BlackRock Health Sciences 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: 811-21702

Name of Fund: BlackRock Health Sciences Trust (BME)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

            Sciences 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: 12/31/2017

Date of reporting period: 09/30/2017

Item 1 – Schedule of Investments

Schedule of Investments

   

BlackRock Health Sciences Trust (BME)

 

Common Stocks          

Shares

     Value  
Biotechnology — 26.0%  

AbbVie, Inc. (a)

        59,786     $ 5,312,584  

ACADIA Pharmaceuticals, Inc. (a)(b)

        21,500       809,905  

Acceleron Pharma, Inc. (a)(b)

        52,200       1,948,104  

Acerta Pharma BV, Series B, (Acquired 2/01/16, cost $986,402) (c)(d)

        17,146,440       3,377,849  

Agios Pharmaceuticals, Inc. (a)(b)

        14,900       994,575  

Alkermes PLC (a)(b)

        26,700       1,357,428  

Alnylam Pharmaceuticals, Inc. (a)(b)

        44,300       5,204,807  

Amgen, Inc. (a)

        58,522       10,911,427  

Aquinox Pharmaceuticals, Inc. (a)(b)

        17,531       248,765  

Avexis, Inc. (a)(b)

        17,252       1,668,786  

Biogen, Inc. (a)(b)

        21,148       6,621,862  

Biohaven Pharmaceutical Holding Co. Ltd. (a)(b)

        13,650       510,237  

BioMarin Pharmaceutical, Inc. (a)(b)

        27,200       2,531,504  

Bioverativ, Inc. (a)(b)

        8,074       460,783  

Celgene Corp. (a)(b)

        76,586       11,167,771  

Clementia Pharmaceuticals, Inc. (a)(b)

        10,235       172,869  

FibroGen, Inc. (a)(b)

        9,300       500,340  

Galapagos NV, ADR (a)(b)

        4,200       427,350  

Genomic Health, Inc. (a)(b)

        6,469       207,590  

Gilead Sciences, Inc. (a)

        45,400       3,678,308  

Global Blood Therapeutics, Inc. (a)(b)

        16,088       499,532  

Halozyme Therapeutics, Inc. (a)(b)

        46,300       804,231  

Incyte Corp. (a)(b)

        15,400       1,797,796  

Insmed, Inc. (a)(b)

        51,705       1,613,713  

Iovance Biotherapeutics, Inc. (a)(b)

        6,171       47,825  

Karyopharm Therapeutics, Inc. (a)(b)

        6,500       71,370  

Myovant Sciences, Ltd. (a)(b)

        29,453       455,638  

Nightstar Therapeutics PLC, ADR (a)(b)

        9,401       180,499  

Ovid therapeutics, Inc. (a)(b)

        4,488       38,462  

Prothena Corp. PLC (a)(b)

        2,244       145,344  

Regeneron Pharmaceuticals, Inc. (a)(b)

        6,858       3,066,349  

REGENXBIO, Inc. (a)(b)

        36,250       1,194,438  

Sage Therapeutics, Inc. (a)(b)

        9,519       593,034  

Sarepta Therapeutics, Inc. (a)(b)

        44,650       2,025,324  

Seattle Genetics, Inc. (a)(b)

        22,767       1,238,752  

Spark Therapeutics, Inc. (a)(b)

        9,010       803,332  

Syndax Pharmaceuticals, Inc. (a)(b)

        52,584       615,233  

TESARO, Inc. (a)(b)

        17,831       2,301,982  

Tocagen, Inc. (a)(b)

        11,583       144,324  

Ultragenyx Pharmaceutical, Inc. (a)(b)

        21,300       1,134,438  
Common Stocks          

Shares

     Value  
Biotechnology (continued)  

Vertex Pharmaceuticals, Inc. (a)(b)

        54,505     $ 8,286,940  
      

 

 

  
                       85,171,400  
Diversified Consumer Services — 0.5%  

Service Corp. International (a)

              43,300       1,493,850  
Health Care Equipment & Supplies — 23.1%  

Abbott Laboratories (a)

        163,700       8,735,032  

Align Technology, Inc. (a)(b)

        2,800       521,556  

Baxter International, Inc. (a)

        133,500       8,377,125  

Becton Dickinson & Co. (a)

        15,033       2,945,716  

Boston Scientific Corp. (a)(b)

        353,784       10,319,879  

Cooper Cos., Inc. (a)

        4,815       1,141,685  

Edwards Lifesciences Corp. (a)(b)

        11,600       1,267,996  

Hologic, Inc. (a)(b)

        84,500       3,100,305  

Intuitive Surgical, Inc. (a)(b)

        4,900       5,124,812  

iRhythm Technologies, Inc. (a)(b)

        15,183       787,694  

Masimo Corp. (a)(b)

        30,000       2,596,800  

Medtronic PLC (a)

        161,100       12,528,747  

Nevro Corp. (a)(b)

        18,000       1,635,840  

ResMed, Inc. (a)

        35,400       2,724,384  

Stryker Corp. (a)

        72,500       10,296,450  

Teleflex, Inc. (a)

        5,200       1,258,244  

Varian Medical Systems, Inc. (a)(b)

        23,100       2,311,386  
      

 

 

  
                       75,673,651  
Health Care Providers & Services — 26.2%  

Aetna, Inc. (a)

        44,311       7,045,892  

Amedisys, Inc. (a)(b)

        62,260       3,484,069  

AmerisourceBergen Corp. (a)

        12,600       1,042,650  

Anthem, Inc. (a)

        35,100       6,664,788  

Centene Corp. (a)(b)

        35,300       3,415,981  

Cigna Corp. (a)

        46,100       8,617,934  

DaVita, Inc. (a)(b)

        64,994       3,859,994  

HCA Healthcare, Inc. (a)(b)

        26,094       2,076,821  

HealthEquity, Inc. (a)(b)

        12,500       632,250  

Humana, Inc. (a)

        39,200       9,550,296  

McKesson Corp. (a)

        16,100       2,473,121  

Quest Diagnostics, Inc. (a)

        62,900       5,889,956  

Teladoc, Inc. (a)(b)

        39,100       1,296,165  

UnitedHealth Group, Inc. (a)

        136,402       26,714,332  

Universal Health Services, Inc., Class B (a)

        19,500       2,163,330  

WellCare Health Plans, Inc. (a)(b)

        6,300       1,081,962  
      

 

 

  
                       86,009,541  
Life Sciences Tools & Services — 2.5%  

Agilent Technologies, Inc. (a)

        41,600       2,670,720  

Thermo Fisher Scientific, Inc. (a)

        25,800       4,881,360  

Wuxi Biologics Cayman, Inc. (a)(b)(e)

        98,000       498,826  
      

 

 

  
                       8,050,906  
 

 

     
                
   BLACKROCK HEALTH SCIENCES TRUST    SEPTEMBER 30, 2017    1

Schedule of Investments (continued)

   

BlackRock Health Sciences Trust (BME)

 

Common Stocks          

Shares

     Value  
Pharmaceuticals — 19.7%  

Allergan PLC (a)

        33,085     $ 6,780,771  

AstraZeneca PLC (a)

        56,876       3,782,334  

AstraZeneca PLC — ADR (a)

        54,200       1,836,296  

Bristol-Myers Squibb Co. (a)

        103,062       6,569,172  

Chugai Pharmaceutical Co. Ltd. (a)

        16,900       702,299  

Daiichi Sankyo Co. Ltd. (a)

        20,800       469,387  

Dermira, Inc. (a)(b)

        19,800       534,600  

Eisai Co. Ltd. (a)

        14,300       734,345  

Eli Lilly & Co. (a)

        64,200       5,491,668  

GlaxoSmithKline PLC (a)

        75,300       1,505,293  

Jazz Pharmaceuticals PLC (a)(b)

        3,200       468,000  

Johnson & Johnson (a)

        54,770       7,120,648  

Mallinckrodt PLC (a)(b)

        16,200       605,394  

Merck & Co., Inc. (a)

        96,600       6,185,298  

Merck KGaA (a)

        30,400       3,385,744  

Novartis AG, ADR (a)

        10,500       901,425  

Novo Nordisk A/S, ADR (a)

        43,500       2,094,525  

Pfizer, Inc. (a)(f)

        118,398       4,226,809  

Reata Pharmaceuticals, Inc., Class A (a)(b)

        5,860       182,246  

Roche Holding AG (a)

        9,600       2,453,953  

Sanofi (a)

        19,900       1,980,978  

Sanofi — ADR (a)

        49,000       2,439,710  

Takeda Pharmaceutical Co. Ltd. (a)

        15,600       862,616  

Theravance Biopharma, Inc. (a)(b)

        4,700       160,928  

Zoetis, Inc. (a)

        50,500       3,219,880  
      

 

 

  
                       64,694,319  
Total Common Stocks — 98.0%       321,093,667  
      
                          
Other Interests          

Investment

Value

(000)

         
Pharmaceuticals — 0.1%  

Afferent Pharmaceuticals, Inc.,

Series C (c)

            $ 190       490,613  
Preferred Stock          

Shares

     Value  
Biotechnology — 0.1%  

Ovid Therapeutics Inc., (Acquired 8/7/15, Cost $503,166), 0.00% (b)(c)(d)

            $ 37,565     $ 318,981  
Total Preferred Securities — 0.1%       318,981  
      
                          
Rights               
Biotechnology — 0.1%  

Dyax Corp., CVR (Expires 12/31/19) (a)(b)(c)

              61,727       141,355  
Total Long-Term Investments
(Cost — $209,047,568) — 98.3%		       322,044,616  
      
                          
Short-Term Securities               

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.91% (g)(h)

              10,936,223       10,936,223  
Total Short-Term Securities
(Cost — $10,936,223) — 3.3%		       10,936,223  
Total Investments Before Options Written
(Cost — $219,983,791) — 101.6%		       332,980,839  
Options Written
(Premiums Received — $2,278,252) — (0.9)%		       (2,874,525 ) 
Total Investments, Net of Options Written
(Cost — $217,705,539) — 100.7%		       330,106,314  
Liabilities in Excess of Other Assets — (0.7)%       (2,365,021 ) 
      

 

 

  

Net Assets — 100.0%

 

   $ 327,741,293  
      

 

 

  
 

 

     
                
   BLACKROCK HEALTH SCIENCES TRUST    SEPTEMBER 30, 2017    2

Schedule of Investments (continued)

   

BlackRock Health Sciences Trust (BME)

 

 

Notes to Schedule of Investments

 

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

 

(b)   Non-income producing security.

 

(c)   Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

 

(d)   Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $3,696,830 and an original cost of $1,489,568, which was 1.13% of its net assets.

 

(e)   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.

 

(f)   All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(g)   Annualized 7-day yield as of period end.

 

(h)   During the period ended September 30, 2017, investments in issuers considered to be affiliates 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 December 31,
2016		        Net
Activity		        Shares Held
at September 30,
2017		        Value at
September 30,
2017		        Income       

Net
Realized

Gain

        Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

     8,611,967          2,324,256          10,936,223        $ 10,936,223        $ 37,580          —          —  

SL Liquidity Series, LLC, Money Market Series

     126,889          (126,889 )         —          —          1,584 1         —          —  

Total

                  $ 10,936,223        $ 39,164          —          —  
                

 

 

  

1    Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

     

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 the investment adviser. These definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

Portfolio Abbreviations

 

ADR    American Depositary Receipts
CHF    Swiss Franc
EUR    Euro
GBP    British Pound
JPY    Japanese Yen
OTC    Over-the-Counter
USD    U.S. Dollar
ADR    American Depositary Receipts
OTC    Over-the-Counter

 

Derivative Financial Instruments Outstanding as of Period End

 

Exchange-Traded Options Written  
Description   Number of
Contracts		   

Expiration

Date

     

Exercise

Price

     

Notional
Amount

(000)

      Value  

Call

 

Karyopham Terapeutics, Inc.

   22      10/03/17      USD      8.36      USD     24      $ (5,766 ) 

Boston Scientific Corp.

   161      10/06/17      USD      27.50      USD     470        (27,209 ) 

Celgene Corp.

   191      10/06/17      USD      135.00      USD     2,785        (205,803 ) 

Cigna Corp.

   101      10/06/17      USD      180.00      USD     1,888        (66,913 ) 

Eli Lilly & Co.

   144      10/06/17      USD      80.50      USD     1,232        (77,400 ) 

Humana, Inc.

   53      10/06/17      USD      255.00      USD     1,291        (1,855 ) 

 

     
                
   BLACKROCK HEALTH SCIENCES TRUST    SEPTEMBER 30, 2017    3

Schedule of Investments (continued)

   

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)  
Description   Number of
Contracts		    Expiration
Date		      Exercise
Price		     

Notional
Amount
(000)

      Value  

Call

                   

Medtronic PLC

   65      10/06/17        USD        80.00        USD       506      $ (325 ) 

Quest Diagnostics, Inc.

   104      10/06/17        USD        105.40        USD       974        —  

Zoetis, Inc.

   66      10/06/17        USD        62.00        USD       421        (12,045 ) 

Pfizer, Inc.

   103      10/12/17        USD        33.75        USD       368        (20,332 ) 

Amgen, Inc.

   57      10/13/17        USD        190.00        USD       1,063        (6,298 ) 

Biogen, Inc.

   13      10/13/17        USD        327.50        USD       407        (1,820 ) 

Jazz Pharmaceuticals PLC

   15      10/13/17        USD        152.50        USD       219        (975 ) 

Merck & Co., Inc.

   73      10/13/17        USD        64.50        USD       467        (2,701 ) 

Quest Diagnostics, Inc.

   104      10/13/17        USD        105.40        USD       974        (2 ) 

Regeneron Pharmaceuticals, Inc.

   8      10/13/17        USD        515.00        USD       358        (1,200 ) 

AbbVie, Inc.

   68      10/20/17        USD        75.45        USD       604        (88,024 ) 

Abbott Laboratories

   143      10/20/17        USD        52.50        USD       763        (19,806 ) 

Alkermes PLC

   93      10/20/17        USD        50.00        USD       473        (18,135 ) 

Alnylam Pharmaceuticals, Inc.

   66      10/20/17        USD        80.00        USD       775        (249,480 ) 

Aquinox Pharmaceuticals, Inc.

   61      10/20/17        USD        15.00        USD       87        (1,372 ) 

AstraZeneca PLC

   189      10/20/17        USD        32.50        USD       640        (29,768 ) 

Avexis, Inc.

   60      10/20/17        USD        95.00        USD       580        (34,500 ) 

Baxter International, Inc.

   115      10/20/17        USD        62.50        USD       722        (11,845 ) 

Becton Dickinson & Co.

   59      10/20/17        USD        199.75        USD       1,156        (5,304 ) 

BioMarin Pharmaceutical, Inc.

   52      10/20/17        USD        85.00        USD       484        (44,720 ) 

BioMarin Pharmaceutical, Inc.

   16      10/20/17        USD        95.00        USD       149        (2,960 ) 

Biohaven Pharmaceuticals Holdings Corp.

   47      10/20/17        USD        40.00        USD       176        (12,690 ) 

Bioverativ Inc.

   28      10/20/17        USD        60.00        USD       160        (1,960 ) 

Boston Scientific Corp.

   160      10/20/17        USD        28.00        USD       467        (20,560 ) 

Bristol-Myers Squibb Co.

   195      10/20/17        USD        62.50        USD       1,243        (33,150 ) 

Celgene Corp.

   77      10/20/17        USD        145.00        USD       1,123        (24,063 ) 

DaVita, Inc.

   227      10/20/17        USD        60.00        USD       1,348        (27,808 ) 

Eli Lilly & Co.

   80      10/20/17        USD        85.00        USD       684        (12,160 ) 

FibroGen, Inc.

   32      10/20/17        USD        55.00        USD       172        (6,080 ) 

Gilead Sciences, Inc.

   122      10/20/17        USD        82.50        USD       988        (13,786 ) 

Halozyme Therapeutics, Inc.

   172      10/20/17        USD        13.15        USD       299        (72,806 ) 

HealthEquity, Inc.

   43      10/20/17        USD        50.00        USD       217        (8,277 ) 

Hologic, Inc.

   295      10/20/17        USD        39.00        USD       1,082        (3,687 ) 

Humana, Inc.

   43      10/20/17        USD        260.00        USD       1,048        (2,150 ) 

Incyte Corp.

   50      10/20/17        USD        125.00        USD       584        (6,750 ) 

Insmed, Inc.

   22      10/20/17        USD        36.00        USD       69        (440 ) 

Insmed, Inc.

   86      10/20/17        USD        33.00        USD       268        (3,870 ) 

Mallinckrodt PLC

   56      10/20/17        USD        45.00        USD       209        (560 ) 

Merck & Co., Inc.

   57      10/20/17        USD        65.00        USD       365        (2,337 ) 

Novo Nordisk A/S

   128      10/20/17        USD        50.00        USD       616        (3,200 ) 

Pfizer, Inc.

   112      10/20/17        USD        34.00        USD       400        (19,824 ) 

Sanofi

   171      10/20/17        USD        50.00        USD       851        (9,832 ) 

Seattle Genetics, Inc.

   79      10/20/17        USD        60.00        USD       430        (1,777 ) 

Spark Therapeutics, Inc.

   31      10/20/17        USD        85.00        USD       276        (21,390 ) 

Teladoc, Inc.

   91      10/20/17        USD        35.00        USD       302        (8,417 ) 

Theravance Biopharma, Inc.

   16      10/20/17        USD        35.00        USD       55        (1,520 ) 

Thermo Fisher Scientific, Inc.

   80      10/20/17        USD        195.00        USD       1,514        (5,400 ) 

Universal Health Services, Inc., Class B

   68      10/20/17        USD        115.00        USD       754        (4,760 ) 

Varian Medical System, Inc.

   80      10/20/17        USD        110.00        USD       800        (1,600 ) 

WellCare Health Plans, Inc.

   22      10/20/17        USD        180.00        USD       378        (2,860 ) 

Zoetis, Inc.

   110      10/20/17        USD        65.00        USD       701        (3,300 ) 

 

     
                
   BLACKROCK HEALTH SCIENCES TRUST    SEPTEMBER 30, 2017    4

Schedule of Investments (continued)

   

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)  
Description   Number of
Contracts		    Expiration
Date		      Exercise
Price		     

Notional
Amount
(000)

      Value  

Call

                   

AbbVie, Inc.

   63      10/27/17        USD        86.00        USD       560      $ (23,940 ) 

AmerisourceBergen Corp.

   11      10/27/17        USD        82.50        USD       91        (2,090 ) 

Baxter International, Inc.

   42      10/27/17        USD        64.00        USD       264        (3,171 ) 

Biogen, Inc.

   19      10/27/17        USD        327.50        USD       595        (9,120 ) 

Bristol-Myers Squibb Co.

   83      10/27/17        USD        63.00        USD       529        (15,978 ) 

HCA Holdings, Inc.

   47      10/27/17        USD        81.00        USD       374        (6,932 ) 

Merck & Co., Inc.

   104      10/27/17        USD        65.50        USD       666        (5,460 ) 

Regenxbio, Inc.

   126      10/27/17        USD        26.25        USD       415        (86,574 ) 

Sarepta Therapeutics, Inc.

   14      10/27/17        USD        47.50        USD       64        (4,137 ) 

TESARO, Inc.

   62      10/27/17        USD        129.00        USD       800        (43,400 ) 

Vertex Pharmaceuticals, Inc.

   129      10/27/17        USD        170.00        USD       1,961        (10,642 ) 

Johnson & Johnson

   83      11/01/17        USD        132.50        USD       1,079        (9,854 ) 

AbbVie, Inc.

   39      11/03/17        USD        87.50        USD       347        (12,343 ) 

Abbott Laboratories

   121      11/03/17        USD        53.00        USD       646        (16,033 ) 

Allergan PLC

   52      11/03/17        USD        210.00        USD       1,066        (28,730 ) 

Amgen, Inc.

   72      11/03/17        USD        187.50        USD       1,342        (32,040 ) 

Baxter International, Inc.

   88      11/03/17        USD        64.00        USD       552        (6,996 ) 

Humana, Inc.

   22      11/03/17        USD        245.00        USD       536        (11,330 ) 

Medtronic PLC

   369      11/03/17        USD        80.00        USD       2,870        (21,402 ) 

Pfizer, Inc.

   4      11/03/17        USD        36.00        USD       14        (196 ) 

Allergan PLC

   63      11/10/17        USD        207.50        USD       1,291        (43,911 ) 

Baxter International, Inc.

   89      11/10/17        USD        62.50        USD       558        (14,596 ) 

Humana, Inc.

   19      11/10/17        USD        245.00        USD       463        (12,350 ) 

McKesson Corp.

   3      11/10/17        USD        157.50        USD       46        (1,185 ) 

Regeneron Pharmaceuticals, Inc.

   16      11/10/17        USD        450.00        USD       715        (29,040 ) 

Pfizer, Inc.

   13      11/13/17        USD        35.40        USD       46        (949 ) 

ACADIA Pharmaceuticals, Inc.

   61      11/17/17        USD        38.00        USD       230        (18,605 ) 

AbbVie, Inc.

   39      11/17/17        USD        87.50        USD       347        (14,138 ) 

Agios Pharmaceuticals, Inc.

   43      11/17/17        USD        60.00        USD       287        (36,765 ) 

AmerisourceBergen Corp.

   33      11/17/17        USD        85.00        USD       273        (6,187 ) 

Amgen, Inc.

   75      11/17/17        USD        175.00        USD       1,398        (98,813 ) 

Baxter International, Inc.

   133      11/17/17        USD        65.00        USD       835        (8,844 ) 

Biogen, Inc.

   42      11/17/17        USD        320.00        USD       1,315        (41,790 ) 

Boston Scientific Corp.

   193      11/17/17        USD        29.00        USD       563        (18,432 ) 

Bristol-Myers Squibb Co.

   83      11/17/17        USD        62.50        USD       529        (23,323 ) 

Cigna Corp.

   60      11/17/17        USD        185.00        USD       1,122        (37,650 ) 

Cooper Companies, Inc.

   11      11/17/17        USD        260.00        USD       261        (1,402 ) 

Edwards Lifesciences Corp.

   50      11/17/17        USD        115.00        USD       547        (12,250 ) 

Gilead Sciences, Inc.

   58      11/17/17        USD        85.00        USD       470        (8,700 ) 

HCA Holdings, Inc.

   44      11/17/17        USD        82.50        USD       350        (6,908 ) 

Intuitive Surgical, Inc.

   17      11/17/17        USD        1,010.00        USD       1,778        (100,385 ) 

Johnson & Johnson

   108      11/17/17        USD        135.00        USD       1,404        (8,262 ) 

McKesson Corp.

   53      11/17/17        USD        155.00        USD       814        (27,825 ) 

Merck & Co., Inc.

   104      11/17/17        USD        65.51        USD       666        (8,926 ) 

Nevro Corp.

   46      11/17/17        USD        95.00        USD       418        (17,020 ) 

Novo Nordisk A/S

   24      11/17/17        USD        50.00        USD       116        (2,520 ) 

Sage Therapeutics, Inc.

   55      11/17/17        USD        80.00        USD       343        (20,350 ) 

Sarepta Therapeutics, Inc.

   142      11/17/17        USD        44.00        USD       644        (77,745 ) 

Vertex Pharmaceuticals, Inc.

   63      11/17/17        USD        165.00        USD       958        (18,585 ) 

iRhythm Technologies, Inc.

   53      11/17/17        USD        50.00        USD       275        (20,140 ) 

Abbott Laboratories

   251      11/20/17        USD        52.51        USD       1,339        (45,975 ) 

Global Blood Therapeutics, Inc.

   56      12/15/17        USD        30.00        USD       174        (26,600 ) 

Pfizer, Inc.

   182      12/15/17        USD        36.00        USD       650        (12,740 ) 

Total

                    $ (2,446,851 ) 
                  

 

 

  

 

     
                
   BLACKROCK HEALTH SCIENCES TRUST    SEPTEMBER 30, 2017    5

Schedule of Investments (continued)

   

BlackRock Health Sciences Trust (BME)

 

OTC Options Written  
Description   Counterparty   Number of
Contracts		     Expiration
Date		   Exercise
Price		     Notional
Amount
(000)		   Value  

Call

 

ResMed, Inc.

   UBS AG     12,300     10/17/17   USD     80.72     USD   947   $ (3,598 ) 

Amedisys, Inc.

   UBS AG     21,700     10/25/17   USD     54.86     USD   1,214     (46,020 ) 

Banco Santander SA

   Credit Suisse International     6,900     10/25/17   EUR     82.99     EUR   581     (16,682 ) 

Rogers Corp.

   Goldman Sachs International     2,500     10/25/17   CHF     244.03     CHF   619     (15,305 ) 

Dermira, Inc.

   Barclays Bank PLC     6,900     10/27/17   USD     26.67     USD   186     (9,038 ) 

Novartis AG — ADR

   Citibank N.A.     3,600     10/31/17   USD     86.00     USD   309     (4,431 ) 

Stryker Corp.

   Barclays Bank PLC     11,700     11/02/17   USD     142.08     USD   1,662     (28,169 ) 

Ultragenyx Pharmaceutical, Inc.

   Barclays Bank PLC     7,400     11/02/17   USD     54.92     USD   394     (22,714 ) 

Service Corp. International

   Barclays Bank PLC     15,100     11/07/17   USD     34.95     USD   521     (8,242 ) 

Masimo Corp.

   Barclays Bank PLC     10,500     11/08/17   USD     88.07     USD   909     (38,426 ) 

Agilent Technologies, Inc.

   Citibank N.A.     14,300     11/10/17   USD     66.15     USD   918     (13,202 ) 

AstraZeneca PLC

   Goldman Sachs International     19,900     11/15/17   GBP     49.78     GBP   988     (37,916 ) 

Chugai Pharmaceutical Co., Ltd.

   UBS AG     5,900     11/16/17   JPY     4,769.13     JPY   27,589     (6,592 ) 

Eisai Co., Ltd.

   UBS AG     5,000     11/16/17   JPY     6,012.14     JPY   28,892     (3,901 ) 

GlaxoSmithKline PLC

   Goldman Sachs International     26,300     11/16/17   GBP     15.10     GBP   392     (5,120 ) 

Rogers Corp.

   Morgan Stanley & Co. International PLC     900     11/16/17   CHF     251.74     CHF   223     (3,039 ) 

Takeda Pharmaceutical Co., Ltd.

   UBS AG     5,400     11/16/17   JPY     6,280.91     JPY   33,600     (5,309 ) 

Acceleron Pharma, Inc.

   Citibank N.A.     17,200     11/20/17   USD     39.00     USD   642     (35,811 ) 

Stryker Corp.

   Citibank N.A.     13,600     11/27/17   USD     147.76     USD   1,931     (13,088 ) 

Merck & Co., Inc.

   Goldman Sachs International     10,600     11/29/17   EUR     98.28     EUR   999     (17,534 ) 

Boston Scientific Corp.

   Morgan Stanley & Co. International PLC     72,400     12/05/17   USD     28.75     USD   2,112     (93,537 ) 

Total

     $ (427,674 ) 
               

 

 

  

 

     
                
   BLACKROCK HEALTH SCIENCES TRUST    SEPTEMBER 30, 2017    6

Schedule of Investments (continued)

   

BlackRock Health Sciences Trust (BME)

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. 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 and derivative financial instruments)

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 BlackRock Global Valuation Methodologies Committee (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 and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments 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 and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its semi-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:  

Common Stocks:

 

Biotechnology

  $ 81,793,551          —        $ 3,377,849     $ 85,171,400  

Diversified Consumer Services

    1,493,850          —          —       1,493,850  

Health Care Equipment & Supplies

    75,673,651          —          —       75,673,651  

Health Care Providers & Services

    86,009,541          —          —       86,009,541  

Life Sciences Tools & Services

    7,552,080        $ 498,826          —       8,050,906  

Pharmaceuticals

    48,817,370          15,876,949          —       64,694,319  

Other Interests

    —          —          490,613       490,613  

Preferred Stock

    —          —          318,981       318,981  

Rights

    —          —          141,355       141,355  

Short-Term Securities

    10,936,223          —          —       10,936,223  
 

 

 

  

Total

   $ 312,276,266        $ 16,375,775        $ 4,328,798     $ 332,980,839  
 

 

 

  
             
Derivative Financial Instruments1  

Liabilities:

 

Equity contracts

  $ (2,102,340 )         (772,185 )         —     $ (2,874,525 ) 
 

 

 

  

1    Derivative financial instruments are options written, which are shown at value.

     

 

     
                
   BLACKROCK HEALTH SCIENCES TRUST    SEPTEMBER 30, 2017    7

Schedule of Investments (concluded)

   

BlackRock Health Sciences Trust (BME)

 

During the period ended September 30, 2017, there were no transfers between level 1 and level 2.

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

    

Common

Stocks

    

Other

Interests

    

Preferred

Stocks

     Rights     Total  

Assets:

          

Opening Balance, as of December 31, 2016

   $ 1,452,303       —     $ 503,166     $ 68,517     $ 2,023,986  

Transfers into Level 3

     —     $ 104,588       —       —       104,588  

Transfers out of Level 3

     —       —       —       —       —  

Accrued discounts/premiums

     —       —       —       —       —  

Net realized gain (loss)

     —       —       —       —       —  

Net change in unrealized appreciation (depreciation)1

     1,925,546       386,025       (184,185 )      72,838       2,200,224  

Purchases

     —       —       —       —       —  

Sales

     —       —       —       —       —  
 

 

 

  

Closing Balance, as of September 30, 2017

   $ 3,377,849     $ 490,613     $ 318,981     $ 141,355     $ 4,328,798  
 

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at September 30, 20171

   $ 1,925,546     $ 386,025     $ (184,185 )    $ 72,838     $ 2,200,224  
 

 

 

  

1    Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on derivative financial instruments still held at September 30, 2017 is generally due to derivative financial instruments no longer held or categorized as Level 3 at period end.

     

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $318,981. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

 

     Value        Valuation Approaches      Unobservable Inputs      Range of
unobservable Inputs
Utilized		     

Weighted

Average of

Unobservable Inputs

Assets:

                      

Common Stocks

   $ 3,377,849        Income      Discount Rate1      1.72%      —
            Discount Rate1      3.20%      —
            Time to Exit1      1 — 9 years      —

Other Interests

     490,613        Income      Discount Rate1      2.5%      —

Rights

     141,355        Market      Scenario Probability2      60%      —
            Time to Exit1      2 years      —
 

 

 

Total

   $ 4,009,817                      
 

 

 

                      

1   Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

2    Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

 

     
                
   BLACKROCK HEALTH SCIENCES TRUST    SEPTEMBER 30, 2017    8

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 Health Sciences Trust

 

By:   /s/ John M. Perlowski                    
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock Health Sciences Trust
Date: November 20, 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
  BlackRock Health Sciences Trust
Date: November 20, 2017
By:   /s/ Neal J. Andrews                       
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Health Sciences Trust
Date: November 20, 2017