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: 12/31/2015

Date of reporting period: 09/30/2015

Item 1 – Schedule of Investments

Schedule of Investments September 30, 2015 (Unaudited)      BlackRock Health Sciences Trust (BME)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks   Shares     Value  

Biotechnology — 24.7%

    

ACADIA Pharmaceuticals, Inc. (a)(b)

     10,000      $ 330,700   

Acceleron Pharma, Inc. (a)(b)

     25,500        634,950   

Actelion Ltd.

     11,300        1,436,185   

Alder Biopharmaceuticals, Inc. (a)(b)

     14,600        478,296   

Alexion Pharmaceuticals, Inc. (a)(b)

     40,660        6,358,817   

Alkermes PLC (a)(b)

     38,700        2,270,529   

Alnylam Pharmaceuticals, Inc. (a)(b)

     5,118        411,282   

Amgen, Inc. (b)

     43,322        5,992,299   

Anacor Pharmaceuticals, Inc. (a)(b)

     34,800        4,096,308   

Aquinox Pharmaceuticals, Inc. (a)

     14,100        198,387   

Axovant Sciences Ltd. (a)

     12,200        157,624   

Baxalta, Inc. (b)

     78,300        2,467,233   

Biogen, Inc. (a)(b)

     20,595        6,009,827   

BioMarin Pharmaceutical, Inc. (a)(b)

     13,300        1,400,756   

Celgene Corp. (a)(b)

     101,786        11,010,192   

Cellectis SA — ADR (a)

     8,600        226,696   

Cidara Therapeutics, Inc. (a)

     2,540        32,309   

Clovis Oncology, Inc. (a)(b)

     11,500        1,057,540   

Dyax Corp. (a)(b)

     66,327        1,266,182   

Genomic Health, Inc. (a)

     24,100        509,956   

Gilead Sciences, Inc. (b)

     54,400        5,341,536   

Global Blood Therapeutics, Inc. (a)

     9,400        396,304   

Incyte Corp. (a)(b)

     13,800        1,522,554   

Infinity Pharmaceuticals, Inc. (a)

     49,900        421,655   

Inotek Pharmaceuticals Corp. (a)

     27,996        263,162   

Intercept Pharmaceuticals, Inc. (a)(b)

     6,100        1,011,746   

Isis Pharmaceuticals, Inc. (a)(b)

     36,100        1,459,162   

Medivation, Inc. (a)

     52,900        2,248,250   

Neurocrine Biosciences, Inc. (a)(b)

     33,362        1,327,474   

Otonomy, Inc. (a)

     9,000        160,290   

Pronai Therapeutics, Inc. (a)

     4,100        84,132   

ProNAi Therapeutics, Inc. (Acquired 7/16/15,
cost $272,600) (a)(c)

     54,596        1,064,294   

PTC Therapeutics, Inc. (a)

     18,200        485,940   

Regeneron Pharmaceuticals, Inc. (a)(b)

     8,158        3,794,612   

REGENXBIO, Inc. (Acquired 5/14/15,
cost $343,081) (a)(c)

     35,850        750,287   

Sage Therapeutics, Inc. (a)

     5,742        243,001   

Sarepta Therapeutics, Inc. (a)(b)

     29,200        937,612   

Seattle Genetics, Inc. (a)(b)

     13,367        515,432   

Seres Therapeutics, Inc. (a)(d)

     16,300        483,132   

Seres Therapeutics, Inc. (Acquired 6/26/15,
cost $251,900) (a)(c)

     20,710        583,152   

Spark Therapeutics, Inc. (a)(b)

     7,521        313,851   

Ultragenyx Pharmaceutical, Inc. (a)(b)

     19,015        1,831,335   

Vertex Pharmaceuticals, Inc. (a)(b)

     29,405        3,062,237   

Zafgen, Inc. (a)(b)

     11,000        351,450   
   

 

 

  
              74,998,668   

Electronic Equipment, Instruments & Components — 0.5%

  

  

FEI Co.

     20,200        1,475,408   
Common Stocks   Shares     Value  

Health Care Equipment & Supplies — 18.9%

    

Abbott Laboratories (b)

     182,600      $ 7,344,172   

AtriCure, Inc. (a)

     8,962        196,357   

Baxter International, Inc. (b)

     10,400        341,640   

Becton Dickinson and Co. (b)

     38,333        5,085,256   

Boston Scientific Corp. (a)(b)

     490,200        8,044,182   

CONMED Corp.

     12,900        615,846   

Cooper Cos., Inc. (b)

     19,600        2,917,656   

CR Bard, Inc. (b)

     10,300        1,918,993   

DexCom, Inc. (a)(b)

     15,300        1,313,658   

Edwards Lifesciences Corp. (a)

     20,899        2,971,211   

Endologix, Inc. (a)

     46,412        569,011   

Insulet Corp. (a)(b)

     15,900        411,969   

Intuitive Surgical, Inc. (a)(b)

     3,300        1,516,614   

Masimo Corp. (a)

     35,700        1,376,592   

Medtronic PLC (b)

     152,413        10,202,526   

St. Jude Medical, Inc. (b)

     79,500        5,015,655   

Stryker Corp. (b)

     70,600        6,643,460   

Thoratec Corp. (a)

     12,500        790,750   
   

 

 

  
              57,275,548   

Health Care Providers & Services — 18.5%

    

Aetna, Inc. (b)

     31,211        3,414,796   

Amedisys, Inc. (a)(b)

     36,200        1,374,514   

AmerisourceBergen Corp. (b)

     21,200        2,013,788   

Anthem, Inc. (b)

     48,800        6,832,000   

Cardinal Health, Inc. (b)

     43,030        3,305,565   

Cigna Corp. (b)

     37,100        5,009,242   

Express Scripts Holding Co. (a)(b)

     28,776        2,329,705   

HCA Holdings, Inc. (a)(b)

     52,494        4,060,936   

HealthEquity, Inc. (a)(b)

     18,200        537,810   

Humana, Inc. (b)

     9,800        1,754,200   

McKesson Corp. (b)

     40,700        7,530,721   

Teladoc, Inc. (a)(d)

     20,200        450,258   

UnitedHealth Group, Inc. (b)

     108,302        12,564,115   

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

     34,300        4,280,983   

Wellcare Health Plans, Inc. (a)

     7,600        654,968   
   

 

 

  
              56,113,601   

Health Care Technology — 0.4%

    

Cerner Corp. (a)(b)

     17,800        1,067,288   

Life Sciences Tools & Services — 2.6%

    

Bio-Rad Laboratories, Inc. (a)(b)

     4,800        644,688   

Charles River Laboratories International, Inc. (a)

     49,000        3,112,480   

Illumina, Inc. (a)(b)

     5,000        879,100   

Thermo Fisher Scientific, Inc.

     26,700        3,264,876   
   

 

 

  
              7,901,144   

Pharmaceuticals — 28.3%

    

AbbVie, Inc. (b)(e)

     97,686        5,315,095   

Allergan PLC (a)(b)

     26,125        7,101,036   
 
      Portfolio Abbreviations
ADR    American Depositary Receipt      GBP    British Pound    USD    U.S. Dollar
CHF    Swiss Franc      HKD    Hong Kong Dollar      
EUR    Euro      JPY    Japanese Yen      

 

          SEPTEMBER 30, 2015    1

Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

Common Stocks    Shares      Value  

Pharmaceuticals (continued)

      

AstraZeneca PLC

      68,800       $ 4,363,185   

Bristol-Myers Squibb Co. (b)

      130,030         7,697,776   

Cempra, Inc. (a)(b)

      24,800         690,432   

Chugai Pharmaceutical Co. Ltd.

      43,700         1,342,168   

Dermira, Inc. (a)

      16,600         387,444   

Eli Lilly & Co. (b)

      125,000         10,461,250   

Intra-Cellular Therapies, Inc. (a)(b)

      55,081         2,205,443   

Jazz Pharmaceuticals PLC (a)(b)

      5,000         664,050   

Johnson & Johnson (b)

      49,370         4,608,690   

Mallinckrodt PLC (a)(b)

      24,843         1,588,461   

Merck & Co., Inc. (b)

      93,200         4,603,148   

Mylan NV (a)(b)

      79,000         3,180,540   

Nektar Therapeutics (a)(b)

      105,400         1,155,184   

Novartis AG

      50,000         4,595,594   

Novartis AG — ADR (b)

      17,900         1,645,368   

Perrigo Co. PLC (b)

      7,402         1,164,113   

Pfizer, Inc. (b)

      108,000         3,392,280   

Phibro Animal Health Corp., Class A

      22,600         714,838   

Roche Holding AG

      11,600         3,079,470   

Sanofi — ADR (b)

      13,700         650,339   

Shire PLC — ADR (b)

      16,000         3,283,680   

Teva Pharmaceutical Industries Ltd. — ADR (b)

      87,100         4,917,666   

UCB SA

      12,300         963,621   

Valeant Pharmaceuticals International, Inc. (a)(b)

      25,700         4,584,366   

Zoetis, Inc. (b)

      37,000         1,523,660   
     

 

 

  
                85,878,897   

Total Common Stocks — 93.9%

               284,710,554   
     
Preferred Stocks                

Biotechnology — 1.3%

      

Acerta Pharma BV, Series B (Acquired 5/6/15,
cost $2,192,004), 0.00% (a)(c)

      190,609         2,192,004   

Afferent Pharmaceuticals, Inc., Series C (Acquired 6/30/15, cost $466,520), 0.00% (a)(c)

      190,160         466,520   

Corvus Pharmaceuticals, Inc. (Acquired 9/11/15,
cost $297,937), 0.00% (a)(c)

      21,266         297,937   
Preferred Stocks    Shares      Value  

Biotechnology (continued)

      

CytomX Therapeutics, Inc., Series D (Acquired 6/11/15, cost $262,220), 0.00% (a)(c)

      1,767,672       $ 399,494   

Intellia Therapeutics, Inc. (Acquired 8/19/15,
cost $248,566), 0.00% (a)(c)

      47,346         248,566   

Ovid Therapeutics, Inc. (Acquired 8/7/15,
cost $503,165), 0.00% (a)(c)

      80,765         503,165   
     

 

 

  
                4,107,686   

Pharmaceuticals — 0.2%

      

Syndax Pharmaceuticals, Inc. (Acquired 8/19/15, cost $495,693), 0.00% (a)(c)

      44,286         495,693   

Total Preferred Stocks — 1.5%

  

      4,603,379   

Total Long-Term Investments

(Cost — $210,499,023) — 95.4%

  

  

      289,313,933   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (f)(g)

      12,275,618         12,275,618   
     

 

Beneficial
Interest
(000)

          

BlackRock Liquidity Series, LLC Money Market Series, 0.26% (f)(g)(h)

    $ 302         301,918   

Total Short-Term Securities

(Cost — $12,577,536) — 4.2%

  

  

      12,577,536   

Total Investments Before Options Written

(Cost — $223,076,559*) — 99.6%

  

  

      301,891,469   
     
Options Written                

(Premiums Received — $2,605,413) — (0.3)%

               (879,806 ) 

Total Investments Net of Options Written — 99.3%

  

      301,011,663   

Other Assets Less Liabilities — 0.7%

         2,203,593   
     

 

 

  

Net Assets — 100.0%

       $ 303,215,256   
     

 

 

  
 
      Notes to Schedule of Investments

 

* As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

    $ 224,543,087   
  

 

 

  

Gross unrealized appreciation

    $ 84,093,162   

Gross unrealized depreciation

      (6,744,780 ) 
  

 

 

  

Net unrealized appreciation

    $ 77,348,382   
  

 

 

  

 

(a) Non-income producing security.

 

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

 

(c) Restricted securities as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $7,001,112 and an original cost of $5,333,686 which was 2.3% of its net assets.

 

(d) Security, or a portion of security, is on loan.

 

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

 

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

 

(g) During the period ended September 30, 2015, 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:

 

 

2         SEPTEMBER 30, 2015     

Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

Affiliates   

Shares

Held at
December 31, 2014

      Net
Activity		      Shares/
Beneficial Interest
Held at
September 30,
2015		      Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

      3,271,616         9,004,002         12,275,618       $ 4,991   

BlackRock Liquidity Series, LLC Money Market Series

      —         —       $ 301,918       $ 3,137 1 

 

  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.

 

(h) Security was purchased with the cash collateral from loaned securities. The Trust may withdraw up to 25% of its investment daily, although the manager of the BlackRock Liquidity Series LLC, Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

 

•  

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

 

      Derivative Financial Instruments Outstanding as of Period End

      Exchange-Traded Options Written

 

Description    Put/
Call		     

Strike

Price

      Expiration
Date		    Contracts      Value  

AbbVie, Inc.

      Call         USD         64.00       10/02/15      130       $ (650 ) 

Aetna, Inc.

      Call         USD         121.00       10/02/15      27         (351 ) 

Alexion Pharmaceuticals, Inc.

      Call         USD         190.00       10/02/15      33         (330 ) 

Allergan PLC

      Call         USD         310.00       10/02/15      22         (110 ) 

Amgen, Inc.

      Call         USD         162.50       10/02/15      25         (125 ) 

Anthem, Inc.

      Call         USD         146.00       10/02/15      75         (1,950 ) 

Biogen, Inc.

      Call         USD         322.50       10/02/15      37         (1,850 ) 

Celgene Corp.

      Call         USD         136.00       10/02/15      143         (715 ) 

Eli Lilly & Co.

      Call         USD         86.50       10/02/15      111         (2,775 ) 

Express Scripts Holding Co.

      Call         USD         91.50       10/02/15      18         (90 ) 

Gilead Sciences, Inc.

      Call         USD         112.00       10/02/15      45         (292 ) 

Isis Pharmaceuticals, Inc.

      Call         USD         54.50       10/02/15      93         (1,860 ) 

Medtronic PLC

      Call         USD         77.50       10/02/15      4         (16 ) 

Mylan NV

      Call         USD         50.50       10/02/15      135         (945 ) 

Shire PLC — ADR

      Call         USD         230.00       10/02/15      40         (2,000 ) 

Teva Pharmaceutical Industries Ltd. — ADR

      Call         USD         70.00       10/02/15      35         (105 ) 

UnitedHealth Group, Inc.

      Call         USD         119.00       10/02/15      85         (2,762 ) 

AbbVie, Inc.

      Call         USD         64.00       10/09/15      127         (1,270 ) 

Aetna, Inc.

      Call         USD         123.00       10/09/15      28         (630 ) 

Amgen, Inc.

      Call         USD         157.50       10/09/15      32         (448 ) 

Biogen, Inc.

      Call         USD         317.50       10/09/15      32         (3,760 ) 

Bristol-Myers Squibb Co.

      Call         USD         60.00       10/09/15      90         (10,980 ) 

Eli Lilly & Co.

      Call         USD         82.50       10/09/15      115         (28,922 ) 

HCA Holdings, Inc.

      Call         USD         89.00       10/09/15      90         (1,350 ) 

Medtronic PLC

      Call         USD         72.00       10/09/15      234         (3,159 ) 

Pfizer, Inc.

      Call         USD         34.00       10/09/15      9         (54 ) 

Teva Pharmaceutical Industries Ltd. — ADR

      Call         USD         64.50       10/09/15      55         (770 ) 

UnitedHealth Group, Inc.

      Call         USD         116.00       10/09/15      77         (19,673 ) 

Zoetis, Inc.

      Call         USD         47.00       10/09/15      55         (1,375 ) 

AmerisourceBergen Corp.

      Call         USD         108.00       10/12/15      37         (52 ) 

Dyax Corp.

      Call         USD         23.33       10/15/15      55         (205 ) 

Abbott Laboratories

      Call         USD         45.00       10/16/15      186         (930 ) 

AbbVie, Inc.

      Call         USD         62.50       10/16/15      127         (1,270 ) 

ACADIA Pharmaceuticals, Inc.

      Call         USD         44.00       10/16/15      35         (1,575 ) 

Alder Biopharmaceuticals, Inc.

      Call         USD         45.00       10/16/15      50         (750 ) 

Alexion Pharmaceuticals, Inc.

      Call         USD         180.00       10/16/15      73         (3,285 ) 

Alexion Pharmaceuticals, Inc.

      Call         USD         190.00       10/16/15      36         (1,620 ) 

Alkermes PLC

      Call         USD         80.00       10/16/15      75         (2,250 ) 

Allergan PLC

      Call         USD         320.01       10/16/15      46         (787 ) 

Alnylam Pharmaceuticals, Inc.

      Call         USD         120.00       10/16/15      27         (1,350 ) 

Amedisys, Inc.

      Call         USD         41.00       10/16/15      90         (4,410 ) 

Amedisys, Inc.

      Call         USD         45.00       10/16/15      5         (95 ) 

Amedisys, Inc.

      Call         USD         47.00       10/16/15      25         (1,050 ) 

 

          SEPTEMBER 30, 2015    3

Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

Description    Put/
Call		     

Strike

Price

      Expiration
Date		    Contracts      Value  

Amgen, Inc.

      Call         USD         160.00       10/16/15      32       $ (128 ) 

Anacor Pharmaceuticals, Inc.

      Call         USD         140.00       10/16/15      13         (1,398 ) 

Anacor Pharmaceuticals, Inc.

      Call         USD         150.00       10/16/15      100         (5,000 ) 

Baxalta, Inc.

      Call         USD         40.00       10/16/15      91         (910 ) 

Becton Dickinson and Co.

      Call         USD         140.00       10/16/15      129         (3,870 ) 

BioMarin Pharmaceutical, Inc.

      Call         USD         130.00       10/16/15      45         (2,250 ) 

Bio-Rad Laboratories, Inc.

      Call         USD         140.00       10/16/15      16         (4,040 ) 

Bristol-Myers Squibb Co.

      Call         USD         62.50       10/16/15      350         (23,625 ) 

Cardinal Health, Inc.

      Call         USD         85.00       10/16/15      183         (2,745 ) 

Celgene Corp.

      Call         USD         125.00       10/16/15      83         (913 ) 

Cempra, Inc.

      Call         USD         40.00       10/16/15      100         (3,250 ) 

Cerner Corp.

      Call         USD         65.00       10/16/15      60         (750 ) 

Cigna Corp.

      Call         USD         145.00       10/16/15      65         (1,300 ) 

Clovis Oncology, Inc.

      Call         USD         115.00       10/16/15      50         (2,375 ) 

Cooper Cos., Inc.

      Call         USD         155.00       10/16/15      34         (3,060 ) 

CR Bard, Inc.

      Call         USD         195.00       10/16/15      18         (2,115 ) 

CR Bard, Inc.

      Call         USD         200.00       10/16/15      18         (945 ) 

Eli Lilly & Co.

      Call         USD         87.50       10/16/15      111         (8,325 ) 

Express Scripts Holding Co.

      Call         USD         87.50       10/16/15      20         (350 ) 

Gilead Sciences, Inc.

      Call         USD         115.00       10/16/15      96         (672 ) 

Intra-Cellular Therapies, Inc.

      Call         USD         45.00       10/16/15      34         (5,100 ) 

Intuitive Surgical, Inc.

      Call         USD         520.00       10/16/15      12         (570 ) 

Jazz Pharmaceuticals PLC

      Call         USD         180.00       10/16/15      40         (2,400 ) 

Johnson & Johnson

      Call         USD         95.00       10/16/15      12         (1,290 ) 

Mallinckrodt PLC

      Call         USD         100.00       10/16/15      68         (2,720 ) 

McKesson Corp.

      Call         USD         210.00       10/16/15      75         (1,875 ) 

Neurocrine Biosciences, Inc.

      Call         USD         60.00       10/16/15      123         (4,920 ) 

Novartis AG — ADR

      Call         USD         100.00       10/16/15      61         (610 ) 

Perrigo Co. PLC

      Call         USD         185.00       10/16/15      31         (620 ) 

Pfizer, Inc.

      Call         USD         33.00       10/16/15      146         (2,555 ) 

Spark Therapeutics, Inc.

      Call         USD         65.00       10/16/15      43         (11,180 ) 

St. Jude Medical, Inc.

      Call         USD         70.00       10/16/15      27         (202 ) 

Stryker Corp.

      Call         USD         100.00       10/16/15      120         (2,400 ) 

UnitedHealth Group, Inc.

      Call         USD         120.00       10/16/15      7         (1,256 ) 

Universal Health Services, Inc., Class B

      Call         USD         140.00       10/16/15      57         (2,565 ) 

Universal Health Services, Inc., Class B

      Call         USD         145.00       10/16/15      60         (3,000 ) 

Valeant Pharmaceuticals International, Inc.

      Call         USD         230.00       10/16/15      55         (825 ) 

Vertex Pharmaceuticals, Inc.

      Call         USD         140.00       10/16/15      60         (3,000 ) 

Zafgen, Inc.

      Call         USD         40.00       10/16/15      40         (12,400 ) 

AbbVie, Inc.

      Call         USD         62.50       10/23/15      12         (180 ) 

Amgen, Inc.

      Call         USD         155.00       10/23/15      25         (1,012 ) 

Baxter International, Inc.

      Call         USD         37.50       10/23/15      36         (792 ) 

Eli Lilly & Co.

      Call         USD         89.00       10/23/15      41         (3,526 ) 

Express Scripts Holding Co.

      Call         USD         85.50       10/23/15      40         (2,400 ) 

Gilead Sciences, Inc.

      Call         USD         110.00       10/23/15      45         (1,418 ) 

HCA Holdings, Inc.

      Call         USD         89.00       10/23/15      90         (4,050 ) 

Humana, Inc.

      Call         USD         190.00       10/23/15      17         (3,358 ) 

Intercept Pharmaceuticals, Inc.

      Call         USD         210.00       10/23/15      21         (7,980 ) 

Merck & Co., Inc.

      Call         USD         54.50       10/23/15      7         (74 ) 

Pfizer, Inc.

      Call         USD         33.50       10/23/15      58         (1,102 ) 

Regeneron Pharmaceuticals, Inc.

      Call         USD         570.00       10/23/15      41         (2,152 ) 

Sarepta Therapeutics, Inc.

      Call         USD         41.50       10/23/15      115         (18,687 ) 

Teva Pharmaceutical Industries Ltd. — ADR

      Call         USD         63.00       10/23/15      67         (1,508 ) 

Teva Pharmaceutical Industries Ltd. — ADR

      Call         USD         66.00       10/23/15      80         (520 ) 

UnitedHealth Group, Inc.

      Call         USD         123.00       10/23/15      7         (952 ) 

Valeant Pharmaceuticals International, Inc.

      Call         USD         257.50       10/23/15      62         (13,330 ) 

Zoetis, Inc.

      Call         USD         45.00       10/23/15      70         (4,375 ) 

Amgen, Inc.

      Call         USD         150.00       10/30/15      47         (7,450 ) 

Anthem, Inc.

      Call         USD         150.00       10/30/15      89         (16,643 ) 

Celgene Corp.

      Call         USD         126.00       10/30/15      44         (1,892 ) 

Eli Lilly & Co.

      Call         USD         85.50       10/30/15      59         (13,157 ) 

Humana, Inc.

      Call         USD         187.50       10/30/15      18         (5,040 ) 

Illumina, Inc.

      Call         USD         220.00       10/30/15      30         (2,850 ) 

Johnson & Johnson

      Call         USD         98.00       10/30/15      80         (5,280 ) 

Merck & Co., Inc.

      Call         USD         54.00       10/30/15      311         (9,175 ) 
  

 

4         SEPTEMBER 30, 2015     

Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

Description    Put/
Call		     

Strike

Price

      Expiration
Date		    Contracts      Value  

Pfizer, Inc.

      Call         USD         33.50       10/30/15      77       $ (2,272 ) 

UnitedHealth Group, Inc.

      Call         USD         124.00       10/30/15      185         (25,715 ) 

Vertex Pharmaceuticals, Inc.

      Call         USD         131.00       10/30/15      60         (6,750 ) 

Aetna, Inc.

      Call         USD         119.00       11/06/15      50         (9,250 ) 

Celgene Corp.

      Call         USD         120.00       11/06/15      38         (5,700 ) 

Express Scripts Holding Co.

      Call         USD         84.00       11/06/15      20         (3,180 ) 

Medtronic PLC

      Call         USD         70.50       11/06/15      127         (10,224 ) 

Shire PLC — ADR

      Call         USD         225.00       11/06/15      8         (3,040 ) 

Teva Pharmaceutical Industries Ltd. — ADR

      Call         USD         62.00       11/06/15      67         (4,120 ) 

Incyte Corp.

      Call         USD         130.12       11/17/15      96         (32,476 ) 

Seattle Genetics, Inc.

      Call         USD         48.70       11/18/15      50         (1,534 ) 

Acceleron Pharma, Inc.

      Call         USD         35.00       11/20/15      100         (48,000 ) 

Alkermes PLC

      Call         USD         70.00       11/20/15      75         (9,000 ) 

AmerisourceBergen Corp.

      Call         USD         100.00       11/20/15      37         (7,678 ) 

BioMarin Pharmaceutical, Inc.

      Call         USD         135.00       11/20/15      45         (12,150 ) 

Boston Scientific Corp.

      Call         USD         18.00       11/20/15      600         (13,200 ) 

Celgene Corp.

      Call         USD         120.00       11/20/15      38         (8,189 ) 

Cooper Cos., Inc.

      Call         USD         160.00       11/20/15      34         (5,270 ) 

DexCom, Inc.

      Call         USD         90.00       11/20/15      54         (25,380 ) 

HealthEquity, Inc.

      Call         USD         35.00       11/20/15      63         (1,890 ) 

Insulet Corp.

      Call         USD         30.50       11/20/15      55         (2,953 ) 

Johnson & Johnson

      Call         USD         95.50       11/20/15      80         (14,363 ) 

McKesson Corp.

      Call         USD         220.00       11/20/15      75         (2,062 ) 

Nektar Therapeutics

      Call         USD         14.00       11/20/15      350         (6,125 ) 

Pfizer, Inc.

      Call         USD         34.00       11/20/15      77         (2,426 ) 

Sanofi — ADR

      Call         USD         49.00       11/20/15      46         (6,325 ) 

Shire PLC — ADR

      Call         USD         225.00       11/20/15      8         (4,160 ) 

St. Jude Medical, Inc.

      Call         USD         70.00       11/20/15      27         (1,688 ) 

Stryker Corp.

      Call         USD         97.50       11/20/15      130         (25,350 ) 

Ultragenyx Pharmaceutical, Inc.

      Call         USD         115.00       11/20/15      70         (30,100 ) 

Intra-Cellular Therapies, Inc.

      Put         USD         35.00       10/16/15      44         (4,950 ) 

Isis Pharmaceuticals, Inc.

      Put         USD         38.00       10/16/15      41         (7,175 ) 

Total

                   $ (708,053 ) 
                 

 

 

  

      OTC Options Written

 

Description    Put/
Call		        Counterparty      Expiration
Date		     

Strike

Price

        Contracts        Value  

Novartis AG

      Call         Morgan Stanley & Co. International PLC      10/02/15        CHF         100.60           7,000         $ —   

St. Jude Medical, Inc.

      Call         Morgan Stanley & Co. International PLC      10/06/15        USD         72.88           10,000           —   

Actelion Ltd.

      Call         Bank of America N.A.      10/09/15        CHF         140.66           4,000           (308 ) 

Boston Scientific Corp.

      Call         Citibank N.A.      10/12/15        USD         17.80           58,400           (2,361 ) 

Novartis AG

      Call         UBS AG      10/14/15        CHF         96.26           10,000           (2,347 ) 

Phibro Animal Health Corp., Class A

      Call         Morgan Stanley & Co. International PLC      10/15/15        USD         36.25           8,000           (569 ) 

Intra-Cellular Therapies, Inc.

      Call         Morgan Stanley & Co. International PLC      10/16/15        USD         45.00           10,000           (15,000 ) 

Charles River Laboratories International, Inc.

      Call         Goldman Sachs International      10/20/15        USD         71.90           17,000           (1,966 ) 

Seres Therapeutics, Inc.

      Call         Morgan Stanley & Co. International PLC      10/20/15        USD         40.26           5,700           (2,312 ) 

AstraZeneca PLC

      Call         Bank of America N.A.      10/27/15        GBP         44.19           6,000           (5,305 ) 

Chugai Pharmaceutical Co. Ltd.

      Call         Goldman Sachs International      10/27/15        JPY         4,364.07           19,500           (2,707 ) 

Cigna Corp.

      Call         Citibank N.A.      10/30/15        USD         146.78           6,500           (3,058 ) 

FEI Co.

      Call         UBS AG      10/30/15        USD         79.89           7,000           (4,956 ) 

AstraZeneca PLC

      Call         Morgan Stanley & Co. International PLC      11/04/15        GBP         44.03           5,700           (5,387 ) 

Abbott Laboratories

      Call         Citibank N.A.      11/09/15        USD         43.57           24,800           (9,297 ) 

Boston Scientific Corp.

      Call         Deutsche Bank AG      11/09/15        USD         16.41           53,000           (39,528 ) 

Masimo Corp.

      Call         Deutsche Bank AG      11/09/15        USD         42.12           12,400           (13,398 ) 

St. Jude Medical, Inc.

      Call         Citibank N.A.      11/09/15        USD         73.83           1,500           (339 ) 

AstraZeneca PLC

      Call         Bank of America N.A.      11/11/15        GBP         42.57           12,000           (21,107 ) 

Roche Holding AG

      Call         UBS AG      11/12/15        CHF         254.94           4,000           (41,808 ) 

Total

                                $ (171,753 ) 
                              

 

 

  

 

 

          SEPTEMBER 30, 2015    5

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.

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:

                  

Long-Term Investments:

                  

Common Stocks:

                  

Biotechnology

      $ 71,164,750       $ 3,833,918         —        $ 74,998,668  

Electronic Equipment, Instruments & Components

        1,475,408         —         —          1,475,408  

Health Care Equipment & Supplies

        57,275,548         —         —          57,275,548  

Health Care Providers & Services

        56,113,601         —         —          56,113,601  

Health Care Technology

        1,067,288         —         —          1,067,288  

Life Sciences Tools & Services

        7,901,144         —         —          7,901,144  

Pharmaceuticals

        71,534,859         14,344,038         —          85,878,897  

Preferred Stocks1

        —         —       $ 4,603,379          4,603,379  

Short-Term Securities

        12,275,618         301,918         —          12,577,536  
    

 

 

  

Total

      $         278,808,216       $         18,479,874       $         4,603,379        $         301,891,469  
    

 

 

  

1   See above Schedule of Investments for values in each industry.

 

                  
      Level 1   Level 2   Level 3    Total

 

Derivative Financial Instruments2

                  

Liabilities:

                  

Equity contracts

      $ (655,683 )     $ (224,123 )       —        $ (879,806 )
    

 

 

  

 

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

                  

 

6         SEPTEMBER 30, 2015     

Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

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		     Total  

Assets:

       

Opening Balance, as of December 31, 2014

    $ 251,899      $ 425,376      $ 677,275   

Transfers into Level 3

      —        —        —   

Transfers out of Level 3

      (251,899 )      (425,376 )      (677,275 ) 

Accrued discounts/premiums

      —        —        —   

Net realized gain (loss)

      —        —        —   

Net change in unrealized appreciation/depreciation

      —        137,274        137,274   

Purchases

        4,466,105        4,466,105   

Sales

      —        —        —   
  

 

 

  

Closing Balance, as of September 30, 2015

      —      $ 4,603,379      $ 4,603,379   
  

 

 

  

Net change in unrealized appreciation/depreciation on investments still held at September 30, 2015

      —      $ 137,273      $ 137,273   
  

 

 

  

The following table summarizes the valuation techniques 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 and derivative financial instruments with values based upon unadjusted third party pricing information in the amount of $4,203,885.

 

      Value      Valuation Techniques    Unobservable
Inputs		    Range of
Unobservable Inputs
Utilized

Assets:

            

Preferred Stocks

    $ 399,494       Other    Midpoint of IPO1    14-16
                   Discount for lockup2    5%

Total

    $ 399,494            
  

 

 

 

1    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.

 

2    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.

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

 

      Level 1     Level 2     Level 3      Total  

Assets:

          

Cash

    $ (286,530 )      —        —       $ (286,530 ) 

Foreign currency at value

      93,204        —        —         93,204   

Cash collateral on exchange-traded options written

      325,290        —        —         325,290   

Liabilities:

          

Collateral on securities loaned at value

      —      $ (301,918 )      —         (301,918 ) 
  

 

 

  

Total

    $         131,964      $         (301,918 )              —       $         (169,954 ) 
  

 

 

  

During the period ended September 30, 2015, there were no transfers between levels.

 

          SEPTEMBER 30, 2015    7

Item 2 – Controls and Procedures

 

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

 

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

Item 3 – Exhibits

Certifications – Attached hereto

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

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 23, 2015

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 23, 2015
By:  

    /s/ Neal J. Andrews

  
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of BlackRock Health Sciences Trust
Date: November 23, 2015