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: 09/30/2018

Item 1 – Schedule of Investments

Schedule of Investments  (unaudited)

September 30, 2018

   

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 99.1%

 

Biotechnology — 18.4%  

ACADIA Pharmaceuticals, Inc.(a)(b)

     37,400     $ 776,424  

Acceleron Pharma, Inc.(a)(b)

     38,000       2,174,740  

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

     17,146,440       1,844,957  

Agios Pharmaceuticals, Inc.(a)(b)

     15,700       1,210,784  

Alexion Pharmaceuticals, Inc.(a)(b)

     26,900       3,739,369  

Allakos, Inc.(a)

     6,012       270,480  

Alnylam Pharmaceuticals, Inc.(a)(b)

     8,200       717,664  

Amgen, Inc.(b)

     28,460       5,899,473  

Amicus Therapeutics, Inc.(a)

     22,430       271,179  

AnaptysBio, Inc.(a)

     2,100       209,517  

Apellis Pharmaceuticals, Inc.(a)

     14,547       258,646  

Arena Pharmaceuticals, Inc.(a)(b)

     25,144       1,157,127  

Biogen, Inc.(a)(b)

     24,748       8,743,716  

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

     7,050       264,728  

BioMarin Pharmaceutical, Inc.(a)(b)

     32,700       3,170,919  

Bluebird Bio, Inc.(a)(b)

     2,200       321,200  

Blueprint Medicines Corp.(a)(b)

     3,500       273,210  

Cellectis SA, ADR(a)

     15,095       425,981  

Checkpoint Therapeutics, Inc.(a)(e)

     43,100       154,298  

Corbus Pharmaceuticals Holdings, Inc.(a)

     38,600       291,430  

Cytokinetics, Inc.(a)

     11,300       111,305  

Eidos Therapeutics, Inc.(a)

     7,886       78,702  

Galapagos NV, ADR(a)(b)

     5,700       640,851  

Gilead Sciences, Inc.(b)

     37,500       2,895,375  

Halozyme Therapeutics, Inc.(a)(b)

     29,700       539,649  

Incyte Corp.(a)(b)

     34,400       2,376,352  

InflaRx NV(a)

     29,508       1,012,715  

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

     19,488       668,828  

Insmed, Inc.(a)(b)

     49,686       1,004,651  

Intercept Pharmaceuticals, Inc.(a)(b)

     2,600       328,536  

Madrigal Pharmaceuticals, Inc.(a)

     2,100       449,673  

Neurocrine Biosciences, Inc.(a)(b)

     9,400       1,155,730  

Ovid therapeutics, Inc.(a)

     42,053       238,441  

Principia Biopharma, Inc.(a)

     4,047       118,253  

Ra Pharmaceuticals, Inc.(a)

     6,500       117,585  

Regeneron Pharmaceuticals, Inc.(a)(b)

     6,758       2,730,502  

Rubius Therapeutics, Inc.(a)(d)

     2,991       71,784  

Sage Therapeutics, Inc.(a)(b)

     13,652       1,928,345  

Sarepta Therapeutics, Inc.(a)(b)

     38,950       6,290,814  

Seattle Genetics, Inc.(a)(b)

     50,967       3,930,575  

Spark Therapeutics, Inc.(a)(b)

     9,010       491,495  

Spectrum Pharmaceuticals, Inc.(a)(b)

     55,800       937,440  

Sutro Biopharma, Inc.(a)

     5,660       84,900  

Syndax Pharmaceuticals, Inc.(a)(b)

     15,784       127,535  

TESARO, Inc.(a)

     17,831       695,587  

Ultragenyx Pharmaceutical, Inc.(a)(b)

     17,500       1,335,950  
Security   Shares     Value  
Biotechnology (continued)  

Vertex Pharmaceuticals, Inc.(a)(b)

     41,005     $ 7,903,304  
   

 

 

  
    70,440,719  

Diversified Consumer Services — 0.7%

 

Service Corp. International

     59,800       2,643,160  
   

 

 

  

Health Care Equipment & Supplies — 26.9%

 

Abbott Laboratories(b)

     252,800       18,545,408  

Baxter International, Inc.(b)

     74,300       5,727,787  

Becton Dickinson & Co.(b)

     27,933       7,290,513  

Boston Scientific Corp.(a)(b)

     420,284       16,180,934  

Edwards Lifesciences Corp.(a)(b)

     23,200       4,039,120  

Establishment Labs Holdings, Inc.(a)

     6,058       145,998  

Globus Medical, Inc., Class A(a)(b)

     24,700       1,401,972  

Intuitive Surgical, Inc.(a)(b)

     12,200       7,002,800  

iRhythm Technologies, Inc.(a)(b)

     15,183       1,437,223  

Masimo Corp.(a)

     39,000       4,857,060  

Medtronic PLC(b)

     170,900       16,811,433  

Nevro Corp.(a)(b)

     14,244       811,908  

ResMed, Inc.(b)

     32,200       3,713,948  

Stryker Corp.(b)

     53,600       9,523,648  

Teleflex, Inc.(b)

     8,500       2,261,765  

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

     14,900       1,667,757  

Zimmer Biomet Holdings, Inc.(b)

     11,900       1,564,493  
   

 

 

  
    102,983,767  

Health Care Providers & Services — 21.9%

 

Amedisys, Inc.(a)(b)

     24,960       3,119,002  

AmerisourceBergen Corp.(b)

     16,400       1,512,408  

Anthem, Inc.(b)

     35,800       9,810,990  

Centene Corp.(a)(b)

     42,800       6,196,584  

Cigna Corp.(b)

     37,100       7,726,075  

DaVita, Inc.(a)(b)

     17,594       1,260,258  

HCA Healthcare, Inc.(b)

     21,594       3,004,157  

HealthEquity, Inc.(a)(b)

     12,400       1,170,684  

Humana, Inc.(b)

     27,800       9,410,856  

Molina Healthcare, Inc.(a)(b)

     7,400       1,100,380  

Quest Diagnostics, Inc.(b)

     61,500       6,636,465  

UnitedHealth Group, Inc.

     115,802       30,807,964  

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

     6,200       1,987,038  
   

 

 

  
    83,742,861  

Health Care Technology — 0.8%

 

Teladoc, Inc.(a)(b)

     37,200       3,212,220  
   

 

 

  
Life Sciences Tools & Services — 4.5%  

Agilent Technologies, Inc.(b)

     25,100       1,770,554  

Charles River Laboratories International, Inc.(a)(b)

     9,300       1,251,222  

Illumina, Inc.(a)(b)

     5,400       1,982,124  

IQVIA Holdings, Inc.(a)(b)

     10,300       1,336,322  

PerkinElmer, Inc.(b)

     9,800       953,246  

QIAGEN NV(a)(b)

     48,800       1,848,544  

Thermo Fisher Scientific, Inc.(b)

     27,600       6,736,608  
 

 

 

     1  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Life Sciences Tools & Services (continued)  

Wuxi Biologics Cayman, Inc.(a)(f)

     120,500     $ 1,219,412  
   

 

 

  
    17,098,032  

Pharmaceuticals — 25.9%

 

Allergan PLC(b)

     35,285       6,721,087  

Arvinas Holding Co. LLC(a)

     4,630       78,108  

Assembly Biosciences, Inc.(a)(b)

     5,033       186,926  

AstraZeneca PLC(b)

     70,276       5,477,596  

AstraZeneca PLC — ADR

     63,700       2,520,609  

Bristol-Myers Squibb Co.(b)

     153,962       9,557,961  

Chugai Pharmaceutical Co. Ltd.

     16,100       1,034,961  

Elanco Animal Health, Inc.(a)

     10,891       379,987  

Eli Lilly & Co.(b)(c)

     66,400       7,125,384  

Hua Medicine (Acquired 03/13/18, Cost $505,000),

    

0.00%(d)

     405,105       408,226  

Hua Medicine(a)(f)

     314,500       332,243  

Jazz Pharmaceuticals PLC(a)(b)

     10,500       1,765,365  

Johnson & Johnson(b)

     66,770       9,225,611  

Medicines Co.(a)(b)

     18,800       562,308  

Merck & Co., Inc.(b)

     167,679       11,895,148  

Merck KGaA

     28,300       2,923,975  

Nektar Therapeutics(a)(b)

     7,400       451,104  

Novartis AG, ADR(b)

     22,300       1,921,368  

Novo Nordisk A/S — ADR(b)

     75,100       3,540,214  

Pfizer, Inc.(b)

     491,398       21,655,910  

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

     9,419       770,097  

Sanofi

     20,600       1,840,552  

Sanofi — ADR

     50,700       2,264,769  

Teva Pharmaceutical Industries Ltd. — ADR(b)

     59,000       1,270,860  

Theravance Biopharma, Inc.(a)(b)

     4,700       153,549  

Tricida, Inc.(a)

     9,249       282,557  

Urovant Sciences, Ltd.(a)

     6,639       79,668  

Zoetis, Inc.(b)

     54,500       4,990,020  
   

 

 

  
    99,416,163  
   

 

 

  

Total Common Stocks — 99.1%
(Cost — $230,168,128)

 

     379,536,922  
   

 

 

  
Security   Shares     Value  
Corporate Bonds — 0.1%  

Allogene Therapeutics, Inc. (Acquired 08/31/18, Cost $505,000),
0.00%(c)(d)

     505,000     $ 505,000  
   

 

 

  

Total Corporate Bonds — 0.1%
(Cost — $505,000)

 

     505,000  
   

 

 

  

Other Interests(g) — 0.0%

 

United States — 0.0%

 

Afferent Pharmaceuticals, Inc., Series C(c)

     190       117,899  
   

 

 

  

Total Other Interests — 0.0%
(Cost — $ — )

 

     117,899  
   

 

 

  

Preferred Stock

 

Biotechnology — 0.3%

 

Rubius Therapeutics, Inc., (Acquired 02/23/18, Cost $505,410),

    

0.00%(c)(d)

     39,516       919,932  
   

 

 

  

Total Preferred Stocks — 0.3%
(Cost — $505,409)

 

     919,932  
   

 

 

  

Total Long-Term Investments — 99.5%
(Cost — $231,178,537)

 

     381,079,753  
   

 

 

  

Short-Term Securities — 1.4%

 

BlackRock Liquidity Funds, T-Fund,
Institutional Class,

    

1.97%(h)(j)

     5,349,621       5,349,621  

SL Liquidity Series, LLC,
Money Market Series,

    

2.26%(h)(i)(j)

     800       800  
   

 

 

  

Total Short-Term Securities — 1.4%
(Cost — $5,350,421)

 

     5,350,421  
   

 

 

  

Total Investments Before Options Written — 100.9%
(Cost — $236,528,958)

 

     386,430,174  
   

 

 

  

Options Written — (1.4)%
(Premiums Received — $2,857,084)

 

     (5,251,576 ) 
   

 

 

  

Total Investments, Net of Options Written — 99.5%
(Cost — $233,671,874)

 

     381,178,598  

Other Assets Less Liabilities — 0.5%

 

     1,982,531  
   

 

 

  

Net Assets — 100.0%

 

   $ 383,161,129  
   

 

 

  

 

(a) 

Non-income producing security.

(b) 

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

(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 $4,346,943 and an original cost of $2,593,097, which was 0.7% of its net assets.

 

 

 

2      

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Health Sciences Trust (BME)

 

(e) 

Security, or a portion of the security, is on loan.

(f) 

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.

(g) 

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(h) 

Annualized 7-day yield as of period end.

(i) 

Security was purchased with the cash collateral from loaned securities.

(j) 

During the period ended September 30, 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, and/or related parties of the Trust were as follows:

 

Affiliate    Shares
Held at
12/31/17		      Net
Activity		      Shares
Held at
09/30/18		      Value at
09/30/18		      Income      Net Realized
Gain (Loss)(a)		      Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

      14,301,421        (8,951,800 )       5,349,621      $ 5,349,621      $ 107,994      $ —      $ —  

SL Liquidity Series, LLC, Money Market Series

      120,903        (120,103 )       800        800        1,261 (b)        10        7  
           

 

 

     

 

 

     

 

 

     

 

 

  
            $ 5,350,421      $ 109,255      $ 10      $ 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 sector 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 sector sub-classifications for reporting ease.

 

Currency Abbreviations
EUR    Euro
GBP    British Pound
HKD    Hong Kong Dollar
JPY    Japanese Yen
USD    United States Dollar

 

Portfolio Abbreviations

ADR    American Depositary Receipts

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

                           

Arena Pharmaceuticals, Inc.

      16          10/04/18        USD     39.15        USD     74        $ (11,019 ) 

Abbott Laboratories

      492          10/05/18        USD     67.50        USD     3,609          (295,200 ) 

Alexion Pharmaceuticals, Inc.

      65          10/05/18        USD     125.00        USD     904          (91,000 ) 

Allergan PLC

      78          10/05/18        USD     192.50        USD     1,486          (8,229 ) 

Baxter International, Inc.

      72          10/05/18        USD     74.50        USD     555          (19,296 ) 

Biogen, Inc.

      8          10/05/18        USD     350.00        USD     283          (5,920 ) 

Bristol-Myers Squibb Co.

      223          10/05/18        USD     62.00        USD     1,384          (11,373 ) 

Humana, Inc.

      22          10/05/18        USD     335.00        USD     745          (10,340 ) 

Illumina, Inc.

      21          10/05/18        USD     365.00        USD     771          (12,075 ) 

Johnson & Johnson

      33          10/05/18        USD     136.00        USD     456          (8,250 ) 

Medtronic PLC

      30          10/05/18        USD     95.01        USD     295          (10,473 ) 

Merck & Co., Inc.

      28          10/05/18        USD     69.00        USD     199          (5,838 ) 

Pfizer, Inc.

      365          10/05/18        USD     40.05        USD     1,609          (147,367 ) 

AstraZeneca PLC

      128          10/12/18        USD     37.50        USD     506          (38,720 ) 

 

 

        3  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts		        Expiration
Date		        Exercise
Price		       

Notional

Amount (000)

        Value  

Baxter International, Inc.

      71          10/12/18        USD     75.00        USD     547        $ (16,756 ) 

Cigna Corp.

      148          10/12/18        USD     187.50        USD     3,082          (312,650 ) 

HCA Healthcare, Inc.

      55          10/12/18        USD     134.00        USD     765          (31,350 ) 

Merck & Co., Inc.

      54          10/12/18        USD     70.00        USD     383          (7,938 ) 

Pfizer, Inc.

      365          10/12/18        USD     40.15        USD     1,609          (144,351 ) 

Sarepta Therapeutics, Inc.

      155          10/12/18        USD     150.00        USD     2,503          (254,975 ) 

ACADIA Pharmaceuticals, Inc.

      149          10/19/18        USD     15.00        USD     309          (91,635 ) 

Abbott Laboratories

      255          10/19/18        USD     67.50        USD     1,871          (151,725 ) 

Acceleron Pharma, Inc.

      152          10/19/18        USD     60.00        USD     870          (23,940 ) 

Agilent Technologies, Inc.

      100          10/19/18        USD     70.00        USD     705          (13,800 ) 

Agios Pharmaceuticals, Inc.

      62          10/19/18        USD     80.00        USD     478          (12,555 ) 

Alnylam Pharmaceuticals, Inc.

      32          10/19/18        USD     105.00        USD     280          (800 ) 

Amedisys, Inc.

      106          10/19/18        USD     125.00        USD     1,325          (36,570 ) 

AmerisourceBergen Corp.

      21          10/19/18        USD     87.50        USD     194          (10,815 ) 

Amgen, Inc.

      72          10/19/18        USD     200.00        USD     1,492          (61,920 ) 

Anthem, Inc.

      145          10/19/18        USD     280.00        USD     3,974          (28,565 ) 

Assembly Biosciences, Inc.

      20          10/19/18        USD     45.00        USD     74          (4,500 ) 

Baxter International, Inc.

      141          10/19/18        USD     77.50        USD     1,087          (13,042 ) 

Becton Dickinson & Co.

      62          10/19/18        USD     260.00        USD     1,618          (26,040 ) 

BioMarin Pharmaceutical, Inc.

      65          10/19/18        USD     105.00        USD     630          (3,412 ) 

Biogen, Inc.

      27          10/19/18        USD     355.00        USD     954          (20,925 ) 

Biohaven Pharmaceutical Holding Co., Ltd.

      28          10/19/18        USD     40.00        USD     105          (3,010 ) 

Bluebird Bio, Inc.

      10          10/19/18        USD     160.00        USD     146          (2,250 ) 

Blueprint Medicines Corp.

      14          10/19/18        USD     75.00        USD     109          (7,910 ) 

Boston Scientific Corp.

      670          10/19/18        USD     35.00        USD     2,580          (217,750 ) 

Bristol-Myers Squibb Co.

      170          10/19/18        USD     62.50        USD     1,055          (12,580 ) 

Centene Corp.

      150          10/19/18        USD     150.00        USD     2,172          (12,750 ) 

Charles River Laboratories International, Inc.

      37          10/19/18        USD     130.00        USD     498          (20,720 ) 

DaVita, Inc.

      70          10/19/18        USD     72.50        USD     501          (13,300 ) 

Edwards Lifesciences Corp.

      33          10/19/18        USD     150.00        USD     575          (81,180 ) 

Eli Lilly & Co.

      130          10/19/18        USD     106.75        USD     1,395          (32,364 ) 

Galapagos NV

      22          10/19/18        USD     120.00        USD     247          (4,400 ) 

HCA Healthcare, Inc.

      31          10/19/18        USD     135.00        USD     431          (17,360 ) 

Halozyme Therapeutics, Inc.

      135          10/19/18        USD     18.00        USD     245          (9,787 ) 

HealthEquity, Inc.

      49          10/19/18        USD     95.00        USD     463          (11,392 ) 

Incyte Corp.

      137          10/19/18        USD     70.00        USD     946          (26,373 ) 

Insmed, Inc.

      198          10/19/18        USD     22.00        USD     400          (44,550 ) 

Intercept Pharmaceuticals, Inc.

      10          10/19/18        USD     120.00        USD     126          (9,650 ) 

Jazz Pharmaceuticals PLC

      42          10/19/18        USD     165.00        USD     706          (21,840 ) 

Johnson & Johnson

      100          10/19/18        USD     140.00        USD     1,382          (14,500 ) 

Medtronic PLC

      146          10/19/18        USD     100.00        USD     1,436          (9,490 ) 

Merck & Co., Inc.

      149          10/19/18        USD     67.50        USD     1,057          (55,503 ) 

Molina Healthcare, Inc.

      30          10/19/18        USD     155.00        USD     446          (4,425 ) 

Nektar Therapeutics

      29          10/19/18        USD     70.00        USD     177          (2,610 ) 

Neurocrine Biosciences, Inc.

      37          10/19/18        USD     125.00        USD     455          (11,840 ) 

Nevro Corp.

      77          10/19/18        USD     65.00        USD     439          (14,630 ) 

Novartis AG, ADR

      19          10/19/18        USD     85.00        USD     164          (4,085 ) 

Novo Nordisk A/S — ADR

      31          10/19/18        USD     49.00        USD     146          (620 ) 

Pfizer, Inc.

      365          10/19/18        USD     40.25        USD     1,609          (141,363 ) 

Reata Pharmaceuticals, Inc., Class A

      37          10/19/18        USD     95.00        USD     303          (6,475 ) 

Regeneron Pharmaceuticals, Inc.

      16          10/19/18        USD     410.00        USD     646          (13,440 ) 

ResMed, Inc.

      128          10/19/18        USD     115.00        USD     1,476          (25,920 ) 

Sage Therapeutics, Inc.

      16          10/19/18        USD     165.00        USD     226          (1,680 ) 

 

 

4      

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts		        Expiration
Date		        Exercise
Price		       

Notional

Amount (000)

        Value  

Sage Therapeutics, Inc.

      39          10/19/18        USD     155.00        USD     551        $ (5,070 ) 

Seattle Genetics, Inc.

      203          10/19/18        USD     80.00        USD     1,566          (29,943 ) 

Spark Therapeutics, Inc.

      36          10/19/18        USD     60.00        USD     196          (3,690 ) 

Spectrum Pharmaceuticals, Inc.

      223          10/19/18        USD     23.00        USD     375          (2,230 ) 

Syndax Pharmaceuticals, Inc.

      63          10/19/18        USD     10.00        USD     51          (2,520 ) 

Teladoc, Inc.

      148          10/19/18        USD     80.00        USD     1,278          (117,660 ) 

Teleflex, Inc.

      34          10/19/18        USD     270.00        USD     905          (10,540 ) 

Teva Pharmaceutical Industries Ltd. — ADR

      84          10/19/18        USD     24.00        USD     181          (1,134 ) 

Theravance Biopharma, Inc.

      20          10/19/18        USD     30.00        USD     65          (6,700 ) 

Thermo Fisher Scientific, Inc.

      110          10/19/18        USD     250.00        USD     2,685          (13,475 ) 

Varian Medical Systems, Inc.

      59          10/19/18        USD     115.00        USD     660          (4,425 ) 

Vertex Pharmaceuticals, Inc.

      164          10/19/18        USD     185.00        USD     3,161          (163,180 ) 

WellCare Health Plans, Inc.

      23          10/19/18        USD     310.00        USD     737          (31,970 ) 

Zimmer Biomet Holdings, Inc.

      46          10/19/18        USD     125.00        USD     605          (32,200 ) 

iRhythm Technologies, Inc.

      60          10/19/18        USD     95.00        USD     568          (17,700 ) 

Abbott Laboratories

      221          10/26/18        USD     69.00        USD     1,621          (101,108 ) 

Allergan PLC

      63          10/26/18        USD     192.50        USD     1,200          (21,577 ) 

Amgen, Inc.

      7          10/26/18        USD     202.50        USD     145          (5,040 ) 

AstraZeneca PLC

      126          10/26/18        USD     38.50        USD     499          (46,620 ) 

Baxter International, Inc.

      47          10/26/18        USD     78.00        USD     362          (4,018 ) 

Becton Dickinson & Co.

      49          10/26/18        USD     262.50        USD     1,279          (16,905 ) 

Biogen, Inc.

      24          10/26/18        USD     350.00        USD     848          (37,560 ) 

Bristol-Myers Squibb Co.

      73          10/26/18        USD     62.00        USD     453          (10,402 ) 

Humana, Inc.

      21          10/26/18        USD     340.00        USD     711          (10,500 ) 

Johnson & Johnson

      102          10/26/18        USD     141.00        USD     1,409          (13,311 ) 

Medtronic PLC

      114          10/26/18        USD     97.00        USD     1,121          (29,013 ) 

Merck & Co., Inc.

      182          10/26/18        USD     70.50        USD     1,291          (31,941 ) 

Pfizer, Inc.

      196          10/26/18        USD     42.00        USD     864          (44,002 ) 

Pfizer, Inc.

      202          10/26/18        USD     41.69        USD     890          (53,204 ) 

Teva Pharmaceutical Industries Ltd. — ADR

      152          10/26/18        USD     23.00        USD     327          (5,928 ) 

Zoetis, Inc.

      148          10/26/18        USD     90.50        USD     1,355          (31,820 ) 

Novo Nordisk A/S — ADR

      103          10/31/18        USD     47.74        USD     486          (8,346 ) 

Alexion Pharmaceuticals, Inc.

      42          11/02/18        USD     137.00        USD     584          (31,290 ) 

Amgen, Inc.

      34          11/02/18        USD     207.50        USD     705          (17,850 ) 

Biogen, Inc.

      39          11/02/18        USD     345.00        USD     1,378          (72,930 ) 

Bristol-Myers Squibb Co.

      149          11/02/18        USD     63.00        USD     925          (16,911 ) 

Eli Lilly & Co.

      135          11/02/18        USD     107.00        USD     1,449          (34,223 ) 

Gilead Sciences, Inc.

      63          11/02/18        USD     75.00        USD     486          (23,940 ) 

Humana, Inc.

      68          11/02/18        USD     340.00        USD     2,302          (45,220 ) 

Intuitive Surgical, Inc.

      48          11/02/18        USD     562.50        USD     2,755          (129,120 ) 

Johnson & Johnson

      32          11/02/18        USD     141.00        USD     442          (4,992 ) 

Medtronic PLC

      319          11/02/18        USD     99.50        USD     3,138          (40,992 ) 

Merck & Co., Inc.

      137          11/02/18        USD     71.00        USD     972          (22,194 ) 

Pfizer, Inc.

      192          11/02/18        USD     43.00        USD     846          (30,144 ) 

Novo Nordisk A/S — ADR

      103          11/06/18        USD     47.74        USD     486          (9,353 ) 

AmerisourceBergen Corp.

      44          11/16/18        USD     92.50        USD     406          (15,620 ) 

Arena Pharmaceuticals, Inc.

      84          11/16/18        USD     43.00        USD     387          (41,790 ) 

BioMarin Pharmaceutical, Inc.

      65          11/16/18        USD     105.00        USD     630          (11,862 ) 

Centene Corp.

      22          11/16/18        USD     143.50        USD     319          (13,459 ) 

Edwards Lifesciences Corp.

      39          11/16/18        USD     155.00        USD     679          (81,510 ) 

Gilead Sciences, Inc.

      87          11/16/18        USD     75.00        USD     672          (36,975 ) 

IQVIA Holdings, Inc.

      41          11/16/18        USD     140.00        USD     532          (4,715 ) 

Medicine’s Co.

      75          11/16/18        USD     36.00        USD     224          (12,187 ) 

 

 

        5  

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts		        Expiration
Date		       

Exercise

Price

       

Notional

Amount (000)

        Value  

Medtronic PLC

      74          11/16/18        USD     97.50        USD     728        $ (20,979 ) 

Merck & Co., Inc.

      120          11/16/18        USD     72.50        USD     851          (14,400 ) 

PerkinElmer, Inc.

      39          11/16/18        USD     100.00        USD     379          (9,165 ) 

Pfizer, Inc.

      85          11/16/18        USD     44.00        USD     375          (8,670 ) 

Pfizer, Inc.

      195          11/16/18        USD     42.98        USD     859          (29,614 ) 

QIAGEN NV

      195          11/16/18        USD     40.00        USD     739          (56,550 ) 

Quest Diagnostics, Inc.

      247          11/16/18        USD     110.00        USD     2,665          (41,990 ) 

Regeneron Pharmaceuticals, Inc.

      11          11/16/18        USD     390.00        USD     444          (31,130 ) 

Ultragenyx Pharmaceutical, Inc.

      70          11/16/18        USD     90.00        USD     534          (21,000 ) 

Zoetis, Inc.

      70          11/16/18        USD     92.50        USD     641          (15,925 ) 

Globus Medical, Inc., Class A

      98          12/21/18        USD     55.00        USD     556          (46,550 ) 

Stelco Holdings, Inc.

      214          12/21/18        USD     175.00        USD     3,802          (163,710 ) 
                          

 

 

  
     $ (4,869,803 ) 
    

 

 

  

OTC Options Written

 

Description    Counterparty    Number of
Contracts		      Expiration
Date		   

Exercise

Price

   

Notional

Amount (000)

      Value  

Call

                      

Novo Nordisk A/S — ADR

    Barclays Bank PLC      6,400      10/01/18      USD     51.00      USD       302      $ —  

Chugai Pharmaceutical Co., Ltd.

    JPMorgan Chase Bank N.A.      6,400      10/03/18      JPY     6,419.72      JPY       46,745        (50,018 ) 

Novartis AG, ADR

    UBS AG      7,000      10/03/18      USD     83.44      USD       603        (19,384 ) 

Service Corp. International

    Barclays Bank PLC      5,300      10/04/18      USD     42.03      USD       234        (11,697 ) 

Masimo Corp.

    Goldman Sachs International      15,600      10/23/18      USD     123.10      USD       1,943        (58,551 ) 

Service Corp. International

    Barclays Bank PLC      18,600      10/23/18      USD     41.86      USD       822        (48,979 ) 

Merck KGaA

    Morgan Stanley & Co. International PLC      11,300      10/30/18      EUR     88.57      EUR       1,006        (28,109 ) 

Sanofi

    Goldman Sachs International      8,200      10/31/18      EUR     77.19      EUR       631        (11,545 ) 

AstraZeneca PLC

    Barclays Bank PLC      28,100      11/01/18      GBP     57.00      GBP       1,680        (125,499 ) 

Sanofi — ADR

    Morgan Stanley & Co. International PLC      20,200      11/12/18      USD     44.10      USD       902        (27,991 ) 
                     

 

 

  
   $ (381,773 ) 
  

 

 

  

 

 

6      

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

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 quoted prices in active markets/exchanges for identical assets or liabilities that 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 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

   $ 67,926,934        $ 668,828        $ 1,844,957        $ 70,440,719  

Diversified Consumer Services

     2,643,160          —          —          2,643,160  

Health Care Equipment & Supplies

     102,983,767          —          —          102,983,767  

Health Care Providers & Services

     83,742,861          —          —          83,742,861  

Health Care Technology

     3,212,220          —          —          3,212,220  

Life Sciences Tools & Services

     15,878,620          1,219,412          —          17,098,032  

Pharmaceuticals

     87,730,853          11,277,084          408,226          99,416,163  

Corporate Bonds

     —          —          505,000          505,000  

Other Interests

     —          —          117,899          117,899  

Preferred Stock

     —          —          919,932          919,932  

Short-Term Securities

     5,349,621          —          —          5,349,621  
  

 

 

       

 

 

       

 

 

       

 

 

  
   $ 369,468,036        $ 13,165,324        $ 3,796,014        $ 386,429,374  
  

 

 

       

 

 

       

 

 

       

 

 

  

Investments Valued at NAV(a)

                     800  
                  $ 386,430,174  
                 

 

 

  

Derivative Financial Instruments(b)

 

Liabilities:

 

Equity contracts

   $ (4,268,891 )       $ (982,685 )       $ —        $ (5,251,576 ) 
  

 

 

       

 

 

       

 

 

       

 

 

  

 

 

        7  

 

Schedule of Investments  (unaudited) (continued)

September 30, 2018

   

BlackRock Health Sciences Trust (BME)

 

 

  (a) 

As of September 30, 2018, certain of the Trust’s Investments were fair valued using net asset value (“NAV”) per share and have been excluded from the fair value hierarchy.

 
  (b) 

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

 

Transfers between Level 1 and Level 2 were as follows:

 

      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 rend 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
Interests		      Rights      Corporate
Bonds		      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)

      —        —        —        221,060        —        221,060  

Net change in unrealized appreciation (depreciation)(a)(b)

      (6,725 )       414,523        (270,027 )       (115,507 )       —        22,264  

Purchases

      342,936        505,409        —        —        505,000        1,353,345  

Sales

      —        —        —        (246,908 )       —        (246,908 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Closing Balance, as of September 30, 2018

    $ 2,253,183      $ 919,932      $ 117,899      $ —      $ 505,000      $ 3,796,014  
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2018(b)

    $ (6,725 )     $ 414,523      $ (270,027 )     $ —      $ —      $ (349,088 ) 
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (b) 

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, 2018 is generally due to derivative financial instruments no longer held or categorized as Level 3 at period end.

 

 

 

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 19, 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: November 19, 2018
By:      /s/ Neal J. Andrews                          
     Neal J. Andrews
     Chief Financial Officer (principal financial officer) of
     BlackRock Health Sciences Trust
Date: November 19, 2018