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: Anne F. Ackerley, 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: 10/31/2010

Date of reporting period: 07/31/2010

Item 1 – Schedule of Investments

 

 

Schedule of Investments July 31, 2010 (Unaudited)

BlackRock Health Sciences Trust (BME)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Biotechnology—12.0%

 

 

 

 

 

 

 

3SBio, Inc. - ADR (a)

 

 

35,200

 

$

529,760

 

Alexion Pharmaceuticals, Inc. (a)

 

 

10,400

 

 

565,344

 

Amgen, Inc. (a)

 

 

53,100

 

 

2,895,543

 

Arqule, Inc. (a)

 

 

11,800

 

 

50,386

 

BioMarin Pharmaceutical, Inc. (a)

 

 

128,000

 

 

2,796,800

 

Celgene Corp. (a)

 

 

134,400

 

 

7,412,160

 

Gilead Sciences, Inc. (a)

 

 

161,460

 

 

5,379,847

 

Human Genome Sciences, Inc. (a)

 

 

77,600

 

 

2,012,944

 

Incyte Corp. Ltd. (a)

 

 

52,500

 

 

683,550

 

Ironwood Pharmaceuticals, Inc. (a)

 

 

35,500

 

 

418,900

 

Pharmasset, Inc. (a)

 

 

5,200

 

 

140,452

 

 

 

 

 

 

 

 

 

 

 

 

 

22,885,686

 

Chemicals—0.6%

 

 

 

 

 

 

 

Sigma-Aldrich Corp.

 

 

19,400

 

 

1,088,340

 

Food Products—0.2%

 

 

 

 

 

 

 

Synutra International, Inc. (a)

 

 

18,600

 

 

313,596

 

Health Care Equipment & Supplies—13.3%

 

 

 

 

 

 

 

Alcon, Inc.

 

 

15,300

 

 

2,372,724

 

Alere, Inc. (a)

 

 

68,700

 

 

1,932,531

 

Becton Dickinson & Co.

 

 

14,000

 

 

963,200

 

China Medical Technologies, Inc. - ADR

 

 

28,000

 

 

287,000

 

Cooper Cos., Inc. (The)

 

 

36,300

 

 

1,410,618

 

Coviden Plc

 

 

17,300

 

 

645,636

 

DENTSPLY International, Inc.

 

 

13,900

 

 

417,278

 

Gen-Probe, Inc. (a)

 

 

65,100

 

 

2,927,547

 

Henry Schein, Inc. (a)

 

 

53,800

 

 

2,823,962

 

Hill-Rom Holdings, Inc.

 

 

78,300

 

 

2,587,032

 

Hologic, Inc. (a)

 

 

29,000

 

 

410,060

 

Medtronic, Inc.

 

 

28,790

 

 

1,064,366

 

Nobel Biocare Holding AG

 

 

27,300

 

 

459,951

 

Sirona Dental Systems, Inc. (a)

 

 

52,000

 

 

1,600,560

 

Sonova Holding AG

 

 

6,200

 

 

752,359

 

Trauson Holdings Co. (a)

 

 

128,000

 

 

59,819

 

Varian Medical Systems, Inc. (a)

 

 

32,400

 

 

1,788,480

 

Zimmer Holdings, Inc. (a)

 

 

57,100

 

 

3,025,729

 

 

 

 

 

 

 

 

 

 

 

 

 

25,528,852

 

Health Care Providers & Services—29.4%

 

 

 

 

 

 

 

Aetna, Inc.

 

 

224,100

 

 

6,241,185

 

AmerisourceBergen Corp.

 

 

144,200

 

 

4,321,674

 

CIGNA Corp.

 

 

92,200

 

 

2,836,072

 

Community Health Systems, Inc. (a)

 

 

88,400

 

 

2,866,812

 

DaVita, Inc. (a)

 

 

92,800

 

 

5,319,296

 

Express Scripts, Inc. (a)

 

 

90,260

 

 

4,077,947

 

Fresenius Medical Care AG & Co. KGaA

 

 

109,500

 

 

6,006,084

 

McKesson Corp.

 

 

44,700

 

 

2,808,054

 

Medco Health Solutions, Inc. (a)

 

 

49,610

 

 

2,381,280

 

Mednax, Inc. (a)

 

 

19,400

 

 

914,710

 

Patterson Cos., Inc.

 

 

119,800

 

 

3,196,264

 

Tenet Healthcare Corp. (a)

 

 

363,300

 

 

1,671,180

 

UnitedHealth Group, Inc.

 

 

255,500

 

 

7,779,975

 

WellPoint, Inc. (a)

 

 

113,200

 

 

5,741,504

 

 

 

 

 

 

 

 

 

 

 

 

 

56,162,037

 

Health Care Technology—7.4%

 

 

 

 

 

 

 

Allscripts-Misys Healthcare Solutions,
Inc. (a)

 

 

103,000

 

 

1,719,070

 

Biogen Idec, Inc. (a)

 

 

73,500

 

 

4,107,180

 

Genzyme Corp. (a)

 

 

30,500

 

 

2,121,580

 

Quest Diagnostics, Inc.

 

 

14,600

 

 

686,054

 

St. Jude Medical, Inc. (a)

 

 

151,200

 

 

5,559,624

 

 

 

 

 

 

 

 

 

 

 

 

 

14,193,508

 

Life Sciences Tools & Services—7.0%

 

 

 

 

 

 

 

Dionex Corp. (a)(b)

 

 

34,900

 

 

2,634,950

 

Life Technologies Corp. (a)

 

 

48,300

 

 

2,076,417

 

Mettler-Toledo International, Inc. (a)

 

 

30,900

 

 

3,609,120

 

Tecan Group AG

 

 

22,100

 

 

1,389,167

 

 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Life Sciences Tools & Services—(concluded)

 

 

 

 

 

 

 

Thermo Fisher Scientific, Inc. (a)

 

 

84,000

 

$

3,768,240

 

 

 

 

 

 

 

 

 

 

 

 

 

13,477,894

 

Pharmaceuticals—22.3%

 

 

 

 

 

 

 

Abbott Laboratories

 

 

108,100

 

 

5,305,548

 

Allergan, Inc.

 

 

30,700

 

 

1,874,542

 

Bristol-Myers Squibb Co. (b)

 

 

347,100

 

 

8,649,732

 

Eli Lilly & Co.

 

 

30,900

 

 

1,100,040

 

GlaxoSmithKline Plc

 

 

94,000

 

 

1,641,201

 

Johnson & Johnson

 

 

28,670

 

 

1,665,440

 

Merck & Co., Inc.

 

 

77,400

 

 

2,667,204

 

Novartis AG, Registered Shares

 

 

75,200

 

 

3,655,710

 

Pfizer, Inc.

 

 

810,100

 

 

12,151,500

 

Simcere Pharmaceutical Group - ADR (a)

 

 

19,300

 

 

174,665

 

Teva Pharmaceutical Industries Ltd. -
ADR

 

 

13,050

 

 

637,493

 

Watson Pharmaceuticals, Inc. (a)

 

 

79,000

 

 

3,199,500

 

 

 

 

 

 

 

 

 

 

 

 

 

42,722,575

 

Total Long-Term Investments
(Cost—$173,209,040)—92.2%

 

 

 

 

 

176,372,488

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds, TempFund,
Institutional Class, 0.23% (c)(d)

 

 

20,701,114

 

 

20,701,114

 

Total Short-Term Securities
(Cost—$20,701,114)—10.8%

 

 

 

 

 

20,701,114

 

 

 

 

 

 

 

 

 

Options Purchased

 

Contracts

 

 

 

 

Exchange-Traded Call Options Purchased—0.0%

 

 

 

 

 

 

 

Thoratec Corp., Strike Price USD 44,
Expires 8/23/10

 

 

9

 

 

90

 

Thoratec Corp., Strike Price USD 45,
Expires 8/23/10

 

 

91

 

 

910

 

Total Options Purchased
(Cost—$1,101)—0.0%

 

 

 

 

 

1,000

 

Total investments before outstanding options written
(Cost—$193,911,255*)—103.0%

 

 

 

 

 

197,074,602

 

 

 

 

 

 

 

 

 

Options Written

 

 

 

 

 

 

 

Exchange-Traded Call Options Written—(0.7)%

 

 

 

 

 

 

 

3SBio, Inc. - ADR, Strike Price USD 15,
Expires 9/20/10

 

 

100

 

 

(9,500

)

Abbott Laboratories, Strike Price USD
50, Expires 9/20/10

 

 

325

 

 

(28,600

)

Abbott Laboratories, Strike Price USD
52.50, Expires 11/22/10

 

 

100

 

 

(6,850

)

Aetna, Inc., Strike Price USD 28,
Expires 8/23/10

 

 

220

 

 

(15,180

)

Aetna, Inc., Strike Price USD 29,
Expires 8/23/10

 

 

370

 

 

(11,100

)

Aetna, Inc., Strike Price USD 31,
Expires 8/23/10

 

 

150

 

 

(525

)

Alcon, Inc., Strike Price USD 155,
Expires 8/23/10

 

 

40

 

 

(15,300

)

Alcon, Inc., Strike Price USD 160,
Expires 11/22/10

 

 

10

 

 

(5,650

)

Alexion Pharmaceuticals, Inc., Strike
Price USD 60, Expires 11/22/10

 

 

50

 

 

(12,375

)

Allergan, Inc., Strike Price USD 65,
Expires 8/23/10

 

 

100

 

 

(11,000

)

Allscripts-Misys Healthcare Solutions,
Inc., Strike Price USD 17.50, Expires
9/20/10

 

 

250

 

 

(11,250

)

AmerisourceBergen Corp., Strike Price
USD 30, Expires 8/23/10

 

 

685

 

 

(51,375

)


 

 

 

 
       

1

 

    JULY 31, 2010

 


 

 

Schedule of Investments (continued)

BlackRock Health Sciences Trust (BME)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

Value

 

Exchange-Traded Call Options Written—(continued)

 

 

 

 

 

 

 

Amgen, Inc., Strike Price USD 55,
Expires 8/23/10

 

 

75

 

$

(7,350

)

Amgen, Inc., Strike Price USD 60,
Expires 8/23/10

 

 

100

 

 

(400

)

Biogen Idec, Inc., Strike Price USD 55,
Expires 9/20/10

 

 

240

 

 

(80,400

)

Biogen Idec, Inc., Strike Price USD 60,
Expires 9/20/10

 

 

100

 

 

(13,000

)

BioMarin Pharmaceuticals, Inc., Strike
Price USD 20, Expires 8/23/10

 

 

100

 

 

(21,500

)

BioMarin Pharmaceuticals, Inc., Strike
Price USD 22.50, Expires 8/23/10

 

 

200

 

 

(13,500

)

BioMarin Pharmaceuticals, Inc., Strike
Price USD 22.50, Expires 9/20/10

 

 

100

 

 

(9,750

)

Bristol-Myers Squibb Co., Strike Price
USD 25, Expires 8/23/10

 

 

100

 

 

(4,450

)

Bristol-Myers Squibb Co., Strike Price
USD 26, Expires 8/23/10

 

 

335

 

 

(3,350

)

Bristol-Myers Squibb Co., Strike Price
USD 26, Expires 9/20/10

 

 

590

 

 

(21,240

)

Celgene Corp., Strike Price USD 52.50,
Expires 8/23/10

 

 

150

 

 

(49,125

)

Celgene Corp., Strike Price USD 57.50,
Expires 8/23/10

 

 

230

 

 

(14,490

)

Celgene Corp., Strike Price USD 57.50,
Expires 9/20/10

 

 

100

 

 

(13,900

)

China Medical Technologies, Inc. - ADR,
Strike Price USD 11, Expires 8/23/10

 

 

280

 

 

(7,000

)

Cigna Corp., Strike Price USD 32, Expires
8/23/10

 

 

305

 

 

(16,775

)

Community Health Systems, Inc., Strike
Price USD 35, Expires 9/20/10

 

 

160

 

 

(11,200

)

Cooper Cos., Inc. (The), Strike Price USD
40, Expires 9/20/10

 

 

100

 

 

(12,250

)

Coviden Ltd., Strike Price USD 37.50,
Expires 8/23/10

 

 

93

 

 

(7,905

)

DaVita, Inc., Strike Price USD 62.50,
Expires 9/20/10

 

 

230

 

 

(10,106

)

Eli Lilly & Co., Strike Price USD 35,
Expires 8/23/10

 

 

65

 

 

(5,362

)

Eli Lilly & Co., Strike Price USD 36,
Expires 9/20/10

 

 

25

 

 

(1,325

)

Express Scripts, Inc., Strike Price USD
45, Expires 8/23/10

 

 

210

 

 

(30,450

)

Express Scripts, Inc., Strike Price USD
50, Expires 8/23/10

 

 

220

 

 

(2,200

)

Express Scripts, Inc., Strike Price USD
55, Expires 8/23/10

 

 

100

 

 

(500

)

Express Scripts, Inc., Strike Price USD
57.50, Expires 11/22/10

 

 

100

 

 

(2,000

)

Gen-Probe, Inc., Strike Price USD 50,
Expires 8/23/10

 

 

165

 

 

(1,650

)

Genzyme Corp., Strike Price USD 52.50,
Expires 8/23/10

 

 

200

 

 

(342,000

)

Genzyme Corp., Strike Price USD 55,
Expires 8/23/10

 

 

76

 

 

(111,340

)

Gilead Sciences, Inc., Strike Price USD
35, Expires 9/20/10

 

 

480

 

 

(43,200

)

Gilead Sciences, Inc., Strike Price USD
36, Expires 11/22/10

 

 

100

 

 

(12,500

)

Henry Schein, Inc., Strike Price USD 55,
Expires 9/20/10

 

 

135

 

 

(10,800

)

Hill-Rom Holdings, Inc., Strike Price USD
30, Expires 8/23/10

 

 

100

 

 

(25,000

)

Hill-Rom Holdings, Inc., Strike Price USD
32.50, Expires 8/31/10

 

 

160

 

 

(21,105

)

Hologic, Inc., Strike Price USD 16,
Expires 9/20/10

 

 

170

 

 

(5,100

)

 

 

 

 

 

 

 

 

Options Written

 

 

Contracts

 

 

Value

 

Exchange-Traded Call Options Written—(continued)

 

 

 

 

 

 

 

Human Genom Science, Inc., Strike Price
USD 25, Expires 8/23/10

 

 

235

 

$

(39,245

)

Incyte Corp. Ltd., Strike Price USD 15,
Expires 8/23/10

 

 

300

 

 

(2,250

)

Incyte Corp. Ltd., Strike Price USD 15,
Expires 9/20/10

 

 

155

 

 

(5,425

)

Inverness Medical Innovations, Inc.,
Strike Price USD 35, Expires 8/23/10

 

 

150

 

 

(1,500

)

Ironwood Pharmaceuticals, Inc., Strike
Price USD 15, Expires 8/23/10

 

 

10

 

 

(400

)

Ironwood Pharmaceuticals, Inc., Strike
Price USD 17.50, Expires 11/22/10

 

 

100

 

 

(10,500

)

Johnson & Johnson, Strike Price USD 60,
Expires 8/23/10

 

 

259

 

 

(4,662

)

Life Technologies Corp., Strike Price
USD 53.50, Expires 8/23/10

 

 

120

 

 

(2,240

)

McKesson, Corp., Strike Price USD 70,
Expires 8/23/10

 

 

150

 

 

(750

)

McKesson, Corp., Strike Price USD 72.50,
Expires 8/23/10

 

 

185

 

 

(925

)

Medco Health Solutions, Inc., Strike
Price USD 56, Expires 8/23/10

 

 

60

 

 

(158

)

Medco Health Solutions, Inc., Strike
Price USD 60, Expires 9/20/10

 

 

100

 

 

(1,000

)

Mednax, Inc., Strike Price USD 60,
Expires 8/23/10

 

 

60

 

 

(300

)

Medtronic, Inc., Strike Price USD 40,
Expires 8/23/10

 

 

150

 

 

(1,200

)

Merck & Co., Inc., Strike Price USD 36,
Expires 8/23/10

 

 

200

 

 

(3,600

)

Merck & Co., Inc., Strike Price USD 37,
Expires 8/23/10

 

 

100

 

 

(650

)

Patterson Cos., Inc., Strike Price USD
30, Expires 8/23/10

 

 

150

 

 

(750

)

Pfizer, Inc., Strike Price USD 15, Expires
8/23/10

 

 

458

 

 

(16,488

)

Pfizer, Inc., Strike Price USD 16, Expires
8/23/10

 

 

542

 

 

(5,962

)

Quest Diagnostics, Inc., Strike Price USD
55, Expires 8/23/10

 

 

50

 

 

(375

)

Sigma-Aldrich Corp., Strike Price USD
60, Expires 9/20/10

 

 

55

 

 

(1,925

)

Sirona Dental Systems, Inc., Strike Price
USD 35, Expires 8/23/10

 

 

50

 

 

(875

)

Sirona Dental Systems, Inc., Strike Price
USD 40, Expires 8/23/10

 

 

120

 

 

(1,200

)

St. Jude Medical, Inc., Strike Price USD
40, Expires 11/02/10

 

 

100

 

 

(7,366

)

St. Jude Medical, Inc., Strike Price USD
40, Expires 8/23/10

 

 

350

 

 

(3,500

)

Tenet Healthcare Corp., Strike Price
USD 5, Expires 11/22/10

 

 

500

 

 

(17,500

)

Teva Pharmaceutical Ltd. - ADR, Strike
Price USD 55, Expires 8/23/10

 

 

50

 

 

(525

)

Thermo Fisher Scientific, Inc., Strike
Price USD 48, Expires 8/23/10

 

 

390

 

 

(11,370

)

Thermo Fisher Scientific, Inc., Strike
Price USD 52.50, Expires 9/20/10

 

 

240

 

 

(5,433

)

Thermo Fisher Scientific, Inc., Strike
Price USD 55, Expires 8/23/10

 

 

40

 

 

(400

)

Thermo Fisher Scientific, Inc., Strike
Price USD 55, Expires 9/20/10

 

 

90

 

 

(900

)

Thoratec Corp., Strike Price USD 50,
Expires 8/23/10

 

 

100

 

 

(500

)

UnitedHealth Group, Inc., Strike Price
USD 31, Expires 8/23/10

 

 

190

 

 

(10,640

)

UnitedHealth Group, Inc., Strike Price
USD 32, Expires 9/20/10

 

 

120

 

 

(6,900

)


 

 

 

 
       

 

 

    JULY 31, 2010

2


 

 

Schedule of Investments (continued)

BlackRock Health Sciences Trust (BME)

 

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

Value

 

Exchange-Traded Call Options Written—(concluded)

 

 

 

 

 

 

 

UnitedHealth Group, Inc., Strike Price
USD 33, Expires 8/23/10

 

 

100

 

$

(900

)

Varian Medical Systems, Inc., Strike
Price USD 55, Expires 8/23/10

 

 

100

 

 

(15,000

)

Watson Pharmaceuticals, Inc., Strike
Price USD 45, Expires 8/23/10

 

 

250

 

 

(2,500

)

WellPoint, Inc., Strike Price USD 55,
Expires 8/23/10

 

 

215

 

 

(3,010

)

WellPoint, Inc., Strike Price USD 55,
Expires 9/20/10

 

 

150

 

 

(9,825

)

Zimmer Holdings, Inc., Strike Price USD
55, Expires 8/23/10

 

 

155

 

 

(6,588

)

Zimmer Holdings, Inc., Strike Price USD
60.50, Expires 8/06/10

 

 

150

 

 

(1,180

)

Total Exchange-Traded Call Options Written

 

 

 

 

 

(1,317,345

)

Exchange-Traded Put Options Written—(0.0)%

 

 

 

 

 

 

 

Abbott Laboratories, Strike Price USD
48, Expires 8/23/10

 

 

200

 

 

(8,600

)

Aetna, Inc., Strike Price USD 27, Expires
8/23/10

 

 

75

 

 

(3,188

)

BioMarin Pharmaceuticals, Inc., Strike
Price USD 20, Expires 8/23/10

 

 

255

 

 

(6,375

)

Bristol-Myers Squibb Co., Strike Price
USD 24, Expires 8/23/10

 

 

100

 

 

(1,950

)

Gilead Sciences, Inc., Strike Price USD
31, Expires 8/23/10

 

 

150

 

 

(4,125

)

Gilead Sciences, Inc., Strike Price USD
32, Expires 8/23/10

 

 

150

 

 

(6,975

)

UnitedHealth Group, Inc., Strike Price
USD 29, Expires 9/20/10

 

 

120

 

 

(25,800

)

WellPoint, Inc., Strike Price USD 47.50,
Expires 8/23/10

 

 

35

 

 

(1,382

)

Total Exchange-Traded Put Options Written

 

 

 

 

 

(58,395

)

Over-the-Counter Call Options Written—(0.1)%

 

 

 

 

 

 

 

Bristol-Myers Squibb Co., Strike Price
USD 26, Expires 11/02/10, Broker
Morgan Stanley & Co., Inc.

 

 

10,000

 

 

(6,710

)

Bristol-Myers Squibb Co., Strike Price
USD 26, Expires 9/24/10, Broker
Goldman Sachs & Co.

 

 

10,000

 

 

(3,181

)

Covidien Plc, Strike Price USD 40.18,
Expires 9/08/10, Broker JPMorgan
Chase Securities

 

 

8,000

 

 

(2,136

)

Dionex Corp., Strike Price USD 80.07,
Expires 8/13/10, Broker UBS Securities
LLC

 

 

12,000

 

 

(6,722

)

Eli Lilly & Co., Strike Price USD 35.04,
Expires 8/04/10, Broker Morgan
Stanley & Co., Inc.

 

 

2,500

 

 

(1,503

)

Fresenius Medical Care AG & Co. KGaA,
Strike Price EUR 42, Expires 9/17/10,
Broker Morgan Stanley & Co., Inc.

 

 

73

 

 

(11,794

)

Fresenius Medical Care AG & Co. KGaA,
Strike Price EUR 43.69, Expires
9/28/10, Broker Citigroup Global
Markets

 

 

15,500

 

 

(11,661

)

Fresenius Medical Care AG & Co. KGaA,
Strike Price EUR 45, Expires 8/20/10,
Broker Morgan Stanley & Co., Inc.

 

 

150

 

 

(873

)

GlaxoSmithKline Plc, Strike Price GBP
11.98, Expires 9/14/10, Broker
Citigroup Global Markets

 

 

25,500

 

 

(1,837

)

Mettler-Toledo International, Inc., Strike
Price USD 117.21, Expires 8/27/10,
Broker Morgan Stanley & Co., Inc.

 

 

5,000

 

 

(9,861

)

Mettler-Toledo International, Inc., Strike
Price USD 119.54, Expires 8/27/10,
Broker Morgan Stanley & Co., Inc.

 

 

5,000

 

 

(5,435

)

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

Value

 

Over-the-Counter Call Options Written—(concluded)

 

 

 

 

 

 

 

Nobel Biocare Holding AG, Strike Price
CHF 23, Expires 8/20/10, Broker
Deutsche Bank Securities

 

 

100

 

$

(1,012

)

Novartis AG, Registered Shares, Strike
Price CHF 53.83, Expires 8/10/10,
Broker Deutsche Bank Securities

 

 

11,000

 

 

(158

)

Pfizer, Inc., Strike Price USD 15.29,
Expires 11/02/10, Broker Credit Suisse
First Boston

 

 

156,000

 

 

(102,618

)

Pfizer, Inc., Strike Price USD 16, Expires
11/02/10, Broker Morgan Stanley &
Co., Inc.

 

 

40,000

 

 

(17,480

)

St. Jude Medical, Inc., Strike Price USD
39, Expires 11/02/10, Broker Morgan
Stanley & Co., Inc.

 

 

10,000

 

 

(10,800

)

Tecan Group AG, Registered Shares,
Strike Price CHF 70.40, Expires
9/01/10, Broker Deutsche Bank
Securities

 

 

7,800

 

 

(7,921

)

Tenet Healthcare Corp., Strike Price
USD 5, Expires 11/02/10, Broker
Morgan Stanley & Co., Inc.

 

 

70,000

 

 

(20,930

)

Teva Pharmaceutical Ltd. - ADR, Strike
Price USD 56.42, Expires 8/31/10,
Broker UBS Securities LLC

 

 

8,000

 

 

(1,653

)

UnitedHealth Group, Inc., Strike Price
USD 32, Expires 8/04/10, Broker
Credit Suisse First Boston

 

 

55,500

 

 

(1,111

)

Total Over-the-Counter Call Options Written

 

 

 

 

 

(225,396

)

Total Options Written
(Premiums Received $1,910,346)—(0.8)%

 

 

 

 

 

(1,601,136

)

Total investments net of outstanding options written—102.2%

 

 

195,473,466

 

Liabilities in Excess of Other Assets—(2.2)%

 

 

 

 

 

(4,174,739

)

 

 

 

 

 

 

Net Assets—100.0%

 

 

 

 

$

191,298,727

 

 

 

 

 

 

 

 

 

*

The cost and unrealized appreciation (depreciation) of investments as of July 31, 2010, as computed for federal income tax purposes, were as follows:


 

 

 

 

 

Aggregate cost

 

$

195,990,350

 

 

 

 

Gross unrealized appreciation

 

$

8,838,389

 

Gross unrealized depreciation

 

 

(7,754,137

)

 

 

 

Net unrealized appreciation

 

$

1,084,252

 

 

 

 

 

 

(a)

Non-income producing security.

 

 

(b)

Security, or a portion thereof, pledged as collateral for outstanding options written.

 

 

(c)

Investments in companies considered to be an affiliate of the Trust, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares/
Beneficial
Interest
Held at
October
31, 2009

 

Net Activity

 

Shares/
Beneficial
Interest
Held at
July 31,
2010

 

Income

 

BlackRock Liquidity Funds,
TempFund, Institutional
Class

 

 

9,732,338

 

 

10,968,776

 

 

20,701,114

 

$

7,658

 

BlackRock Liquidity Series,
LLC Money Market
Series

 

 

2,152,000

 

 

(2,152,000

)

 

—

 

$

756

 


 

 

 

 
       

3

 

    JULY 31, 2010

 


 

 

Schedule of Investments (concluded)

BlackRock Health Sciences Trust (BME)

 

(Percentages shown are based on Net Assets)

 

 

(d)

Represents current yield as of report date.


 

 

•

Foreign currency exchange contracts as of July 31, 2010 were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Currency
Purchased

 

Currency
Sold

 

Counterparty

 

Settlement
Date

 

Unrealized
Appreciation
(Depreciation)

 

USD

 

735,769

 

EUR

 

562,000

 

UBS
Securities LLC

 

8/03/10

 

$

3,399

 

CHF

 

483,000

 

USD

 

464,115

 

Deutsche
Bank
Securities

 

8/04/10

 

 

(430

)

GBP

 

100,000

 

USD

 

155,909

 

Deutsche
Bank
Securities

 

8/04/10

 

 

1,002

 

Total

 

 

 

 

 

 

 

 

 

 

 

$

3,971

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

•

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 defined by Trust management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

 

 

•

Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivatives, which are as follows:

 

 

 

•

Level 1 — price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

•

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

 

 

 

 

•

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

 

 

 

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and other significant accounting policies, please refer to the Trust’s most recent financial statements as contained in its semi-annual report.

 

 

 

 

The following tables summarize the inputs used as of July 31, 2010 in determining the fair valuation of the Trust’s investments and derivatives:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments in Securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks:

 

 

 

 

 

 

 

 

 

 

 

 

 

Biotechnology

 

$

22,885,686

 

 

—

 

 

—

 

$

22,885,686

 

Chemicals

 

 

1,088,340

 

 

—

 

 

—

 

 

1,088,340

 

Food Products

 

 

313,596

 

 

—

 

 

—

 

 

313,596

 

Health Care
Equipment &
Supplies

 

 

24,316,542

 

$

1,212,310

 

 

—

 

 

25,528,852

 

Health Care
Providers &
Services

 

 

50,155,953

 

 

6,006,084

 

 

—

 

 

56,162,037

 

Health Care
Technology

 

 

14,193,508

 

 

—

 

 

—

 

 

14,193,508

 

Life Sciences Tools &
Services

 

 

12,088,727

 

 

1,389,167

 

 

—

 

 

13,477,894

 

Pharmaceuticals

 

 

37,425,664

 

 

5,296,911

 

 

—

 

 

42,722,575

 

Short-Term Securities

 

 

20,701,114

 

 

—

 

 

—

 

 

20,701,114

 

 

 

Total

 

$

183,169,130

 

$

13,904,472

 

 

—

 

$

197,073,602

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative Financial Instruments1

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity contracts

 

$

1,000

 

 

—

 

 

—

 

$

1,000

 

Foreign currency
exchange contracts

 

 

—

 

$

4,401

 

 

—

 

 

4,401

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity contracts

 

 

(1,316,782

)

 

(284,354

)

 

—

 

 

(1,601,136

)

Foreign currency
exchange contracts

 

 

—

 

 

(430

)

 

—

 

 

(430

)

Total

 

$

(1,315,782

)

$

(280,383

)

 

—

 

$

(1,596,165

)

 

 

1

Derivative financial instruments are foreign currency exchange contracts and options. Foreign currency exchange contracts are shown at the unrealized appreciation/depreciation on the instrument and options are shown at value.


 

 

 

KEY TO ABBREVIATIONS

ADR

—

American Depositary Receipt

CHF

—

Swiss Franc

EUR

—

Euro

GBP

—

British Pound

USD

—

U.S. Dollar




 

 

 

 
       

 

 

    JULY 31, 2010

4


 

 

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/ Anne F. Ackerley

 

 

 

  

 

 

 

Anne F. Ackerley

 

 

Chief Executive Officer of

 

 

BlackRock Health Sciences Trust

 

 

 

 

Date: September 27, 2010

 

 

 

 

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/ Anne F. Ackerley

 

 

 

  

 

 

 

Anne F. Ackerley

 

 

Chief Executive Officer (principal executive officer) of
BlackRock Health Sciences Trust

 

 

 

 

Date: September 27, 2010

 

 

 

 

By:

/s/ Neal J. Andrews

 

 

 

  

 

 

 

Neal J. Andrews

 

 

Chief Financial Officer (principal financial officer) of
BlackRock Health Sciences Trust

 

 

 

Date: September 27, 2010