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: 01/31/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

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

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Alabama — 0.7%

 

 

 

 

 

 

 

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

 

$

655

 

$

726,808

 

Alaska — 1.1%

 

 

 

 

 

 

 

Northern Tobacco Securitization Corp.,
RB, Asset-Backed, Series A:

 

 

 

 

 

 

 

4.63%, 6/01/23

 

 

785

 

 

769,692

 

5.00%, 6/01/46

 

 

480

 

 

353,314

 

 

 

 

 

 

 

1,123,006

 

Arizona — 2.0%

 

 

 

 

 

 

 

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

 

 

1,320

 

 

1,310,443

 

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

 

 

 

 

 

 

 

6.25%, 5/01/15

 

 

175

 

 

171,537

 

7.00%, 5/01/20

 

 

210

 

 

209,878

 

7.25%, 5/01/27

 

 

420

 

 

385,720

 

 

 

 

 

 

 

2,077,578

 

California — 10.7%

 

 

 

 

 

 

 

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

 

 

720

 

 

814,738

 

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

 

 

3,095

 

 

36,242

 

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

 

 

1,010

 

 

1,163,560

 

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

 

 

375

 

 

432,874

 

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

 

 

250

 

 

278,258

 

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

 

 

1,875

 

 

2,072,906

 

State of California, GO, Various Purpose:

 

 

 

 

 

 

 

6.00%, 3/01/33

 

 

800

 

 

950,256

 

6.50%, 4/01/33

 

 

650

 

 

799,461

 

5.00%, 10/01/41

 

 

960

 

 

1,039,488

 

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

 

 

3,350

 

 

3,581,954

 

 

 

 

 

 

 

11,169,737

 

Colorado — 1.5%

 

 

 

 

 

 

 

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

 

 

680

 

 

752,692

 

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

 

 

440

 

 

447,643

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Colorado (concluded)

 

 

 

 

 

 

 

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

 

$

320

 

$

360,320

 

 

 

 

 

 

 

1,560,655

 

Delaware — 2.0%

 

 

 

 

 

 

 

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

 

 

820

 

 

850,127

 

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

 

 

1,280

 

 

1,292,697

 

 

 

 

 

 

 

2,142,824

 

District of Columbia — 1.3%

 

 

 

 

 

 

 

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

 

 

690

 

 

722,851

 

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

 

 

 

 

 

 

 

5.00%, 10/01/39

 

 

160

 

 

173,544

 

5.25%, 10/01/44

 

 

465

 

 

504,943

 

 

 

 

 

 

 

1,401,338

 

Florida — 7.0%

 

 

 

 

 

 

 

Highlands County Florida Health
Facilities Authority, RB, Adventist,
Series G, 5.13%, 11/15/32 (b)

 

 

1,000

 

 

1,049,420

 

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

 

 

3,300

 

 

3,069,660

 

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

 

 

1,095

 

 

1,157,327

 

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

 

 

720

 

 

769,414

 

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

 

 

1,515

 

 

1,299,415

 

 

 

 

 

 

 

7,345,236

 

Georgia — 1.4%

 

 

 

 

 

 

 

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

 

 

265

 

 

286,229

 

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

 

 

1,095

 

 

1,191,743

 

 

 

 

 

 

 

1,477,972

 

Guam — 0.5%

 

 

 

 

 

 

 

Territory of Guam, GO, Series A:

 

 

 

 

 

 

 

6.00%, 11/15/19

 

 

200

 

 

220,064

 

6.75%, 11/15/29

 

 

290

 

 

308,717

 

 

 

 

 

 

 

528,781

 

 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JANUARY 31, 2012

1


 

 

 

 

Schedule of Investments (continued)

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

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Hawaii — 0.5%

 

 

 

 

 

 

 

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

 

$

425

 

$

473,884

 

Illinois — 15.1%

 

 

 

 

 

 

 

Chicago Board of Education Illinois, GO,
Series A:

 

 

 

 

 

 

 

5.50%, 12/01/39

 

 

625

 

 

708,175

 

5.00%, 12/01/41

 

 

205

 

 

219,471

 

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

 

 

 

 

 

 

 

General Third Lien, Series A,
5.63%, 1/01/35

 

 

800

 

 

910,168

 

General Third Lien, Series A,
5.75%, 1/01/39

 

 

1,500

 

 

1,712,100

 

General Third Lien, Series C,
6.50%, 1/01/41

 

 

1,855

 

 

2,241,656

 

City of Chicago Illinois, RB, Sales Tax
Receipt Revenue, Series A,
5.25%, 1/01/38

 

 

260

 

 

293,191

 

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

 

 

330

 

 

368,079

 

Illinois Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

300

 

 

45,012

 

Northwestern University,
5.00%, 12/01/33

 

 

2,500

 

 

2,651,100

 

Illinois Finance Authority, Refunding RB:

 

 

 

 

 

 

 

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

 

 

2,500

 

 

2,733,675

 

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

 

 

145

 

 

122,122

 

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

 

 

 

 

 

 

 

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

 

 

2,980

 

 

514,527

 

Series B, 5.00%, 6/15/50

 

 

990

 

 

1,018,245

 

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

 

 

785

 

 

807,121

 

Railsplitter Tobacco Settlement
Authority, RB:

 

 

 

 

 

 

 

5.50%, 6/01/23

 

 

175

 

 

199,661

 

6.00%, 6/01/28

 

 

940

 

 

1,054,041

 

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

 

 

200

 

 

221,466

 

 

 

 

 

 

 

15,819,810

 

Indiana — 2.7%

 

 

 

 

 

 

 

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

 

 

270

 

 

290,050

 

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

 

 

500

 

 

522,895

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Indiana (concluded)

 

 

 

 

 

 

 

Indiana Finance Authority Wastewater
Utility, RB, First Lien, Series A,
5.25%, 10/01/38

 

$

500

 

$

559,030

 

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

 

 

1,060

 

 

1,048,955

 

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

 

 

350

 

 

399,175

 

 

 

 

 

 

 

2,820,105

 

Iowa — 0.6%

 

 

 

 

 

 

 

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

 

 

625

 

 

670,306

 

Kansas — 0.5%

 

 

 

 

 

 

 

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

 

 

450

 

 

479,633

 

Kentucky — 7.7%

 

 

 

 

 

 

 

Kentucky Economic Development
Finance Authority, RB:

 

 

 

 

 

 

 

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

 

 

13,760

 

 

7,736,423

 

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

 

 

320

 

 

353,331

 

 

 

 

 

 

 

8,089,754

 

Louisiana — 2.1%

 

 

 

 

 

 

 

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

 

 

1,055

 

 

1,152,187

 

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

 

 

1,000

 

 

1,013,850

 

 

 

 

 

 

 

2,166,037

 

Maryland — 1.9%

 

 

 

 

 

 

 

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

 

 

135

 

 

139,267

 

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

 

 

1,000

 

 

1,036,520

 

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

 

 

690

 

 

760,801

 

 

 

 

 

 

 

1,936,588

 

 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JANUARY 31, 2012

2


 

 

 

 

Schedule of Investments (continued)

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

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Massachusetts — 0.6%

 

 

 

 

 

 

 

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

 

$

570

 

$

607,757

 

Michigan — 2.9%

 

 

 

 

 

 

 

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

 

 

435

 

 

468,843

 

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

 

 

465

 

 

539,856

 

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

 

 

730

 

 

749,374

 

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

 

 

1,000

 

 

1,236,620

 

 

 

 

 

 

 

2,994,693

 

Minnesota — 2.1%

 

 

 

 

 

 

 

Tobacco Securitization Authority
Minnesota, Refunding RB, Tobacco
Settlement, Series B:

 

 

 

 

 

 

 

5.25%, 3/01/25

 

 

1,415

 

 

1,599,162

 

5.25%, 3/01/31

 

 

595

 

 

645,397

 

 

 

 

 

 

 

2,244,559

 

Missouri — 0.3%

 

 

 

 

 

 

 

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

 

 

330

 

 

334,689

 

Nebraska — 0.7%

 

 

 

 

 

 

 

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

 

 

720

 

 

774,410

 

Nevada — 0.9%

 

 

 

 

 

 

 

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

 

 

880

 

 

923,868

 

New Jersey — 7.6%

 

 

 

 

 

 

 

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

 

 

645

 

 

57,728

 

New Jersey EDA, RB:

 

 

 

 

 

 

 

Cigarette Tax, 5.50%,
6/15/24

 

 

1,790

 

 

1,802,995

 

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

 

 

500

 

 

508,880

 

Continental Airlines Inc.
Project, AMT, 6.40%,
9/15/23

 

 

1,810

 

 

1,809,819

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

New Jersey (concluded)

 

 

 

 

 

 

 

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

 

$

1,355

 

$

1,493,386

 

New Jersey Transportation Trust Fund
Authority, RB, Transportation System:

 

 

 

 

 

 

 

Series A, 5.50%, 6/15/41

 

 

575

 

 

659,749

 

Series B, 5.25%, 6/15/36

 

 

775

 

 

871,991

 

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

 

 

785

 

 

735,773

 

 

 

 

 

 

 

7,940,321

 

New York — 5.3%

 

 

 

 

 

 

 

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

 

 

315

 

 

72,466

 

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

 

 

385

 

 

426,965

 

New York City Industrial Development
Agency, RB:

 

 

 

 

 

 

 

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

 

 

3,000

 

 

2,702,640

 

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

 

 

1,000

 

 

1,000,600

 

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

 

 

385

 

 

416,762

 

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

 

 

 

 

 

 

 

6.00%, 12/01/36

 

 

410

 

 

443,825

 

6.00%, 12/01/42

 

 

395

 

 

426,114

 

 

 

 

 

 

 

5,489,372

 

North Carolina — 0.4%

 

 

 

 

 

 

 

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

 

 

440

 

 

467,702

 

Ohio — 1.9%

 

 

 

 

 

 

 

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

 

 

885

 

 

934,463

 

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

 

 

1,000

 

 

1,001,770

 

 

 

 

 

 

 

1,936,233

 

Oklahoma — 0.9%

 

 

 

 

 

 

 

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

 

 

1,225

 

 

939,024

 

 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JANUARY 31, 2012

3


 

 

 

 

Schedule of Investments (continued)

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

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Pennsylvania — 4.0%

 

 

 

 

 

 

 

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

 

$

1,000

 

$

815,540

 

Pennsylvania Economic Development
Financing Authority, RB:

 

 

 

 

 

 

 

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

 

 

1,000

 

 

1,011,000

 

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

 

 

700

 

 

705,803

 

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

 

 

1,000

 

 

1,006,300

 

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

 

 

600

 

 

658,290

 

 

 

 

 

 

 

4,196,933

 

Puerto Rico — 3.3%

 

 

 

 

 

 

 

Puerto Rico Sales Tax Financing Corp.,
RB:

 

 

 

 

 

 

 

CAB, Series C, 6.25%,
8/01/39 (a)

 

 

5,910

 

 

1,376,261

 

Sub-Series Series A, 6.50%,
8/01/44

 

 

1,770

 

 

2,085,662

 

 

 

 

 

 

 

3,461,923

 

South Carolina — 4.3%

 

 

 

 

 

 

 

South Carolina Jobs-EDA, RB,
Palmetto Health, Series C,
7.00%, 8/01/13 (e)

 

 

2,500

 

 

2,741,730

 

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

 

 

1,040

 

 

1,148,514

 

South Carolina State Public Service
Authority, Refunding RB, Santee
Cooper Project, Series C, 5.00%,
12/01/36

 

 

490

 

 

554,606

 

 

 

 

 

 

 

4,444,850

 

Texas — 13.3%

 

 

 

 

 

 

 

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

 

 

730

 

 

138,729

 

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

 

 

680

 

 

727,892

 

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

 

 

475

 

 

541,562

 

City of Houston Texas, Refunding RB:

 

 

 

 

 

 

 

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

 

 

2,730

 

 

3,290,251

 

Senior Lien, Series A, 5.50%,
7/01/39

 

 

485

 

 

535,028

 

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

 

 

610

 

 

699,981

 

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

 

 

4,750

 

 

834,100

 

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Texas (concluded)

 

 

 

 

 

 

 

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

 

$

500

 

$

545,020

 

North Texas Tollway Authority, RB:

 

 

 

 

 

 

 

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

 

 

640

 

 

149,440

 

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

 

 

1,025

 

 

1,129,355

 

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

 

 

1,270

 

 

1,443,317

 

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

 

 

1,526,353

 

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

 

 

500

 

 

556,155

 

Texas State Public Finance Authority,
RB, Charter School Finance Corp.,
Cosmos Foundation, Series A, 5.38%,
2/15/37

 

 

1,250

 

 

1,251,175

 

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

 

 

500

 

 

501,140

 

 

 

 

 

 

 

13,869,498

 

Utah — 1.2%

 

 

 

 

 

 

 

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

 

 

1,150

 

 

1,238,147

 

Virginia — 3.0%

 

 

 

 

 

 

 

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

 

 

355

 

 

355,295

 

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

 

 

2,500

 

 

2,780,250

 

 

 

 

 

 

 

3,135,545

 

Washington — 0.7%

 

 

 

 

 

 

 

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

 

 

630

 

 

739,210

 

Wisconsin — 2.2%

 

 

 

 

 

 

 

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

 

 

2,165

 

 

2,300,053

 

Wyoming — 1.7%

 

 

 

 

 

 

 

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

 

 

975

 

 

1,119,466

 

Wyoming Municipal Power Agency, RB,
Series A:

 

 

 

 

 

 

 

5.00%, 1/01/42

 

 

95

 

 

101,160

 

 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JANUARY 31, 2012

4


 

 

 

 

Schedule of Investments (continued)

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

 

 

 

 

 

 

 

 

Municipal Bonds

 

Par
(000)

 

Value

 

Wyoming (concluded)

 

 

 

 

 

 

 

Wyoming Municipal Power Agency, RB,
Series A (concluded):

 

 

 

 

 

 

 

5.38%, 1/01/42

 

$

500

 

$

542,050

 

 

 

 

 

 

 

1,762,676

 

Total Municipal Bonds – 116.6%

 

 

 

 

 

121,811,515

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

Alabama — 0.8%

 

 

 

 

 

 

 

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

 

 

760

 

 

797,198

 

Arizona — 0.8%

 

 

 

 

 

 

 

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

 

 

770

 

 

843,170

 

California — 6.7%

 

 

 

 

 

 

 

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

 

 

855

 

 

958,891

 

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

 

 

740

 

 

809,420

 

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

 

 

553

 

 

635,255

 

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

 

 

2,970

 

 

3,280,573

 

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

 

 

1,290

 

 

1,322,507

 

 

 

 

 

 

 

7,006,646

 

Colorado — 2.0%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

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

 

 

1,210

 

 

1,273,271

 

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

 

 

780

 

 

821,831

 

 

 

 

 

 

 

2,095,102

 

Connecticut — 3.4%

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

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

 

 

1,580

 

 

1,827,886

 

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

 

 

1,540

 

 

1,760,467

 

 

 

 

 

 

 

3,588,353

 

Massachusetts — 3.7%

 

 

 

 

 

 

 

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

 

 

1,430

 

 

1,621,520

 

 

 

 

 

 

 

 

 

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

 

Par
(000)

 

Value

 

Massachusetts (concluded)

 

 

 

 

 

 

 

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

 

$

1,980

 

$

2,189,207

 

 

 

 

 

 

 

3,810,727

 

New Hampshire — 0.7%

 

 

 

 

 

 

 

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

 

 

645

 

 

737,719

 

New York — 11.3%

 

 

 

 

 

 

 

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

 

 

500

 

 

564,957

 

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

 

 

510

 

 

587,052

 

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

 

 

3,375

 

 

3,834,101

 

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

 

 

2,030

 

 

2,309,998

 

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

 

 

4,184

 

 

4,541,494

 

 

 

 

 

 

 

11,837,602

 

Tennessee — 1.3%

 

 

 

 

 

 

 

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

 

 

1,280

 

 

1,367,091

 

Texas — 3.4%

 

 

 

 

 

 

 

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

 

 

2,140

 

 

2,354,043

 

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

 

 

1,080

 

 

1,220,411

 

 

 

 

 

 

 

3,574,454

 

Virginia — 1.9%

 

 

 

 

 

 

 

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

 

 

1,785

 

 

1,984,649

 

Washington — 3.6%

 

 

 

 

 

 

 

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

 

 

900

 

 

997,703

 

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

 

 

2,400

 

 

2,713,512

 

 

 

 

 

 

 

3,711,215

 

Total Municipal Bonds Transferred to
Tender Option Bond (TOB) Trusts – 39.6%

 

 

 

 

 

41,353,926

 

Total Long-Term Investments
(Cost – $152,789,318) – 156.2%

 

 

 

 

 

163,165,441

 

 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JANUARY 31, 2012

5


 

 

 

 

Schedule of Investments (continued)

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

 

 

 

 

 

 

 

 

Short-Term Securities

 

Par
(000)

 

Value

 

Michigan — 1.0%

 

 

 

 

 

 

 

Michigan Finance Authority, RB, SAN,
Detroit Schools, Series A-1
6.45%, 2/20/2012

 

$

1,030

 

$

1,030,000

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

Money Market Funds — 2.7%

 

 

 

 

 

 

 

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

 

 

2,876,157

 

 

2,876,157

 

Total Short-Term Securities
(Cost – $3,906,157) – 3.7%

 

 

 

 

 

3,906,157

 

Total Investments (Cost - $156,695,475*) – 159.9%

 

 

 

 

 

167,071,598

 

Other Assets Less Liabilities – 1.9%

 

 

 

 

 

1,999,219

 

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable – (20.7)%

 

 

 

 

 

(21,678,651

)

AMPS, at Redemption Value – (41.1)%

 

 

 

 

 

(42,902,626

)

Net Assets Applicable to Common Shares – 100.0%

 

 

 

 

$

104,489,540

 

 

 


*


As of January 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

 

 

 

 

Tax Cost

 

$

135,279,922

 

Gross unrealized appreciation

 

$

13,325,741

 

Gross unrealized depreciation

 

 

(3,204,602

)

Net unrealized appreciation

 

$

10,121,139

 

 

 

(a)

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

 

 

(b)

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

 

 

(c)

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

 

 

(d)

Non-income producing security.

 

 

(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 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
January 31,
2012

 

Income

 

FFI Institutional Tax-Exempt Fund

 

 

1,457,085

 

 

1,419,072

 

 

2,876,157

 

$

636

 

 

 

(h)

Represents the current yield as of report date.

 

 

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

IDA

Industrial Development Authority

NPFGC

National Public Finance Guarantee Corp.

RB

Revenue Bonds

SAN

State Aid Notes

 

 

•

Financial futures contracts sold as of January 31, 2012 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Contracts

 

 

Issue

 

 

Exchange

 

 

Expiration

 

Notional
Value

 

Unrealized
Depreciation

 

23

 

 

10-Year US Treasury Note

 

 

Chicago Board of Trade

 

 

March 2012

 

$

3,041,750

 

$

(40,294

)

 

 

 

•

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

 

 

 

 

•

Level 1 — unadjusted 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)


 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JANUARY 31, 2012

6


 

 

 

 

Schedule of Investments (concluded)

BlackRock Strategic Municipal Trust (BSD)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 accounting policies, please refer to the Trust’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the inputs used as of January 31, 2012 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:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

 

—

 

$

163,165,441

 

 

—

 

$

163,165,441

 

Short-Term Securities

 

$

2,876,157

 

 

1,030,000

 

 

—

 

 

3,906,157

 

Total

 

$

2,876,157

 

$

164,195,441

 

 

—

 

$

167,071,598

 

 

 

 

 

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

 

$

(40,294

)

 

—

 

 

—

 

$

(40,294

)

 

 

 

 

2

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


 

 

 

 

 

 

 

 

 

BLACKROCK STRATEGIC MUNICIPAL TRUST

JANUARY 31, 2012

7

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: March 23, 2012
   
  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: March 23, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    The BlackRock Strategic Municipal Trust
     
  Date: March 23, 2012