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: 12/31/2018

Date of reporting period: 03/31/2018

Item 1 – Schedule of Investments

Schedule of Investments  (unaudited)

March 31, 2018

   

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value

Common Stocks — 96.2%

Biotechnology — 22.7%

AbbVie, Inc.(a)

     34,486     $3,264,100

ACADIA Pharmaceuticals, Inc.(a)(b)

     37,400     840,378

Acceleron Pharma, Inc.(a)(b)

     35,700     1,395,870

Acerta Pharma BV, Series B, (Acquired 02/01/16, cost $986,402)(c)(d)

     17,146,440     1,856,959

Agios Pharmaceuticals, Inc.(a)(b)

     15,700     1,283,946

Alexion Pharmaceuticals, Inc.(a)(b)

     27,900     3,109,734

Alkermes PLC(a)(b)

     24,200     1,402,632

Alnylam Pharmaceuticals, Inc.(a)(b)

     48,100     5,728,710

Amgen, Inc.(a)

     37,460     6,386,181

Amicus Therapeutics, Inc.(a)(b)

     21,130     317,795

AnaptysBio, Inc.(b)

     1,500     156,120

Apellis Pharmaceuticals, Inc.(b)

     14,547     321,634

Aquinox Pharmaceuticals, Inc.(b)

     15,731     221,493

Arena Pharmaceuticals, Inc.(a)(b)

     21,144     835,188

Argenx SE, ADR(b)

     4,536     364,876

ARMO BioSciences, Inc.(b)

     10,341     386,857

Avexis, Inc.(a)(b)

     10,752     1,328,732

Biogen, Inc.(a)(b)

     27,748     7,597,957

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

     7,050     181,608

BioMarin Pharmaceutical, Inc.(a)(b)

     28,200     2,286,174

Bluebird Bio, Inc.(a)(b)

     2,200     375,650

Blueprint Medicines Corp.(b)

     3,500     320,950

Celgene Corp.(a)(b)

     14,986     1,336,901

Clementia Pharmaceuticals, Inc.(b)

     10,235     155,060

Cytokinetics, Inc.(a)(b)

     11,300     81,360

Galapagos NV, ADR(a)(b)

     5,700     568,632

Gilead Sciences, Inc.(a)

     76,800     5,789,952

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

     5,388     260,240

Halozyme Therapeutics, Inc.(a)(b)

     41,600     814,944

Incyte Corp.(a)(b)

     15,400     1,283,282

InflaRx NV (Acquired 11/08/17, cost $253,349)(d)

     19,488     555,945

InflaRx NV(b)

     29,508     851,011

Insmed, Inc.(b)

     67,286     1,515,281

Intercept Pharmaceuticals, Inc.(b)

     2,600     159,952

Myovant Sciences, Ltd.(b)

     29,453     626,465

Neurocrine Biosciences, Inc.(a)(b)

     9,100     754,663

Ovid therapeutics, Inc.(b)

     42,053     297,315

Regeneron Pharmaceuticals, Inc.(a)(b)

     4,958     1,707,337

Sage Therapeutics, Inc.(a)(b)

     17,352     2,794,887

Sarepta Therapeutics, Inc.(a)(b)

     42,450     3,145,121

Seattle Genetics, Inc.(a)(b)

     36,867     1,929,619

Spark Therapeutics, Inc.(a)(b)

     9,010     599,976

Spectrum Pharmaceuticals, Inc.(a)(b)

     55,600     894,604

Syndax Pharmaceuticals, Inc.(a)(b)

     15,784     224,606

TESARO, Inc.(b)

     17,831     1,018,863

Ultragenyx Pharmaceutical, Inc.(b)

     21,300     1,086,087
Security   Shares     Value  
Biotechnology (continued)  

Vertex Pharmaceuticals, Inc.(a)(b)

     34,005     $ 5,542,135  
   

 

 

  
    73,957,782  
Diversified Consumer Services — 0.6%  

Service Corp. International(a)

     51,800       1,954,932  
   

 

 

  
Health Care Equipment & Supplies — 25.7%  

Abbott Laboratories(a)

     227,900       13,655,768  

Baxter International, Inc.(a)

     106,900       6,952,776  

Becton Dickinson & Co.(a)

     15,933       3,452,681  

Boston Scientific Corp.(a)(b)

     344,984       9,424,963  

Cooper Cos., Inc.(a)

     4,915       1,124,601  

Edwards Lifesciences Corp.(a)(b)

     30,600       4,269,312  

Hologic, Inc.(a)(b)

     43,500       1,625,160  

Intuitive Surgical, Inc.(a)(b)

     11,600       4,788,828  

iRhythm Technologies, Inc.(a)(b)

     15,183       955,770  

Masimo Corp.(a)(b)

     34,771       3,058,109  

Medtronic PLC(a)

     158,900       12,746,958  

Nevro Corp.(a)(b)

     24,600       2,132,082  

ResMed, Inc.(a)

     32,000       3,151,040  

Stryker Corp.(a)

     77,500       12,471,300  

Teleflex, Inc.(a)

     7,700       1,963,346  

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

     16,500       2,023,725  
   

 

 

  
    83,796,419  
Health Care Providers & Services — 23.9%  

Amedisys, Inc.(b)

     39,760       2,399,119  

AmerisourceBergen Corp.(a)

     16,300       1,405,223  

Anthem, Inc.

     30,000       6,591,000  

Centene Corp.(b)

     37,300       3,986,251  

Cigna Corp.(a)

     50,800       8,521,192  

DaVita, Inc.(a)(b)

     55,694       3,672,462  

HCA Healthcare, Inc.(a)

     18,094       1,755,118  

HealthEquity, Inc.(a)(b)

     12,400       750,696  

Humana, Inc.(a)

     29,900       8,038,017  

McKesson Corp.(a)

     14,300       2,014,441  

Molina Healthcare, Inc.(b)

     11,300       917,334  

Quest Diagnostics, Inc.(a)

     72,100       7,231,630  

Teladoc, Inc.(a)(b)

     37,100       1,495,130  

UnitedHealth Group, Inc.

     121,902       26,087,028  

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

     16,800       1,989,288  

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

     6,400       1,239,232  
   

 

 

  
    78,093,161  
Life Sciences Tools & Services — 2.8%  

Agilent Technologies, Inc.(a)

     44,000       2,943,600  

Thermo Fisher Scientific, Inc.(a)

     24,100       4,975,686  

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

     120,500       1,172,716  
   

 

 

  
    9,092,002  
Pharmaceuticals — 20.5%  

Allergan PLC(a)

     34,985       5,887,626  
 

 

     1  

Schedule of Investments  (unaudited) (continued)

March 31, 2018

   

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Security

   Share      Value
Pharmaceuticals (continued)           

Assembly Biosciences, Inc.(b)

     1,600      $         78,624

AstraZeneca PLC

     60,176      4,136,574

AstraZeneca PLC — ADR(a)

     61,900      2,164,643

Bristol-Myers Squibb Co.(a)

     76,762      4,855,197

Eli Lilly & Co.(a)

     65,800      5,090,946

Johnson & Johnson(a)

     44,970      5,762,905

Medicines Co.(a)(b)

     18,600      612,684

Merck & Co., Inc.(a)

     68,779      3,746,392

Merck KGaA

     28,300      2,715,325

Nektar Therapeutics(a)(b)

     7,400      786,324

Novartis AG, ADR

     42,800      3,460,380

Novo Nordisk A/S — ADR(a)

     100,300      4,939,775

Pfizer, Inc.(a)

     396,198      14,061,067

Reata Pharmaceuticals, Inc., Class A(b)

     5,860      120,189

Sanofi

     20,400      1,636,896

Sanofi — ADR(a)

     50,200      2,012,016

Theravance Biopharma, Inc.(a)(b)

     4,700      113,975

Zoetis, Inc.(a)

     58,900      4,918,739
    

 

     67,100,277
    

 

Total Common Stocks — 96.2%
(Cost — $216,316,942)

 

    313,994,573
    

 

    

Par

(000)

        

Other Interests — 0.1%(f)

Pharmaceuticals — 0.1%

Afferent Pharmaceuticals, Inc., Series C, (Acquired 09/30/15, Cost $0)(c)(d)

   $ 190      420,253
    

 

Preferred Stocks — 0.3%

     
Biotechnology — 0.3%           

Hua Medicine, Series C, (Acquired 03/13/18, Cost $82,789), 0.00%(c)(d)

     7,449      82,789

Security

   Shares      Value  
Biotechnology (continued)             

Hua Medicine, Series E, (Acquired 03/13/18, Cost $260,147),
0.00%(c)(d)

     19,558      $ 260,147  

Rubius Therapeutics, Inc., (Acquired 02/23/18, Cost $505,409),
0.00%(c)(d)

     39,516        505,409  
    

 

 

  

Total Preferred Stocks — 0.3%
(Cost — $848,345)

 

      848,345  
    

 

 

  

Rights — 0.1%

 

Biotechnology — 0.1%  

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

     61,727        141,355  
    

 

 

  

Total Rights — 0.1%
(Cost — $25,847)

 

      141,355  
    

 

 

  

Total Long-Term Investments — 96.7%
(Cost — $217,191,134)

 

      315,404,526  
    

 

 

  

Short-Term Securities — 4.0%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.58%(g)(h)

     13,150,175        13,150,175  
    

 

 

  

Total Short-Term Securities — 4.0%
(Cost — $13,150,175)

 

      13,150,175  
    

 

 

  

Total Investments Before Options Written — 100.7%
(Cost — $230,341,309)

 

      328,554,701  
    

 

 

  

Options Written — (0.5)% (Premiums Received — $2,662,834)

 

      (1,797,664 ) 
    

 

 

  

Total Investments, Net of Options Written — 100.2%
(Cost — $227,678,475)

 

      326,757,037  

Liabilities in Excess of Other Assets — (0.2)%

 

      (492,223 ) 
    

 

 

  

Net Assets — 100.0%

      $ 326,264,814  
    

 

 

  

 

(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 $3,681,502 and an original cost of $2,088,096, which was 1.1% 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)  Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(g) Annualized 7-day yield as of period end.
 

 

 

2   

Schedule of Investments  (unaudited) (continued)

March 31, 2018

   

BlackRock Health Sciences Trust (BME)

 

 

(h)  During the period ended March 31, 2018, 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
12/31/17		      Net
Activity		      Shares
Held at
03/31/18		      Value at
03/31/18		      Income      Net
Realized
Gain (Loss)(a)		      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

      14,301,421        (1,151,246 )       13,150,175      $ 13,150,175      $ 34,867      $ —      $ —  

SL Liquidity Series, LLC, Money Market Series

      120,903        (120,903 )       —        —        1,011 (b)       —        7  
           

 

 

     

 

 

     

 

 

     

 

 

  
   $ 13,150,175      $ 35,878      $ —      $ 7  
           

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)  Includes net capital gain distributions, if applicable.  
  (b)  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 sector classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Portfolio Abbreviations

ADR — American Depositary Receipts

EUR — Euro

GBP — British Pound

HKD — Hong Kong Dollar

USD — U.S. Dollar

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

                           

Novo Nordisk A/S — ADR

      179          04/03/18        USD     51.85        USD     882        $ (102 ) 

ACADIA Pharmaceuticals, Inc.

      130          04/06/18        USD     25.00        USD     292          (3,900 ) 

Amgen, Inc.

      32          04/06/18        USD     187.50        USD     546          (288 ) 

Baxter International, Inc.

      30          04/06/18        USD     67.50        USD     195          (960 ) 

Baxter International, Inc.

      59          04/06/18        USD     68.50        USD     384          (944 ) 

Boston Scientific Corp.

      377          04/06/18        USD     27.50        USD     1,030          (10,179 ) 

Bristol-Myers Squibb Co.

      73          04/06/18        USD     68.00        USD     462          (803 ) 

Cigna Corp.

      106          04/06/18        USD     197.50        USD     1,778          (954 ) 

Eli Lilly & Co.

      82          04/06/18        USD     78.50        USD     634          (3,649 ) 

HCA Healthcare, Inc.

      22          04/06/18        USD     101.00        USD     213          (660 ) 

Humana, Inc.

      4          04/06/18        USD     277.50        USD     108          (180 ) 

Johnson & Johnson

      65          04/06/18        USD     133.00        USD     833          (780 ) 

Medtronic PLC

      79          04/06/18        USD     81.50        USD     634          (3,081 ) 

Merck & Co., Inc.

      49          04/06/18        USD     55.50        USD     267          (906 ) 

Pfizer, Inc.

      30          04/06/18        USD     36.50        USD     106          (240 ) 

Pfizer, Inc.

      30          04/06/18        USD     37.00        USD     106          (120 ) 

Pfizer, Inc.

      42          04/06/18        USD     37.50        USD     149          (336 ) 

Regeneron Pharmaceuticals, Inc.

      8          04/06/18        USD     335.00        USD     275          (9,400 ) 

Zoetis, Inc.

      66          04/06/18        USD     82.50        USD     551          (8,745 ) 

 

 

     3  

Schedule of Investments  (unaudited) (continued)

March 31, 2018

   

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts		        Expiration
Date		        Exercise
Price		        Notional
Amount (000)		        Value  

Call

                           

AmerisourceBergen Corp.

      13          04/13/18        USD     96.00        USD     112        $ (260 ) 

Amgen, Inc.

      72          04/13/18        USD     192.50        USD     1,227          (468 ) 

Baxter International, Inc.

      30          04/13/18        USD     68.00        USD     195          (510 ) 

Baxter International, Inc.

      15          04/13/18        USD     69.00        USD     98          (270 ) 

Biogen, Inc.

      26          04/13/18        USD     290.00        USD     712          (4,030 ) 

Edwards Lifesciences Corp.

      38          04/13/18        USD     133.00        USD     530          (28,880 ) 

Humana, Inc.

      72          04/13/18        USD     275.00        USD     1,936          (16,740 ) 

Intuitive Surgical, Inc.

      40          04/13/18        USD     420.00        USD     1,651          (27,200 ) 

Medtronic PLC

      5          04/13/18        USD     84.50        USD     40          (52 ) 

Pfizer, Inc.

      92          04/13/18        USD     36.50        USD     327          (1,610 ) 

Pfizer, Inc.

      184          04/13/18        USD     37.00        USD     653          (1,472 ) 

Pfizer, Inc.

      49          04/13/18        USD     37.50        USD     174          (245 ) 

AbbVie, Inc.

      55          04/20/18        USD     120.00        USD     521          (220 ) 

Acceleron Pharma, Inc.

      124          04/20/18        USD     45.00        USD     485          (10,540 ) 

Aligent Technologies, Inc.

      77          04/20/18        USD     72.50        USD     515          (770 ) 

Alkermes PLC

      84          04/20/18        USD     70.00        USD     487          (4,200 ) 

Allergan PLC

      63          04/20/18        USD     150.00        USD     1,060          (120,488 ) 

Alnylam Pharmaceuticals, Inc.

      165          04/20/18        USD     145.00        USD     1,965          (12,788 ) 

Amedisys, Inc.

      160          04/20/18        USD     60.00        USD     965          (29,120 ) 

AmerisourceBergen Corp.

      44          04/20/18        USD     105.00        USD     379          (660 ) 

Amgen, Inc.

      7          04/20/18        USD     190.00        USD     119          (105 ) 

Amicus Therapeutics, Inc.

      73          04/20/18        USD     16.00        USD     110          (2,372 ) 

Baxter International, Inc.

      94          04/20/18        USD     70.00        USD     611          (846 ) 

BioMarin Pharmaceutical, Inc.

      100          04/20/18        USD     85.00        USD     811          (12,500 ) 

Biogen, Inc.

      26          04/20/18        USD     295.00        USD     712          (3,900 ) 

Biohaven Pharmaceuticals Holdings Corp.

      35          04/20/18        USD     35.00        USD     90          (437 ) 

Boston Scientific Corp.

      423          04/20/18        USD     28.00        USD     1,156          (13,959 ) 

Boston Scientific Corp.

      55          04/20/18        USD     29.00        USD     150          (632 ) 

Bristol-Myers Squibb Co.

      98          04/20/18        USD     67.50        USD     620          (4,312 ) 

Celgene Corp.

      12          04/20/18        USD     95.00        USD     107          (834 ) 

DaVita, Inc.

      97          04/20/18        USD     77.50        USD     640          (970 ) 

Galapagos NV

      19          04/20/18        USD     110.00        USD     190          (5,605 ) 

Gilead Sciences, Inc.

      65          04/20/18        USD     82.50        USD     490          (1,495 ) 

Global Blood Therapeutics, Inc.

      19          04/20/18        USD     60.00        USD     92          (1,995 ) 

HCA Healthcare, Inc.

      41          04/20/18        USD     105.00        USD     398          (1,845 ) 

Halozyme Therapeutics, Inc.

      145          04/20/18        USD     21.00        USD     284          (3,625 ) 

HealthEquity, Inc.

      43          04/20/18        USD     65.00        USD     260          (3,118 ) 

Hologic, Inc.

      152          04/20/18        USD     39.00        USD     568          (4,940 ) 

Incyte Corp.

      53          04/20/18        USD     92.50        USD     442          (14,575 ) 

Masimo Corp.

      120          04/20/18        USD     90.00        USD     1,055          (12,900 ) 

McKesson Corp.

      57          04/20/18        USD     150.00        USD     803          (3,848 ) 

Medicine’s Co.

      65          04/20/18        USD     37.00        USD     214          (2,762 ) 

Medtronic PLC

      369          04/20/18        USD     82.50        USD     2,960          (24,354 ) 

Merck & Co., Inc.

      45          04/20/18        USD     57.50        USD     245          (2,047 ) 

Neurocrine Biosciences, Inc.

      31          04/20/18        USD     100.00        USD     257          (930 ) 

Novo Nordisk A/S — ADR

      33          04/20/18        USD     54.00        USD     163          (274 ) 

Pfizer, Inc.

      120          04/20/18        USD     37.00        USD     426          (1,740 ) 

Pfizer, Inc.

      49          04/20/18        USD     38.00        USD     174          (245 ) 

Quest Diagnostics, Inc.

      104          04/20/18        USD     104.25        USD     1,043          (7,891 ) 

ResMed, Inc.

      124          04/20/18        USD     90.00        USD     1,221          (114,700 ) 

 

 

4   

Schedule of Investments  (unaudited) (continued)

March 31, 2018

   

BlackRock Health Sciences Trust (BME)

 

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts		        Expiration
Date		        Exercise
Price		        Notional
Amount (000)		        Value  

Call

                           

Sage Therapeutics, Inc.

      54          04/20/18        USD     175.00        USD     870        $ (14,310 ) 

Sanofi - ADR

      175          04/20/18        USD     41.00        USD     701          (5,688 ) 

Seattle Genetics, Inc.

      130          04/20/18        USD     57.00        USD     680          (6,498 ) 

Service Corp. International

      154          04/20/18        USD     40.00        USD     581          (2,310 ) 

Spark Therapeutics, Inc.

      31          04/20/18        USD     70.00        USD     206          (5,813 ) 

Stryker Corp.

      271          04/20/18        USD     170.00        USD     4,361          (12,195 ) 

Syndax Pharmaceuticals, Inc.

      55          04/20/18        USD     17.50        USD     78          (1,925 ) 

Teladoc, Inc.

      129          04/20/18        USD     45.00        USD     520          (3,548 ) 

Teleflex, Inc.

      26          04/20/18        USD     270.00        USD     663          (8,320 ) 

Theravance Biopharma, Inc.

      16          04/20/18        USD     30.00        USD     39          (400 ) 

Thermo Fisher Scientific, Inc.

      84          04/20/18        USD     220.00        USD     1,734          (4,200 ) 

Universal Health Services, Inc., Class B

      57          04/20/18        USD     120.00        USD     675          (13,395 ) 

Varian Medical System, Inc.

      57          04/20/18        USD     130.00        USD     699          (2,565 ) 

Vertex Pharmaceuticals, Inc.

      27          04/20/18        USD     165.00        USD     440          (11,880 ) 

WellCare Health Plans, Inc.

      22          04/20/18        USD     200.00        USD     426          (4,565 ) 

iRhythm Technologies, Inc.

      53          04/20/18        USD     70.00        USD     334          (3,180 ) 

Abbott Laboratories

      438          04/27/18        USD     63.00        USD     2,624          (21,900 ) 

Baxter International, Inc.

      79          04/27/18        USD     68.00        USD     514          (4,424 ) 

Becton Dickinson and Co.

      28          04/27/18        USD     230.00        USD     607          (2,590 ) 

Biogen, Inc.

      42          04/27/18        USD     300.00        USD     1,150          (9,975 ) 

Boston Scientific Corp.

      100          04/27/18        USD     28.00        USD     273          (6,400 ) 

Gilead Sciences, Inc.

      37          04/27/18        USD     84.00        USD     279          (1,942 ) 

Humana, Inc.

      22          04/27/18        USD     275.00        USD     591          (8,415 ) 

Johnson & Johnson

      27          04/27/18        USD     135.00        USD     346          (1,714 ) 

Medtronic PLC

      43          04/27/18        USD     82.00        USD     345          (4,322 ) 

Merck & Co., Inc.

      16          04/27/18        USD     55.50        USD     87          (1,832 ) 

Nektar Therapeutics

      25          04/27/18        USD     105.00        USD     266          (20,125 ) 

Pfizer, Inc.

      146          04/27/18        USD     37.00        USD     518          (3,212 ) 

Pfizer, Inc.

      49          04/27/18        USD     38.00        USD     174          (416 ) 

Zoetis, Inc.

      170          04/27/18        USD     81.50        USD     1,420          (37,400 ) 

Pfizer, Inc.

      275          04/30/18        USD     35.75        USD     976          (15,950 ) 

Novo Nordisk A/S — ADR

      58          05/01/18        USD     51.51        USD     286          (4,849 ) 

AbbVie, Inc.

      27          05/04/18        USD     104.00        USD     256          (2,403 ) 

Abbott Laboratories

      222          05/04/18        USD     62.00        USD     1,330          (17,649 ) 

Acceleron Pharma, Inc.

      76          05/04/18        USD     172.50        USD     1,279          (32,680 ) 

Alexion Pharmaceuticals, Inc.

      56          05/04/18        USD     113.00        USD     624          (28,100 ) 

AstraZeneca PLC

      250          05/04/18        USD     35.50        USD     874          (20,000 ) 

Becton Dickinson and Co.

      35          05/04/18        USD     217.50        USD     758          (22,925 ) 

Boston Scientific Corp.

      186          05/04/18        USD     28.00        USD     508          (12,834 ) 

Bristol-Myers Squibb Co.

      136          05/04/18        USD     65.00        USD     860          (20,536 ) 

Cigna Corp.

      97          05/04/18        USD     177.50        USD     1,627          (22,989 ) 

Eli Lilly & Co.

      148          05/04/18        USD     78.50        USD     1,145          (28,268 ) 

Gilead Sciences, Inc.

      142          05/04/18        USD     77.50        USD     1,071          (28,684 ) 

Johnson & Johnson

      87          05/04/18        USD     131.00        USD     1,115          (18,357 ) 

Medtronic PLC

      70          05/04/18        USD     81.00        USD     562          (12,180 ) 

Merck & Co., Inc.

      57          05/04/18        USD     56.00        USD     310          (6,840 ) 

Pfizer, Inc.

      33          05/04/18        USD     36.50        USD     117          (1,666 ) 

Pfizer, Inc.

      170          05/04/18        USD     36.00        USD     603          (11,985 ) 

Pfizer, Inc.

      137          05/04/18        USD     35.50        USD     486          (13,152 ) 

Regeneron Pharmaceuticals, Inc.

      11          05/04/18        USD     350.00        USD     379          (14,465 ) 

Sage Therapeutics, Inc.

      15          05/04/18        USD     177.50        USD     242          (6,100 ) 

Vertex Pharmaceuticals, Inc.

      109          05/04/18        USD     165.00        USD     1,776          (74,240 ) 

 

 

     5  

Schedule of Investments  (unaudited) (continued)

March 31, 2018

   

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts		        Expiration
Date		        Exercise
Price		        Notional
Amount (000)		        Value  

Call

                           

Abbott Laboratories

      251          05/11/18        USD     61.00        USD     1,504        $ (28,974 ) 

AbbVie, Inc.

      55          05/18/18        USD     120.00        USD     521          (1,100 ) 

Agios Pharmaceuticals, Inc.

      54          05/18/18        USD     85.00        USD     442          (21,195 ) 

Alexion Pharmaceuticals, Inc.

      56          05/18/18        USD     115.00        USD     624          (29,987 ) 

Aligent Technologies, Inc.

      77          05/18/18        USD     72.50        USD     515          (5,044 ) 

Amgen, Inc.

      38          05/18/18        USD     180.00        USD     648          (10,773 ) 

Arena Pharmaceuticals, Inc.

      84          05/18/18        USD     50.00        USD     332          (10,710 ) 

Avexis, Inc.

      37          05/18/18        USD     135.00        USD     457          (20,905 ) 

Baxter International, Inc.

      120          05/18/18        USD     66.25        USD     780          (18,840 ) 

Biogen, Inc.

      3          05/18/18        USD     290.00        USD     82          (1,995 ) 

Boston Scientific Corp.

      186          05/18/18        USD     29.00        USD     508          (8,742 ) 

Celgene Corp.

      78          05/18/18        USD     90.00        USD     696          (32,370 ) 

Cooper Companies, Inc.

      17          05/18/18        USD     240.00        USD     389          (5,525 ) 

Cytokinetics, Inc.

      40          05/18/18        USD     9.00        USD     29          (1,800 ) 

Edwards Lifesciences Corp.

      60          05/18/18        USD     145.00        USD     837          (28,500 ) 

Gilead Sciences, Inc.

      63          05/18/18        USD     80.00        USD     475          (10,049 ) 

Humana, Inc.

      21          05/18/18        USD     270.00        USD     565          (16,170 ) 

Medtronic PLC

      70          05/18/18        USD     82.50        USD     562          (9,695 ) 

Merck & Co., Inc.

      25          05/18/18        USD     57.50        USD     136          (2,162 ) 

Merck & Co., Inc.

      83          05/18/18        USD     55.00        USD     452          (15,189 ) 

Nevro Corp.

      86          05/18/18        USD     90.00        USD     745          (34,400 ) 

Pfizer, Inc.

      66          05/18/18        USD     37.00        USD     234          (2,574 ) 

Quest Diagnostics, Inc.

      148          05/18/18        USD     105.00        USD     1,484          (19,610 ) 

Sarepta Therapeutics, Inc.

      150          05/18/18        USD     85.00        USD     1,111          (38,625 ) 

Spectrum Pharmaceuticals, Inc.

      194          05/18/18        USD     20.00        USD     312          (15,520 ) 

bluebird bio, Inc.

      7          05/18/18        USD     220.00        USD     120          (3,045 ) 
                          

 

 

  
                           $ (1,592,316 ) 

OTC Options Written

 

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

Call

                      

Insmed, Inc.

    Credit Suisse International      11,700        04/05/18        USD       26.99        USD       263      $ (35 ) 

Sanofi

    Goldman Sachs International      7,100        04/05/18        EUR       67.22        EUR       463        (701 ) 

Merck & Co., Inc.

    Credit Suisse International      9,900        04/11/18        EUR       83.70        EUR       772        (475 ) 

Novo Nordisk A/S — ADR

    Citibank N.A.      8,100        04/11/18        USD       51.92        USD       399        (611 ) 

WuXi Biologics, Inc.

    JPMorgan Chase Bank N.A.      35,000        04/17/18        HKD       58.88        HKD       2,673        (80,934 ) 

AstraZeneca PLC

    UBS AG      21,000        04/26/18        GBP       48.18        GBP       1,029        (48,659 ) 

InflaRx NV

    UBS AG      11,800        04/30/18        USD       32.09        USD       340        (8,176 ) 

Myovant Sciences Ltd.

    UBS AG      10,300        04/30/18        USD       20.52        USD       219        (16,361 ) 

Novartis AG

    Barclays Bank PLC      14,900        04/30/18        USD       84.94        USD       1,205        (7,565 ) 

Pfizer, Inc.

    Citibank N.A.      11,200        05/04/18        USD       37.49        USD       397        (2,394 ) 

Insmed, Inc.

    Citibank N.A.      15,200        05/17/18        USD       22.91        USD       342        (25,348 ) 

DaVita, Inc.

    Bank of America N.A.      9,700        05/21/18        USD       70.56        USD       640        (14,089 ) 
                     

 

 

  
                      $ (205,348 ) 
                     

 

 

  

 

 

6   

Schedule of Investments  (unaudited) (continued)

March 31, 2018

   

BlackRock Health Sciences Trust (BME)

 

Fair Value Hierarchy as of Period End

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

 

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

 

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

 

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the 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 and is not necessarily an indication of the risks associated with investing in these securities. For information about the Trust’s policy regarding valuation of investments, refer to the Trust’s most recent financial statements as contained in its annual report.

As of March 31, 2018, the following tables summarize the Trust’s investments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

                  

Investments:

                  

Common Stocks:

                  

Biotechnology

    $ 71,544,878        $ 555,945        $ 1,856,959        $ 73,957,782  

Diversified Consumer Services

      1,954,932          —          —          1,954,932  

Health Care Equipment & Supplies

      83,796,419          —          —          83,796,419  

Health Care Providers & Services

      78,093,161          —          —          78,093,161  

Life Sciences Tools & Services

      7,919,286          1,172,716          —          9,092,002  

Pharmaceuticals

      58,611,482          8,488,795          —          67,100,277  

Other Interests

      —          —          420,253          420,253  

Preferred Stocks

      —          —          848,345          848,345  

Rights

      —          —          141,355          141,355  

Short-Term Securities

      13,150,175          —          —          13,150,175  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 315,070,333        $ 10,217,456        $ 3,266,912        $ 328,554,701  
  

 

 

       

 

 

       

 

 

       

 

 

  

Derivative Financial Instruments (a)

                  

Liabilities:

                  

Equity contracts

    $ (1,537,912 )       $ (259,752 )       $ —        $ (1,797,664 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a)  Derivative financial instruments are options written, which are shown at value.  

 

 

     7  

Schedule of Investments  (unaudited) (continued)

March 31, 2018

   

Blackrock Health Sciences Trust (BME)

 

Transfers between Level 1 and Level 2 were as follow:

 

     

Transfers into

Level 1

       

Transfers out of

Level 1 (a)

       

Transfers into

Level 2 (a)

       

Transfers out of

Level 2

  

Assets:

                  

Long-Term Investments:

                  

Common Stocks

    $ —        $ (548,148 )       $ 548,148        $ —  
  

 

 

       

 

 

       

 

 

       

 

 

  

 

  (a)  External pricing service used to reflect any significant market movements between the time the Trust valued such foreign securities and the earlier closing of foreign markets.  

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

     

Preferred

Stocks

     

Other

Interest

      Rights      Total  

Assets:

               

Opening Balance, as of December 31, 2017

    $ 1,916,972      $ —      $ 387,926      $ 141,355      $ 2,446,253  

Transfers into Level 3

      —        —        —        —        —  

Transfers out of Level 3

      —        —        —        —        —  

Accrued discounts/premiums

      —        —        —        —        —  

Net realized gain (loss)

      —        —        —        —        —  

Net change in unrealized appreciation (depreciation)(a)

      (60,013 )       —        32,327        —        (27,686 ) 

Purchases

      —        848,345        —        —        848,345  

Sales

      —        —        —        —        —  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Closing Balance, as of March 31, 2018

    $ 1,856,959      $ 848,345      $ 420,253      $ 141,355      $ 3,266,912  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2018(a)

    $ (60,013 )       —      $ 32,327        —      $ (27,686 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)  Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on derivative financial instruments still held at March 31, 2018 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.

 

      Value      Valuation Approach      Unobservable Inputs     

Range of
unobservable

Inputs Utilized

  

Assets:

            

Common Stocks

    $ 1,856,959        Income        Discount Rate (a)       4 % 

Preferred Stocks

      848,345        Market        Recent Transactions (b)       —  

Other Interests

      420,253        Income        Discount Rate (a)       3 % 

Rights

      141,355        Market        Scenario Probability (b)       60 % 
           Time to Exit (a)       2 years  
  

 

 

           

Total

    $ 3,266,912           
  

 

 

           

 

  (a)  Decrease in unobservable input may result in a significant increase to value, while an increase in unobservable input may result in a significant decrease to value.  
  (b)  Increase in unobservable input may result in a significant increase to value, while a decrease in unobservable input may result in a significant decrease to value.  

 

 

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: May 21, 2018

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: May 21, 2018
By:   /s/ Neal J. Andrews                  
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Health Sciences Trust
Date: May 21, 2018