Regulatory Filings • Nov 22, 2017
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Download Source FileN-Q 1 d441145dnq.htm BLACKROCK HEALTH SCIENCES TRUST 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 52 nd Street, New York, NY 10055
Registrants telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 12/31/2017
Date of reporting period: 09/30/2017
Item 1 Schedule of Investments
Schedule of Investments BlackRock Health Sciences Trust (BME)
| Common Stocks | Value | |
|---|---|---|
| Biotechnology 26.0% | ||
| AbbVie, Inc. (a) | 59,786 | $ 5,312,584 |
| ACADIA Pharmaceuticals, Inc. (a)(b) | 21,500 | 809,905 |
| Acceleron Pharma, Inc. (a)(b) | 52,200 | 1,948,104 |
| Acerta Pharma BV, Series B, (Acquired 2/01/16, cost $986,402) (c)(d) | 17,146,440 | 3,377,849 |
| Agios Pharmaceuticals, Inc. (a)(b) | 14,900 | 994,575 |
| Alkermes PLC (a)(b) | 26,700 | 1,357,428 |
| Alnylam Pharmaceuticals, Inc. (a)(b) | 44,300 | 5,204,807 |
| Amgen, Inc. (a) | 58,522 | 10,911,427 |
| Aquinox Pharmaceuticals, Inc. (a)(b) | 17,531 | 248,765 |
| Avexis, Inc. (a)(b) | 17,252 | 1,668,786 |
| Biogen, Inc. (a)(b) | 21,148 | 6,621,862 |
| Biohaven Pharmaceutical Holding Co. Ltd. (a)(b) | 13,650 | 510,237 |
| BioMarin Pharmaceutical, Inc. (a)(b) | 27,200 | 2,531,504 |
| Bioverativ, Inc. (a)(b) | 8,074 | 460,783 |
| Celgene Corp. (a)(b) | 76,586 | 11,167,771 |
| Clementia Pharmaceuticals, Inc. (a)(b) | 10,235 | 172,869 |
| FibroGen, Inc. (a)(b) | 9,300 | 500,340 |
| Galapagos NV, ADR (a)(b) | 4,200 | 427,350 |
| Genomic Health, Inc. (a)(b) | 6,469 | 207,590 |
| Gilead Sciences, Inc. (a) | 45,400 | 3,678,308 |
| Global Blood Therapeutics, Inc. (a)(b) | 16,088 | 499,532 |
| Halozyme Therapeutics, Inc. (a)(b) | 46,300 | 804,231 |
| Incyte Corp. (a)(b) | 15,400 | 1,797,796 |
| Insmed, Inc. (a)(b) | 51,705 | 1,613,713 |
| Iovance Biotherapeutics, Inc. (a)(b) | 6,171 | 47,825 |
| Karyopharm Therapeutics, Inc. (a)(b) | 6,500 | 71,370 |
| Myovant Sciences, Ltd. (a)(b) | 29,453 | 455,638 |
| Nightstar Therapeutics PLC, ADR (a)(b) | 9,401 | 180,499 |
| Ovid therapeutics, Inc. (a)(b) | 4,488 | 38,462 |
| Prothena Corp. PLC (a)(b) | 2,244 | 145,344 |
| Regeneron Pharmaceuticals, Inc. (a)(b) | 6,858 | 3,066,349 |
| REGENXBIO, Inc. (a)(b) | 36,250 | 1,194,438 |
| Sage Therapeutics, Inc. (a)(b) | 9,519 | 593,034 |
| Sarepta Therapeutics, Inc. (a)(b) | 44,650 | 2,025,324 |
| Seattle Genetics, Inc. (a)(b) | 22,767 | 1,238,752 |
| Spark Therapeutics, Inc. (a)(b) | 9,010 | 803,332 |
| Syndax Pharmaceuticals, Inc. (a)(b) | 52,584 | 615,233 |
| TESARO, Inc. (a)(b) | 17,831 | 2,301,982 |
| Tocagen, Inc. (a)(b) | 11,583 | 144,324 |
| Ultragenyx Pharmaceutical, Inc. (a)(b) | 21,300 | 1,134,438 |
| Common Stocks | Value | |
|---|---|---|
| Biotechnology (continued) | ||
| Vertex Pharmaceuticals, Inc. (a)(b) | 54,505 | $ 8,286,940 |
| 85,171,400 | ||
| Diversified Consumer Services 0.5% | ||
| Service Corp. International (a) | 43,300 | 1,493,850 |
| Health Care Equipment & Supplies 23.1% | ||
| Abbott Laboratories (a) | 163,700 | 8,735,032 |
| Align Technology, Inc. (a)(b) | 2,800 | 521,556 |
| Baxter International, Inc. (a) | 133,500 | 8,377,125 |
| Becton Dickinson & Co. (a) | 15,033 | 2,945,716 |
| Boston Scientific Corp. (a)(b) | 353,784 | 10,319,879 |
| Cooper Cos., Inc. (a) | 4,815 | 1,141,685 |
| Edwards Lifesciences Corp. (a)(b) | 11,600 | 1,267,996 |
| Hologic, Inc. (a)(b) | 84,500 | 3,100,305 |
| Intuitive Surgical, Inc. (a)(b) | 4,900 | 5,124,812 |
| iRhythm Technologies, Inc. (a)(b) | 15,183 | 787,694 |
| Masimo Corp. (a)(b) | 30,000 | 2,596,800 |
| Medtronic PLC (a) | 161,100 | 12,528,747 |
| Nevro Corp. (a)(b) | 18,000 | 1,635,840 |
| ResMed, Inc. (a) | 35,400 | 2,724,384 |
| Stryker Corp. (a) | 72,500 | 10,296,450 |
| Teleflex, Inc. (a) | 5,200 | 1,258,244 |
| Varian Medical Systems, Inc. (a)(b) | 23,100 | 2,311,386 |
| 75,673,651 | ||
| Health Care Providers & Services 26.2% | ||
| Aetna, Inc. (a) | 44,311 | 7,045,892 |
| Amedisys, Inc. (a)(b) | 62,260 | 3,484,069 |
| AmerisourceBergen Corp. (a) | 12,600 | 1,042,650 |
| Anthem, Inc. (a) | 35,100 | 6,664,788 |
| Centene Corp. (a)(b) | 35,300 | 3,415,981 |
| Cigna Corp. (a) | 46,100 | 8,617,934 |
| DaVita, Inc. (a)(b) | 64,994 | 3,859,994 |
| HCA Healthcare, Inc. (a)(b) | 26,094 | 2,076,821 |
| HealthEquity, Inc. (a)(b) | 12,500 | 632,250 |
| Humana, Inc. (a) | 39,200 | 9,550,296 |
| McKesson Corp. (a) | 16,100 | 2,473,121 |
| Quest Diagnostics, Inc. (a) | 62,900 | 5,889,956 |
| Teladoc, Inc. (a)(b) | 39,100 | 1,296,165 |
| UnitedHealth Group, Inc. (a) | 136,402 | 26,714,332 |
| Universal Health Services, Inc., Class B (a) | 19,500 | 2,163,330 |
| WellCare Health Plans, Inc. (a)(b) | 6,300 | 1,081,962 |
| 86,009,541 | ||
| Life Sciences Tools & Services 2.5% | ||
| Agilent Technologies, Inc. (a) | 41,600 | 2,670,720 |
| Thermo Fisher Scientific, Inc. (a) | 25,800 | 4,881,360 |
| Wuxi Biologics Cayman, Inc. (a)(b)(e) | 98,000 | 498,826 |
| 8,050,906 |
BLACKROCK HEALTH SCIENCES TRUST SEPTEMBER 30, 2017 1
Schedule of Investments (continued) BlackRock Health Sciences Trust (BME)
| Common Stocks | Shares | Value |
|---|---|---|
| Pharmaceuticals 19.7% | ||
| Allergan PLC (a) | 33,085 | $ 6,780,771 |
| AstraZeneca PLC (a) | 56,876 | 3,782,334 |
| AstraZeneca PLC ADR (a) | 54,200 | 1,836,296 |
| Bristol-Myers Squibb Co. (a) | 103,062 | 6,569,172 |
| Chugai Pharmaceutical Co. Ltd. (a) | 16,900 | 702,299 |
| Daiichi Sankyo Co. Ltd. (a) | 20,800 | 469,387 |
| Dermira, Inc. (a)(b) | 19,800 | 534,600 |
| Eisai Co. Ltd. (a) | 14,300 | 734,345 |
| Eli Lilly & Co. (a) | 64,200 | 5,491,668 |
| GlaxoSmithKline PLC (a) | 75,300 | 1,505,293 |
| Jazz Pharmaceuticals PLC (a)(b) | 3,200 | 468,000 |
| Johnson & Johnson (a) | 54,770 | 7,120,648 |
| Mallinckrodt PLC (a)(b) | 16,200 | 605,394 |
| Merck & Co., Inc. (a) | 96,600 | 6,185,298 |
| Merck KGaA (a) | 30,400 | 3,385,744 |
| Novartis AG, ADR (a) | 10,500 | 901,425 |
| Novo Nordisk A/S, ADR (a) | 43,500 | 2,094,525 |
| Pfizer, Inc. (a)(f) | 118,398 | 4,226,809 |
| Reata Pharmaceuticals, Inc., Class A (a)(b) | 5,860 | 182,246 |
| Roche Holding AG (a) | 9,600 | 2,453,953 |
| Sanofi (a) | 19,900 | 1,980,978 |
| Sanofi ADR (a) | 49,000 | 2,439,710 |
| Takeda Pharmaceutical Co. Ltd. (a) | 15,600 | 862,616 |
| Theravance Biopharma, Inc. (a)(b) | 4,700 | 160,928 |
| Zoetis, Inc. (a) | 50,500 | 3,219,880 |
| 64,694,319 | ||
| Total Common Stocks 98.0% | 321,093,667 | |
| Other Interests | Investment Value (000) | |
| Pharmaceuticals 0.1% | ||
| Afferent Pharmaceuticals, Inc., Series C (c) | $ 190 | 490,613 |
| Preferred Stock | Shares | Value | |
|---|---|---|---|
| Biotechnology 0.1% | |||
| Ovid Therapeutics Inc., (Acquired 8/7/15, Cost $503,166), 0.00% (b)(c)(d) | $ 37,565 | $ 318,981 | |
| Total Preferred Securities 0.1% | 318,981 | ||
| Rights | |||
| Biotechnology 0.1% | |||
| Dyax Corp., CVR (Expires 12/31/19) (a)(b)(c) | 61,727 | 141,355 | |
| Total Long-Term Investments (Cost $209,047,568) 98.3% | 322,044,616 | ||
| Short-Term Securities | |||
| BlackRock Liquidity Funds, T-Fund, Institutional | |||
| Class, 0.91% (g)(h) | 10,936,223 | 10,936,223 | |
| Total Short-Term Securities (Cost $10,936,223) 3.3% | 10,936,223 | ||
| Total Investments Before Options Written (Cost $219,983,791) 101.6% | 332,980,839 | ||
| Options Written (Premiums Received $2,278,252) (0.9)% | (2,874,525 | ) | |
| Total Investments, Net of Options Written (Cost $217,705,539) 100.7% | 330,106,314 | ||
| Liabilities in Excess of Other Assets (0.7)% | (2,365,021 | ) | |
| Net Assets 100.0% | $ 327,741,293 |
BLACKROCK HEALTH SCIENCES TRUST SEPTEMBER 30, 2017 2
Schedule of Investments (continued) BlackRock Health Sciences Trust (BME)
Notes to Schedule of Investments
(a) All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.
(b) Non-income producing security.
(c) Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.
(d) Restricted security as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $3,696,830 and an original cost of $1,489,568, which was 1.13% of its net assets.
(e) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(f) All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.
(g) Annualized 7-day yield as of period end.
(h) During the period ended September 30, 2017, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliate — BlackRock Liquidity Funds, T-Fund, Institutional Class | 8,611,967 | 2,324,256 | 10,936,223 | Value at September 30, 2017 — $ 10,936,223 | Income — $ 37,580 | | | ||
|---|---|---|---|---|---|---|---|---|---|
| SL Liquidity Series, LLC, Money Market Series | 126,889 | (126,889 | ) | | | 1,584 | 1 | | |
| Total | $ 10,936,223 | $ 39,164 | | | |||||
| 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. |
For Trust compliance purposes, the Trusts 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 adviser. These definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.
Portfolio Abbreviations
| ADR | American Depositary Receipts |
|---|---|
| CHF | Swiss Franc |
| EUR | Euro |
| GBP | British Pound |
| JPY | Japanese Yen |
| OTC | Over-the-Counter |
| USD | U.S. Dollar |
| ADR | American Depositary Receipts |
| OTC | Over-the-Counter |
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 | ||||||||
| Karyopham Terapeutics, Inc. | 22 | 10/03/17 | USD | 8.36 | USD | 24 | $ (5,766 | ) |
| Boston Scientific Corp. | 161 | 10/06/17 | USD | 27.50 | USD | 470 | (27,209 | ) |
| Celgene Corp. | 191 | 10/06/17 | USD | 135.00 | USD | 2,785 | (205,803 | ) |
| Cigna Corp. | 101 | 10/06/17 | USD | 180.00 | USD | 1,888 | (66,913 | ) |
| Eli Lilly & Co. | 144 | 10/06/17 | USD | 80.50 | USD | 1,232 | (77,400 | ) |
| Humana, Inc. | 53 | 10/06/17 | USD | 255.00 | USD | 1,291 | (1,855 | ) |
BLACKROCK HEALTH SCIENCES TRUST SEPTEMBER 30, 2017 3
Schedule of Investments (continued) BlackRock Health Sciences Trust (BME)
| Exchange-Traded Options Written (continued) — Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||
|---|---|---|---|---|---|---|---|---|
| Call | ||||||||
| Medtronic PLC | 65 | 10/06/17 | USD | 80.00 | USD | 506 | $ (325 | ) |
| Quest Diagnostics, Inc. | 104 | 10/06/17 | USD | 105.40 | USD | 974 | | |
| Zoetis, Inc. | 66 | 10/06/17 | USD | 62.00 | USD | 421 | (12,045 | ) |
| Pfizer, Inc. | 103 | 10/12/17 | USD | 33.75 | USD | 368 | (20,332 | ) |
| Amgen, Inc. | 57 | 10/13/17 | USD | 190.00 | USD | 1,063 | (6,298 | ) |
| Biogen, Inc. | 13 | 10/13/17 | USD | 327.50 | USD | 407 | (1,820 | ) |
| Jazz Pharmaceuticals PLC | 15 | 10/13/17 | USD | 152.50 | USD | 219 | (975 | ) |
| Merck & Co., Inc. | 73 | 10/13/17 | USD | 64.50 | USD | 467 | (2,701 | ) |
| Quest Diagnostics, Inc. | 104 | 10/13/17 | USD | 105.40 | USD | 974 | (2 | ) |
| Regeneron Pharmaceuticals, Inc. | 8 | 10/13/17 | USD | 515.00 | USD | 358 | (1,200 | ) |
| AbbVie, Inc. | 68 | 10/20/17 | USD | 75.45 | USD | 604 | (88,024 | ) |
| Abbott Laboratories | 143 | 10/20/17 | USD | 52.50 | USD | 763 | (19,806 | ) |
| Alkermes PLC | 93 | 10/20/17 | USD | 50.00 | USD | 473 | (18,135 | ) |
| Alnylam Pharmaceuticals, Inc. | 66 | 10/20/17 | USD | 80.00 | USD | 775 | (249,480 | ) |
| Aquinox Pharmaceuticals, Inc. | 61 | 10/20/17 | USD | 15.00 | USD | 87 | (1,372 | ) |
| AstraZeneca PLC | 189 | 10/20/17 | USD | 32.50 | USD | 640 | (29,768 | ) |
| Avexis, Inc. | 60 | 10/20/17 | USD | 95.00 | USD | 580 | (34,500 | ) |
| Baxter International, Inc. | 115 | 10/20/17 | USD | 62.50 | USD | 722 | (11,845 | ) |
| Becton Dickinson & Co. | 59 | 10/20/17 | USD | 199.75 | USD | 1,156 | (5,304 | ) |
| BioMarin Pharmaceutical, Inc. | 52 | 10/20/17 | USD | 85.00 | USD | 484 | (44,720 | ) |
| BioMarin Pharmaceutical, Inc. | 16 | 10/20/17 | USD | 95.00 | USD | 149 | (2,960 | ) |
| Biohaven Pharmaceuticals Holdings Corp. | 47 | 10/20/17 | USD | 40.00 | USD | 176 | (12,690 | ) |
| Bioverativ Inc. | 28 | 10/20/17 | USD | 60.00 | USD | 160 | (1,960 | ) |
| Boston Scientific Corp. | 160 | 10/20/17 | USD | 28.00 | USD | 467 | (20,560 | ) |
| Bristol-Myers Squibb Co. | 195 | 10/20/17 | USD | 62.50 | USD | 1,243 | (33,150 | ) |
| Celgene Corp. | 77 | 10/20/17 | USD | 145.00 | USD | 1,123 | (24,063 | ) |
| DaVita, Inc. | 227 | 10/20/17 | USD | 60.00 | USD | 1,348 | (27,808 | ) |
| Eli Lilly & Co. | 80 | 10/20/17 | USD | 85.00 | USD | 684 | (12,160 | ) |
| FibroGen, Inc. | 32 | 10/20/17 | USD | 55.00 | USD | 172 | (6,080 | ) |
| Gilead Sciences, Inc. | 122 | 10/20/17 | USD | 82.50 | USD | 988 | (13,786 | ) |
| Halozyme Therapeutics, Inc. | 172 | 10/20/17 | USD | 13.15 | USD | 299 | (72,806 | ) |
| HealthEquity, Inc. | 43 | 10/20/17 | USD | 50.00 | USD | 217 | (8,277 | ) |
| Hologic, Inc. | 295 | 10/20/17 | USD | 39.00 | USD | 1,082 | (3,687 | ) |
| Humana, Inc. | 43 | 10/20/17 | USD | 260.00 | USD | 1,048 | (2,150 | ) |
| Incyte Corp. | 50 | 10/20/17 | USD | 125.00 | USD | 584 | (6,750 | ) |
| Insmed, Inc. | 22 | 10/20/17 | USD | 36.00 | USD | 69 | (440 | ) |
| Insmed, Inc. | 86 | 10/20/17 | USD | 33.00 | USD | 268 | (3,870 | ) |
| Mallinckrodt PLC | 56 | 10/20/17 | USD | 45.00 | USD | 209 | (560 | ) |
| Merck & Co., Inc. | 57 | 10/20/17 | USD | 65.00 | USD | 365 | (2,337 | ) |
| Novo Nordisk A/S | 128 | 10/20/17 | USD | 50.00 | USD | 616 | (3,200 | ) |
| Pfizer, Inc. | 112 | 10/20/17 | USD | 34.00 | USD | 400 | (19,824 | ) |
| Sanofi | 171 | 10/20/17 | USD | 50.00 | USD | 851 | (9,832 | ) |
| Seattle Genetics, Inc. | 79 | 10/20/17 | USD | 60.00 | USD | 430 | (1,777 | ) |
| Spark Therapeutics, Inc. | 31 | 10/20/17 | USD | 85.00 | USD | 276 | (21,390 | ) |
| Teladoc, Inc. | 91 | 10/20/17 | USD | 35.00 | USD | 302 | (8,417 | ) |
| Theravance Biopharma, Inc. | 16 | 10/20/17 | USD | 35.00 | USD | 55 | (1,520 | ) |
| Thermo Fisher Scientific, Inc. | 80 | 10/20/17 | USD | 195.00 | USD | 1,514 | (5,400 | ) |
| Universal Health Services, Inc., Class B | 68 | 10/20/17 | USD | 115.00 | USD | 754 | (4,760 | ) |
| Varian Medical System, Inc. | 80 | 10/20/17 | USD | 110.00 | USD | 800 | (1,600 | ) |
| WellCare Health Plans, Inc. | 22 | 10/20/17 | USD | 180.00 | USD | 378 | (2,860 | ) |
| Zoetis, Inc. | 110 | 10/20/17 | USD | 65.00 | USD | 701 | (3,300 | ) |
BLACKROCK HEALTH SCIENCES TRUST SEPTEMBER 30, 2017 4
Schedule of Investments (continued) BlackRock Health Sciences Trust (BME)
| Exchange-Traded Options Written (continued) — Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||
|---|---|---|---|---|---|---|---|---|
| Call | ||||||||
| AbbVie, Inc. | 63 | 10/27/17 | USD | 86.00 | USD | 560 | $ (23,940 | ) |
| AmerisourceBergen Corp. | 11 | 10/27/17 | USD | 82.50 | USD | 91 | (2,090 | ) |
| Baxter International, Inc. | 42 | 10/27/17 | USD | 64.00 | USD | 264 | (3,171 | ) |
| Biogen, Inc. | 19 | 10/27/17 | USD | 327.50 | USD | 595 | (9,120 | ) |
| Bristol-Myers Squibb Co. | 83 | 10/27/17 | USD | 63.00 | USD | 529 | (15,978 | ) |
| HCA Holdings, Inc. | 47 | 10/27/17 | USD | 81.00 | USD | 374 | (6,932 | ) |
| Merck & Co., Inc. | 104 | 10/27/17 | USD | 65.50 | USD | 666 | (5,460 | ) |
| Regenxbio, Inc. | 126 | 10/27/17 | USD | 26.25 | USD | 415 | (86,574 | ) |
| Sarepta Therapeutics, Inc. | 14 | 10/27/17 | USD | 47.50 | USD | 64 | (4,137 | ) |
| TESARO, Inc. | 62 | 10/27/17 | USD | 129.00 | USD | 800 | (43,400 | ) |
| Vertex Pharmaceuticals, Inc. | 129 | 10/27/17 | USD | 170.00 | USD | 1,961 | (10,642 | ) |
| Johnson & Johnson | 83 | 11/01/17 | USD | 132.50 | USD | 1,079 | (9,854 | ) |
| AbbVie, Inc. | 39 | 11/03/17 | USD | 87.50 | USD | 347 | (12,343 | ) |
| Abbott Laboratories | 121 | 11/03/17 | USD | 53.00 | USD | 646 | (16,033 | ) |
| Allergan PLC | 52 | 11/03/17 | USD | 210.00 | USD | 1,066 | (28,730 | ) |
| Amgen, Inc. | 72 | 11/03/17 | USD | 187.50 | USD | 1,342 | (32,040 | ) |
| Baxter International, Inc. | 88 | 11/03/17 | USD | 64.00 | USD | 552 | (6,996 | ) |
| Humana, Inc. | 22 | 11/03/17 | USD | 245.00 | USD | 536 | (11,330 | ) |
| Medtronic PLC | 369 | 11/03/17 | USD | 80.00 | USD | 2,870 | (21,402 | ) |
| Pfizer, Inc. | 4 | 11/03/17 | USD | 36.00 | USD | 14 | (196 | ) |
| Allergan PLC | 63 | 11/10/17 | USD | 207.50 | USD | 1,291 | (43,911 | ) |
| Baxter International, Inc. | 89 | 11/10/17 | USD | 62.50 | USD | 558 | (14,596 | ) |
| Humana, Inc. | 19 | 11/10/17 | USD | 245.00 | USD | 463 | (12,350 | ) |
| McKesson Corp. | 3 | 11/10/17 | USD | 157.50 | USD | 46 | (1,185 | ) |
| Regeneron Pharmaceuticals, Inc. | 16 | 11/10/17 | USD | 450.00 | USD | 715 | (29,040 | ) |
| Pfizer, Inc. | 13 | 11/13/17 | USD | 35.40 | USD | 46 | (949 | ) |
| ACADIA Pharmaceuticals, Inc. | 61 | 11/17/17 | USD | 38.00 | USD | 230 | (18,605 | ) |
| AbbVie, Inc. | 39 | 11/17/17 | USD | 87.50 | USD | 347 | (14,138 | ) |
| Agios Pharmaceuticals, Inc. | 43 | 11/17/17 | USD | 60.00 | USD | 287 | (36,765 | ) |
| AmerisourceBergen Corp. | 33 | 11/17/17 | USD | 85.00 | USD | 273 | (6,187 | ) |
| Amgen, Inc. | 75 | 11/17/17 | USD | 175.00 | USD | 1,398 | (98,813 | ) |
| Baxter International, Inc. | 133 | 11/17/17 | USD | 65.00 | USD | 835 | (8,844 | ) |
| Biogen, Inc. | 42 | 11/17/17 | USD | 320.00 | USD | 1,315 | (41,790 | ) |
| Boston Scientific Corp. | 193 | 11/17/17 | USD | 29.00 | USD | 563 | (18,432 | ) |
| Bristol-Myers Squibb Co. | 83 | 11/17/17 | USD | 62.50 | USD | 529 | (23,323 | ) |
| Cigna Corp. | 60 | 11/17/17 | USD | 185.00 | USD | 1,122 | (37,650 | ) |
| Cooper Companies, Inc. | 11 | 11/17/17 | USD | 260.00 | USD | 261 | (1,402 | ) |
| Edwards Lifesciences Corp. | 50 | 11/17/17 | USD | 115.00 | USD | 547 | (12,250 | ) |
| Gilead Sciences, Inc. | 58 | 11/17/17 | USD | 85.00 | USD | 470 | (8,700 | ) |
| HCA Holdings, Inc. | 44 | 11/17/17 | USD | 82.50 | USD | 350 | (6,908 | ) |
| Intuitive Surgical, Inc. | 17 | 11/17/17 | USD | 1,010.00 | USD | 1,778 | (100,385 | ) |
| Johnson & Johnson | 108 | 11/17/17 | USD | 135.00 | USD | 1,404 | (8,262 | ) |
| McKesson Corp. | 53 | 11/17/17 | USD | 155.00 | USD | 814 | (27,825 | ) |
| Merck & Co., Inc. | 104 | 11/17/17 | USD | 65.51 | USD | 666 | (8,926 | ) |
| Nevro Corp. | 46 | 11/17/17 | USD | 95.00 | USD | 418 | (17,020 | ) |
| Novo Nordisk A/S | 24 | 11/17/17 | USD | 50.00 | USD | 116 | (2,520 | ) |
| Sage Therapeutics, Inc. | 55 | 11/17/17 | USD | 80.00 | USD | 343 | (20,350 | ) |
| Sarepta Therapeutics, Inc. | 142 | 11/17/17 | USD | 44.00 | USD | 644 | (77,745 | ) |
| Vertex Pharmaceuticals, Inc. | 63 | 11/17/17 | USD | 165.00 | USD | 958 | (18,585 | ) |
| iRhythm Technologies, Inc. | 53 | 11/17/17 | USD | 50.00 | USD | 275 | (20,140 | ) |
| Abbott Laboratories | 251 | 11/20/17 | USD | 52.51 | USD | 1,339 | (45,975 | ) |
| Global Blood Therapeutics, Inc. | 56 | 12/15/17 | USD | 30.00 | USD | 174 | (26,600 | ) |
| Pfizer, Inc. | 182 | 12/15/17 | USD | 36.00 | USD | 650 | (12,740 | ) |
| Total | $ (2,446,851 | ) |
BLACKROCK HEALTH SCIENCES TRUST SEPTEMBER 30, 2017 5
Schedule of Investments (continued) BlackRock Health Sciences Trust (BME)
| OTC Options Written — Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||
|---|---|---|---|---|---|---|---|---|---|
| Call | |||||||||
| ResMed, Inc. | UBS AG | 12,300 | 10/17/17 | USD | 80.72 | USD | 947 | $ (3,598 | ) |
| Amedisys, Inc. | UBS AG | 21,700 | 10/25/17 | USD | 54.86 | USD | 1,214 | (46,020 | ) |
| Banco Santander SA | Credit Suisse International | 6,900 | 10/25/17 | EUR | 82.99 | EUR | 581 | (16,682 | ) |
| Rogers Corp. | Goldman Sachs International | 2,500 | 10/25/17 | CHF | 244.03 | CHF | 619 | (15,305 | ) |
| Dermira, Inc. | Barclays Bank PLC | 6,900 | 10/27/17 | USD | 26.67 | USD | 186 | (9,038 | ) |
| Novartis AG ADR | Citibank N.A. | 3,600 | 10/31/17 | USD | 86.00 | USD | 309 | (4,431 | ) |
| Stryker Corp. | Barclays Bank PLC | 11,700 | 11/02/17 | USD | 142.08 | USD | 1,662 | (28,169 | ) |
| Ultragenyx Pharmaceutical, Inc. | Barclays Bank PLC | 7,400 | 11/02/17 | USD | 54.92 | USD | 394 | (22,714 | ) |
| Service Corp. International | Barclays Bank PLC | 15,100 | 11/07/17 | USD | 34.95 | USD | 521 | (8,242 | ) |
| Masimo Corp. | Barclays Bank PLC | 10,500 | 11/08/17 | USD | 88.07 | USD | 909 | (38,426 | ) |
| Agilent Technologies, Inc. | Citibank N.A. | 14,300 | 11/10/17 | USD | 66.15 | USD | 918 | (13,202 | ) |
| AstraZeneca PLC | Goldman Sachs International | 19,900 | 11/15/17 | GBP | 49.78 | GBP | 988 | (37,916 | ) |
| Chugai Pharmaceutical Co., Ltd. | UBS AG | 5,900 | 11/16/17 | JPY | 4,769.13 | JPY | 27,589 | (6,592 | ) |
| Eisai Co., Ltd. | UBS AG | 5,000 | 11/16/17 | JPY | 6,012.14 | JPY | 28,892 | (3,901 | ) |
| GlaxoSmithKline PLC | Goldman Sachs International | 26,300 | 11/16/17 | GBP | 15.10 | GBP | 392 | (5,120 | ) |
| Rogers Corp. | Morgan Stanley & Co. International PLC | 900 | 11/16/17 | CHF | 251.74 | CHF | 223 | (3,039 | ) |
| Takeda Pharmaceutical Co., Ltd. | UBS AG | 5,400 | 11/16/17 | JPY | 6,280.91 | JPY | 33,600 | (5,309 | ) |
| Acceleron Pharma, Inc. | Citibank N.A. | 17,200 | 11/20/17 | USD | 39.00 | USD | 642 | (35,811 | ) |
| Stryker Corp. | Citibank N.A. | 13,600 | 11/27/17 | USD | 147.76 | USD | 1,931 | (13,088 | ) |
| Merck & Co., Inc. | Goldman Sachs International | 10,600 | 11/29/17 | EUR | 98.28 | EUR | 999 | (17,534 | ) |
| Boston Scientific Corp. | Morgan Stanley & Co. International PLC | 72,400 | 12/05/17 | USD | 28.75 | USD | 2,112 | (93,537 | ) |
| Total | $ (427,674 | ) |
BLACKROCK HEALTH SCIENCES TRUST SEPTEMBER 30, 2017 6
Schedule of Investments (continued) BlackRock Health Sciences Trust (BME)
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
Level 1 Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access
Level 2 Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other marketcorroborated inputs)
Level 3 Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trusts 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 Trusts 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 Trusts policy regarding valuation of investments and derivative financial instruments, refer to the Trusts most recent financial statements as contained in its semi-annual report.
The following tables summarize the Trusts investments and derivative financial instruments categorized in the disclosure hierarchy:
| Level 1 | Total | ||||||
|---|---|---|---|---|---|---|---|
| Assets: | |||||||
| Investments: | |||||||
| Common Stocks: | |||||||
| Biotechnology | $ 81,793,551 | | $ | 3,377,849 | $ 85,171,400 | ||
| Diversified Consumer Services | 1,493,850 | | | 1,493,850 | |||
| Health Care Equipment & Supplies | 75,673,651 | | | 75,673,651 | |||
| Health Care Providers & Services | 86,009,541 | | | 86,009,541 | |||
| Life Sciences Tools & Services | 7,552,080 | $ | 498,826 | | 8,050,906 | ||
| Pharmaceuticals | 48,817,370 | 15,876,949 | | 64,694,319 | |||
| Other Interests | | | 490,613 | 490,613 | |||
| Preferred Stock | | | 318,981 | 318,981 | |||
| Rights | | | 141,355 | 141,355 | |||
| Short-Term Securities | 10,936,223 | | | 10,936,223 | |||
| Total | $ 312,276,266 | $ | 16,375,775 | $ | 4,328,798 | $ 332,980,839 | |
| Derivative Financial Instruments 1 | |||||||
| Liabilities: | |||||||
| Equity contracts | $ (2,102,340 | ) | (772,185 | ) | | $ (2,874,525 | ) |
| 1 Derivative | |||||||
| financial instruments are options written, which are shown at value. |
BLACKROCK HEALTH SCIENCES TRUST SEPTEMBER 30, 2017 7
Schedule of Investments (concluded) BlackRock Health Sciences Trust (BME)
During the period ended September 30, 2017, there were no transfers between level 1 and level 2.
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 | Other Interests | Preferred Stocks | Rights | Total | ||
|---|---|---|---|---|---|---|
| Assets: | ||||||
| Opening Balance, as of December 31, 2016 | $ 1,452,303 | | $ 503,166 | $ 68,517 | $ 2,023,986 | |
| Transfers into Level 3 | | $ 104,588 | | | 104,588 | |
| Transfers out of Level 3 | | | | | | |
| Accrued discounts/premiums | | | | | | |
| Net realized gain (loss) | | | | | | |
| Net change in unrealized appreciation | ||||||
| (depreciation) 1 | 1,925,546 | 386,025 | (184,185 | ) | 72,838 | 2,200,224 |
| Purchases | | | | | | |
| Sales | | | | | | |
| Closing Balance, as of September 30, 2017 | $ 3,377,849 | $ 490,613 | $ 318,981 | $ 141,355 | $ 4,328,798 | |
| Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2017 1 | $ 1,925,546 | $ 386,025 | $ (184,185 | ) | $ 72,838 | $ 2,200,224 |
| 1 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, 2017 is generally due to derivative financial instruments no | ||||||
| longer held or categorized as Level 3 at period end. |
The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the Global Valuation Committee) to determine the value of certain of the Trusts Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $318,981. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments.
| Value | Valuation Approaches | Unobservable Inputs | Range of unobservable Inputs Utilized | Weighted Average of Unobservable Inputs | |
|---|---|---|---|---|---|
| Assets: | |||||
| Common Stocks | $ 3,377,849 | Income | Discount Rate 1 | 1.72% | |
| Discount Rate 1 | 3.20% | | |||
| Time to Exit 1 | 1 9 years | | |||
| Other Interests | 490,613 | Income | Discount Rate 1 | 2.5% | |
| Rights | 141,355 | Market | Scenario Probability 2 | 60% | |
| Time to Exit 1 | 2 years | | |||
| Total | $ 4,009,817 | ||||
| 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 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. |
BLACKROCK HEALTH SCIENCES TRUST SEPTEMBER 30, 2017 8
| Item 2 Controls and Procedures | |
|---|---|
| 2(a) | The registrants principal executive and principal financial officers, or persons performing similar functions, |
| have concluded that the registrants 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 registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants 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: |
|---|
| John M. Perlowski |
| Chief Executive Officer (principal executive officer) of |
| BlackRock Health Sciences Trust |
| Date: November 20, 2017 |
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 20, 2017 | |
| By: | /s/ Neal J. Andrews |
| Neal J. Andrews | |
| Chief Financial Officer (principal financial officer) of | |
| BlackRock Health Sciences Trust | |
| Date: November 20, 2017 |
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