NPORT-EX 2 NPORT_5849335872671560.htm BlackRock Health Sciences Trust

Schedule of Investments  (unaudited)

March 31, 2020

  

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks — 99.0%

 

Biotechnology — 20.7%  

ACADIA Pharmaceuticals, Inc.(a)(b)

    10,320     $ 436,020  

Acceleron Pharma, Inc.(a)(b)

    36,751       3,302,812  

Acerta Pharma BV, Series B, (Acquired 2/01/16, cost $986,402)(c)(d)

    17,146,440       2,030,138  

Agios Pharmaceuticals, Inc.(a)

    24,550       871,034  

Alector, Inc.(a)(b)

    20,941       505,306  

Alexion Pharmaceuticals, Inc.(a)(b)

    22,638       2,032,666  

Allakos, Inc.(a)(b)

    31,025       1,380,302  

Allogene Therapeutics, Inc.(a)

    40,796       793,074  

Alnylam Pharmaceuticals, Inc.(a)(b)

    31,268       3,403,522  

Amgen, Inc.(b)

    58,918       11,944,446  

Apellis Pharmaceuticals, Inc.(a)

    22,450       601,436  

Arcutis Biotherapeutics, Inc.(a)

    5,322       158,596  

Arena Pharmaceuticals, Inc.(a)(b)

    28,554       1,199,268  

Atreca, Inc., Class A(a)

    19,203       317,810  

Biogen, Inc.(a)(b)

    14,600       4,619,148  

BioMarin Pharmaceutical, Inc.(a)(b)

    54,878       4,637,191  

Blueprint Medicines Corp.(a)(b)

    9,503       555,735  

ChemoCentryx, Inc.(a)(b)

    7,300       293,314  

Corbus Pharmaceuticals Holdings, Inc.(a)(e)

    34,538       180,979  

Dicerna Pharmaceuticals, Inc.(a)

    14,600       268,202  

Eidos Therapeutics, Inc.(a)(b)

    8,058       394,761  

Galapagos NV, ADR(a)(b)

    5,722       1,121,054  

Genfit ADR(e)

    7,123       102,642  

Genmab A/S(a)

    14,173       2,846,910  

Genmab A/S, ADR(a)(b)

    38,411       813,929  

Gilead Sciences, Inc.(b)

    73,387       5,486,412  

Halozyme Therapeutics, Inc.(a)(b)

    25,750       463,243  

Immunomedics, Inc.(a)

    18,500       249,380  

Immunovant, Inc.(a)

    34,300       533,880  

Incyte Corp.(a)(b)

    25,137       1,840,783  

Kodiak Sciences, Inc.(a)(b)

    4,500       214,650  

Mirati Therapeutics, Inc.(a)(b)

    9,401       722,655  

Molecular Templates, Inc.(a)(b)

    21,176       281,429  

Neurocrine Biosciences, Inc.(a)(b)

    35,312       3,056,254  

NextCure, Inc.(a)

    10,934       405,323  

Passage Bio, Inc.(a)

    8,140       128,205  

Principia Biopharma, Inc.(a)

    4,135       245,536  

Ra Pharmaceuticals, Inc.(a)

    45,620       2,190,216  

Rapt Therapeutics, Inc.(a)

    8,550       181,859  

Regeneron Pharmaceuticals, Inc.(a)(b)

    8,200       4,003,978  

Sarepta Therapeutics, Inc.(a)

    8,408       822,471  

Seattle Genetics, Inc.(a)(b)

    60,468       6,976,798  

Syndax Pharmaceuticals, Inc.(a)

    22,428       246,035  

Vertex Pharmaceuticals, Inc.(a)(b)

    40,163       9,556,786  
   

 

 

 
      82,416,188  
Health Care Equipment & Supplies — 28.5%  

Abbott Laboratories(b)

    219,600       17,328,636  

ABIOMED, Inc.(a)(b)

    10,307       1,496,164  

Alcon, Inc.(a)(b)

    111,323       5,657,435  

Baxter International, Inc.(b)

    123,566       10,032,324  
Security   Shares     Value  
Health Care Equipment & Supplies (continued)  

Becton Dickinson & Co.(b)

    17,353     $ 3,987,199  

Boston Scientific Corp.(a)(b)

    279,203       9,110,394  

ConvaTec Group PLC(f)

    1,066,374       2,451,857  

Edwards Lifesciences Corp.(a)(b)

    52,215       9,848,793  

Envista Holdings Corp.(b)

    36,250       541,575  

Intuitive Surgical, Inc.(a)(b)

    17,378       8,605,760  

Masimo Corp.(a)(b)

    29,400       5,207,328  

Medtronic PLC(b)

    135,596       12,228,047  

Nevro Corp.(a)(b)

    13,182       1,317,936  

ResMed, Inc.(b)

    24,394       3,592,992  

SI-BONE, Inc.(a)

    4,237       50,632  

Silk Road Medical, Inc.(a)(b)

    9,292       292,512  

Stryker Corp.(b)

    58,936       9,812,255  

Teleflex, Inc.(b)

    18,400       5,388,624  

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

    41,549       4,265,420  

Zimmer Biomet Holdings, Inc.(b)

    22,684       2,292,899  
   

 

 

 
      113,508,782  
Health Care Providers & Services — 21.6%  

Amedisys, Inc.(a)(b)

    18,332       3,364,655  

AmerisourceBergen Corp.

    13,700       1,212,450  

Anthem, Inc.(b)

    37,297       8,467,911  

Arcutis Biotherapeutics, Inc. Series C, (Acquired 2/01/16, cost $431,098)(d)

    37,056       1,067,460  

Centene Corp.(a)(b)

    75,161       4,465,315  

Cigna Corp.(a)(b)

    52,317       9,269,526  

Encompass Health Corp.(b)

    37,657       2,411,178  

HCA Healthcare, Inc.(b)

    46,691       4,195,186  

Health Care Select Sector SPDR Fund(b)

    48,300       4,278,414  

Humana, Inc.(b)

    28,700       9,012,374  

LHC Group, Inc.(a)(b)

    19,664       2,756,893  

Oak Street Health LLC, Series III-E, (Acquired 2/01/16, cost $575,147)(c)(d)

    3,680       575,147  

Quest Diagnostics, Inc.(b)

    12,364       992,829  

UnitedHealth Group, Inc.(b)

    135,902       33,891,241  
   

 

 

 
      85,960,579  
Health Care Technology — 1.5%  

Cerner Corp.(b)

    9,347       588,767  

Teladoc Health, Inc.(a)(b)

    36,070       5,591,211  
   

 

 

 
      6,179,978  
Life Sciences Tools & Services — 5.3%  

10X Genomics, Inc., Class A(a)(b)

    4,779       297,827  

Agilent Technologies, Inc.(b)

    27,180       1,946,632  

Avantor, Inc.(a)(b)

    133,844       1,671,711  

Illumina, Inc.(a)(b)

    13,692       3,739,559  

IQVIA Holdings, Inc.(a)(b)

    25,443       2,744,282  

PPD, Inc.(a)(b)

    76,870       1,369,055  

Thermo Fisher Scientific, Inc.(b)

    20,511       5,816,919  

WuXi AppTec Co. Ltd., Class H(f)

    155,020       1,884,404  
 

 

 

     1  


Schedule of Investments  (unaudited) (continued)

March 31, 2020

  

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

    
Security
      
Shares
        
Value
 
Life Sciences Tools & Services (continued)  

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

    118,000     $ 1,506,486  
   

 

 

 
      20,976,875  

Pharmaceuticals — 21.4%

 

AstraZeneca PLC

    39,636       3,531,524  

Bristol-Myers Squibb Co.(b)

    161,103       8,979,881  

Eisai Co. Ltd.

    30,000       2,194,422  

Eli Lilly & Co.(b)

    73,223       10,157,494  

GlaxoSmithKline PLC

    97,482       1,829,168  

Hansoh Pharmaceutical Group Co. Ltd.(a)(f)

    812,000       2,713,273  

Hua Medicine(a)(f)

    735,105       289,197  

Johnson & Johnson(b)

    70,837       9,288,856  

Merck & Co., Inc.(b)

    134,267       10,330,503  

Merck KGaA

    24,396       2,463,070  

MyoKardia, Inc.(a)(b)

    13,891       651,210  

Nektar Therapeutics(a)

    24,013       428,632  

Pfizer, Inc.(b)

    275,648       8,997,151  

Reata Pharmaceuticals, Inc., Class A(a)

    4,223       609,548  

Roche Holding AG

    12,327       3,966,112  

Sanofi

    65,985       5,712,638  

Sanofi — ADR(b)

    53,135       2,323,062  

Tricida, Inc.(a)

    12,925       284,350  

Urovant Sciences Ltd.(a)(e)

    6,784       62,548  

Zoetis, Inc.(b)

    89,614       10,546,672  
   

 

 

 
      85,359,311  
   

 

 

 

Total Common Stocks — 99.0%
(Cost — $291,579,142)

 

    394,401,713  
   

 

 

 
Security   Beneficial
Interest (0000)
    Value  

Other Interests(g) — 0.1%

 

Pharmaceuticals — 0.1%  

Afferent Pharmaceuticals, Inc.(c)

    190     $ 231,995  
   

 

 

 

Total Other Interests — 0.1%
(Cost — $—)

 

    231,995  
   

 

 

 
     Shares         

Preferred Stock — 0.1%

 

Biotechnology — 0.1%  

Sigilon Therapeutics, Inc., Series B, (Acquired 2/01/16, cost $264,000), 0.00%(c)(d)

    44,000       264,000  
   

 

 

 

Total Preferred Stock — 0.1%
(Cost — $264,000)

      264,000  
   

 

 

 

Total Long-Term Investments — 99.2%
(Cost — $291,843,142)

 

    394,897,708  
   

 

 

 

Short-Term Securities — 3.4%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.21%(h)(j)

    13,707,837       13,707,837  

SL Liquidity Series, LLC, Money Market Series, 0.25%(h)(i)(j)

    26,282       26,277  
   

 

 

 

Total Short-Term Securities — 3.4%
(Cost — $13,734,103)

 

    13,734,114  
   

 

 

 

Total Investments Before Options Written — 102.6%
(Cost — $305,577,245)

 

    408,631,822  
   

 

 

 

Options Written — (1.7)%
(Premiums Received — $5,082,008)

 

    (6,789,642
   

 

 

 

Total Investments, Net of Options Written — 100.9%
(Cost — $300,495,237)

 

    401,842,180  

Liabilities in Excess of Other Assets — (0.9)%

 

    (3,529,102
   

 

 

 

Net Assets — 100.0%

 

  $ 398,313,078  
   

 

 

 
 

 

(a) 

Non-income producing security.

(b) 

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

(c) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(d) 

Restricted security as to resale, excluding 144A securities. The Trust held restricted securities with a current value of $3,936,745, representing 1.0% of its net assets as of period end, and an original cost of $2,256,647.

(e) 

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

(f) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(g) 

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

(h) 

Annualized 7-day yield as of period end.

(i) 

Security was purchased with the cash collateral from loaned securities.

 

 

2   


Schedule of Investments  (unaudited) (continued)

March 31, 2020

  

BlackRock Health Sciences Trust (BME)

 

(j) 

Investments in issuers considered to be an affiliate/affiliates of the Trust during the period ended March 31, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Shares
Held at
12/31/19
     Shares
Purchased
     Shares
Sold
     Shares
Held at
03/31/20
     Value at
03/31/20
     Income      Net
Realized
Gain (Loss)(a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     3,489,138        10,218,699 (b)              13,707,837      $ 13,707,837      $ 26,893      $      $  

SL Liquidity Series, LLC, Money Market Series

     253,827               (227,545 )(b)       26,282        26,277        3,124 (b)       (425      7  
              

 

 

    

 

 

    

 

 

    

 

 

 
               $ 13,734,114      $ 30,017      $ (425    $ 7  
              

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 
  (b) 

Represents net shares purchased (sold).

 
  (c) 

All or a portion represents of securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

For Trust compliance purposes, the Trust’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

Currency Abbreviations
CHF    Swiss Franc
DKK    Danish Krone
EUR    Euro
GBP    British Pound
HKD    Hong Kong Dollar
JPY    Japanese Yen
USD    United States Dollar
  
Portfolio Abbreviations
ADR    American Depositary Receipts
SPDR    Standard & Poor’s Depository 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

 

Sanofi — ADR

     89          04/01/20          USD          51.00          USD          389        $  

ACADIA Pharmaceuticals, Inc.

     20          04/03/20          USD          44.00          USD          85          (3,050

Alcon, Inc.

     176          04/03/20          USD          62.50          USD          894           

Amgen, Inc.

     60          04/03/20          USD          210.00          USD          1,216          (4,830

Baxter International, Inc.

     190          04/03/20          USD          90.00          USD          1,543          (85,500

Biogen, Inc.

     8          04/03/20          USD          325.00          USD          253          (2,160

Bristol-Myers Squibb Co.

     122          04/03/20          USD          68.00          USD          680          (976

Envista Holdings Corp.

     72          04/03/20          USD          28.00          USD          108          (35,280

Illumina, Inc.

     20          04/03/20          USD          310.00          USD          546          (8,000

 

 

     3  


Schedule of Investments  (unaudited) (continued)

March 31, 2020

  

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
       Notional
Amount (000)
       Value  

Call (continued)

 

Medtronic PLC

     24          04/03/20          USD          95.00          USD          216        $ (2,568

Pfizer, Inc.

     47          04/03/20          USD          37.00          USD          153          (376

Pfizer, Inc.

     53          04/03/20          USD        $ 38.75          USD          173           

Regeneron Pharmaceuticals, Inc.

     34          04/03/20          USD          492.50          USD          1,660          (33,490

Zoetis, Inc.

     112          04/03/20          USD          128.00          USD          1,318          (50,400

Abbott Laboratories

     100          04/09/20          USD          83.50          USD          789          (24,800

Amgen, Inc.

     58          04/09/20          USD          217.50          USD          1,176          (18,270

Becton Dickinson & Co.

     36          04/09/20          USD          250.00          USD          827          (5,940

Boston Scientific Corp.

     167          04/09/20          USD          30.00          USD          545          (49,933

Edwards Lifesciences Corp.

     104          04/09/20          USD          215.00          USD          1,962          (15,600

Eli Lilly & Co.

     86          04/09/20          USD          139.00          USD          1,193          (28,896

Gilead Sciences, Inc.

     147          04/09/20          USD          75.00          USD          1,099          (55,860

Medtronic PLC

     23          04/09/20          USD          94.00          USD          207          (4,209

Pfizer, Inc.

     180          04/09/20          USD          37.00          USD          588          (720

UnitedHealth Group, Inc.

     50          04/09/20          USD          285.00          USD          1,247          (3,350

Vertex Pharmaceuticals, Inc.

     40          04/09/20          USD          230.00          USD          952          (50,000

10X Genomics, Inc., Class A

     10          04/17/20          USD          80.00          USD          62          (400

ABIOMED, Inc.

     41          04/17/20          USD          155.00          USD          595          (17,425

ACADIA Pharmaceuticals, Inc.

     21          04/17/20          USD          38.00          USD          89          (12,285

Abbott Laboratories

     173          04/17/20          USD          80.00          USD          1,365          (60,118

Abbott Laboratories

     298          04/17/20          USD          82.50          USD          2,352          (66,305

Acceleron Pharma, Inc.

     147          04/17/20          USD          85.00          USD          1,321          (125,685

Alcon, Inc.

     269          04/17/20          USD          47.50          USD          1,367          (147,950

Alector, Inc.

     83          04/17/20          USD          35.00          USD          200          (4,150

Alexion Pharmaceuticals, Inc.

     16          04/17/20          USD          100.00          USD          144          (560

Alexion Pharmaceuticals, Inc.

     17          04/17/20          USD          90.00          USD          153          (7,820

Alexion Pharmaceuticals, Inc.

     57          04/17/20          USD          95.00          USD          512          (4,845

Amedisys, Inc.

     69          04/17/20          USD          190.00          USD          1,266          (45,023

AmerisourceBergen Corp.

     54          04/17/20          USD          92.00          USD          478          (13,635

Amgen, Inc.

     60          04/17/20          USD          205.00          USD          1,216          (37,350

Amgen, Inc.

     57          04/17/20          USD          220.00          USD          1,156          (8,293

Arena Pharmaceuticals, Inc.

     60          04/17/20          USD          46.00          USD          252          (6,030

Arena Pharmaceuticals, Inc.

     54          04/17/20          USD          41.00          USD          227          (15,930

Avantor, Inc.

     260          04/17/20          USD          17.50          USD          325          (19,500

Baxter International, Inc.

     126          04/17/20          USD          82.50          USD          1,023          (41,454

Becton Dickinson & Co.

     17          04/17/20          USD          250.00          USD          391          (2,890

Becton Dickinson & Co.

     33          04/17/20          USD          230.00          USD          758          (25,245

BioMarin Pharmaceutical, Inc.

     100          04/17/20          USD          95.00          USD          845          (6,500

BioMarin Pharmaceutical, Inc.

     119          04/17/20          USD          80.00          USD          1,006          (71,400

Biogen, Inc.

     50          04/17/20          USD          330.00          USD          1,582          (34,750

Blueprint Medicines Corp.

     19          04/17/20          USD          75.00          USD          111          (807

Boston Scientific Corp.

     303          04/17/20          USD          42.00          USD          989          (130,290

Boston Scientific Corp.

     167          04/17/20          USD          30.00          USD          545          (42,585

Boston Scientific Corp.

     404          04/17/20          USD          31.00          USD          1,318          (115,746

Bristol-Myers Squibb Co.

     23          04/17/20          USD          67.50          USD          128          (34

Bristol-Myers Squibb Co.

     131          04/17/20          USD          65.00          USD          730          (524

 

 

4   


Schedule of Investments  (unaudited) (continued)

March 31, 2020

  

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
       Notional
Amount (000)
       Value  

Call (continued)

 

Bristol-Myers Squibb Co.

     25          04/17/20          USD          55.00          USD          139        $ (5,425

Bristol-Myers Squibb Co.

     252          04/17/20          USD          49.00          USD          1,405          (170,100

Centene Corp.

     117          04/17/20          USD          57.50          USD          695          (62,595

ChemoCentryx, Inc.

     29          04/17/20          USD          50.00          USD          117          (3,915

Cigna Corp.

     144          04/17/20          USD          210.00          USD          2,551          (40,176

Eidos Therapeutics, Inc.

     32          04/17/20          USD          55.00          USD          157          (15,360

Eli Lilly & Co.

     86          04/17/20          USD          145.00          USD          1,193          (20,425

Galapagos NV, ADR

     22          04/17/20          USD          210.00          USD          431          (7,370

Genmab A/S

     35          04/17/20          USD          30.00          USD          74          (8,837

Gilead Sciences, Inc.

     146          04/17/20          USD          85.00          USD          1,091          (26,426

HCA Healthcare, Inc.

     186          04/17/20          USD          80.00          USD          1,671          (221,340

Halozyme Therapeutics, Inc.

     103          04/17/20          USD          19.00          USD          185          (15,450

Health Care Select Sector SPDR Fund

     270          04/17/20          USD          87.00          USD          2,392          (135,000

Health Care Select Sector SPDR Fund

     213          04/17/20          USD          91.33          USD          1,887          (31,844

Humana, Inc.

     24          04/17/20          USD          290.00          USD          754          (78,000

IQVIA Holdings, Inc.

     50          04/17/20          USD          105.00          USD          539          (44,750

IQVIA Holdings, Inc.

     51          04/17/20          USD          165.64          USD          550          (79

Incyte Corp.

     100          04/17/20          USD          75.00          USD          732          (19,500

Johnson & Johnson

     74          04/17/20          USD          145.00          USD          970          (6,993

Kodiak Sciences, Inc.

     18          04/17/20          USD          55.00          USD          86          (2,610

LHC Group, Inc.

     34          04/17/20          USD          135.00          USD          477          (36,890

LHC Group, Inc.

     34          04/17/20          USD          156.56          USD          477          (6,945

Masimo Corp.

     117          04/17/20          USD          165.00          USD          2,072          (184,860

Medtronic PLC

     159          04/17/20          USD          120.00          USD          1,434          (318

Medtronic PLC

     171          04/17/20          USD          82.50          USD          1,542          (159,458

Merck & Co., Inc.

     430          04/17/20          USD          75.00          USD          3,308          (158,455

Mirati Therapeutics, Inc.

     37          04/17/20          USD          80.00          USD          284          (12,395

Molecular Templates, Inc.

     84          04/17/20          USD          20.00          USD          112          (24,360

MyoKardia, Inc.

     55          04/17/20          USD          55.00          USD          258          (13,613

Neurocrine Biosciences, Inc.

     142          04/17/20          USD          90.00          USD          1,229          (29,110

Nevro Corp.

     26          04/17/20          USD          105.00          USD          260          (11,635

Nevro Corp.

     26          04/17/20          USD          152.55          USD          260          (49

PPD, Inc.

     307          04/17/20          USD          25.00          USD          547          (17,653

Pfizer, Inc.

     53          04/17/20          USD          39.00          USD          173          (132

Pfizer, Inc.

     47          04/17/20          USD          37.00          USD          153          (305

Pfizer, Inc.

     150          04/17/20          USD          34.00          USD          490          (6,075

ResMed, Inc.

     61          04/17/20          USD          175.00          USD          898          (5,032

ResMed, Inc.

     60          04/17/20          USD          135.00          USD          884          (96,300

Sanofi — ADR

     35          04/17/20          USD          45.00          USD          153          (3,937

Sarepta Therapeutics, Inc.

     33          04/17/20          USD          95.00          USD          323          (26,730

Seattle Genetics, Inc.

     241          04/17/20          USD          125.00          USD          2,781          (55,430

Silk Road Medical, Inc.

     37          04/17/20          USD          30.00          USD          116          (11,563

Stryker Corp.

     118          04/17/20          USD          165.00          USD          1,965          (106,790

Teladoc Health, Inc.

     71          04/17/20          USD          130.00          USD          1,101          (194,540

Teladoc Health, Inc.

     73          04/17/20          USD          170.00          USD          1,132          (47,085

Teleflex, Inc.

     73          04/17/20          USD          290.00          USD          2,138          (100,375

Thermo Fisher Scientific, Inc.

     72          04/17/20          USD          320.00          USD          2,042          (5,940

Thermo Fisher Scientific, Inc.

     10          04/17/20          USD          310.00          USD          284          (1,550

UnitedHealth Group, Inc.

     51          04/17/20          USD          280.00          USD          1,272          (12,495

UnitedHealth Group, Inc.

     51          04/17/20          USD          240.00          USD          1,272          (96,518

Varian Medical Systems, Inc.

     95          04/17/20          USD          135.00          USD          975          (42,750

Vertex Pharmaceuticals, Inc.

     40          04/17/20          USD          230.00          USD          952          (53,800

 

 

     5  


Schedule of Investments  (unaudited) (continued)

March 31, 2020

  

BlackRock Health Sciences Trust (BME)

 

Exchange-Traded Options Written (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Exercise
Price
       Notional
Amount (000)
       Value  
Call (continued)                                                   

Zimmer Biomet Holdings, Inc.

     90          04/17/20        USD     105.00        USD     910        $ (32,850

Zoetis, Inc.

     123          04/17/20        USD     135.00        USD     1,448          (11,377

Abbott Laboratories

     200          04/24/20        USD     77.00        USD     1,578          (98,500

Baxter International, Inc.

     145          04/24/20        USD     81.00        USD     1,177          (73,950

Centene Corp.

     174          04/24/20        USD     58.50        USD     1,034          (85,260

Cigna Corp.

     65          04/24/20        USD     175.00        USD     1,152          (89,375

Eli Lilly & Co.

     120          04/24/20        USD     139.00        USD     1,665          (74,400

Humana, Inc.

     45          04/24/20        USD     270.00        USD     1,413          (227,250

Humana, Inc.

     45          04/24/20        USD     322.50        USD     1,413          (71,775

Intuitive Surgical, Inc.

     36          04/24/20        USD     445.00        USD     1,783          (243,900

Medtronic PLC

     24          04/24/20        USD     87.00        USD     216          (16,500

Medtronic PLC

     24          04/24/20        USD     95.00        USD     216          (6,288

Pfizer, Inc.

     98          04/24/20        USD     33.00        USD     320          (15,533

UnitedHealth Group, Inc.

     51          04/24/20        USD     265.00        USD     1,272          (41,820

Vertex Pharmaceuticals, Inc.

     80          04/24/20        USD     232.50        USD     1,904          (107,600

Zoetis, Inc.

     123          04/24/20        USD     106.00        USD     1,448          (177,735

Intuitive Surgical, Inc.

     33          05/01/20        USD     525.00        USD     1,634          (77,550

Pfizer, Inc.

     166          05/01/20        USD     34.50        USD     542          (8,549

Johnson & Johnson

     127          05/08/20        USD     140.00        USD     1,665          (46,673

Abbott Laboratories

     200          05/15/20        USD     85.00        USD     1,578          (55,000

Agilent Technologies, Inc.

     108          05/15/20        USD     75.00        USD     773          (35,640

Allakos, Inc.

     100          05/15/20        USD     65.00        USD     445          (45,000

Alnylam Pharmaceuticals, Inc.

     125          05/15/20        USD     115.00        USD     1,361          (85,625

Avantor, Inc.

     275          05/15/20        USD     10.00        USD     343          (86,625

Blueprint Medicines Corp.

     19          05/15/20        USD     60.00        USD     111          (11,210

Bristol-Myers Squibb Co.

     252          05/15/20        USD     62.50        USD     1,405          (13,734

Edwards Lifesciences Corp.

     104          05/15/20        USD     210.00        USD     1,962          (83,200

Encompass Health Corp.

     150          05/15/20        USD     65.00        USD     960          (67,500

Johnson & Johnson

     82          05/15/20        USD     125.00        USD     1,075          (97,375

Medtronic PLC

     117          05/15/20        USD     100.00        USD     1,055          (19,656

Merck & Co., Inc.

     107          05/15/20        USD     77.50        USD     823          (34,668

Pfizer, Inc.

     64          05/15/20        USD     32.00        USD     209          (11,808

Pfizer, Inc.

     300          05/15/20        USD     34.00        USD     979          (33,150

Quest Diagnostics, Inc.

     25          05/15/20        USD     115.00        USD     201          (875

Quest Diagnostics, Inc.

     27          05/15/20        USD     85.00        USD     217          (10,395

Sanofi—ADR

     88          05/15/20        USD     44.00        USD     385          (14,740

Varian Medical Systems, Inc.

     71          05/15/20        USD     105.00        USD     729          (47,925
                          

 

 

 
                             (6,250,031
                          

 

 

 
Put                                                   

Health Care Select Sector SPDR Fund

     228          04/03/20        USD     94.00        USD     2,020          (114,570
                          

 

 

 
                           $ (6,364,601
                          

 

 

 

OTC Options Written

 

Description    Counterparty    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Notional
Amount (000)
     Value  
Call  

GlaxoSmithKline PLC

   Credit Suisse International      19,500        04/01/20      GBP     16.64      GBP     295      $  

Hansoh Pharmaceutical Group Ltd.

   JPMorgan Chase Bank N.A.      162,000        04/01/20      HKD     28.67      HKD     4,197         

Stryker Corp.

   Barclays Bank PLC      11,800        04/06/20      USD     214.60      USD     1,965        (30

Allogene Therapeutics, Inc.

   JPMorgan Chase Bank N.A.      8,200        04/08/20      USD     26.61      USD     159        (2

 

 

6   


Schedule of Investments  (unaudited) (continued)

March 31, 2020

  

BlackRock Health Sciences Trust (BME)

 

OTC Options Written (continued)

 

Description    Counterparty    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Notional
Amount (000)
     Value  
Call (continued)  

Quest Diagnostics, Inc.

   Citibank N.A.      7,100        04/14/20      USD     114.83      USD     570      $ (3

Sanofi

   Citibank N.A.      7,600        04/14/20      EUR     88.65      EUR     597        (2,245

Allogene Therapeutics, Inc.

   JPMorgan Chase Bank N.A.      8,200        04/15/20      USD     26.61      USD     159        (67

AstraZeneca PLC

   Morgan Stanley & Co. International PLC      8,100        04/16/20      GBP     74.67      GBP     581        (17,742

AstraZeneca PLC

   Credit Suisse International      7,800        04/22/20      GBP     74.01      GBP     559        (22,557

Convatec Group PLC

   Credit Suisse International      208,000        04/22/20      GBP     1.86      GBP     385        (17,737

Roche Holding AG

   UBS AG      2,100        04/22/20      CHF     301.74      CHF     650        (36,423

Sanofi

   Credit Suisse International      7,600        04/22/20      EUR     82.84      EUR     597        (16,625

GlaxoSmithKline PLC

   UBS AG      19,500        04/23/20      GBP     16.68      GBP     295        (3,245

Merck KGaA

   Credit Suisse International      4,900        04/23/20      EUR     117.61      EUR     449        (3

WuXi AppTec Co. Ltd., Class H

   Morgan Stanley & Co. International PLC      32,800        04/23/20      HKD     128.63      HKD     3,091        (354

Eisai Co. Ltd.

   Citibank N.A.      12,000        04/28/20      JPY     8,090.81      JPY     94,382        (25,710

Genmab A/S

   UBS AG      3,050        04/28/20      DKK     1,437.88      DKK     4,147        (18,491

Hansoh Pharmaceutical Group Ltd.

   Morgan Stanley & Co. International PLC      162,000        04/28/20      HKD     27.30      HKD     4,197        (14,534

Merck KGaA

   Credit Suisse International      4,900        04/28/20      EUR     102.68      EUR     449        (5,680

WuXi AppTec Co. Ltd., Class H

   JPMorgan Chase Bank N.A.      32,800        04/28/20      HKD     120.23      HKD     3,091        (1,898

Convatec Group PLC

   UBS AG      110,000        04/30/20      GBP     1.63      GBP     204        (32,706

Genmab A/S

   Credit Suisse International      2,600        05/05/20      DKK     1,265.62      DKK     3,535        (55,044

Roche Holding AG

   Morgan Stanley & Co. International PLC      2,100        05/06/20      CHF     301.59      CHF     650        (44,125

Sanofi

   Credit Suisse International      11,100        05/06/20      EUR     79.73      EUR     871        (32,743

Convatec Group PLC

   UBS AG      110,000        05/12/20      GBP     1.63      GBP     204        (33,152

Wuxi Biologics Cayman, Inc.

   UBS AG      47,000        05/26/20      HKD     103.23      HKD     4,652        (43,925
                     

 

 

 
   $ (425,041
  

 

 

 

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 BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) 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 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. 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.

 

 

     7  


Schedule of Investments  (unaudited) (continued)

March 31, 2020

   BlackRock Health Sciences Trust (BME)

 

As of March 31, 2020, certain investments of the Trust were fair valued using net asset value per share (“NAV”) or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Common Stocks:

                 

Biotechnology

   $ 77,539,140        $ 2,846,910        $ 2,030,138        $ 82,416,188  

Health Care Equipment & Supplies

     111,056,925          2,451,857                   113,508,782  

Health Care Providers & Services

     84,317,972          1,067,460          575,147          85,960,579  

Health Care Technology

     6,179,978                            6,179,978  

Life Sciences Tools & Services

     17,585,985          3,390,890                   20,976,875  

Pharmaceuticals

     62,949,104          22,410,207                   85,359,311  

Other Interests

                       231,995          231,995  

Preferred Stock

                       264,000          264,000  

Short-Term Securities

     13,707,837                            13,707,837  
  

 

 

      

 

 

      

 

 

      

 

 

 

Subtotal

   $ 373,336,941        $ 32,167,324        $ 3,101,280        $ 408,605,545  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments Valued at NAV(a)

                    26,277  
                 

 

 

 

Total Investments

        $ 408,631,822  
                 

 

 

 

Derivative financial Instruments(b)

                 

Liabilities:

                 

Equity contracts

   $ (6,357,528      $ (432,114      $        $ (6,789,642
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Certain investments of the Trust were fair valued using NAV per share or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 
  (b) 

Derivative financial instruments are options written. Options written are shown at value.

 

 

 

8