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 811-21493

Name of Fund: BlackRock Strategic Equity Dividend Trust (BDT)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 10/31/2011

Date of reporting period: 07/31/2011

Item 1    –    Schedule of Investments

Schedule of Investments July 31, 2011 (Unaudited)    BlackRock Strategic Equity Dividend Trust (BDT)
   (Percentages shown are based on Net Assets)

 

     Shares      Value  

Common Stocks

     

Building Products – 1.5%

     

AO Smith Corp.

     52,550       $ 2,179,250   

Masco Corp.(a)

     240,500         2,537,275   
     

 

 

 
        4,716,525   
     

 

 

 

Capital Markets – 2.2%

     

Eaton Vance Corp.(a)

     165,500         4,438,710   

Federated Investors, Inc., Class B(a)

     107,046         2,287,573   
     

 

 

 
        6,726,283   
     

 

 

 

Chemicals – 1.7%

     

RPM International, Inc.(a)

     151,400         3,191,512   

Stepan Co.

     23,950         1,899,235   
     

 

 

 
        5,090,747   
     

 

 

 

Commercial Banks – 8.0%

     

BancFirst Corp.

     28,600         1,090,804   

BancorpSouth, Inc.(a)

     120,500         1,631,570   

Bank of Hawaii Corp.

     99,600         4,463,076   

Bank of the Ozarks, Inc.

     43,500         2,259,825   

Chemical Financial Corp.

     56,145         1,065,071   

Community Bank System, Inc.(a)

     67,600         1,700,816   

Community Trust Bancorp, Inc.

     40,515         1,098,767   

Cullen/Frost Bankers, Inc.(a)

     94,500         5,091,660   

Iberiabank Corp.(a)

     23,800         1,213,086   

S&T Bancorp, Inc.

     31,200         593,424   

Trustmark Corp.

     60,200         1,311,758   

Valley National Bancorp(a)

     134,015         1,762,297   

WesBanco, Inc.

     59,400         1,220,670   
     

 

 

 
        24,502,824   
     

 

 

 

Commercial Services & Supplies – 4.3%

     

ABM Industries, Inc.

     132,800         2,988,000   

Avery Dennison Corp.(a)

     76,941         2,427,489   

McGrath Rentcorp

     51,661         1,344,736   

Mine Safety Appliances Co.

     57,700         1,968,724   

Pitney Bowes, Inc.(a)

     207,800         4,478,090   
     

 

 

 
        13,207,039   
     

 

 

 

Computers & Peripherals – 0.8%

     

Diebold, Inc.

     86,400         2,612,736   
     

 

 

 

Containers & Packaging – 2.4%

     

Bemis Co., Inc.(a)

     95,300         3,011,480   

Myers Industries, Inc.

     108,748         1,294,101   

Sonoco Products Co.(a)

     100,800         3,230,640   
     

 

 

 
        7,536,221   
     

 

 

 

Construction Materials – 2.0%

     

Martin Marietta Materials, Inc.(a)

     43,400         3,281,908   

Vulcan Materials Co.(a)

     81,100         2,780,919   
     

 

 

 
        6,062,827   
     

 

 

 

Distributors – 0.6%

     

Genuine Parts Co.(a)

     33,200         1,764,912   
     

 

 

 

Diversified Consumer Services – 1.5%

     

H&R Block, Inc.(a)

     316,421         4,733,658   
     

 

 

 

Diversified Telecommunication Services – 1.0%

     

CenturyLink, Inc.

     79,100         2,935,401   
     

 

 

 

Electric Utilities – 2.7%

     

MGE Energy, Inc.

     40,371         1,658,441   

Northeast Utilities

     163,000         5,542,000   

Otter Tail Corp.

     56,461         1,173,260   
     

 

 

 
        8,373,701   
     

 

 

 

Electrical Equipment – 2.9%

     

Brady Corp., Class A

     109,300         3,235,280   

Roper Industries, Inc.

     69,400         5,665,122   
     

 

 

 
        8,900,402   
     

 

 

 

Energy Equipment & Services – 1.4%

     

Helmerich & Payne, Inc.

     64,600         4,460,630   
     

 

 

 

Food & Staples Retailing – 1.5%

     

Casey’s General Stores, Inc.(a)

     37,700         1,696,500   

SUPERVALU, Inc.(a)

     323,100         2,778,660   
     

 

 

 
        4,475,160   
     

 

 

 

Food Products – 5.7%

     

Hormel Foods Corp.

     280,500         8,126,085   

The J.M. Smucker Co.(a)

     37,805         2,945,766   

Lancaster Colony Corp.(a)

     47,200         2,838,136   

McCormick & Co., Inc.(a)

     74,300         3,614,695   
     

 

 

 
        17,524,682   
     

 

 

 

Gas Utilities – 10.9%

     

Atmos Energy Corp.(a)

     92,000         3,075,560   

Energen Corp.(a)

     61,700         3,628,577   

National Fuel Gas Co.(a)

     64,700         4,682,986   

New Jersey Resources Corp.

     122,700         5,350,947   

Northwest Natural Gas Co.(a)

     80,400         3,586,644   

Piedmont Natural Gas Co., Inc.(a)

     99,400         2,899,498   

South Jersey Industries, Inc.(a)

     79,500         4,014,750   

UGI Corp.(a)

     105,000         3,181,500   

WGL Holdings, Inc.

     80,100         3,108,681   
     

 

 

 
        33,529,143   
     

 

 

 

Health Care Equipment & Supplies – 1.5%

     

Meridian Bioscience, Inc.

     63,500         1,371,600   

Teleflex, Inc.

     51,600         3,107,868   
     

 

 

 
        4,479,468   
     

 

 

 

Household Durables – 3.9%

     

Fortune Brands, Inc.(a)

     29,000         1,746,090   

Leggett & Platt, Inc.(a)

     142,033         3,082,116   

Stanley Black & Decker, Inc.(a)

     107,400         7,063,698   
     

 

 

 
        11,891,904   
     

 

 

 

Industrial Conglomerates – 0.7%

     

Raven Industries, Inc.

     41,300         2,181,879   
     

 

 

 

Insurance – 6.2%

     

Arthur J. Gallagher & Co.

     107,500         3,022,900   

Cincinnati Financial Corp.

     186,642         5,100,926   

Erie Indemnity Co., Class A

     65,000         4,790,500   

Harleysville Group, Inc.

     47,200         1,426,384   

Mercury General Corp.

     57,300         2,128,122   

Old Republic International Corp.

     233,100         2,433,564   
     

 

 

 
        18,902,396   
     

 

 

 

Leisure Equipment & Products – 2.3%

     

Polaris Industries, Inc.(a)

     60,500         7,172,275   
     

 

 

 

Machinery – 5.8%

     

Badger Meter, Inc.

     59,000         2,152,910   

Dover Corp.(a)

     55,500         3,356,085   

Graco, Inc.

     41,400         1,818,702   

NACCO Industries, Inc., Class A

     26,200         2,381,056   

Pentair, Inc.(a)

     146,800         5,403,708   

Tennant Co.

     61,502         2,632,901   
     

 

 

 
        17,745,362   
     

 

 

 

 

         JULY 31, 2011   1

Schedule of Investments (continued)    BlackRock Strategic Equity Dividend Trust (BDT)
   (Percentages shown are based on Net Assets)

 

 

     Shares      Value  

Common Stocks

     

Media – 0.4%

     

Meredith Corp.

     43,300       $ 1,292,505   
     

 

 

 

Multiline Retail – 0.9%

     

Family Dollar Stores, Inc.(a)

     52,400         2,782,964   
     

 

 

 

Multi-Utilities – 6.1%

     

Black Hills Corp.(a)

     57,800         1,727,064   

Integrys Energy Group, Inc.(a)

     77,300         3,881,233   

MDU Resources Group, Inc.

     187,100         4,033,876   

NSTAR(a)

     137,800         6,108,674   

Vectren Corp.

     108,650         2,869,448   
     

 

 

 
        18,620,295   
     

 

 

 

Real Estate Investment Trusts (REITs) – 9.7%

     

Federal Realty Investment Trust

     37,600         3,283,984   

Getty Realty Corp.

     90,800         2,106,560   

Home Properties, Inc.

     69,800         4,573,296   

Liberty Property Trust

     62,400         2,119,104   

National Retail Properties, Inc.

     89,700         2,250,573   

Realty Income Corp.

     70,318         2,282,522   

Sovran Self Storage, Inc.(a)

     37,880         1,536,034   

Tanger Factory Outlet Centers

     66,100         1,814,445   

UDR, Inc.

     145,100         3,817,581   

Universal Health Realty Income Trust

     34,125         1,406,291   

Washington REIT

     63,300         2,026,866   

Weingarten Realty Investors

     94,600         2,433,112   
     

 

 

 
        29,650,368   
     

 

 

 

Semiconductors & Semiconductor Equipment – 1.4%

     

Linear Technology Corp.(a)

     149,900         4,392,070   
     

 

 

 

Tobacco – 1.9%

     

Universal Corp.(a)

     71,500         2,625,480   

Vector Group Ltd.

     190,545         3,336,443   
     

 

 

 
        5,961,923   
     

 

 

 

Trading Companies & Distributors – 0.9%

     

Fastenal Co.(a)

     80,100         2,695,365   
     

 

 

 

Water Utilities – 3.1%

     

American States Water Co.

     31,925         1,091,516   

Aqua America, Inc.(a)

     239,900         5,073,885   

California Water Service Group

     65,118         1,192,311   

Middlesex Water Co.

     66,600         1,218,114   

SJW Corp.

     44,100         1,037,227   
     

 

 

 
        9,613,053   
     

 

 

 

Total Long-Term Investments
(Cost – $290,004,221) – 95.9%

        294,534,718   
     

 

 

 

Short-Term Securities

     

BlackRock Liquidity Funds, TempFund, Institutional Class,

     

0.06%(b)(c)

     12,205,379         12,205,379   
     

 

 

 

Total Short-Term Securities
(Cost – $12,205,379) – 4.0%

        12,205,379   
     

 

 

 

Total Investments Before Outstanding Options Written
(Cost – $302,209,600*) – 99.9%

        306,740,097   
     

 

 

 
     Contracts         

Options Written

     

Exchange-Traded Call Options Written – (0.1)%

     

Aqua America, Inc., Strike Price USD 22.50, Expires 8/22/11

     165         (1,650 ) 

Atmos Energy Corp., Strike Price USD 35, Expires 9/19/11

     184         (20,240 ) 

Avery Dennison Corp., Strike Price USD 32.50, Expires 9/23/11

     154         (12,012 ) 

Bancorpsouth, Inc., Strike Price USD 13, Expires 8/22/11

     240         (18,609 ) 

Bemis Co., Inc., Strike Price USD 32.90, Expires 8/01/11

     140         –   

Black Hills Corp., Strike Price USD 31, Expires 8/09/11

     115         (1,439 ) 

Casey’s General Stores, Inc., Strike Price USD 45, Expires 8/22/11

     75         (7,313 ) 

Community Bank System, Inc., Strike Price USD 25, Expires 9/19/11

     135         (12,825 ) 

Cullen/Frost Bankers, Inc., Strike Price USD 57, Expires 8/05/11

     190         (285 ) 

Dover Corp., Strike Price USD 66, Expires 8/31/11

     110         (4,410 ) 

Eaton Vance Corp., Strike Price USD 30, Expires 8/22/11

     331         (4,965 ) 

Energen Corp., Strike Price USD 60, Expires 8/22/11

     123         (13,530 ) 

Family Dollar Stores, Inc., Strike Price USD 53.50, Expires 8/22/11

     105         (7,543 ) 

Fastnel Co., Strike Price USD 34.50, Expires 9/23/11

     160         (13,649 ) 

Federated Investors, Inc., Class B, Strike Price USD 22.50, Expires 9/19/11

     215         (6,988 ) 

Fortune Brands, Inc., Strike Price USD 65, Expires 9/19/11

     58         (2,900 ) 

Genuine Parts Co., Strike Price USD 57, Expires 9/12/11

     65         (2,718 ) 

H&R Block, Inc., Strike Price USD 16, Expires 9/19/11

     630         (18,900 ) 

Iberiabank Corp., Strike Price USD 55, Expires 8/22/11

     47         (11,045 ) 

Integrys Energy Group, Inc., Strike Price USD 53.75, Expires 8/22/11

     155         (2,037 ) 

The J.M. Smucker Co., Strike Price USD 80, Expires 8/22/11

     75         (6,563 ) 

Lancaster Colony Corp., Strike Price USD 61.25, Expires 8/22/11

     95         (6,026 ) 

Leggett & Platt, Inc., Strike Price USD 25, Expires 9/19/11

     280         (2,100 ) 

Linear Technology Corp., Strike Price USD 33, Expires 8/22/11

     300         (3,000 ) 

Martin Marietta Materials, Inc., Strike Price USD 80, Expires 9/19/11

     87         (11,310 ) 

Masco Corp.:

     

Strike Price USD 13, Expires 8/22/11

     240         (1,200 ) 

Strike Price USD 12, Expires 9/19/11

     240         (3,000 ) 

McCormick & Co., Inc., Strike Price USD 50.50, Expires 8/22/11

     150         (3,226 ) 

National Fuel Gas Co., Strike Price USD 75, Expires 8/22/11

     130         (14,950 ) 

Northwest Natural Gas Co., Strike Price USD 45, Expires 8/22/11

     159         (8,745 ) 

 

2        JULY 31, 2011    

Schedule of Investments (continued)    BlackRock Strategic Equity Dividend Trust (BDT)
   (Percentages shown are based on Net Assets)

 

     Contracts      Value  

Options Written

     

Exchange-Traded Call Options Written (concluded)

     

NSTAR, Strike Price USD 45, Expires 8/22/11

     106       $ (5,565 ) 

Pentair, Inc., Strike Price USD 40, Expires 9/19/11

     290         (12,325 ) 

Piedmont Natural Gas Co., Inc., Strike Price USD 30, Expires 8/22/11

     200         (17,000 ) 

Pitney Bowes, Inc., Strike Price USD 23, Expires 8/22/11

     415         (3,113 ) 

Polaris Industries, Inc., Strike Price USD 120, Expires 9/19/11

     120         (69,600 ) 

RPM International, Inc., Strike Price USD 23, Expires 9/19/11

     150         (1,946 ) 

Sonoco Products Co., Strike Price USD 35, Expires 8/22/11

     200         (3,000 ) 

South Jersey Industries, Inc., Strike Price USD 52, Expires 8/22/11

     160         (7,087 ) 

Sovran Self Storage, Inc., Strike Price USD 40.50, Expires 8/22/11

     75         (5,645 ) 

Stanley Black & Decker, Inc.:

     

Strike Price USD 72.50, Expires 8/22/11

     115         (2,588 ) 

Strike Price USD 75, Expires 8/22/11

     100         (1,500 ) 

SUPERVALU, Inc.:

     

Strike Price USD 9.50, Expires 8/02/11

     325         (113 ) 

Strike Price USD 9.50, Expires 9/08/11

     325         (5,681 ) 

UGI Corp., Strike Price USD 31, Expires 8/10/11

     210         (3,630 ) 

Universal Corp.:

     

Strike Price USD 37.90, Expires 8/12/11

     70         (2,031 ) 

Strike Price USD 40, Expires 8/22/11

     75         (1,125 ) 

Valley National Bancorp, Strike Price USD 14, Expires 8/22/11

     268         (2,680 ) 

Vulcan Materials, Strike Price USD 36, Expires 9/19/11

     160         (17,200 ) 
     

 

 

 

Total Exchange-Traded Call Options Written

        (385,007 ) 
     

 

 

 

Over-the-Counter Call Options Written – (0.3)%

     

ABM Industries, Inc., Strike Price USD 22.73, Expires 8/05/11, Broker Citigroup Global Markets, Inc.

     26,500         (3,627 ) 

American States Water Co., Strike Price USD 34.44, Expires 8/12/11, Broker Morgan Stanley & Co., Inc.

     6,500         (1,712 ) 

AO Smith Corp., Strike Price USD 43.50, Expires 8/29/11, Broker Deutsche Bank Securities Corp.

     10,500         (5,706 ) 

Aqua America, Inc.:

     

Strike Price USD 21.71, Expires 8/05/11, Broker Deutsche Bank Securities Corp.

     16,500         (1,306 ) 

Strike Price USD 22.49, Expires 8/31/11, Broker Morgan Stanley & Co., Inc.

     16,000         (2,360 ) 

Arthur J. Gallagher & Co., Strike Price USD 27.87, Expires 8/31/11, Broker Credit Suisse First Boston

     21,500         (20,747 ) 

Badger Meter, Inc., Strike Price USD 37.20, Expires 9/24/11, Broker Citigroup Global Markets, Inc.

     11,800         (19,696 ) 

Bancfirst Corp., Strike Price USD 39.58, Expires 9/23/11, Broker Citigroup Global Markets, Inc.

     6,000         (5,212 ) 

Bank of Hawaii Corp., Strike Price USD 47.29, Expires 8/31/11, Broker Morgan Stanley & Co., Inc.

     20,000         (4,891 ) 

Bank of the Ozarks, Inc., Strike Price USD 51.91, Expires 8/12/11, Broker Deutsche Bank Securities Corp.

     8,700         (8,961 ) 

Bemis Co., Inc., Strike Price USD 34.10, Expires 9/23/11, Broker Morgan Stanley & Co., Inc.

     5,000         (696 ) 

Brady Corp., Strike Price USD 32.40, Expires 9/14/11, Broker Deutsche Bank Securities Corp.

     21,900         (5,973 ) 

California Water Service Group:

     

Strike Price USD 18.17, Expires 8/09/11, Broker Deutsche Bank Securities Corp.

     6,000         (1,588 ) 

Strike Price USD 18.53, Expires 8/30/11, Broker Citigroup Global Markets, Inc.

     7,000         (1,722 ) 

CenturyLink, Inc., Strike Price USD 39.62, Expires 9/08/11, Broker UBS Securities LLC

     16,000         (3,728 ) 

Chemical Financial Corp., Strike Price USD 19.29, Expires 8/31/11, Broker Credit Suisse First Boston

     11,200         (3,639 ) 

Cincinnati Financial Corp., Strike Price USD 28.78, Expires 9/08/11, Broker Societe General Securities Corp.

     37,500         (10,829 ) 

Community Trust Bancorp, Inc., Strike Price USD 27.80, Expires 8/26/11, Broker Citigroup Global Markets, Inc.

     8,100         (2,668 ) 

Diebold, Inc., Strike Price USD 31.96, Expires 8/01/11, Broker JPMorgan Chase Securities

     17,300         (38 ) 

Erie Indemnity Co., Class A, Strike Price USD 70, Expires 8/03/11, Broker Morgan Stanley & Co., Inc.

     13,000         (48,100 ) 

Federal Realty Investment Trust, Strike Price USD 87.60, Expires 8/08/11, Broker UBS Securities LLC

     7,500         (9,086 ) 

Getty Realty Corp., Strike Price USD 26.82, Expires 8/19/11, Broker Morgan Stanley & Co., Inc.

     18,200         (16 ) 

Graco, Inc., Strike Price USD 51.23, Expires 9/23/11, Broker Citigroup Global Markets, Inc.

     8,000         (804 ) 

Harleysville Group, Inc., Strike Price USD 31.26, Expires 8/12/11, Broker Morgan Stanley & Co., Inc.

     9,500         (668 ) 

Helmerich & Payne, Inc., Strike Price USD 61.21, Expires 8/02/11, Broker Morgan Stanley & Co., Inc.

     13,000         (101,920 ) 

Hormel Foods Corp., Strike Price USD 28.81, Expires 8/24/11, Broker Morgan Stanley & Co., Inc.

     56,000         (44,066 ) 

Liberty Property Trust, Strike Price USD 32.32, Expires 8/10/11, Broker Morgan Stanley & Co., Inc.

     12,500         (22,948 ) 

McGrath Rentcorp, Strike Price USD 26.84, Expires 8/25/11, Broker Citigroup Global Markets, Inc.

     10,500         (3,959 ) 

MDU Resources Group, Inc., Strike Price USD 22.13, Expires 9/13/11, Broker Deutsche Bank Securities Corp.

     37,500         (23,009 ) 

Mercury General Corp., Strike Price USD 38.79, Expires 9/14/11, Broker Credit Suisse First Boston

     11,500         (4,599 ) 

 

         JULY 31, 2011   3

Schedule of Investments (continued)    BlackRock Strategic Equity Dividend Trust (BDT)
   (Percentages shown are based on Net Assets)

 

     Contracts      Value  

Options Written

     

Over-the-Counter Call Options Written (continued)

     

Meredith Corp., Strike Price USD 31.08, Expires 8/01/11, Broker Morgan Stanley & Co., Inc.

     8,700       $ (295 ) 

Meridian Bioscience, Inc., Strike Price USD 26.49, Expires 8/31/11, Broker Morgan Stanley & Co., Inc.

     12,700         (797 ) 

MGE Energy, Inc., Strike Price USD 41.15, Expires 8/02/11, Broker UBS Securities LLC

     8,000         (1,535 ) 

Middlesex Water Co., Strike Price USD 18.59, Expires 8/26/11, Broker UBS Securities LLC

     13,300         (4,123 ) 

Mine Safety Appliances Co., Strike Price USD 36.26, Expires 8/26/11, Broker Morgan Stanley & Co., Inc.

     11,500         (2,413 ) 

Myers Industries, Inc., Strike Price USD 10.50, Expires 8/09/11, Broker Morgan Stanley & Co., Inc.

     22,000         (30,800 ) 

NACCO Industries, Inc., Class A, Strike Price USD 101.41, Expires 9/12/11, Broker Deutsche Bank Securities Corp.

     5,200         (6,988 ) 

National Retail Properties, Inc., Strike Price USD 24.57, Expires 8/26/11, Broker UBS Securities LLC

     18,000         (10,359 ) 

New Jersey Resources Corp.:

     

Strike Price USD 44.40, Expires 8/15/11, Broker Morgan Stanley & Co., Inc.

     10,000         (2,910 ) 

Strike Price USD 44.59, Expires 8/24/11, Broker Morgan Stanley & Co., Inc.

     14,500         (5,133 ) 

Northeast Utilities, Strike Price USD 34.90, Expires 9/13/11, Broker Deutsche Bank Securities Corp.

     32,600         (12,002 ) 

NSTAR, Strike Price USD 46.90, Expires 9/06/11, Broker Deutsche Bank Securities Corp.

     14,100         (1,415 ) 

Old Republic International Corp., Strike Price USD 12.26, Expires 8/12/11, Broker Morgan Stanley & Co., Inc.

     46,500         –   

Otter Tail Corp., Strike Price USD 22.22, Expires 9/14/11, Broker Morgan Stanley & Co., Inc.

     11,500         (3,916 ) 

Raven Industries, Inc., Strike Price USD 51.19, Expires 8/12/11, Broker Citigroup Global Markets, Inc.

     8,300         (20,436 ) 

Realty Income Corp., Strike Price USD 33.97, Expires 9/13/11, Broker Credit Suisse First Boston

     14,000         (1,726 ) 

Roper Industries, Inc., Strike Price USD 81.68, Expires 8/02/11, Broker Goldman Sachs & Co.

     14,000         (8,312 ) 

RPM International, Inc., Strike Price USD 23.25, Expires 8/26/11, Broker Credit Suisse First Boston

     15,000         (3,096 ) 

S&T Bancorp, Inc., Strike Price USD 19.01, Expires 8/31/11, Broker Morgan Stanley & Co., Inc.

     6,200         (2,607 ) 

SJW Corp., Strike Price USD 24.25, Expires 9/12/11, Broker Morgan Stanley & Co., Inc.

     8,800         (3,328 ) 

Stepan Co., Strike Price USD 65.49, Expires 8/15/11, Broker Citigroup Global Markets, Inc.

     4,800         (66,278 ) 

Tanger Factory Outlet Centers, Strike Price USD 27.54, Expires 8/19/11, Broker Credit Suisse First Boston

     13,500         (13,537 ) 

Teleflex, Inc., Strike Price USD 62.54, Expires 9/09/11, Broker Morgan Stanley & Co., Inc.

     10,500         (13,535 ) 

Tennant Co., Strike Price USD 40.62, Expires 8/26/11, Broker UBS Securities LLC

     12,300         (38,338 ) 

Trustmark Corp., Strike Price USD 23.38, Expires 8/02/11, Broker Morgan Stanley & Co., Inc.

     12,000         –   

UDR, Inc., Strike Price USD 25.39, Expires 8/26/11, Broker Citigroup Global Markets, Inc.

     29,000         (28,751 ) 

Universal Health Realty Income Trust, Strike Price USD 39.79, Expires 8/12/11, Broker Morgan Stanley & Co., Inc.

     6,800         (10,304 ) 

Vector Group Ltd., Strike Price USD 18.33, Expires 9/09/11, Broker Deutsche Bank Securities Corp.

     38,200         (9,176 ) 

Vectren Corp.:

     

Strike Price USD 28.18, Expires 8/12/11, Broker Morgan Stanley & Co., Inc.

     9,000         (1,830 ) 

Strike Price USD 28.25, Expires 8/15/11, Broker Barclays Capital, Inc.

     13,000         (961 ) 

Washington REIT, Strike Price USD 31.46, Expires 8/10/11, Broker Deutsche Bank Securities Corp.

     12,600         (9,992 ) 

Weingarten Realty Investors, Strike Price USD 25.70, Expires 8/05/11, Broker Citigroup Global Markets, Inc.

     19,000         (5,388 ) 

WesBanco, Inc., Strike Price USD 19.83, Expires 8/02/11, Broker Morgan Stanley & Co., Inc.

     12,000         (8,735 ) 

WGL Holdings, Inc., Strike Price USD 37.65, Expires 8/08/11, Broker Morgan Stanley & Co., Inc.

     16,000         (19,326 ) 
     

 

 

 

Total Over-the-Counter Call Options Written

        (712,616 ) 
     

 

 

 

Total Options Written (Premiums Received – $1,494,269) – (0.4)%

        (1,097,623 ) 
     

 

 

 

Total Investments Net of Outstanding Options Written – 99.5%

        305,642,474   

Other Assets Less Liabilities – 0.5%

        1,474,506   
     

 

 

 

Net Assets – 100.0%

      $ 307,116,980   
     

 

 

 

 

* 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

   $ 304,991,547   
  

 

 

 

Gross unrealized appreciation

   $ 25,798,117   

Gross unrealized depreciation

     (24,049,567 ) 
  

 

 

 

Net unrealized appreciation

   $ 1,748,550   
  

 

 

 

 

(a) All or a portion of security has been pledged/segregated as collateral in connection with outstanding options written.

 

4        JULY 31, 2011    

Schedule of Investments (concluded)    BlackRock Strategic Equity Dividend Trust (BDT)
  

 

(b) 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
October 31,
2010 		     Net Activity      Shares Held at
July  31,
2011 		     Realized
Gain 		     Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     5,854,617         6,350,762         12,205,379       $ 79       $ 7,787   

 

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

 

•  

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

•  

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 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 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:

           

Long-Term Investments:

           

Common Stocks 1

   $ 294,534,718         –         –       $ 294,534,718   

Short-Term Securities

     12,205,379         –         –         12,205,379   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 306,740,097         –         –       $ 306,740,097   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

1

See above Schedule of Investments for values in each industry.

 

Valuation Inputs

   Level 1     Level 2     Level 3      Total  

Derivative Financial Instruments 2

         

Liabilities:

         

Equity contracts

   $ (286,918 )    $ (810,705 )      –       $ (1,097,623 ) 
  

 

 

   

 

 

   

 

 

    

 

 

 

 

2

Derivative financial instruments are options which are shown at value.

 

         JULY 31, 2011   5

Item 2

   –    Controls and Procedures

2(a)

   –    The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

2(b)

   –    There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3

   –    Exhibits

Certifications – Attached hereto

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

 

BlackRock Strategic Equity Dividend Trust

   
By:  

/s/ John M. Perlowski

   
  John M. Perlowski    
  Chief Executive Officer (principal executive officer) of BlackRock Strategic Equity Dividend 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 BlackRock Strategic Equity Dividend Trust
Date: September 26, 2011    
By:  

/s/ Neal J. Andrews

   
  Neal J. Andrews    
  Chief Financial Officer (principal financial officer) of BlackRock Strategic Equity Dividend Trust

Date: September 26, 2011

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