BlackRock Health Sciences Trust (BME)

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: 10/31/2012

Date of reporting period: 07/31/2012

Item 1 – Schedule of Investments

 

 

Schedule of Investments July 31, 2012 (Unaudited)

  

 

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Common Stocks    Shares      Value  

Biotechnology – 30.4%

      

3SBio, Inc. - ADR (a)

      41,031       $ 454,623   

Achillion Pharmaceuticals, Inc. (a)

      23,385         154,809   

Acorda Therapeutics, Inc. (a)(b)(c)

      67,900         1,634,353   

Actelion Ltd.

      20,508         937,911   

Alexion Pharmaceuticals, Inc. (a)(b)

      72,300         7,580,655   

Alnylam Pharmaceuticals, Inc. (a)(b)

      25,336         473,530   

Amgen, Inc. (b)

      119,700         9,887,220   

Amylin Pharmaceuticals, Inc. (a)

      29,500         908,305   

Arena Pharmaceuticals, Inc. (a)(b)(c)

      57,200         478,192   

Ariad Pharmaceuticals, Inc. (a)(b)

      137,478         2,629,954   

Arqule, Inc. (a)(b)(c)

      36,800         222,640   

Biogen Idec, Inc. (a)(b)

      54,680         7,973,984   

BioMarin Pharmaceutical, Inc. (a)(b)

      28,200         1,107,978   

Celgene Corp. (a)(b)

      93,800         6,421,548   

ChemoCentryx, Inc. (a)

      17,053         247,098   

CSL Ltd.

      17,800         796,029   

Cubist Pharmaceuticals, Inc. (a)(b)(c)

      42,000         1,808,520   

Exelixis, Inc. (a)(b)

      146,300         914,375   

Genmab A/S (a)

      15,683         160,907   

Genomic Health, Inc. (a)(b)

      15,400         516,978   

Gilead Sciences, Inc. (a)(b)

      54,566         2,964,571   

Halozyme Therapeutics, Inc. (a)(b)

      40,504         365,346   

Incyte Corp. Ltd. (a)(b)(c)

      99,900         2,496,501   

Medivation, Inc. (a)(b)(c)

      32,100         3,200,370   

Momenta Pharmaceuticals, Inc. (a)(b)(c)

      29,300         416,646   

Onyx Pharmaceuticals, Inc. (a)(b)

      26,090         1,955,967   

Pharmacyclics, Inc. (a)(b)

      53,542         2,848,970   

Protalix BioTherapeutics, Inc. (a)

      113,170         658,649   

Seattle Genetics, Inc. (a)(b)

      25,000         654,000   

Synta Pharmaceuticals Corp. (a)(b)

      38,900         285,915   

Verastem, Inc. (a)

      16,500         154,110   

Vertex Pharmaceuticals, Inc. (a)(b)

      64,505         3,129,138   
     

 

 

  
        64,439,792   

 

  

Diversified Consumer Services – 0.6%

      

Service Corp. International

      41,400         531,990   

Stewart Enterprises, Inc., Class A

      94,200         643,386   
     

 

 

  
        1,175,376   

 

  

Food & Staples Retailing – 1.7%

      

Brazil Pharma SA

      104,000         621,706   

CVS Caremark Corp. (b)

      66,300         3,000,075   

 

3,621,781

  

Health Care Equipment & Supplies – 13.7%

  

   

Align Technology, Inc. (a)(b)(c)

      74,474         2,529,137   

ArthroCare Corp. (a)

      22,680         670,875   

Baxter International, Inc. (b)

      28,300         1,655,833   

The Cooper Cos., Inc. (b)

      32,400         2,438,424   

Covidien Plc

      40,000         2,235,200   

Cyberonics, Inc. (a)(b)

      26,371         1,141,864   

DENTSPLY International, Inc.

      29,200         1,061,128   

Edwards Lifesciences Corp. (a)(b)(c)

      24,200         2,449,040   

 

Common Stocks    Shares      Value  

Health Care Equipment & Supplies (concluded)

  

   

Given Imaging Ltd. (b)

      21,700       $ 304,885   

HeartWare International, Inc. (a)(b)

      11,500         1,026,835   

Intuitive Surgical, Inc. (a)(b)

      4,930         2,373,795   

Medtronic, Inc. (b)

      28,200         1,111,644   

ResMed, Inc. (a)(b)

      54,400         1,716,864   

Sirona Dental Systems, Inc. (a)(b)

      16,400         708,972   

Stryker Corp. (b)

      49,900         2,596,297   

Thoratec Corp. (a)(b)

      31,700         1,087,627   

Zimmer Holdings, Inc. (b)

      66,600         3,924,738   

 

29,033,158

  

Health Care Providers & Services – 16.4%

  

   

Aetna, Inc.

      41,011         1,478,857   

AMERIGROUP Corp. (a)

      8,300         746,004   

AmerisourceBergen Corp. (b)

      26,800         1,063,960   

Brookdale Senior Living, Inc. (a)(b)

      65,000         1,069,900   

Capital Senior Living Corp. (a)

      47,200         530,528   

Cardinal Health, Inc. (b)

      63,700         2,744,833   

Catamaran Corp. (a)(b)

      32,700         2,763,477   

CIGNA Corp. (b)

      24,700         994,916   

Express Scripts Holding Co. (a)(b)

      100,576         5,827,373   

HCA Holdings, Inc. (b)

      42,100         1,114,808   

Henry Schein, Inc. (a)(b)(c)

      16,500         1,234,365   

Humana, Inc. (b)

      7,143         440,009   

McKesson Corp. (b)

      43,200         3,919,536   

Quest Diagnostics, Inc. (b)

      31,149         1,820,036   

Team Health Holdings, Inc. (a)

      37,085         990,170   

UnitedHealth Group, Inc. (b)

      77,834         3,976,539   

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

      26,600         1,039,528   

VCA Antech, Inc. (a)(b)(c)

      82,642         1,504,084   

WellPoint, Inc. (b)

      28,800         1,534,752   

 

34,793,675

  

Health Care Technology – 0.7%

      

Cerner Corp. (a)(b)(c)

      20,300         1,500,576   

 

  

Industrial Conglomerates – 0.6%

      

Koninklijke Philips Electronics NV

      57,833         1,271,882   

 

  

Life Sciences Tools & Services – 3.1%

      

ICON Plc - ADR (a)

      54,700         1,319,911   

Life Technologies Corp. (a)(b)

      25,300         1,110,164   

Luminex Corp. (a)

      27,800         476,214   

Mettler-Toledo International, Inc. (a)(c)

      3,800         588,240   

Thermo Fisher Scientific, Inc. (b)

      33,400         1,859,378   

Waters Corp. (a)(b)

      14,215         1,101,378   
        6,455,285   

 

  

Pharmaceuticals – 29.0%

      

Abbott Laboratories (b)

      89,700         5,948,007   

Allergan, Inc. (b)

      54,200         4,448,194   

Bayer AG

      14,100         1,070,936   

Elan Corp. Plc - ADR (a)(b)

      69,900         807,345   

Eli Lilly & Co. (b)

      49,800         2,192,694   
 

 

 

Portfolio Abbreviations

 

 

To simplify the listings of portfolio holdings in the Schedule of

   ADR      American Depositary Receipt    DKK      Danish Krone
Investments, the names and descriptions of many securities have   AUD      Australian Dollar    EUR      Euro

been abbreviated according to the following list:

   CHF      Swiss Franc    USD      US Dollar

 

                 
        JULY 31, 2012    1

 

 

Schedule of Investments (continued)

  

 

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Common Stocks   Shares      Value  

Pharmaceuticals (concluded)

     

Endo Health Solutions, Inc. (a)(b)

     34,700       $ 1,031,631   

Forest Laboratories, Inc. (a)(b)

     29,900         1,003,145   

Hospira, Inc. (a)(b)(c)

     31,100         1,080,725   

Johnson & Johnson (b)

     101,970         7,058,363   

Merck & Co., Inc. (b)

     132,500         5,852,525   

Merck KGaA

     16,600         1,669,521   

Nektar Therapeutics (a)(b)

     91,400         778,728   

Novartis AG

     21,700         1,274,203   

Perrigo Co. (b)

     15,700         1,790,114   

Pfizer, Inc. (b)

     299,000         7,187,960   

Roche Holding AG

     31,300         5,542,467   

Sanofi SA

     71,000         5,792,742   

Teva Pharmaceutical Industries
Ltd. - ADR (b)

     41,700         1,705,113   

UCB SA

     23,800         1,190,659   

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

     25,400         1,208,024   

Vivus, Inc. (a)(b)

     36,345         764,335   

Watson Pharmaceuticals, Inc. (a)(b)

     26,900         2,093,627   
    

 

 

  
       61,491,058   

 

  

Total Long-Term Investments

(Cost – $ 177,277,618) – 96.2%

              203,782,583   
    
    
    
Short-Term Securities               

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (d)(f)

     13,609,366         13,609,366   
     Beneficial
Interest
(000)		          

BlackRock Liquidity Series, LLC Money Market Series,
0.30% (d)(e)(f)

     $  6,320         6,319,645   

Total Short-Term Securities

(Cost – $ 19,929,011) – 9.4%

        19,929,011   

Total Investments Before Outstanding Options Written

(Cost – $ 197,206,629*) – 105.6%

  

  

      223,711,594   
    
    
Options Written   Contracts          

Exchange-Traded Call Options – (1.1)%

  

   

Abbott Laboratories, Strike Price USD 65.70, Expires 8/18/12

     210         (25,449 ) 

Acorda Therapeutics, Inc., Strike Price USD 26, Expires 8/20/12

     225         (8,438 ) 

Alexion Pharmaceuticals, Inc., Strike Price USD 100, Expires 8/20/12

     220         (140,800 ) 

Align Technology, Inc., Strike Price USD 35, Expires 9/24/12

     245         (45,325 ) 

Allergan, Inc., Strike Price USD 95, Expires 8/10/12

     165         (452 ) 

Alnylam Pharmaceuticals, Inc., Strike Price USD 20, Expires 9/24/12

     80         (7,400 ) 

AmerisourceBergen Corp.:

     

Strike Price USD 39, Expires 8/20/12

     50         (5,625 ) 

Strike Price USD 40, Expires 8/20/12

     40         (2,200 ) 

Amgen, Inc.:

     

Strike Price USD 70, Expires 8/08/12

     340         (428,400 ) 

Strike Price USD 82.50, Expires 9/24/12

     60         (15,270 ) 
Options Written   Contracts      Value  

Exchange-Traded Call Options (continued)

  

   

Arena Pharmaceuticals, Inc., Strike Price USD 14, Expires 8/20/12

     190       $ (665 ) 

Ariad Pharmaceuticals, Inc., Strike Price USD 20, Expires 8/20/12

     450         (19,125 ) 

Arqule, Inc., Strike Price USD 6, Expires 9/27/12

     120         (5,445 ) 

Baxter International, Inc.:

     

Strike Price USD 50, Expires 8/20/12

     45         (38,588 ) 

Strike Price USD 57.50, Expires 11/19/12

     90         (26,235 ) 

Bayer AG, Strike Price EUR 62, Expires 8/17/12

     75         (12,459 ) 

Biogen Idec, Inc.:

     

Strike Price USD 145, Expires 8/20/12

     110         (36,850 ) 

Strike Price USD 145, Expires 9/24/12

     70         (40,950 ) 

BioMarin Pharmaceutical, Inc., Strike Price USD 40, Expires 9/24/12

     100         (28,750 ) 

Brookdale Senior Living, Inc., Strike Price USD 17.50, Expires 8/20/12

     215         (5,913 ) 

Cardinal Health, Inc.:

     

Strike Price USD 42.10, Expires 8/08/12

     135         (15,295 ) 

Strike Price USD 43, Expires 8/20/12

     90         (9,900 ) 

Catamaran Corp.:

     

Strike Price USD 105, Expires 8/20/12

     10         (400 ) 

Strike Price USD 92.50, Expires 8/20/12

     45         (4,275 ) 

Strike Price USD 95, Expires 8/20/12

     45         (2,812 ) 

Celgene Corp.:

     

Strike Price USD 62.50, Expires 8/20/12

     40         (24,900 ) 

Strike Price USD 67.50, Expires 8/20/12

     105         (22,785 ) 

Strike Price USD 70, Expires 8/20/12

     110         (10,010 ) 

Strike Price USD 72.50, Expires 9/24/12

     55         (5,940 ) 

Cerner Corp., Strike Price USD 80, Expires 9/24/12

     106         (11,395 ) 

CIGNA Corp., Strike Price USD 43, Expires 9/24/12

     80         (7,400 ) 

The Cooper Cos., Inc., Strike Price USD 85, Expires 8/20/12

     85         (2,125 ) 

Cubist Pharmaceuticals, Inc., Strike Price USD 42, Expires 9/24/12

     135         (31,725 ) 

CVS Caremark Corp.:

     

Strike Price USD 46, Expires 8/20/12

     165         (10,973 ) 

Strike Price USD 48, Expires 8/20/12

     60         (990 ) 

Strike Price USD 49, Expires 8/20/12

     210         (1,575 ) 

Cyberonics, Inc., Strike Price USD 45, Expires 9/24/12

     85         (14,662 ) 

Edwards Lifesciences Corp.:

     

Strike Price USD 105, Expires 8/20/12

     30         (2,925 ) 

Strike Price USD 110, Expires 11/19/12

     55         (18,700 ) 

Eli Lilly & Co.:

     

Strike Price USD 43, Expires 8/20/12

     30         (4,140 ) 

Strike Price USD 44, Expires 9/24/12

     185         (29,508 ) 

Endo Health Solutions, Inc., Strike Price USD 30, Expires 8/20/12

     100         (7,500 ) 

Exelixis, Inc.:

     

Strike Price USD 6, Expires 8/20/12

     300         (14,250 ) 

Strike Price USD 6, Expires 9/24/12

     190         (11,875 ) 
 

 

                 
2         JULY 31, 2012   

 

 

Schedule of Investments (continued)

  

 

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Options Written   Contracts      Value  

Exchange-Traded Call Options (continued)

  

Express Scripts Holding Co.:

     

Strike Price USD 55, Expires 8/20/12

     215       $ (75,250 ) 

Strike Price USD 60, Expires 11/19/12

     137         (32,948 ) 

Forest Laboratories, Inc., Strike Price USD 36, Expires 8/20/12

     99         (2,722 ) 

Genomic Health, Inc., Strike Price USD 35, Expires 9/24/12

     50         (7,250 ) 

Gilead Sciences, Inc., Strike Price USD 55, Expires 8/20/12

     165         (13,943 ) 

Given Imaging Ltd., Strike Price USD 17.50, Expires 11/19/12

     75         (4,312 ) 

Halozyme Therapeutics, Inc., Strike Price USD 10, Expires 9/24/12

     200         (13,500 ) 

HCA Holdings, Inc.:

     

Strike Price USD 30, Expires 8/20/12

     55         (688 ) 

Strike Price USD 28, Expires 9/24/12

     70         (6,125 ) 

HeartWare International, Inc., Strike Price USD 90, Expires 8/20/12

     35         (8,925 ) 

Henry Schein, Inc., Strike Price USD 80, Expires 8/20/12

     50         (4,000 ) 

Hospira, Inc., Strike Price USD 36.25, Expires 9/18/12

     100         (14,485 ) 

Humana, Inc., Strike Price USD 80, Expires 8/20/12

     20         (100 ) 

Incyte Corp. Ltd., Strike Price USD 30, Expires 8/20/12

     75         (1,312 ) 

Intuitive Surgical, Inc., Strike Price USD 490, Expires 8/20/12

     15         (12,450 ) 

Johnson & Johnson:

     

Strike Price USD 66.75, Expires 8/07/12

     195         (48,165 ) 

Strike Price USD 70, Expires 9/24/12

     145         (9,860 ) 

Life Technologies Corp., Strike Price USD 45, Expires 8/20/12

     80         (10,200 ) 

McKesson Corp., Strike Price USD 90, Expires 8/20/12

     135         (24,975 ) 

Medivation, Inc., Strike Price USD 85, Expires 8/20/12

     110         (168,300 ) 

Medtronic, Inc., Strike Price USD 38, Expires 8/20/12

     180         (29,430 ) 

Merck & Co., Inc.:

     

Strike Price USD 43, Expires 8/20/12

     145         (20,445 ) 

Strike Price USD 44, Expires 9/24/12

     50         (5,525 ) 

Momenta Pharmaceuticals, Inc., Strike Price USD 15, Expires 9/24/12

     97         (6,790 ) 

Nektar Therapeutics, Strike Price USD 10, Expires 9/24/12

     250         (7,500 ) 

Novartis AG, Strike Price CHF 56, Expires 8/17/12

     75         (11,828 ) 

Onyx Pharmaceuticals, Inc.:

     

Strike Price USD 70, Expires 8/20/12

     35         (21,175 ) 

Strike Price USD 80, Expires 9/24/12

     50         (18,000 ) 

Perrigo Co., Strike Price USD 115, Expires 8/20/12

     45         (10,125 ) 

Pfizer, Inc., Strike Price USD 22.85, Expires 8/18/12

     345         (41,804 ) 

Pharmacyclics, Inc.:

     

Strike Price USD 42, Expires 8/20/12

     180         (207,900 ) 

Strike Price USD 55, Expires 8/20/12

     9         (1,912 ) 

Strike Price USD 60, Expires 8/20/12

     18         (1,440 ) 

Quest Diagnostics, Inc., Strike Price USD 60, Expires 8/20/12

     100         (5,000 ) 

ResMed, Inc.:

     

Strike Price USD 35, Expires 8/20/12

     50         (2,000 ) 

Strike Price USD 32, Expires 9/27/12

     130         (22,516 ) 
Options Written   Contracts      Value  

Exchange-Traded Call Options (concluded)

  

Seattle Genetics, Inc., Strike Price USD 30, Expires 8/20/12

     75       $ (2,062 ) 

Sirona Dental Systems, Inc., Strike Price USD 45, Expires 8/20/12

     49         (4,042 ) 

Stryker Corp.:

     

Strike Price USD 55, Expires 8/20/12

     50         (375 ) 

Strike Price USD 52.50, Expires 9/24/12

     115         (15,525 ) 

Synta Pharmaceuticals Corp., Strike Price USD 7.50, Expires 9/24/12

     200         (18,500 ) 

Teva Pharmaceutical Industries Ltd. - ADR:

  

Strike Price USD 40, Expires 8/20/12

     100         (12,950 ) 

Strike Price USD 42.50, Expires 8/20/12

     30         (885 ) 

Thermo Fisher Scientific, Inc.:

     

Strike Price USD 55, Expires 8/20/12

     30         (4,425 ) 

Strike Price USD 55, Expires 9/24/12

     80         (17,400 ) 

Thoratec Corp.:

     

Strike Price USD 36, Expires 8/20/12

     50         (4,375 ) 

Strike Price USD 37, Expires 8/20/12

     50         (3,125 ) 

UCB SA, Strike Price EUR 41, Expires 8/17/12

     75         (6,645 ) 

UnitedHealth Group, Inc.:

     

Strike Price USD 55, Expires 9/24/12

     160         (9,360 ) 

Strike Price USD 57.50, Expires 9/24/12

     150         (3,450 ) 

Universal Health Services, Inc., Class B:

     

Strike Price USD 40, Expires 8/20/12

     20         (1,200 ) 

Strike Price USD 40, Expires 9/24/12

     60         (7,800 ) 

Valeant Pharmaceuticals International, Inc., Strike Price USD 50, Expires 9/24/12

     80         (21,600 ) 

VCA Antech, Inc.:

     

Strike Price USD 22.50, Expires 8/20/12

     135         (1,350 ) 

Strike Price USD 22.50, Expires 9/24/12

     135         (1,350 ) 

Vertex Pharmaceuticals, Inc.:

     

Strike Price USD 70, Expires 8/20/12

     30         (300 ) 

Strike Price USD 55, Expires 9/24/12

     200         (25,500 ) 

Vivus, Inc., Strike Price USD 34, Expires 8/20/12

     125         (375 ) 

Waters Corp., Strike Price USD 85, Expires 8/20/12

     44         (660 ) 

Watson Pharmaceuticals, Inc., Strike Price USD 75, Expires 9/24/12

     90         (40,500 ) 

WellPoint, Inc., Strike Price USD 62.50, Expires 9/24/12

     115         (2,242 ) 

Zimmer Holdings, Inc.:

     

Strike Price USD 60.50, Expires 8/07/12

     90         (2,190 ) 

Strike Price USD 65, Expires 8/20/12

     130         (975 ) 

 

  

Total Exchange-Traded Call Options

  

      (2,242,460 ) 

 

  

Exchange-Traded Put Options – (0.0)%

  

   

Elan Corp. Plc - ADR, Strike Price USD 11, Expires 8/20/12

     180         (14,400 ) 

 

  

Over-the-Counter Call Options – (0.3)%

  

   

Abbott Laboratories, Strike Price USD 66.02, Expires 8/23/12, Broker Morgan Stanley & Co., Inc.

     3,300         (3,764 ) 
 

 

                 
        JULY 31, 2012    3

 

 

Schedule of Investments (continued)

  

 

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Options Written   Contracts      Value  

Over-the-Counter Call Options (continued)

  

Actelion Ltd.:

     

Strike Price CHF 40.47, Expires 8/13/12, Broker Deutsche Bank Securities Corp.

     4,300         $  (18,404)   

Strike Price CHF 44.24, Expires 9/12/12, Broker UBS Securities LLC

     2,500         (5,452 ) 

Capital Senior Living Corp., Strike Price USD 11.87, Expires 9/28/12, Broker Banc of America Securities

     15,600         (2,667 ) 

Covidien Plc, Strike Price USD 53.62, Expires 8/09/12, Broker Goldman Sachs & Co.

     20,000         (45,200 ) 

CSL Ltd., Strike Price AUD 39.35, Expires 8/13/12, Broker Citigroup Global Markets, Inc.

     5,300         (18,068 ) 

DENTSPLY International, Inc., Strike Price USD 38.33, Expires 8/07/12, Broker Banc of America Securities

     6,000         (242 ) 

Elan Corp. Plc - ADR, Strike Price USD 16, Expires 8/13/12, Broker Banc of America Securities

     21,500         (2 ) 

ICON Plc - ADR, Strike Price USD 23.63, Expires 9/10/12, Broker Banc of America Securities

     18,000         (21,534 ) 

Incyte Corp. Ltd., Strike Price USD 24.98,

     

Expires 8/08/12, Broker Deutsche Bank Securities Corp.

     25,500         (19,357 ) 

Koninklijke Philips Electronics NV, Strike Price EUR 15.05, Expires 8/13/12, Broker UBS Securities LLC

     19,000         (66,525 ) 

Merck & Co., Inc.:

     

Strike Price USD 37.72, Expires 8/06/12, Broker Morgan Stanley & Co., Inc.

     13,500         (87,043 ) 

Strike Price USD 37.72, Expires 8/10/12, Broker Morgan Stanley & Co., Inc.

     13,500         (87,043 ) 

Merck KGaA, Strike Price EUR 79.34, Expires 9/12/12, Broker UBS Securities LLC

     5,500         (25,705 ) 

Pfizer, Inc.:

     

Strike Price USD 21.93, Expires 8/07/12, Broker Deutsche Bank Securities Corp.

     16,500         (34,749 ) 

Strike Price USD 23.68, Expires 9/07/12, Broker Morgan Stanley & Co., Inc.

     53,000         (37,576 ) 
Options Written   Contracts      Value  

Over-the-Counter Call Options (concluded)

  

Roche Holding AG:

     

Strike Price CHF 162.97, Expires 8/13/12, Broker Banc of America Securities

     4,200       $ (42,674 ) 

Strike Price CHF 170.49, Expires 9/12/12, Broker Citigroup Global Markets, Inc.

     6,100         (27,678 ) 

Sanofi SA:

     

Strike Price EUR 58.13, Expires 8/13/12, Broker Citigroup Global Markets, Inc.

     18,000         (181,243 ) 

Strike Price EUR 62.57, Expires 9/12/12, Broker Morgan Stanley & Co., Inc.

     5,500         (27,536 ) 

Service Corp. International, Strike Price USD 13.07, Expires 9/06/12, Broker UBS Securities LLC

     13,500         (4,217 ) 

Stewart Enterprises, Inc., Class A, Strike Price USD 7.14, Expires 8/03/12, Broker Goldman Sachs & Co.

     31,000         (133 ) 

 

  

Total Over-the-Counter Call Options

  

      (756,812 ) 

 

  

Total Options Written

(Premiums Received – $1,900,472) – (1.4)%

  

  

      (3,013,672 ) 

 

  

Total Investments Net of Outstanding
Options Written – 104.2%

  

      220,697,922   

Liabilities in Excess of Other Assets – (4.2)%

  

      (8,918,246 ) 
    

 

 

  

Net Assets – 100.0%

      $ 211,779,676   
    

 

 

  

 

* As of July 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

    $  199,869,838   
  

 

 

  

Gross unrealized appreciation

    $ 27,563,150   

Gross unrealized depreciation

      (3,721,394 ) 
  

 

 

  

Net unrealized appreciation

    $ 23,841,756   
  

 

 

  

 

(a) Non-income producing security.
(b) All or a portion of security has been pledged/segregated as collateral in connection with outstanding options written.
(c) Security, or a portion of security, is on loan.
(d) Represents the current yield as of report date.
(e) Security was purchased with the cash collateral from loaned securities.
 

 

(f) Investments in companies considered to be an affiliate of the Trust during the period, 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,

2011

     

Net

Activity

     

Shares/
Beneficial
Interest

Held at

July 31,

2012

      Realized
Gain		      Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

      7,801,065         5,808,301         13,609,366         $178         $12,069   

BlackRock Liquidity Series, LLC Money Market Series

      $7,320,205         $(1,000,560)         $6,319,645         –           $14,570   

 

                 
4         JULY 31, 2012   

 

 

Schedule of Investments (concluded)

  

 

BlackRock Health Sciences Trust (BME)

 

—  

Foreign currency exchange contracts as of July 31, 2012 were as follows:

 

 

  

Currency

Purchased

    Currency
Sold		      Counterparty    Settlement
Date		      Unrealized
Appreciation		  

 

  
DKK    49,000    USD     8,072       Citigroup Global Markets, Inc.      8/01/12         $  30   
DKK    18,000    USD 2,963       Citigroup Global Markets, Inc.      8/02/12         13   

 

  
Total               $  43   
           

 

 

  

 

—  

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 Trust management. These definitions 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 derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

  —  

Level 1 - unadjusted 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 derivative financial instruments)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value disclosure 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 investment and derivative financial instrument 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 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 Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy as of July 31, 2012:

 

 

  
    Level 1     Level 2     Level 3   Total  

 

  

Assets:

        

Investments:

        

Long-Term Investments:

        

Common Stocks:

        

Biotechnology

   $ 63,482,856      $ 956,936      –   $ 64,439,792   

Diversified Consumer Services

     1,175,376        –      –     1,175,376   

Food & Staples Retailing

     3,621,781        –      –     3,621,781   

Health Care Equipment & Supplies

     29,033,158        –      –     29,033,158   

Health Care Providers & Services

     34,793,675        –      –     34,793,675   

Health Care Technology

     1,500,576        –      –     1,500,576   

Industrial Conglomerates

     –        1,271,882      –     1,271,882   

Life Sciences Tools & Services

     6,455,285        –      –     6,455,285   

Pharmaceuticals

     44,950,530        16,540,528      –     61,491,058   

Short-Term Securities

     13,609,366        6,319,645      –     19,929,011   

 

  

Total

   $ 198,622,603      $   25,088,991      –   $ 223,711,594   
 

 

 

  

 

 

  
    Level 1     Level 2     Level 3   Total  

 

  

Derivative Financial Instruments1

        

Assets:

        

Foreign currency exchange contracts

   $ 43        –      –   $ 43   

Liabilities:

        

Equity contracts

     (1,621,729 )    $ (1,391,943 )    –     (3,013,672 ) 

 

  

Total

   $ (1,621,686 )    $ (1,391,943 )    –   $ (3,013,629 ) 
 

 

 

  

 

1 

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

Certain of the Trust’s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of July 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

  
    Level 1     Level 2     Level 3   Total  

 

  

Assets:

        

Cash pledged as collateral for options written

   $ 207,901        –      –   $ 207,901   

Foreign currency

     2,852        –      –     2,852   

Liabilities:

        

Collateral on securities loaned at value

     –      $ (6,319,645 )    –     (6,319,645 ) 

Total

   $ 210,753      $ (6,319,645 )    –   $ (6,108,892 ) 

There were no transfers between levels during the period ended July 31, 2012.

 

 

                 
        JULY 31, 2012    5

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: September 25, 2012

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: September 25, 2012

 

By:      

/s/ Neal J. Andrews

  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Health Sciences Trust

Date: September 25, 2012