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: 01/31/2012

Item 1 – Schedule of Investments

 

 

Schedule of Investments January 31, 2012 (Unaudited)

  

 

BlackRock Health Sciences Trust (BME)

(Percentages shown are based on Net Assets)

 

Common Stocks   Shares     Value  

 

  

Biotechnology – 21.2%

  

3SBio, Inc. - ADR (a)

     60,600      $ 701,142   

Achillion Pharmaceuticals, Inc. (a)(b)

     25,600        283,904   

Acorda Therapeutics, Inc. (a)(b)

     73,900        1,886,667   

Alexion Pharmaceuticals, Inc. (b)(c)

     69,400        5,327,144   

Alkermes Plc (b)

     17,500        329,175   

Amgen, Inc. (b)

     89,900        6,105,109   

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

     139,296        2,054,616   

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

     27,607        218,095   

Biogen Idec, Inc. (a)

     60,200        7,098,784   

BioMarin Pharmaceutical, Inc. (a)(b)

     58,100        2,072,427   

Celgene Corp. (a)(b)

     29,300        2,130,110   

CSL Ltd.

     31,100        1,026,120   

Cubist Pharmaceuticals, Inc. (a)(b)

     38,700        1,579,734   

Genomic Health, Inc. (a)(b)(c)

     18,500        513,375   

Gilead Sciences, Inc. (a)(b)

     36,560        1,785,590   

Human Genome Sciences, Inc. (a)

     44,600        438,864   

Incyte Corp. Ltd. (a)(b)

     34,000        601,800   

InterMune, Inc. (a)(b)

     23,300        349,500   

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

     37,600        2,083,416   

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

     20,600        323,214   

Neurocrine Biosciences, Inc. (a)(b)

     29,800        277,140   

Onyx Pharmaceutical, Inc. (a)(b)

     21,500        880,210   

Pharmacyclics, Inc. (a)(b)

     70,342        1,292,886   

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

     14,100        1,281,126   

Rigel Pharmaceuticals, Inc. (a)(c)

     18,700        182,699   

Synageva Biopharma Corp. (a)

     2,000        71,060   

Synta Pharmaceuticals Corp. (a)(b)

     116,300        538,469   

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

     23,200        411,568   

Verastem, Inc. (a)

     16,300        179,300   

Vertex Pharmaceuticals, Inc. (a)(b)

     42,405        1,566,865   
   

 

 

  
      43,590,109   

 

  

Diversified Consumer Services – 0.2%

  

Stewart Enterprises, Inc., Class A

     81,400        500,610   

 

  

Electronic Equipment, Instruments & Components – 1.1%

  

Agilent Technologies, Inc. (a)(b)

     54,700        2,323,109   

 

  

Food & Staples Retailing – 0.7%

    

CVS Caremark Corp. (b)

     35,400        1,477,950   

 

  

Health Care Equipment & Supplies – 17.4%

  

ABIOMED, Inc. (a)

     11,517        213,180   

Align Technology, Inc. (a)(b)

     51,700        1,218,052   

Baxter International, Inc. (b)

     67,300        3,733,804   

Becton Dickinson & Co. (b)

     13,100        1,027,171   

Covidien Plc (b)

     82,900        4,269,350   

DENTSPLY International, Inc.

     42,800        1,615,272   

Elekta AB

     11,500        550,277   

Gen-Probe, Inc. (a)(b)

     23,300        1,559,469   

Given Imaging Ltd. (b)

     14,731        271,934   

Hologic, Inc. (a)(b)

     221,300        4,512,307   

Intuitive Surgical, Inc. (a)(b)

     4,600        2,115,586   

MAKO Surgical Corp. (a)(b)(c)

     14,700        525,966   

Medtronic, Inc. (b)

     133,500        5,149,095   

Natus Medical, Inc. (a)

     33,100        374,361   

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

     13,400        647,890   

St. Jude Medical, Inc. (b)

     67,300        2,807,083   

Stryker Corp. (b)

     66,700        3,697,181   

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

     7,421        488,821   

Zimmer Holdings, Inc. (a)

     16,700        1,014,525   
   

 

 

  
      35,791,324   

 

  
Common Stocks   Shares     Value  

 

  

Health Care Providers & Services – 19.2%

  

Acadia Healthcare Co., Inc. (a)

     17,600      $ 215,424   

Aetna, Inc. (b)

     124,100        5,423,170   

AmerisourceBergen Corp. (b)

     78,600        3,063,042   

Cardinal Health, Inc. (b)

     92,800        3,993,184   

CIGNA Corp. (b)

     28,000        1,255,240   

Express Scripts, Inc. (a)(b)

     39,600        2,025,936   

HCA Holdings, Inc. (a)(b)

     33,700        823,628   

Henry Schein, Inc. (a)(c)

     14,700        1,042,083   

Humana, Inc. (b)

     45,400        4,041,508   

Laboratory Corp. of America Holdings (a)(b)

     23,500        2,147,665   

McKesson Corp. (b)

     38,800        3,170,736   

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

     14,600        905,492   

Mednax, Inc. (a)(c)

     6,800        484,296   

Quest Diagnostics, Inc. (b)

     42,900        2,491,632   

Tenet Healthcare Corp. (a)(b)

     78,500        415,265   

UnitedHealth Group, Inc. (b)

     94,300        4,883,797   

Universal Health Services, Inc. (b)

     5,400        222,966   

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

     56,500        1,264,470   

WellPoint, Inc.

     24,600        1,582,272   
   

 

 

  
      39,451,806   

 

  

Health Care Technology – 1.1%

  

Cerner Corp. (a)(b)

     21,300        1,296,957   

SXC Health Solutions Corp. (a)(b)

     14,600        920,676   
   

 

 

  
      2,217,633   

 

  

Industrial Conglomerates – 0.5%

  

Koninklijke Philips Electronics NV

     56,000        1,134,262   

 

  

Life Sciences Tools & Services – 2.6%

  

Life Technologies Corp. (a)(b)

     54,900        2,658,807   

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

     7,200        1,263,600   

ShangPharma Corp. - ADR (a)

     26,770        233,702   

Thermo Fisher Scientific, Inc. (a)(b)(c)

     9,900        523,710   

Waters Corp. (a)(b)

     6,915        598,632   
   

 

 

  
      5,278,451   

 

  

Machinery – 1.4%

  

Danaher Corp. (b)

     53,100        2,788,281   

 

  

Pharmaceuticals – 28.8%

  

Abbott Laboratories

     76,700        4,153,305   

Allergan, Inc. (b)

     25,800        2,268,078   

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

     29,421        584,595   

Bayer AG

     7,800        547,923   

Bristol-Myers Squibb Co.

     77,000        2,482,480   

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

     193,231        2,629,874   

Eli Lilly & Co. (b)

     102,900        4,089,246   

Endo Pharmaceuticals Holdings, Inc. (a)(b)

     27,200        1,011,024   

GlaxoSmithKline Plc

     102,658        2,283,496   

Johnson & Johnson

     123,670        8,151,090   

Merck & Co., Inc.

     189,900        7,265,574   

Merck KGaA

     17,100        1,786,757   

Mylan, Inc. (a)(b)

     97,400        2,021,050   

Pfizer, Inc. (b)

     424,600        9,086,440   

Roche Holding AG

     17,500        2,968,954   

Sanofi SA

     56,200        4,166,814   

Shire Plc - ADR (b)

     10,400        1,035,008   

Teva Pharmaceutical Industries Ltd. - ADR (b)

     46,500        2,098,545   
 

 

                   
          JANUARY 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)

    

Viropharma, Inc. (a)(b)

     17,200      $ 512,388   
   

 

 

  
      59,142,641   

 

  

Total Long-Term Investments

(Cost – $169,558,551) – 94.2%

       193,696,176   

 

  

 

  
Short-Term Securities   Shares        

 

  

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

     8,446,597        8,446,597   

 

  
   

Beneficial
Interest

(000)

        

 

  

BlackRock Liquidity Series, LLC Money Market Series, 0.09% (d)(e)(f)

   $ 5,510        5,510,489   

 

  

Total Short-Term Securities

(Cost – $13,957,086) – 6.8%

       13,957,086   

 

  

Total Investments Before Outstanding Options Written

(Cost – $183,515,637*) – 101.0%

  

  

     207,653,262   

 

  

 

  
Options Written   Contracts        

 

  

Exchange-Traded Call Options – (1.0)%

  

Achillion Pharmaceuticals, Inc., Strike Price USD 10, Expires 3/19/12

     85        (19,550 ) 

Acorda Therapeutics, Inc., Strike Price USD 26, Expires 4/23/12

     250        (54,375 ) 

Aetna, Inc., Strike Price USD 44, Expires 2/20/12

     400        (41,800 ) 

Agilent Technologies, Inc.:

    

Strike Price USD 35, Expires 2/20/12

     70        (53,200 ) 

Strike Price USD 40, Expires 2/20/12

     100        (30,750 ) 

Alexion Pharmaceuticals, Inc., Strike Price USD 75, Expires 3/19/12

     230        (104,650 ) 

Align Technology, Inc., Strike Price USD 26, Expires 3/19/12

     170        (5,950 ) 

Alkermes Plc:

    

Strike Price USD 17, Expires 2/20/12

     120        (23,700 ) 

Strike Price USD 19, Expires 2/20/12

     55        (3,575 ) 

Allergan, Inc., Strike Price USD 90, Expires 2/20/12

     100        (8,250 ) 

AmerisourceBergen Corp., Strike Price USD 40, Expires 3/19/12

     260        (15,600 ) 

Amgen, Inc., Strike Price USD 70, Expires 3/19/12

     365        (43,800 ) 

Ariad Pharmaceuticals, Inc., Strike Price USD 13, Expires 2/20/12

     325        (60,938 ) 

Arqule, Inc., Strike Price USD 7.50, Expires 4/23/12

     100        (10,250 ) 

Auxilium Pharmaceuticals, Inc., Strike Price USD 20, Expires 2/20/12

     90        (7,425 ) 

Baxter International, Inc.:

    

Strike Price USD 52.50, Expires 2/20/12

     25        (7,812 ) 

Strike Price USD 55, Expires 3/19/12

     65        (10,270 ) 

Strike Price USD 57.50, Expires 3/19/12

     122        (5,673 ) 

Becton Dickinson & Co.:

    

Strike Price USD 71.50, Expires 2/09/12

     90        (66,174 ) 

Strike Price USD 75, Expires 2/20/12

     20        (7,700 ) 
Options Written   Contracts     Value  

 

  

Exchange-Traded Call Options (continued)

  

BioMarin Pharmaceutical, Inc.:

    

Strike Price USD 35, Expires 2/20/12

     185      $ (23,125 ) 

Strike Price USD 35, Expires 4/23/12

     75        (18,562 ) 

Cardinal Health, Inc., Strike Price USD 43, Expires 3/19/12

     340        (45,050 ) 

Celgene Corp., Strike Price USD 75, Expires 3/19/12

     95        (13,348 ) 

Cerner Corp., Strike Price USD 60, Expires 2/20/12

     55        (13,062 ) 

CIGNA Corp., Strike Price USD 47, Expires 3/19/12

     90        (8,550 ) 

Covidien Plc:

    

Strike Price USD 52.50, Expires 2/20/12

     60        (3,000 ) 

Strike Price USD 52.50, Expires 3/19/12

     70        (7,000 ) 

Strike Price USD 50, Expires 4/23/12

     130        (37,700 ) 

Cubist Pharmaceuticals, Inc., Strike Price USD 40, Expires 3/19/12

     130        (27,625 ) 

CVS Caremark Corp., Strike Price USD 43.75, Expires 3/19/12

     120        (6,522 ) 

Danaher Corp.:

    

Strike Price USD 49, Expires 2/20/12

     110        (40,700 ) 

Strike Price USD 52.50, Expires 3/19/12

     70        (11,200 ) 

Elan Corp. Plc - ADR, Strike Price USD 14, Expires 2/20/12

     635        (26,988 ) 

Eli Lilly & Co.:

    

Strike Price USD 40, Expires 2/20/12

     145        (6,235 ) 

Strike Price USD 40.25, Expires 2/20/12

     60        (2,771 ) 

Strike Price USD 40, Expires 4/23/12

     130        (11,635 ) 

Endo Pharmaceuticals Holdings, Inc., Strike Price USD 40, Expires 3/19/12

     90        (10,125 ) 

Express Scripts, Inc., Strike Price USD 52.50, Expires 2/20/12

     130        (15,535 ) 

Genomic Health, Inc., Strike Price USD 30, Expires 3/19/12

     60        (4,650 ) 

Gen-Probe, Inc., Strike Price USD 70, Expires 2/20/12

     55        (7,425 ) 

Gilead Sciences, Inc., Strike Price USD 48, Expires 3/19/12

     120        (28,440 ) 

Given Imaging Ltd., Strike Price USD 19, Expires 2/22/12

     40        (3,342 ) 

HCA Holdings, Inc., Strike Price USD 25, Expires 2/20/12

     110        (8,525 ) 

Hologic, Inc., Strike Price USD 20, Expires 3/19/12

     740        (75,850 ) 

Humana, Inc., Strike Price USD 92.50, Expires 3/19/12

     150        (28,500 ) 

Incyte Corp. Ltd., Strike Price USD 20, Expires 3/19/12

     94        (6,345 ) 

InterMune, Inc., Strike Price USD 15, Expires 2/20/12

     80        (9,200 ) 

Intuitive Surgical, Inc., Strike Price USD 465, Expires 3/19/12

     15        (19,275 ) 

Laboratory Corp. of America Holdings, Strike Price USD 92.50, Expires 3/19/12

     80        (18,600 ) 

Life Technologies Corp., Strike Price USD 50, Expires 3/19/12

     200        (33,000 ) 

MAKO Surgical Corp., Strike Price USD 40, Expires 3/19/12

     50        (7,625 ) 
 

 

                   
2           JANUARY 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)

  

McKesson Corp., Strike Price USD 77.50, Expires 3/19/12

     135      $ (72,900 ) 

Medco Health Solutions, Inc., Strike Price USD 65, Expires 4/23/12

     50        (17,250 ) 

Medivation, Inc., Strike Price USD 47, Expires 2/20/12

     120        (140,100 ) 

Medtronic, Inc.:

    

Strike Price USD 36, Expires 2/20/12

     360        (98,280 ) 

Strike Price USD 41, Expires 3/19/12

     100        (3,850 ) 

Mettler-Toledo International, Inc., Strike Price USD 175, Expires 4/23/12

     25        (25,875 ) 

Momenta Pharmaceuticals, Inc., Strike Price USD 20, Expires 3/19/12

     65        (2,438 ) 

Mylan, Inc., Strike Price USD 23, Expires 2/20/12

     320        (6,080 ) 

Neurocrine Biosciences, Inc., Strike Price USD 9, Expires 3/19/12

     100        (8,000 ) 

Onyx Pharmaceutical, Inc.:

    

Strike Price USD 48, Expires 2/20/12

     40        (700 ) 

Strike Price USD 45, Expires 3/19/12

     40        (4,500 ) 

Pfizer, Inc., Strike Price USD 22, Expires 3/19/12

     1,480        (29,600 ) 

Pharmacyclics, Inc., Strike Price USD 16, Expires 2/20/12

     250        (61,875 ) 

Quest Diagnostics, Inc., Strike Price USD 60, Expires 3/19/12

     140        (13,300 ) 

Regeneron Pharmaceuticals, Inc., Strike Price USD 65, Expires 2/20/12

     60        (157,800 ) 

Shire Plc - ADR, Strike Price USD 100, Expires 2/20/12

     35        (7,262 ) 

Sirona Dental Systems, Inc., Strike Price USD 45, Expires 2/20/12

     43        (18,060 ) 

St. Jude Medical, Inc., Strike Price USD 40, Expires 3/19/12

     220        (57,200 ) 

Stryker Corp.:

    

Strike Price USD 54, Expires 3/19/12

     130        (29,955 ) 

Strike Price USD 55, Expires 3/19/12

     100        (18,500 ) 

SXC Health Solutions Corp., Strike Price USD 65, Expires 3/19/12

     50        (13,500 ) 

Synta Pharmaceuticals Corp., Strike Price USD 5, Expires 3/19/12

     100        (3,250 ) 

Tenet Healthcare Corp., Strike Price USD 5, Expires 2/20/12

     50        (2,000 ) 

Teva Pharmaceutical Industries Ltd. - ADR:

    

Strike Price USD 45, Expires 2/20/12

     100        (9,950 ) 

Strike Price USD 47.50, Expires 3/19/12

     55        (2,585 ) 

Theravance, Inc., Strike Price USD 20, Expires 3/19/12

     50        (3,125 ) 

Thermo Fisher Scientific, Inc., Strike Price USD 45, Expires 2/20/12

     30        (23,850 ) 

UnitedHealth Group, Inc., Strike Price USD 52.50, Expires 3/19/12

     310        (39,060 ) 

Universal Health Services, Inc., Strike Price USD 45, Expires 4/23/12

     20        (2,150 ) 

Varian Medical Systems, Inc., Strike Price USD 70, Expires 3/19/12

     30        (2,175 ) 

VCA Antech, Inc., Strike Price USD 22.50, Expires 3/19/12

     185        (15,725 ) 
Options Written   Contracts     Value  

 

  

Exchange-Traded Call Options (concluded)

  

Vertex Pharmaceuticals, Inc.:

    

Strike Price USD 39, Expires 2/20/12

     100      $ (9,250 ) 

Strike Price USD 41, Expires 2/20/12

     25        (1,188 ) 

Viropharma, Inc., Strike Price USD 30, Expires 2/20/12

     60        (9,450 ) 

Waters Corp., Strike Price USD 90, Expires 3/19/12

     30        (5,100 ) 

 

  

Total Exchange-Traded Call Options

       (2,076,835 ) 

 

  

Exchange-Traded Put Options – (0.0)%

  

Gilead Sciences, Inc., Strike Price USD 48, Expires 2/20/12

     145        (11,600 ) 

Quest Diagnostics, Inc., Strike Price USD 60, Expires 2/20/12

     175        (39,375 ) 

Waters Corp., Strike Price USD 85, Expires 2/20/12

     85        (10,838 ) 

 

  

Total Exchange-Traded Put Options

       (61,813 ) 

 

  

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

  

Abbott Laboratories, Strike Price USD 55.58, Expires 3/02/12, Broker Goldman Sachs & Co.

     25,500        (8,291 ) 

Bayer AG, Strike Price EUR 46.54, Expires 2/03/12, Broker UBS Securities LLC

     7,800        (73,123 ) 

Biogen Idec, Inc., Strike Price USD 114.66, Expires 2/07/12, Broker Goldman Sachs & Co.

     17,000        (66,130 ) 

Bristol-Myers Squibb Co., Strike Price USD 35.25, Expires 3/05/12, Broker Credit Suisse First Boston

     77,000        (1,055 ) 

Covidien Plc, Strike Price USD 51.80, Expires 3/27/12, Broker Goldman Sachs & Co.

     1,500        (1,951 ) 

DENTSPLY International, Inc., Strike Price USD 38.73, Expires 3/14/12, Broker Morgan Stanley & Co., Inc.

     14,000        (9,973 ) 

GlaxoSmithKline Plc:

    

Strike Price GBP 14.52, Expires 2/02/12, Broker Citigroup Global Markets, Inc.

     11,300        (43 ) 

Strike Price GBP 14.97, Expires 2/02/12, Broker UBS Securities LLC

     61,700        (10 ) 

Henry Schein, Inc., Strike Price USD 66.22, Expires 2/27/12, Broker Goldman Sachs & Co.

     10,000        (49,468 ) 

Johnson & Johnson, Strike Price USD 65.50, Expires 3/13/12, Broker Deutsche Bank Securities Corp.

     57,000        (67,845 ) 

Koninklijke Philips Electronics NV, Strike Price EUR 14.90, Expires 2/29/12, Broker Citigroup Global Markets, Inc.

     18,500        (18,572 ) 

Merck & Co., Inc.:

    

Strike Price USD 35.96, Expires 2/06/12, Broker Deutsche Bank Securities Corp.

     53,600        (123,494 ) 

Strike Price USD 35.90, Expires 2/13/12, Broker Goldman Sachs & Co.

     7,000        (16,520 ) 
 

 

                   
          JANUARY 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 (concluded)

  

Merck KGaA, Strike Price EUR 78.02, Expires 3/07/12, Broker Morgan Stanley & Co., Inc.

     6,000      $ (27,000 ) 

Pfizer, Inc., Strike Price USD 21.59, Expires 3/27/12, Broker Morgan Stanley & Co., Inc.

     32,500        (9,919 ) 

Roche Holding AG:

    

Strike Price CHF 165.03, Expires 2/14/12, Broker UBS Securities LLC

     12,200        (3,944 ) 

Strike Price CHF 165, Expires 2/17/12, Broker UBS Securities LLC

     40        (2,394 ) 

Sanofi SA, Strike Price EUR 56.73, Expires 3/07/12, Broker Citigroup Global Markets, Inc.

     19,700        (31,499 ) 

Stewart Enterprises, Inc., Class A, Strike Price USD 6.24, Expires 4/10/12, Broker Deutsche Bank Securities Corp.

     26,000        (5,463 ) 

Tenet Healthcare Corp., Strike Price USD 5.32, Expires 3/02/12, Broker UBS Securities LLC

     23,500        (5,944 ) 

 

  

Total Over-the-Counter Call Options

       (522,638 ) 

 

  

Total Options Written

(Premiums Received – $2,038,931) – (1.3)%

  

  

     (2,661,286 ) 

 

  

Total Investments Net of Outstanding Options Written – 99.7%

       204,991,976   

Other Assets Less Liabilities – 0.3%

       576,078   
   

 

 

  

Net Assets – 100.0%

     $ 205,568,054   
   

 

 

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

 

Tax cost

    $ 186,178,846   
  

 

 

  

Gross unrealized appreciation

    $ 25,040,811   

Gross unrealized depreciation

      (3,566,395 ) 
  

 

 

  

Net unrealized appreciation

    $ 21,474,416   
  

 

 

  

 

(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
January 31,

2012

    Realized
Gain		    Income

 

BlackRock Liquidity Funds, TempFund, Institutional Class

    7,801,065    645,532   8,446,597    $178    $4,159

 

BlackRock Liquidity Series, LLC Money Market Series

    $7,320,205    $(1,809,716)   $5,510,489    –    $2,864

 

•  

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

 

 

  

Currency

Purchased

  

Currency

Sold

   Counterparty   Settlement
Date		  

Unrealized

Appreciation

(Depreciation)

  

 

  

USD  2,028,606

   CHF  1,858,000   Banc of America Securites   2/01/12   $ 10,138   

USD  1,707,915

   GBP  1,084,000   Citigroup Global Markets, Inc.   2/03/12     (248 ) 

 

  

Total

         $ 9,890   
       

 

 

  

 

•  

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 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)

 

 

                   
4           JANUARY 31, 2012   

 

 

Schedule of Investments (concluded)

  

 

BlackRock Health Sciences Trust (BME)

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Trust’s perceived risk of 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 annual report.

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Trust’s investments and derivative financial instruments:

 

Valuation Inputs   Level 1   Level 2   Level 3   Total

Assets:

        

Investments:

        

Long-Term Investments:

        

Common Stocks:

        

Biotechnology

   $  42,563,989   $  1,026,120   –   $  43,590,109

Diversified Consumer Services

   500,610   –   –   500,610

Electronic Equipment, Instruments & Components

   2,323,109   –   –   2,323,109

Food & Staples Retailing

   1,477,950   –   –   1,477,950

Health Care Equipment & Supplies

   35,241,047   550,277   –   35,791,324

Health Care Providers & Services

   39,451,806   –   –   39,451,806

Health Care Technology

   2,217,633   –   –   2,217,633

Industrial Conglomerates

   –   1,134,262   –   1,134,262

Life Sciences Tools & Services

   5,278,451   –   –   5,278,451

Machinery

   2,788,281   –   –   2,788,281

Pharmaceuticals

   47,388,697   11,753,944   –   59,142,641

Short-Term Securities

   8,446,597   5,510,489   –   13,957,086

 

Total

   $187,678,170   $19,975,092   –   $207,653,262
 

 

Valuation Inputs   Level 1     Level 2     Level 3   Total  

Derivative Financial Instruments1

        

Assets:

        

Foreign Currency Exchange Contracts

   $ 10,138        –      –   $ 10,138   

Liabilities:

        

Equity contracts

     (2,029,883 )      $(631,403 )    –     (2,661,286 ) 

Foreign currency exchange contracts

     (248 )      –      –     (248 ) 

 

  

Total

   $ (2,019,993 )      $(631,403 )    –   $ (2,651,396 ) 
 

 

 

  

 

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.

 

 

Portfolio Abbreviations

                               
To simplify the listings of portfolio holdings in the Trust’s Schedule   ADR      American Depositary Receipt   GBP       British Pound  
of Investments, the names and descriptions of many securities   CHF      Swiss Franc   USD       US Dollar  
have been abbreviated according to the following list:   EUR      Euro          

 

                   
          JANUARY 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: March 23, 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: March 23, 2012

 

By:     

/s/ Neal J. Andrews

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

Date: March 23, 2012