Finance Authority, RB, Series A:

     

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

      1,020       1,163,820  

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

      140       149,779  

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.00%, 7/01/48

      465       499,145  

Private Activity Bond, Ohio River Bridges East End Crossing Project, AMT, 5.25%, 1/01/51

      125       135,345  

Sisters of St. Francis Health Services, 5.25%, 11/01/39

      270       290,752  

Indiana Finance Authority, Refunding RB, Marquette Project, 4.75%, 3/01/32

      350       354,298  

Indiana Municipal Power Agency, RB, Series B, 6.00%, 1/01/19 (a)

      350       374,812  

Indianapolis Local Public Improvement Bond Bank, RB, Series A, 5.00%, 1/15/40

      400       452,660  
    

 

 

  
               5,019,720  
Iowa — 1.4%  

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project:

     

5.00%, 12/01/19

      160       163,411  

5.50%, 12/01/22

      730       746,002  

5.25%, 12/01/25

      145       154,669  

5.88%, 12/01/26 (b)

      130       135,691  
Municipal Bonds    Par
(000)		     Value  
Iowa (continued)  

Iowa Student Loan Liquidity Corp., Refunding RB, Student Loan, Senior Series A-1, AMT, 5.15%, 12/01/22

    $ 310     $ 328,578  
    

 

 

  
               1,528,351  
Kentucky — 4.6%  

Kentucky Economic Development Finance Authority, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

      325       349,180  

Kentucky Economic Development Finance Authority, Refunding RB, Norton Healthcare, Inc., Series B (NPFGC), 0.00%, 10/01/24 (c)

      5,000       4,130,050  

Kentucky Public Transportation Infrastructure Authority, RB, Downtown Crossing Project, Convertible CAB, 1st Tier, Series C, 0.00%, 7/01/43 (d)

      375       324,154  
    

 

 

  
               4,803,384  
Louisiana — 4.0%  

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

      1,055       1,198,090  

Parish of St. John the Baptist Louisiana, RB, Marathon Oil Corp., Series A, 5.13%, 6/01/37

      1,405       1,407,571  

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A:

     

5.50%, 5/15/30

      320       337,718  

5.25%, 5/15/31

      270       286,635  

5.25%, 5/15/32

      345       370,713  

5.25%, 5/15/33

      375       401,224  

5.25%, 5/15/35

      160       172,358  
    

 

 

  
               4,174,309  
Maryland — 1.5%  

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

      135       144,872  

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

      645       652,192  
 

 

     
                
   BLACKROCK STRATEGIC MUNICIPAL TRUST    JULY 31, 2017    3

Schedule of Investments (continued)

   

BlackRock Strategic Municipal Trust (BSD)

 

Municipal Bonds    Par
(000)		     Value  
Maryland (continued)  

Maryland Health & Higher Educational Facilities Authority, Refunding RB, Charlestown Community Project, 6.25%, 1/01/21 (a)

    $ 690     $ 806,293  
    

 

 

  
               1,603,357  
Massachusetts — 2.9%  

Massachusetts Development Finance Agency, RB:

     

Emerson College Issue, Series A, 5.00%, 1/01/47

      540       599,000  

UMass Boston Student Housing Project, 5.00%, 10/01/48

      600       655,260  

Massachusetts Development Finance Agency, Refunding RB, Covanta Energy Project, Series C, AMT, 5.25%, 11/01/42 (b)

      445       445,961  

Massachusetts HFA, Refunding RB, Series A, AMT, 4.50%, 12/01/47

      1,350       1,393,200  
    

 

 

  
               3,093,421  
Michigan — 4.3%  

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

      1,925       2,139,253  

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

      465       530,444  

Kalamazoo Hospital Finance Authority, Refunding RB, Bronson Methodist Hospital:

     

5.50%, 5/15/20 (a)

      240       268,675  

5.50%, 5/15/36

      195       213,307  

Michigan Finance Authority, Refunding RB, Detroit Water & Sewage Department Project, Senior Lien, Series C-1, 5.00%, 7/01/44

      275       298,911  
Municipal Bonds    Par
(000)		     Value  
Michigan (continued)  

Royal Oak Michigan Hospital Finance Authority, Refunding RB, William Beaumont Hospital, Series V, 8.25%, 9/01/18 (a)

    $ 1,000     $ 1,078,700  
    

 

 

  
               4,529,290  
Missouri — 0.5%  

Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Refunding RB, Combined Lien, Series A, 5.00%, 10/01/44

      80       90,693  

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

      330       348,180  

State of Missouri Health & Educational Facilities Authority, Refunding RB, St. Louis College of Pharmacy Project, 5.50%, 5/01/43

      80       87,739  
    

 

 

  
               526,612  
Nebraska — 1.5%  

Central Plains Energy Project Nebraska, RB, Gas Project No. 3:

     

5.25%, 9/01/37

      260       285,969  

5.00%, 9/01/42

      455       490,472  

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

      720       765,972  
    

 

 

  
               1,542,413  
New Jersey — 10.2%  

Casino Reinvestment Development Authority, Refunding RB:

     

5.25%, 11/01/39

      320       328,509  

5.25%, 11/01/44

      585       596,606  

County of Essex New Jersey Improvement Authority, RB, AMT, 5.25%, 7/01/45 (b)

      340       341,989  

County of Middlesex New Jersey Improvement Authority, RB, Heldrich Center Hotel, Sub-Series B, 6.25%, 1/01/37 (e)(f)

      645       6,773  

New Jersey EDA, RB, AMT:

     

Continental Airlines, Inc. Project, 5.13%, 9/15/23

      1,090       1,178,922  

Continental Airlines, Inc. Project, 5.25%, 9/15/29

      145       157,824  
 

 

     
                
4    BLACKROCK STRATEGIC MUNICIPAL TRUST    JULY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Strategic Municipal Trust (BSD)

 

Municipal Bonds    Par
(000)		     Value  
New Jersey (continued)  

New Jersey EDA, RB, AMT (continued):

     

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

    $ 500     $ 558,345  

New Jersey EDA, Refunding RB, Series BBB, 5.50%, 6/15/31

      775       850,462  

New Jersey EDA, Refunding, Special Assessment Bonds, Kapkowski Road Landfill Project, 5.75%, 4/01/31

      705       790,270  

New Jersey State Turnpike Authority, RB:

     

Series A, 5.00%, 1/01/43

      1,625       1,824,647  

Series E, 5.25%, 1/01/19 (a)

      1,355       1,437,574  

New Jersey Transportation Trust Fund Authority, RB:

     

Federal Highway Reimbursement Revenue Notes, Series A, 5.00%, 6/15/28

      500       543,985  

Transportation Program, Series AA, 5.00%, 6/15/45

      415       426,114  

Transportation System, Series A, 5.50%, 6/15/41

      575       596,850  

Transportation System, Series B, 5.25%, 6/15/36

      790       820,462  

New Jersey Turnpike Authority, Refunding RB, Series B, 4.00%, 1/01/37 (g)

      150       159,184  

Rutgers — The State University of New Jersey, Refunding RB, Series L, 5.00%, 5/01/43

      165       185,267  
    

 

 

  
               10,803,783  
New York — 8.8%  

City of New York New York Transitional Finance Authority Future Tax Secured, RB, Fiscal 2012, Sub-Series E-1, 5.00%, 2/01/42

      770       864,702  

Counties of Buffalo & Erie New York Industrial Land Development Corp., Refunding RB, The Charter School for Applied Technologies Project, Series A, 5.00%, 6/01/35

      500       540,295  

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (b)

      600       617,028  

County of Westchester New York Healthcare Corp., RB, Senior Lien, Series A, 5.00%, 11/01/44

      286       306,440  
Municipal Bonds    Par
(000)		     Value  
New York (continued)  

Metropolitan Transportation Authority, RB, Series B, 5.25%, 11/15/38

    $ 750     $ 881,602  

New York Liberty Development Corp., Refunding RB:

     

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

      385       417,198  

3 World Trade Center Project, Class 1, 5.00%, 11/15/44 (b)

      1,365       1,478,295  

3 World Trade Center Project, Class 2, 5.15%, 11/15/34 (b)

      105       115,347  

3 World Trade Center Project, Class 2, 5.38%, 11/15/40 (b)

      265       294,010  

New York Transportation Development Corp., ARB, LaGuardia Airport Terminal B Redevelopment Project, Series A, AMT, 5.25%, 1/01/50

      1,000       1,096,800  

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT, 5.00%, 8/01/20

      250       269,188  

Niagara Area Development Corp., Refunding RB, Solid Waste Disposal Facility, Covanta Energy Project, Series A, AMT, 5.25%, 11/01/42 (b)

      330       331,003  

Port Authority of New York & New Jersey, ARB, Special Project, JFK International Air Terminal LLC Project, Series 8:

     

6.00%, 12/01/36

      410       460,684  

6.00%, 12/01/42

      395       442,838  

Port Authority of New York & New Jersey, Refunding ARB, Consolidated, 206th Series, AMT, 5.00%, 11/15/37 (g)

      985       1,146,264  
    

 

 

  
               9,261,694  
North Carolina — 0.6%  

North Carolina Medical Care Commission, RB, Health Care Facilities, Duke University Health System, Series A, 5.00%, 6/01/19 (a)

      440       472,349  
 

 

     
                
   BLACKROCK STRATEGIC MUNICIPAL TRUST    JULY 31, 2017    5

Schedule of Investments (continued)

   

BlackRock Strategic Municipal Trust (BSD)

 

Municipal Bonds    Par
(000)		     Value  
North Carolina (continued)  

North Carolina Medical Care Commission, Refunding RB, 1st Mortgage, Retirement Facilities Whitestone Project, Series A, 7.75%, 3/01/41

    $ 185     $ 203,751  
    

 

 

  
               676,100  
Ohio — 1.1%  

County of Franklin Ohio, RB, Health Care Facilities Improvement, OPRS Communities Obligation Group, Series A, 6.13%, 7/01/40

      210       232,892  

County of Montgomery Ohio, Refunding RB, Catholic Health:

     

5.00%, 5/01/19 (a)

      310       331,641  

Series A, 5.00%, 5/01/39

      575       594,539  
    

 

 

  
               1,159,072  
Oklahoma — 1.8%  

County of Tulsa Oklahoma Industrial Authority, Refunding RB, Montereau, Inc. Project, 5.25%, 11/15/37

      385       425,629  

Oklahoma Development Finance Authority, RB, Provident Oklahoma Education Resources, Inc., Cross Village Student Housing Project, Series A, 5.25%, 8/01/57

      765       840,138  

Tulsa County Industrial Authority, Refunding RB, Montereau, Inc. Project, 5.25%, 11/15/45

      585       638,896  
    

 

 

  
               1,904,663  
Oregon — 0.9%  

County of Clackamas Oregon School District No. 12 North Clackamas, GO, CAB, Series A, 0.00%, 6/15/38 (c)

      395       169,368  

State of Oregon Facilities Authority, RB, Student Housing, CHF-Ashland, Southern Oregon University Project, 5.00%, 7/01/44

      715       786,421  
    

 

 

  
               955,789  
Pennsylvania — 3.1%  

City of Philadelphia Pennsylvania Hospitals & Higher Education Facilities Authority, RB, Temple University Health System, Series A, 5.63%, 7/01/42

      200       214,978  
Municipal Bonds    Par
(000)		     Value  
Pennsylvania (continued)  

Pennsylvania Economic Development Financing Authority, RB:

     

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

    $ 600     $ 645,762  

Pennsylvania Bridge Finco LP, AMT, 5.00%, 6/30/42

      650       722,007  

Pennsylvania Economic Development Financing Authority, Refunding RB, National Gypsum Co., AMT, 5.50%, 11/01/44

      480       515,054  

Pennsylvania Housing Finance Agency, RB, S/F Housing Mortgage, Series 123-B, 4.00%, 10/01/42

      755       773,626  

Pennsylvania Turnpike Commission, RB, Series A, 5.00%, 12/01/44

      345       386,248  
    

 

 

  
               3,257,675  
Puerto Rico — 1.1%  

Children’s Trust Fund, Refunding RB, Tobacco Settlement Asset-Backed Bonds:

     

5.50%, 5/15/39

      255       252,909  

5.63%, 5/15/43

      920       902,732  
    

 

 

  
               1,155,641  
Rhode Island — 2.6%  

Rhode Island Health & Educational Building Corp., RB, Series G (AGM), 5.00%, 5/15/42 (g)

      250       285,950  

Tobacco Settlement Financing Corp., Refunding RB, Series B:

     

4.50%, 6/01/45

      830       835,403  

5.00%, 6/01/50

      1,580       1,622,123  
    

 

 

  
               2,743,476  
South Carolina — 2.8%  

State of South Carolina Ports Authority, RB:

     

5.25%, 7/01/40

      1,040       1,134,515  

AMT, 5.25%, 7/01/55

      405       455,293  
 

 

     
                
6    BLACKROCK STRATEGIC MUNICIPAL TRUST    JULY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Strategic Municipal Trust (BSD)

 

Municipal Bonds    Par
(000)		     Value  
South Carolina (continued)  

State of South Carolina Public Service Authority, RB, Santee Cooper, Series A, 5.50%, 12/01/54

    $ 1,220     $ 1,380,332  
    

 

 

  
               2,970,140  
Tennessee — 0.5%  

City of Chattanooga Health Educational & Housing Facility Board, RB, Catholic Health Initiatives, Series A, 5.25%, 1/01/45

      430       454,428  

Metropolitan Government of Nashville & Davidson County Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A, 4.00%, 7/01/47

      100       102,456  
    

 

 

  
               556,884  
Texas — 12.1%  

Central Texas Regional Mobility Authority, Refunding RB:

     

Senior Lien, 6.25%, 1/01/21 (a)

      680       795,110  

Sub-Lien, 5.00%, 1/01/33

      115       125,276  

City of Austin Texas Airport System, ARB, Revenue, AMT, 5.00%, 11/15/39

      190       212,986  

City of Dallas Texas Waterworks & Sewer System Revenue, Refunding RB, 5.00%, 10/01/20 (a)

      220       246,664  

City of Houston Texas Airport System, Refunding ARB:

     

Senior Lien, Series A, 5.50%, 7/01/39

      485       504,245  

United Airlines, Inc. Terminal E Project, AMT, 5.00%, 7/01/29

      135       145,066  

City of Houston Texas Combined Utility System Revenue, Refunding RB, Combined 1st Lien, Series A (AGC):

     

6.00%, 5/15/19 (a)

      2,585       2,815,504  

6.00%, 11/15/35

      145       158,060  

Clifton Higher Education Finance Corp., RB, Idea Public Schools, 6.00%, 8/15/43

      230       264,424  

County of Harris Texas Cultural Education Facilities Finance Corp., RB, 1st Mortgage, Brazos Presbyterian Homes, Inc. Project, Series B, 7.00%, 1/01/23 (a)

      145       186,950  
Municipal Bonds    Par
(000)		     Value  
Texas (continued)  

County of Harris Texas-Houston Sports Authority, Refunding RB, CAB, Senior Lien, Series A (NPFGC), 0.00%, 11/15/38 (c)

    $ 4,750     $ 1,780,253  

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Projects, Series A, 0.00%, 9/15/37 (c)

      4,485       1,936,040  

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Scott & White Healthcare (a):

     

6.00%, 8/15/20

      95       108,990  

6.00%, 8/15/20

      1,175       1,348,031  

La Vernia Higher Education Finance Corp., RB, Kipp, Inc., Series A, 6.38%, 8/15/19 (a)

      500       553,115  

North Texas Tollway Authority, RB, CAB, Special Project System, Series B, 0.00%, 9/01/37 (c)

      640       254,163  

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

     

Blueridge Transportation Group, AMT, 5.00%, 12/31/55

      450       489,857  

LBJ Infrastructure Group LLC, 7.00%, 6/30/40

      500       568,510  

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

      275       307,722  
    

 

 

  
               12,800,966  
Virginia — 4.6%  

Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A:

     

5.00%, 3/01/26

      165       166,686  

5.13%, 3/01/31

      320       321,075  

University of Virginia, Refunding RB, General, 5.00%, 6/01/18 (a)

      2,500       2,585,825  

Virginia Small Business Financing Authority, RB, Senior Lien, Elizabeth River Crossings OpCo LLC Project, AMT:

     

5.25%, 1/01/32

      250       277,097  

6.00%, 1/01/37

      1,320       1,495,864  
    

 

 

  
               4,846,547  
Washington — 1.0%  

Port of Seattle Washington, RB, Series C, AMT, 5.00%, 4/01/40

      235       262,525  
 

 

     
                
   BLACKROCK STRATEGIC MUNICIPAL TRUST    JULY 31, 2017    7

Schedule of Investments (continued)

   

BlackRock Strategic Municipal Trust (BSD)

 

Municipal Bonds    Par
(000)		     Value  
Washington (continued)  

Washington Health Care Facilities Authority, RB, Catholic Health Initiatives, Series A, 5.75%, 1/01/45

    $ 715     $ 787,058  
    

 

 

  
               1,049,583  
Wyoming — 1.6%  

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

      975       1,055,535  

Wyoming Municipal Power Agency, Inc., RB, Series A (a):

     

5.38%, 1/01/18

      500       509,490  

5.00%, 1/01/19

      95       100,442  
    

 

 

  
               1,665,467  
Total Municipal Bonds — 123.0%              129,876,164  
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)		               
Alabama — 0.8%  

Auburn University, Refunding RB, Series A, 4.00%, 6/01/41

      780       823,352  
California — 9.7%  

California Educational Facilities Authority, RB, University of Southern California, Series B, 5.25%, 10/01/18 (a)(i)

      855       898,571  

City & County of San Francisco California Public Utilities Commission, RB, Water Revenue, Series B, 5.00%, 11/01/19 (a)

      2,970       3,238,488  

City of Los Angeles Department of Airports, RB, Los Angeles International Airport, AMT, Series B, 5.00%, 5/15/46

      2,000       2,282,040  

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

      740       740,000  

Sacramento Area Flood Control Agency, Refunding RB, Consolidated Capital Assessment District No. 2, Series A, 5.00%, 10/01/43

      2,160       2,522,750  
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)		    Par
(000)		     Value  
California (continued)  

San Diego Community College District California, GO, Election of 2002, 5.25%, 8/01/19 (a)

    $ 553     $ 600,816  
    

 

 

  
               10,282,665  
Colorado — 3.1%  

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

     

Series C-3, 5.10%, 4/29/18

      1,210       1,247,982  

Series C-7, 5.00%, 5/01/18

      780       804,079  

County of Adams Colorado, COP, Refunding, 4.00%, 12/01/45

      1,180       1,225,748  
    

 

 

  
               3,277,809  
Illinois — 2.1%  

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

      1,997       2,259,303  
Massachusetts — 0.8%  

Massachusetts School Building Authority, RB, Senior, Series B, 5.00%, 10/15/41

      720       815,331  
New Hampshire — 0.7%  

New Hampshire Health & Education Facilities Authority, RB, Dartmouth College, 5.25%, 6/01/19 (a)(i)

      645       695,167  
New York — 10.0%  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution, Series FF-2, 5.50%, 6/15/40

      510       550,239  

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

      500       577,844  

Metropolitan Transportation Authority, Refunding RB, Series C-1, 5.25%, 11/15/56

      2,000       2,328,456  

New York Liberty Development Corp., RB, 1 World Trade Center Port Authority Consolidated Bonds, 5.25%, 12/15/43

      3,375       3,825,783  

New York Liberty Development Corp., Refunding RB, 4 World Trade Center Project, 5.75%, 11/15/51 (i)

      2,030       2,343,248  
 

 

     
                
8    BLACKROCK STRATEGIC MUNICIPAL TRUST    JULY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Strategic Municipal Trust (BSD)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (h)		    Par
(000)		     Value  
New York (continued)  

Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55

    $ 810     $ 942,224  
    

 

 

  
               10,567,794  
North Carolina — 0.9%  

North Carolina Capital Facilities Finance Agency, Refunding RB, Duke University Project, Series B, 5.00%, 10/01/55

      800       914,472  
Pennsylvania — 4.1%  

County of Westmoreland Pennsylvania Municipal Authority, Refunding RB, (BAM), 5.00%, 8/15/38

      1,034       1,179,213  

Pennsylvania Turnpike Commission, RB, Sub-Series A, 5.50%, 12/01/42

      1,379       1,634,529  

Pennsylvania Turnpike Commission, Refunding RB, Sub Series B-2 (AGM), 5.00%, 6/01/35

      1,280       1,469,517  
    

 

 

  
               4,283,259  
Texas — 5.2%  

City of San Antonio Texas Public Service Board, RB, Electric & Gas Systems, Junior Lien, 5.00%, 2/01/43

      780       886,065  

County of Harris Texas, RB, Toll Road, Senior Lien, Series A:

     

5.00%, 8/15/19 (a)

      1,214       1,301,601  

5.00%, 8/15/38

      928       995,612  

County of Harris Texas Metropolitan Transit Authority, Refunding RB, Series A, 5.00%, 11/01/41

      1,080       1,214,395  
Municipal Bonds Transferred to
Tender Option Bond Trusts (h)		    Par
(000)		     Value  
Texas (continued)  

University of Texas, Refunding RB, Financing System, Series B, 5.00%, 8/15/43

    $ 975     $ 1,106,420  
    

 

 

  
               5,504,093  
Utah — 1.2%  

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

      1,155       1,227,364  
Virginia — 1.7%  

University of Virginia, Refunding RB, GO, 5.00%, 6/01/18 (a)

      1,785       1,845,841  
Washington — 2.4%  

State of Washington, GO, Various Purposes, Series E, 5.00%, 2/01/19 (a)

      2,400       2,545,576  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 42.7%		       45,042,026  
Total Long-Term Investments
(Cost — $162,144,033) — 165.7%		       174,918,190  

Liabilities in Excess of Other Assets — (0.8)%

 

     (764,961 ) 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (24.3)%

 

     (25,671,082 ) 

VMTP Shares at Liquidation Value — (40.6)%

 

     (42,900,000 ) 
    

 

 

  

Net Assets Applicable to Common Shares — 100.0%

 

   $ 105,582,147  
    

 

 

  

 

*     As of July 31, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income tax purposes were as follows:

 

   

Tax cost

      $ 136,653,815  
    

 

 

  

Gross unrealized appreciation

      $ 13,566,459  

Gross unrealized depreciation

        (926,556 ) 
    

 

 

  

Net unrealized appreciation

      $ 12,639,903  
    

 

 

  
 
Notes to Schedule of Investments

 

*   Cost for U.S. federal income tax purposes.

 

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

 

(b)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(c)   Zero-coupon bond.

 

(d)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(e)   Non-income producing security.

 

(f)   Issuer filed for bankruptcy and/or is in default.

 

(g)   When-issued security.

 

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

 

     
                
   BLACKROCK STRATEGIC MUNICIPAL TRUST    JULY 31, 2017    9

Schedule of Investments (continued)

   

BlackRock Strategic Municipal Trust (BSD)

 

 

(i)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expire between May 7, 2018 to February 15, 2031, is $4,050,255.

During the period ended July 31, 2017, investments in issuers considered to be an affiliate of the Trust 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,
2017		        Net
Activity		        Shares Held
at July 31,
2017		        Value at
July 31,
2017		        Income        Net Realized
Gain1		        Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, MuniCash, Institutional Class

     512,707          (512,707 )         —          —        $ 509        $ 140          —  

1   Includes net capital gain distributions.

    

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts  
Description   Number of
Contracts		        Expiration Date      Notional
Amount
(000)		    

Unrealized
Depreciation

  

Short Contracts

                

5-Year U.S. Treasury Note

     (9 )       September 2017      $ 1,063       $ (96 ) 

10-Year U.S. Treasury Note

     (26 )       September 2017      $ 3,273         (527 ) 

Long U.S. Treasury Bond

     (21 )       September 2017      $ 3,212         (9,029 ) 

Ultra U.S. Treasury Bond

     (6 )       September 2017      $ 987               (8,149 ) 

Total

 

     $ (17,801 ) 
   

 

 

  

 

Portfolio Abbreviations

 

AGC    Assured Guarantee Corp.
AGM    Assured Guaranty Municipal Corp.
AMT    Alternative Minimum Tax (subject to)
ARB    Airport Revenue Bonds
BAM    Build America Mutual Assurance Co.
CAB    Capital Appreciation Bonds
COP    Certificates of Participation
EDA    Economic Development Authority
EDC    Economic Development Corp.
GARB    General Airport Revenue Bonds
GO    General Obligation Bonds
HFA    Housing Finance Agency
LRB    Lease Revenue Bonds
NPFGC    National Public Finance Guarantee Corp.
RB    Revenue Bonds
S/F    Single-Family

 

     
                
10    BLACKROCK STRATEGIC MUNICIPAL TRUST    JULY 31, 2017   

Schedule of Investments (concluded)

   

BlackRock Strategic Municipal Trust (BSD)

 

 

Fair Value Hierarchy as of Period End

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

 

  •  

Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

  •  

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

 

  •  

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

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. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

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

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3     Total  

Assets:

 

Investments:  

Long-Term Investments1

     —        $ 174,918,190          —     $ 174,918,190  
             
Derivative Financial Instruments2  

Liabilities:

 

Interest rate contracts

  $ (17,801 )         —          —     $ (17,801 ) 

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

     

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

     

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

 

     Level 1        Level 2        Level 3     Total  

Liabilities:

 

TOB Trust Certificates

    —        $ (25,624,472 )         —     $ (25,624,472 ) 

VMTP Shares at Liquidation Value

    —          (42,900,000 )         —       (42,900,000 ) 
 

 

 

  

Total

    —        $ (68,524,472 )         —     $ (68,524,472 ) 
 

 

 

  

During the period ended July 31, 2017, there were no transfers between levels.

 

     
                
   BLACKROCK STRATEGIC MUNICIPAL TRUST    JULY 31, 2017    11

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 25, 2017
  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 25, 2017
  By:    /s/ Neal J. Andrews                          
     Neal J. Andrews
    

Chief Financial Officer (principal financial officer) of

The BlackRock Strategic Municipal Trust

  Date:    September 25, 2017