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: 12/31/2016

Date of reporting period: 03/31/2016

Item 1 – Schedule of Investments

Schedule of Investments March 31, 2016 (Unaudited)      BlackRock Health Sciences Trust (BME)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks    Shares      Value  

Biotechnology — 22.5%

      

AbbVie, Inc. (a)

      30,786       $ 1,758,496   

Acceleron Pharma, Inc. (b)

      29,400         775,865   

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

      17,146,440         1,424,869   

Actelion Ltd.

      6,700         999,906   

Alder Biopharmaceuticals, Inc. (a)(b)

      10,100         247,349   

Alexion Pharmaceuticals, Inc. (a)(b)

      18,460         2,570,001   

Alkermes PLC (b)

      16,800         574,392   

Alnylam Pharmaceuticals, Inc. (b)

      9,900         621,423   

Amgen, Inc. (a)

      58,122         8,714,231   

Anacor Pharmaceuticals, Inc. (b)

      34,600         1,849,370   

Aquinox Pharmaceuticals, Inc. (b)

      15,900         140,238   

Avexis, Inc. (b)

      9,026         245,868   

Axovant Sciences Ltd. (b)

      12,100         138,908   

Baxalta, Inc. (a)

      67,000         2,706,800   

Biogen, Inc. (a)(b)

      17,348         4,516,031   

BioMarin Pharmaceutical, Inc. (a)(b)

      13,500         1,113,480   

Celgene Corp. (a)(b)

      107,486         10,758,274   

Corvus Pharmaceuticals, Inc. (b)

      3,975         57,638   

Corvus Pharmaceuticals, Inc. (Acquired 03/23/16, cost $297,937) (b)(c)

      21,266         292,939   

CytomX Therapeutics, Inc. (Acquired 10/8/15, cost $261,307) (b)(c)

      28,059         343,863   

Genomic Health, Inc. (b)

      22,400         554,848   

Gilead Sciences, Inc. (a)

      48,700         4,473,582   

Incyte Corp. (a)(b)

      13,800         1,000,086   

Infinity Pharmaceuticals, Inc. (b)

      46,400         244,528   

Inotek Pharmaceuticals Corp. (b)

      30,196         223,450   

Ionis Pharmaceuticals, Inc. (a)(b)

      46,300         1,875,150   

Medivation, Inc. (a)(b)

      52,100         2,395,558   

Neurocrine Biosciences, Inc. (a)(b)

      41,262         1,631,912   

Otonomy, Inc. (b)

      8,400         125,328   

Prothena Corp. PLC (a)(b)

      4,344         178,799   

PTC Therapeutics, Inc. (b)

      30,300         195,132   

Regeneron Pharmaceuticals, Inc. (a)(b)

      5,258         1,895,194   

REGENXBIO, Inc. (b)

      35,850         387,180   

Sage Therapeutics, Inc. (b)

      5,342         171,265   

Seattle Genetics, Inc. (a)(b)

      14,867         521,683   

Seres Therapeutics, Inc. (b)

      35,910         953,770   

Syndax Pharmaceuticals, Inc. (b)

      13,956         185,894   

Syndax Pharmaceuticals, Inc. (Acquired 03/02/16, cost $495,682) (b)(c)

      35,428         448,306   

Ultragenyx Pharmaceutical, Inc. (a)(b)

      13,815         874,628   

Vertex Pharmaceuticals, Inc. (a)(b)

      24,305         1,932,004   
     

 

 

  
                60,118,238   

Electronic Equipment, Instruments & Components — 0.6%

  

FEI Co. (a)

      18,800         1,673,388   

Health Care Equipment & Supplies — 20.2%

      

Abbott Laboratories (a)

      121,500         5,082,344   

Baxter International, Inc. (a)

      72,500         2,978,300   

Becton Dickinson and Co. (a)

      16,833         2,555,586   
Common Stocks    Shares      Value  

Health Care Equipment & Supplies (continued)

  

Boston Scientific Corp. (b)

      548,900       $ 10,324,809   

CONMED Corp.

      12,000         503,280   

Cooper Cos., Inc. (a)

      18,366         2,827,813   

CR Bard, Inc. (a)

      17,500         3,546,725   

Edwards Lifesciences Corp. (a)(b)

      45,098         3,978,095   

Insulet Corp. (b)

      5,800         192,328   

Masimo Corp. (a)(b)

      10,000         418,400   

Medtronic PLC (a)

      171,900         12,892,500   

St. Jude Medical, Inc. (a)

      84,800         4,664,000   

Stryker Corp. (a)

      35,100         3,765,879   
     

 

 

  
                53,730,059   

Health Care Providers & Services — 22.0%

      

Aetna, Inc. (a)

      43,811         4,922,165   

Amedisys, Inc. (a)(b)

      38,600         1,865,924   

AmerisourceBergen Corp. (a)

      20,000         1,731,000   

Anthem, Inc. (a)

      50,300         6,991,197   

Cardinal Health, Inc. (a)

      45,330         3,714,794   

Cigna Corp. (a)

      39,100         5,366,084   

DaVita HealthCare Partners, Inc. (a)(b)

      35,419         2,599,046   

Express Scripts Holding Co. (a)(b)

      22,176         1,523,269   

HCA Holdings, Inc. (a)(b)

      11,394         889,302   

HealthEquity, Inc. (a)(b)

      16,900         416,923   

Humana, Inc. (a)

      29,300         5,360,435   

McKesson Corp.

      27,900         4,387,275   

Teladoc, Inc. (b)

      18,800         180,480   

UnitedHealth Group, Inc. (a)(d)

      117,102         15,094,448   

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

      23,600         2,943,392   

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

      7,100         658,525   
     

 

 

  
                58,644,259   

Health Care Technology — 0.5%

      

Cerner Corp. (a)(b)

      24,800         1,313,408   

Life Sciences Tools & Services — 1.8%

      

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

      4,600         628,912   

Thermo Fisher Scientific, Inc. (a)

      29,900         4,233,541   
     

 

 

  
                4,862,453   

Pharmaceuticals — 27.6%

      

Allergan PLC (a)(b)

      35,325         9,468,160   

AstraZeneca PLC

      77,100         4,304,620   

Bristol-Myers Squibb Co. (a)

      126,430         8,076,348   

Chugai Pharmaceutical Co. Ltd.

      23,800         736,452   

Dermira, Inc. (a)(b)

      15,400         318,472   

Eli Lilly & Co. (a)

      119,600         8,612,396   

GlaxoSmithKline PLC

      102,800         2,081,000   

GlaxoSmithKline PLC — ADR (a)

      33,200         1,346,260   

Intra-Cellular Therapies, Inc. (b)

      54,481         1,514,572   

Jazz Pharmaceuticals PLC (a)(b)

      11,700         1,527,435   

Johnson & Johnson (a)

      55,270         5,980,214   

Mallinckrodt PLC (a)(b)

      23,143         1,418,203   

Merck & Co., Inc. (a)

      112,100         5,931,211   
 
      Portfolio Abbreviations               
ADR    American Depositary Receipt      EUR    Euro    USD    U.S. Dollar
CHF    Swiss Franc      GBP    British Pound      
CVR    Contingent Value Rights      JPY    Japanese Yen      

 

          MARCH 31, 2016    1

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

 

Common Stocks    Shares      Value  

Pharmaceuticals (continued)

      

Merck KGaA

      15,800       $ 1,314,306   

Mylan NV (a)(b)

      57,100         2,646,585   

Nektar Therapeutics (b)

      105,300         1,447,875   

Pfizer, Inc. (a)

      140,900         4,176,276   

Phibro Animal Health Corp., Class A

      21,800         589,472   

Roche Holding AG

      10,800         2,651,835   

Shire PLC — ADR (a)

      16,000         2,750,400   

Teva Pharmaceutical Industries Ltd. — ADR (a)

      75,300         4,029,303   

UCB SA

      12,500         954,192   

Zoetis, Inc. (a)

      38,100         1,688,973   
     

 

 

  
                73,564,560   

Total Common Stocks — 95.2%

  

      253,906,365   
     
Preferred Stocks                

Biotechnology — 0.5%

      

Afferent Pharmaceuticals, Inc., Series C (Acquired 6/30/15, cost $466,519), 0.00% (b)(c)

      190,160         466,520   

Intellia Therapeutics, Inc. (Acquired 8/19/15, cost $248,567), 0.00% (b)(c)

      47,346         248,568   

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

      80,765         503,166   

Total Preferred Stocks — 0.5%

  

      1,218,254   
Rights — 0.0%    Shares      Value  

Biotechnology — 0.0%

      

Dyax Corp.—CVR (b)

      61,727       $ 68,517   

Total Long-Term Investments

(Cost — $189,184,978) — 95.7%

  

  

      255,193,136   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.37% (e)(f)

      13,168,573         13,168,573   

Total Short-Term Securities

(Cost — $13,168,573) — 4.9%

  

  

      13,168,573   

Total Investments Before Options Written

(Cost — $202,353,551*) — 100.6%

  

  

      268,361,709   
     
Options Written                

(Premiums Received — $1,974,811) — (0.9)%

               (2,276,774 ) 

Total Investments Net of Options Written — 99.7%

  

      266,084,935   

Other Assets Less Liabilities — 0.3%

  

      741,995   
     

 

 

  

Net Assets — 100.0%

  

    $ 266,826,930   
     

 

 

  
 
      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

    $ 204,437,893   
  

 

 

  

Gross unrealized appreciation

    $ 69,249,722   

Gross unrealized depreciation

      (5,325,906 ) 
  

 

 

  

Net unrealized appreciation

    $ 63,923,816   
  

 

 

  

 

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

 

(b) Non-income producing security.

 

(c) Restricted securities as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $3,728,231 and an original cost of $3,259,581 which was 1.4% of its net assets.

 

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

 

(e) Current yield as of period end.

 

(f) During the period ended March 31, 2016, 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:

 

Affiliates    Shares
Held at
December 31,
2015		      Net
Activity		      Shares
Held at
March 31,
2016		      Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

      8,854,560         4,314,013         13,168,573         $ 13,984   

BlackRock Liquidity Series, LLC Money Market Series

      —         —         —         $ 69 1 

Total

               $ 14,053   
           

 

 

  

 

  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.

 

2         MARCH 31, 2016     

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

 

•  

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		      Expiration
Date		     

Strike

Price

        Contracts        Value  

AbbVie, Inc.

      Call      4/01/16      USD      58.50           13         $ (65)   

Aetna, Inc.

      Call      4/01/16      USD      109.00           16           (6,080)   

Aetna, Inc.

      Call      4/01/16      USD      110.00           16           (4,328)   

Aetna, Inc.

      Call      4/01/16      USD      112.00           12           (1,121)   

Alexion Pharmaceuticals, Inc.

      Call      4/01/16      USD      152.50           63           (630)   

Anthem, Inc.

      Call      4/01/16      USD      125.00           88           (120,780)   

Baxter International, Inc.

      Call      4/01/16      USD      40.00           22           (2,485)   

Bristol-Myers Squibb Co.

      Call      4/01/16      USD      65.00           72           (288)   

Eli Lilly & Co.

      Call      4/01/16      USD      77.00           195           (390)   

Johnson & Johnson

      Call      4/01/16      USD      107.00           53           (6,492)   

Medtronic PLC

      Call      4/01/16      USD      75.00           274           (7,946)   

Merck & Co., Inc.

      Call      4/01/16      USD      52.00           310           (29,605)   

Mylan NV

      Call      4/01/16      USD      48.50           100           (200)   

Pfizer, Inc.

      Call      4/01/16      USD      30.50           24           (24)   

UnitedHealth Group, Inc.

      Call      4/01/16      USD      122.00           37           (25,530)   

Abbott Laboratories

      Call      4/04/16      USD      39.50           100           (23,327)   

Becton Dickinson and Co.

      Call      4/06/16      USD      150.01           60           (14,075)   

AbbVie, Inc.

      Call      4/08/16      USD      59.00           13           (195)   

Aetna, Inc.

      Call      4/08/16      USD      110.00           62           (21,080)   

Baxter International, Inc.

      Call      4/08/16      USD      40.00           80           (11,080)   

Baxter International, Inc.

      Call      4/08/16      USD      40.50           23           (1,874)   

Biogen, Inc.

      Call      4/08/16      USD      275.00           68           (6,460)   

Bristol-Myers Squibb Co.

      Call      4/08/16      USD      65.00           100           (2,700)   

Celgene Corp.

      Call      4/08/16      USD      107.00           15           (165)   

Mallinckrodt PLC

      Call      4/08/16      USD      67.00           40           (1,600)   

Medtronic PLC

      Call      4/08/16      USD      77.50           48           (192)   

Pfizer, Inc.

      Call      4/08/16      USD      31.50           51           (102)   

Teva Pharmaceutical Industries Ltd. — ADR

      Call      4/08/16      USD      59.50           19           (76)   

UnitedHealth Group, Inc.

      Call      4/08/16      USD      122.00           185           (134,588)   

UnitedHealth Group, Inc.

      Call      4/08/16      USD      124.00           12           (6,510)   

Zoetis, Inc.

      Call      4/08/16      USD      44.50           60           (3,300)   

Cardinal Health, Inc.

      Call      4/12/16      USD      84.00           76           (1,802)   

Cerner Corp.

      Call      4/13/16      USD      54.00           42           (1,859)   

Abbott Laboratories

      Call      4/15/16      USD      42.00           150           (5,774)   

Aetna, Inc.

      Call      4/15/16      USD      115.00           15           (1,778)   

Alder Biopharmaceuticals, Inc.

      Call      4/15/16      USD      25.00           47           (6,580)   

Amedisys, Inc.

      Call      4/15/16      USD      46.00           136           (39,916)   

Amgen, Inc.

      Call      4/15/16      USD      155.00           24           (1,788)   

Anthem, Inc.

      Call      4/15/16      USD      140.00           7           (1,568)   

Becton Dickinson and Co.

      Call      4/15/16      USD      150.00           11           (3,272)   

BioMarin Pharmaceutical, Inc.

      Call      4/15/16      USD      85.00           27           (6,412)   

Bristol-Myers Squibb Co.

      Call      4/15/16      USD      62.50           77           (14,014)   

Cigna Corp.

      Call      4/15/16      USD      140.00           62           (11,594)   

Cooper Cos., Inc.

      Call      4/15/16      USD      150.00           33           (20,130)   

CR Bard, Inc.

      Call      4/15/16      USD      190.00           50           (63,750)   

DaVita HealthCare Partners, Inc.

      Call      4/15/16      USD      65.00           35           (29,750)   

DaVita HealthCare Partners, Inc.

      Call      4/15/16      USD      72.50           35           (5,250)   

Edwards Lifesciences Corp.

      Call      4/15/16      USD      90.00           80           (19,600)   

Gilead Sciences, Inc.

      Call      4/15/16      USD      92.50           32           (4,352)   

HealthEquity, Inc.

      Call      4/15/16      USD      25.00           59           (4,868)   

Humana, Inc.

      Call      4/15/16      USD      180.00           92           (59,800)   

Incyte Corp.

      Call      4/15/16      USD      70.00           50           (25,250)   

Jazz Pharmaceuticals PLC

      Call      4/15/16      USD      125.00           20           (16,200)   

Masimo Corp.

      Call      4/15/16      USD      40.00           35           (6,038)   

Medivation, Inc.

      Call      4/15/16      USD      41.00           100           (58,750)   

Medtronic PLC

      Call      4/15/16      USD      77.50           130           (1,495)   

Merck & Co., Inc.

      Call      4/15/16      USD      52.50           27           (2,390)   

 

          MARCH 31, 2016    3

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

 

Description      Put/
Call		      Expiration
Date		     

Strike

Price

        Contracts        Value  

Neurocrine Biosciences, Inc.

      Call      4/15/16      USD      44.00           145         $ (3,625)   

Pfizer, Inc.

      Call      4/15/16      USD      31.00           97           (437)   

Regeneron Pharmaceuticals, Inc.

      Call      4/15/16      USD      400.00           10           (1,350)   

Seattle Genetics, Inc.

      Call      4/15/16      USD      35.00           50           (9,000)   

Stryker Corp.

      Call      4/15/16      USD      105.00           23           (7,245)   

Teva Pharmaceutical Industries Ltd. — ADR

      Call      4/15/16      USD      60.00           63           (315)   

Thermo Fisher Scientific, Inc.

      Call      4/15/16      USD      140.00           52           (15,600)   

Ultragenyx Pharmaceutical, Inc.

      Call      4/15/16      USD      75.00           50           (2,500)   

UnitedHealth Group, Inc.

      Call      4/15/16      USD      125.00           24           (11,460)   

Universal Health Services, Inc., Class B

      Call      4/15/16      USD      115.00           41           (43,050)   

Aetna, Inc.

      Call      4/22/16      USD      111.00           16           (5,600)   

Allergan PLC

      Call      4/22/16      USD      290.00           76           (28,120)   

Bristol-Myers Squibb Co.

      Call      4/22/16      USD      62.50           77           (16,401)   

Bristol-Myers Squibb Co.

      Call      4/22/16      USD      63.50           43           (6,170)   

Express Scripts Holding Co.

      Call      4/22/16      USD      70.00           39           (4,290)   

Mallinckrodt PLC

      Call      4/22/16      USD      67.00           40           (5,500)   

Medtronic PLC

      Call      4/22/16      USD      77.00           57           (2,052)   

Merck & Co., Inc.

      Call      4/22/16      USD      53.50           55           (2,695)   

Pfizer, Inc.

      Call      4/22/16      USD      31.00           70           (525)   

UnitedHealth Group, Inc.

      Call      4/22/16      USD      123.00           25           (18,688)   

Vertex Pharmaceuticals, Inc.

      Call      4/22/16      USD      89.00           43           (4,838)   

FEI Co.

      Call      4/27/16      USD      87.01           65           (25,619)   

AbbVie, Inc.

      Call      4/29/16      USD      57.50           41           (5,637)   

Allergan PLC

      Call      4/29/16      USD      285.00           38           (14,820)   

Amgen, Inc.

      Call      4/29/16      USD      150.00           89           (38,715)   

Baxter International, Inc.

      Call      4/29/16      USD      40.50           15           (2,108)   

Baxter International, Inc.

      Call      4/29/16      USD      41.50           60           (4,860)   

Celgene Corp.

      Call      4/29/16      USD      105.00           267           (43,254)   

Eli Lilly & Co.

      Call      4/29/16      USD      73.00           75           (11,475)   

Gilead Sciences, Inc.

      Call      4/29/16      USD      94.00           69           (12,730)   

HCA Holdings, Inc.

      Call      4/29/16      USD      74.50           39           (19,305)   

Humana, Inc.

      Call      4/29/16      USD      187.50           10           (3,950)   

Ionis Pharmaceuticals, Inc.

      Call      4/29/16      USD      42.00           160           (44,000)   

Jazz Pharmaceuticals PLC

      Call      4/29/16      USD      125.00           20           (19,300)   

Johnson & Johnson

      Call      4/29/16      USD      108.00           109           (21,037)   

Medtronic PLC

      Call      4/29/16      USD      77.50           58           (2,117)   

Mylan NV

      Call      4/29/16      USD      48.50           100           (10,000)   

UnitedHealth Group, Inc.

      Call      4/29/16      USD      131.00           126           (30,681)   

Vertex Pharmaceuticals, Inc.

      Call      4/29/16      USD      89.00           43           (7,848)   

Zoetis, Inc.

      Call      4/29/16      USD      44.00           73           (10,403)   

AbbVie, Inc.

      Call      5/06/16      USD      58.00           41           (5,330)   

Aetna, Inc.

      Call      5/06/16      USD      113.00           16           (5,640)   

Amgen, Inc.

      Call      5/06/16      USD      150.00           3           (1,432)   

Medtronic PLC

      Call      5/06/16      USD      75.00           33           (5,115)   

Pfizer, Inc.

      Call      5/06/16      USD      30.50           21           (651)   

Stryker Corp.

      Call      5/06/16      USD      105.20           50           (26,150)   

Cardinal Health, Inc.

      Call      5/12/16      USD      81.10           82           (22,318)   

Abbott Laboratories

      Call      5/20/16      USD      41.00           176           (26,840)   

AmerisourceBergen Corp.

      Call      5/20/16      USD      90.00           71           (8,875)   

Amgen, Inc.

      Call      5/20/16      USD      150.00           89           (47,170)   

Anthem, Inc.

      Call      5/20/16      USD      145.00           81           (23,328)   

Baxalta, Inc.

      Call      5/20/16      USD      40.00           150           (25,875)   

BioMarin Pharmaceutical, Inc.

      Call      5/20/16      USD      90.00           27           (10,935)   

Bio-Rad Laboratories, Inc., Class A

      Call      5/20/16      USD      140.00           16           (5,680)   

Celgene Corp.

      Call      5/20/16      USD      105.00           95           (25,080)   

Cooper Cos., Inc.

      Call      5/20/16      USD      150.00           33           (26,235)   

DaVita HealthCare Partners, Inc.

      Call      5/20/16      USD      75.00           50           (6,625)   

Dermira, Inc.

      Call      5/20/16      USD      25.00           54           (9,585)   

Edwards Lifesciences Corp.

      Call      5/20/16      USD      87.50           80           (44,800)   

Express Scripts Holding Co.

      Call      5/20/16      USD      72.50           39           (4,778)   

Gilead Sciences, Inc.

      Call      5/20/16      USD      92.50           70           (22,750)   

GlaxoSmithKline PLC - ADR

      Call      5/20/16      USD      41.00           116           (9,280)   

Medivation, Inc.

      Call      5/20/16      USD      40.00           86           (75,680)   

Pfizer, Inc.

      Call      5/20/16      USD      31.00           191           (4,489)   

Prothena Corp. PLC

      Call      5/20/16      USD      55.00           15           (1,650)   

 

4         MARCH 31, 2016     

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

 

 

Description    Put/
Call		      Expiration
Date		     

Strike

Price

      Contracts      Value  

Regeneron Pharmaceuticals, Inc.

      Call         5/20/16         USD         400.00         10       $ (7,700 ) 

Shire PLC — ADR

      Call         5/20/16         USD         175.00         28         (26,040 ) 

St. Jude Medical, Inc.

      Call         5/20/16         USD         55.00         296         (61,420 ) 

Stryker Corp.

      Call         5/20/16         USD         105.20         50         (29,781 ) 

Teva Pharmaceutical Industries Ltd. — ADR

      Call         5/20/16         USD         57.50         45         (3,308 ) 

Thermo Fisher Scientific, Inc.

      Call         6/17/16         USD         140.00         52         (31,980 ) 

WellCare Health Plans, Inc.

      Call         6/17/16         USD         95.00         24         (12,000 ) 

Total

                   $ (1,983,108 ) 
                 

 

 

  

 

OTC Options Written                                                      
Description    Put/
Call		      Counterparty    Expiration
Date		     

Strike

Price

      Contracts      Value  

AstraZeneca PLC

      Call       Credit Suisse International      4/05/16         GBP         44.47         10,000       $ —   

UCB SA

      Call       Morgan Stanley & Co. International PLC      4/05/16         EUR         75.07         4,300         (4 ) 

Cigna Corp.

      Call       Citibank N.A.      4/06/16         USD         143.37         7,400         (729 ) 

Allergan PLC

      Call       Bank of America N.A.      4/12/16         USD         288.86         500         (332 ) 

AstraZeneca PLC

      Call       Credit Suisse International      4/12/16         GBP         40.94         5,000         (307 ) 

GlaxoSmithKline PLC

      Call       UBS AG      4/14/16         GBP         14.17         710         (168 ) 

Actelion Ltd.

      Call       Morgan Stanley & Co. International PLC      4/19/16         CHF         141.80         2,400         (13,900 ) 

Chugai Pharmaceutical Co. Ltd.

      Call       UBS AG      4/20/16         JPY         3,435.37         8,300         (9,502 ) 

Boston Scientific Corp.

      Call       Deutsche Bank AG      4/21/16         USD         17.85         73,500         (80,415 ) 

Boston Scientific Corp.

      Call       Morgan Stanley & Co. International PLC      4/25/16         USD         18.35         58,600         (45,576 ) 

AstraZeneca PLC

      Call       Credit Suisse International      4/26/16         GBP         42.67         5,500         (244 ) 

Baxalta, Inc.

      Call       Goldman Sachs International      4/27/16         USD         40.57         8,400         (8,713 ) 

Universal Health Services, Inc., Class B

      Call       Morgan Stanley & Co. International PLC      4/29/16         USD         119.67         4,200         (33,755 ) 

Roche Holding AG

      Call       UBS AG      5/03/16         CHF         258.25         4,000         (1,228 ) 

Teva Pharmaceutical Industries Ltd. — ADR

      Call       Barclays Bank PLC      5/03/16         USD         58.27         9,000         (3,709 ) 

Boston Scientific Corp.

      Call       Goldman Sachs International      5/04/16         USD         18.02         60,000         (63,178 ) 

GlaxoSmithKline PLC

      Call       Goldman Sachs International      5/04/16         GBP         14.19         17,500         (7,045 ) 

Baxter International, Inc.

      Call       Morgan Stanley & Co. International PLC      5/09/16         USD         41.18         11,300         (11,485 ) 

Johnson & Johnson

      Call       Citibank N.A.      5/09/16         USD         109.19         3,100         (4,863 ) 

AstraZeneca PLC

      Call       Credit Suisse International      5/10/16         GBP         41.35         5,000         (2,025 ) 

GlaxoSmithKline PLC

      Call       Goldman Sachs International      5/18/16         GBP         14.19         17,500         (6,488 ) 

Total

                      $ (293,666 ) 
                    

 

 

  

 

      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. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3.

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 annual report.

 

          MARCH 31, 2016    5

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

 

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

      $ 56,608,355         $ 2,085,014         $ 1,424,869       $ 60,118,238   

Electronic Equipment, Instruments & Components

        1,673,388           —           —         1,673,388   

Health Care Equipment & Supplies

        53,730,059           —           —         53,730,059   

Health Care Providers & Services

        58,644,259           —           —         58,644,259   

Health Care Technology

        1,313,408           —           —         1,313,408   

Life Sciences Tools & Services

        4,862,453           —           —         4,862,453   

Pharmaceuticals

        61,522,155           12,042,405           —         73,564,560   

Preferred Stocks1

        —           —           1,218,254         1,218,254   

Rights1

        —           —           68,517         68,517   

Short-Term Securities

        13,168,573           —           —         13,168,573   
    

 

 

  

Total

      $ 251,522,650         $ 14,127,419         $ 2,711,640       $ 268,361,709   
    

 

 

  
                 

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

 

                  
        Level 1        Level 2        Level 3      Total  

Derivative Financial Instruments2

                  

Liabilities:

                  

Equity contracts

      $ (1,838,177 )       $ (438,597 )         —       $ (2,276,774 ) 
    

 

 

  
                 

2   Derivative financial instruments are options written, which are shown at 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:

                  

Foreign currency at value

      $ 167,145           —           —       $ 167,145   

Liabilities:

                  

Bank overdraft

        —         $ (143,443 )         —         (143,443 ) 
    

 

 

  

Total

      $ 167,145         $ (143,443 )         —       $ 23,702   
    

 

 

  

During the period ended March 31, 2016, there were no transfers between levels.

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		      Rights      Total  

Assets:

            

Opening Balance, as of December 31, 2015

      —       $ 5,907,930         —       $ 5,907,930   

Transfers into Level 3

    $ 986,402         —       $ 25,848         1,012,250   

Transfers out of Level 3

      —         (2,546,851 )       —         (2,546,851 ) 

Accrued discounts/premiums

      —         —         —         —   

Net realized gain

      —         1,287,939         —         1,287,939   

Net change in unrealized appreciation/depreciation

      438,467         (937,224 )       42,669         (456,088 ) 

Purchases

      —         —         —         —   

Sales

      —         (2,493,540 )       —         (2,493,540 ) 
  

 

 

  

Closing Balance, as of March 31, 2016

    $ 1,424,869       $ 1,218,254       $ 68,517       $ 2,711,640   
  

 

 

  

Net change in unrealized appreciation/depreciation on investments still held at March 31, 2016

    $ 438,467       $ (937,224 )     $ 42,669       $ (456,088 ) 
  

 

 

  

 

6         MARCH 31, 2016     

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

 

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.

 

      Value      Valuation Techniques   

Unobservable

Inputs

    Range of
Unobservable Inputs
Utilized		  

Assets:

            

Common Stocks

    $ 1,424,869       Discounted Cash Flow    Discount Rate 1      1.74%   
         Time to Exit1      1-3 years   

Preferred Stocks

      1,218,254       Cost2    N/A      —   

Rights

      68,517       Acquisition Terms    Intrinsic Value3      —   
  

 

 

  

Total

    $ 2,711,640            
  

 

 

  

 

  1   

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

 

  2   

The Trust fair values certain of its Level 3 investments using acquisition cost, although the transaction may not have occurred during the current reporting period. These investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Trust.

 

  3   

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.

 

          MARCH 31, 2016    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: May 23, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:          /s/ John M. Perlowski              
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of 
  BlackRock Health Sciences Trust
Date: May 23, 2016

 

By:          /s/ Neal J. Andrews                
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of 
  BlackRock Health Sciences Trust
Date: May 23, 2016