Schedule of Investments (unaudited) March 31, 2020 | BlackRock Health Sciences Trust II (BMEZ) (Percentages shown are based on Net Assets) |
| Security | Shares | Value | ||||||
Common Stocks — 77.1% |
| |||||||
Biotechnology — 28.6% |
| |||||||
ACADIA Pharmaceuticals, Inc.(a) | 134,400 | $ | 5,678,400 | |||||
Acceleron Pharma, Inc.(a)(b) | 297,816 | 26,764,724 | ||||||
Agios Pharmaceuticals, Inc.(a)(b) | 440,450 | 15,627,166 | ||||||
Alector, Inc.(a) | 408,845 | 9,865,430 | ||||||
Alexion Pharmaceuticals, Inc.(a)(b) | 114,226 | 10,256,353 | ||||||
Allakos, Inc.(a)(b) | 212,829 | 9,468,762 | ||||||
Alnylam Pharmaceuticals, Inc.(a)(b) | 263,048 | 28,632,775 | ||||||
Amicus Therapeutics, Inc.(a)(b) | 700,017 | 6,468,157 | ||||||
Apellis Pharmaceuticals, Inc.(a) | 170,360 | 4,563,944 | ||||||
Arcutis Biotherapeutics, Inc.(a) | 155,075 | 4,621,235 | ||||||
Arena Pharmaceuticals, Inc.(a)(b) | 222,080 | 9,327,360 | ||||||
Argenx SE, ADR(a)(b) | 94,801 | 12,488,136 | ||||||
Arrowhead Pharmaceuticals, Inc.(a) | 85,746 | 2,466,912 | ||||||
Beam Therapeutics, Inc.(a) | 169,779 | 3,056,022 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd.(a) | 150,100 | 5,107,903 | ||||||
BioMarin Pharmaceutical, Inc.(a)(c) | 333,597 | 28,188,947 | ||||||
Blueprint Medicines Corp.(a) | 71,909 | 4,205,238 | ||||||
CareDx, Inc.(a) | 227,093 | 4,957,440 | ||||||
ChemoCentryx, Inc.(a) | 109,330 | 4,392,879 | ||||||
Constellation Pharmaceuticals, Inc.(a) | 66,900 | 2,102,667 | ||||||
Deciphera Pharmaceuticals, Inc.(a) | 82,195 | 3,383,968 | ||||||
Denali Therapeutics, Inc.(a) | 111,300 | 1,948,863 | ||||||
Dicerna Pharmaceuticals, Inc.(a) | 380,984 | 6,998,676 | ||||||
Eidos Therapeutics, Inc.(a) | 120,728 | 5,914,465 | ||||||
Fate Therapeutics, Inc.(a) | 112,925 | 2,508,064 | ||||||
FibroGen, Inc.(a)(b) | 463,648 | 16,111,768 | ||||||
Galapagos NV, ADR(a)(b) | 23,742 | 4,651,533 | ||||||
Genmab A/S(a) | 189,965 | 38,157,996 | ||||||
Genmab A/S, ADR(a)(b) | 492,330 | 10,432,473 | ||||||
Global Blood Therapeutics, Inc.(a) | 78,531 | 4,012,149 | ||||||
Grifols SA | 479,364 | 16,038,256 | ||||||
Gritstone Oncology, Inc.(a) | 197,153 | 1,147,430 | ||||||
Halozyme Therapeutics, Inc.(a) | 281,701 | 5,067,801 | ||||||
Immunomedics, Inc.(a) | 451,884 | 6,091,396 | ||||||
Immunovant, Inc.(a) | 207,798 | 3,234,376 | ||||||
Insmed, Inc.(a) | 401,127 | 6,430,066 | ||||||
Iovance Biotherapeutics, Inc.(a) | 271,594 | 8,130,166 | ||||||
Kadmon Holdings, Inc.(a) | 1,246,712 | 5,223,723 | ||||||
Karyopharm Therapeutics, Inc.(a) | 384,615 | 7,388,454 | ||||||
Kodiak Sciences, Inc.(a) | 176,483 | 8,418,239 | ||||||
Krystal Biotech, Inc.(a) | 79,277 | 3,427,937 | ||||||
Mersana Therapeutics, Inc.(a) | 705,506 | 4,113,100 | ||||||
Mirati Therapeutics, Inc.(a)(b) | 107,082 | 8,231,393 | ||||||
Molecular Templates, Inc.(a) | 203,575 | 2,705,512 | ||||||
Momenta Pharmaceuticals, Inc.(a) | 158,720 | 4,317,184 | ||||||
Morphic Holding, Inc.(a) | 100,431 | 1,474,327 | ||||||
Neurocrine Biosciences, Inc.(a)(c) | 401,665 | 34,764,106 | ||||||
Passage Bio, Inc.(a) | 190,016 | 2,992,752 | ||||||
Prevail Therapeutics, Inc.(a) | 85,400 | 1,041,026 | ||||||
Principia Biopharma, Inc.(a) | 104,353 | 6,196,481 | ||||||
PTC Therapeutics, Inc.(a) | 186,836 | 8,334,754 | ||||||
Rapt Therapeutics, Inc.(a) | 188,948 | 4,018,924 | ||||||
| Security | Shares | Value | ||||||
| Biotechnology (continued) | ||||||||
Regeneron Pharmaceuticals, Inc.(a)(b) | 26,957 | $ | 13,162,834 | |||||
Retrophin, Inc.(a) | 373,674 | 5,451,904 | ||||||
Revolution Medicines, Inc.(a) | 130,658 | 2,862,717 | ||||||
Sarepta Therapeutics, Inc.(a)(b) | 69,054 | 6,754,862 | ||||||
Seattle Genetics, Inc.(a)(c) | 473,285 | 54,607,623 | ||||||
Stoke Therapeutics, Inc.(a) | 103,538 | 2,371,020 | ||||||
Syndax Pharmaceuticals, Inc.(a) | 351,680 | 3,857,930 | ||||||
Twist Bioscience Corp.(a)(b) | 242,154 | 7,405,069 | ||||||
uniQure NV(a) | 127,900 | 6,068,855 | ||||||
United Therapeutics Corp.(a)(b) | 56,350 | 5,343,389 | ||||||
Vertex Pharmaceuticals, Inc.(a)(b) | 115,854 | 27,567,459 | ||||||
Voyager Therapeutics, Inc.(a) | 262,830 | 2,404,895 | ||||||
Zai Lab Ltd., ADR(a) | 184,010 | 9,472,835 | ||||||
Zymeworks, Inc.(a) | 246,147 | 8,730,834 | ||||||
|
| |||||||
| 597,210,034 | ||||||||
| Health Care Equipment & Supplies — 26.4% | ||||||||
ABIOMED, Inc.(a)(b) | 75,885 | 11,015,467 | ||||||
Alcon, Inc.(a) | 577,309 | 29,338,843 | ||||||
Baxter International, Inc.(c) | 590,818 | 47,968,513 | ||||||
Cardiovascular Systems, Inc.(a) | 168,900 | 5,946,969 | ||||||
Coloplast A/S, Class B | 19,558 | 2,836,425 | ||||||
ConvaTec Group PLC(d) | 5,511,285 | 12,671,804 | ||||||
Cooper Cos., Inc.(b)(c) | 57,650 | 15,892,376 | ||||||
Demant A/S(a) | 357,675 | 7,787,802 | ||||||
DexCom, Inc.(a)(b) | 38,267 | 10,304,155 | ||||||
Edwards Lifesciences Corp.(a)(b) | 93,795 | 17,691,613 | ||||||
Envista Holdings Corp.(a) | 390,350 | 5,831,829 | ||||||
GN Store Nord A/S | 452,706 | 20,072,134 | ||||||
Haemonetics Corp.(a)(b) | 244,508 | 24,367,667 | ||||||
Hill-Rom Holdings, Inc.(b) | 138,585 | 13,941,651 | ||||||
Insulet Corp.(a)(b) | 135,144 | 22,390,658 | ||||||
Intuitive Surgical, Inc.(a)(b) | 70,598 | 34,960,836 | ||||||
Masimo Corp.(a)(b) | 237,283 | 42,027,565 | ||||||
Nevro Corp.(a)(b) | 208,151 | 20,810,937 | ||||||
NuVasive, Inc.(a) | 137,340 | 6,957,644 | ||||||
ResMed, Inc.(b)(c) | 93,927 | 13,834,508 | ||||||
Shenzhen MindrayBio-Medical Electronics Co. Ltd., Class A | 397,220 | 14,449,192 | ||||||
Silk Road Medical, Inc.(a) | 278,940 | 8,781,031 | ||||||
Sonova Holding AG, Registered Shares | 93,846 | 16,734,089 | ||||||
STERIS PLC | 139,521 | 19,528,754 | ||||||
Straumann Holding AG, Registered Shares | 23,016 | 16,827,086 | ||||||
Tandem Diabetes Care, Inc.(a)(b) | 202,274 | 13,016,332 | ||||||
Teleflex, Inc.(b)(c) | 136,575 | 39,997,355 | ||||||
Varian Medical Systems, Inc.(a)(c) | 363,549 | 37,321,940 | ||||||
Venus MedTech Hangzhou, Inc.(a) | 181,000 | 1,054,576 | ||||||
Penumbra, Inc.(a)(b) | 106,261 | 17,143,087 | ||||||
|
| |||||||
| 551,502,838 | ||||||||
| Health Care Providers & Services — 8.5% | ||||||||
Amedisys, Inc.(a)(b) | 154,923 | 28,434,567 | ||||||
Amplifon SpA | 548,144 | 11,134,576 | ||||||
| 1 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Health Sciences Trust II (BMEZ) (Percentages shown are based on Net Assets) |
| Security | Shares | Value | ||||||
| Health Care Providers & Services (continued) | ||||||||
Centene Corp.(a)(b) | 464,465 | $ | 27,593,866 | |||||
Encompass Health Corp.(b) | 246,807 | 15,803,052 | ||||||
Guardant Health, Inc.(a)(b) | 55,564 | 3,867,254 | ||||||
Humana, Inc.b) | 77,006 | 24,181,424 | ||||||
Jinxin Fertility Group Ltd. | 15,237,300 | 16,692,526 | ||||||
LHC Group, Inc.(a)(b) | 213,791 | 29,973,498 | ||||||
Oak Street Health LLC, SeriesIII-E, (Acquired 3/04/20, | 123,805 | 19,349,484 | ||||||
|
| |||||||
| 177,030,247 | ||||||||
| Health Care Technology — 2.7% | ||||||||
Livongo Health, Inc.(a) | 418,200 | 11,931,246 | ||||||
Ping An Healthcare and Technology Co. | 886,674 | 8,164,366 | ||||||
Teladoc Health, Inc.(a)(c) | 232,249 | 36,000,918 | ||||||
|
| |||||||
| 56,096,530 | ||||||||
| Life Sciences Tools & Services — 5.4% | ||||||||
Agilent Technologies, Inc.(b) | 142,830 | 10,229,485 | ||||||
Avantor, Inc.(a) | 756,938 | 9,454,156 | ||||||
Charles River Laboratories International, | 91,464 | 11,543,671 | ||||||
Illumina, Inc.(a)(b) | 35,617 | 9,727,715 | ||||||
IQVIA Holdings, Inc.(a)(b) | 138,211 | 14,907,438 | ||||||
Lonza Group AG, Registered Shares | 31,645 | 13,016,341 | ||||||
PPD, Inc.(a) | 422,964 | 7,532,989 | ||||||
WuXi AppTec Co. Ltd., Class H(d) | 1,521,200 | 18,491,518 | ||||||
Wuxi Biologics Cayman, Inc.(a)(d) | 1,364,101 | 17,415,243 | ||||||
|
| |||||||
| 112,318,556 | ||||||||
| Pharmaceuticals — 5.5% | ||||||||
Chugai Pharmaceutical Co. Ltd. | 97,000 | 11,222,490 | ||||||
Eisai Co. Ltd. | 133,400 | 9,757,861 | ||||||
GW Pharmaceuticals PLC — ADR(a) | 166,645 | 14,593,103 | ||||||
Hansoh Pharmaceutical Group Co. Ltd.(a)(d) | 4,062,000 | 13,573,049 | ||||||
Merck KGaA | 146,599 | 14,800,934 | ||||||
MyoKardia, Inc.(a)(b) | 64,465 | 3,022,119 | ||||||
Nektar Therapeutics(a)(b) | 312,918 | 5,585,586 | ||||||
Reata Pharmaceuticals, Inc., Class A(a)(b) | 21,264 | 3,069,246 | ||||||
Relmada Therapeutics, Inc.(a) | 248,500 | 8,476,335 | ||||||
| Security | Shares | Value | ||||||
| Pharmaceuticals (continued) | ||||||||
Tricida, Inc.(a) | 144,303 | $ | 3,174,666 | |||||
UCB SA | 313,826 | 26,851,620 | ||||||
|
| |||||||
| 114,127,009 | ||||||||
|
| |||||||
Total Common Stocks — 77.1% |
| 1,608,285,214 | ||||||
|
| |||||||
Preferred Securities — 0.4% |
| |||||||
| Preferred Stocks — 0.4% | ||||||||
| Biotechnology — 0.2% | ||||||||
Sigilon Therapeutics, Inc., Series B, (Acquired 2/14/20, | 508,633 | 3,051,798 | ||||||
|
| |||||||
| Pharmaceuticals — 0.2% | ||||||||
Kymera Therapeutics, Inc, Series C, (Acquired 03/11/20 | 755,744 | 4,939,996 | ||||||
|
| |||||||
Total Preferred Stocks — 0.4% |
| 7,991,794 | ||||||
|
| |||||||
Total Preferred Securities — 0.4% |
| 7,991,794 | ||||||
|
| |||||||
Total Long-Term Investments — 77.5% |
| 1,616,277,008 | ||||||
|
| |||||||
Short-Term Securities — 27.4% |
| |||||||
BlackRock Liquidity Funds,T-Fund, Institutional Class, 0.21%(g)(h) | 571,386,181 | 571,386,181 | ||||||
|
| |||||||
Total Short-Term Securities — 27.4% |
| 571,386,181 | ||||||
|
| |||||||
Total Investments Before Options |
| 2,187,663,189 | ||||||
|
| |||||||
Options Written — (1.5)% |
| (30,697,870 | ) | |||||
|
| |||||||
Total Investments, Net of Options |
| 2,156,965,319 | ||||||
Liabilities in Excess of Other Assets — (3.4)% |
| (71,364,467 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| $ | 2,085,600,852 | |||||
|
| |||||||
| (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) | All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
| (d) | 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. |
| (e) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (f) | Restricted security as to resale, excluding 144A securities. The trust held restricted securities with a current value of $27,341,278 representing 1.31% of its net assets as of period end, and an original cost of $27,341,278. |
| (g) | Annualized7-day yield as of period end. |
| 2 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Health Sciences Trust II (BMEZ) |
| (h) | Investments in issuers considered to be an affiliate/affiliates of the 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 | | | Change in Unrealized Appreciation | | ||||||||||
BlackRock Liquidity Funds,T-Fund, Institutional Class | — | 571,386,181 | (b) | — | 571,386,181 | $ | 571,386,181 | $ | 2,292,892 | $ | — | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
| (a) | Includes net capital gain distributions, if applicable. |
| (b) | Represents net shares purchased (sold). |
For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sectorsub-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 sectorsub-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 | |
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 | ||||||||||||||||||||||||
Amedisys, Inc. | 245 | 04/17/20 | USD | 190.00 | USD | 4,497 | $ | (159,863 | ) | |||||||||||||||
Amedisys, Inc. | 8 | 04/17/20 | USD | 195.00 | USD | 147 | (3,804 | ) | ||||||||||||||||
Masimo Corp. | 525 | 04/17/20 | USD | 165.00 | USD | 9,299 | (829,500 | ) | ||||||||||||||||
Neurocrine Biosciences, Inc. | 500 | 04/17/20 | USD | 90.00 | USD | 4,328 | (102,500 | ) | ||||||||||||||||
Regeneron Pharmaceuticals, Inc. | 59 | 04/17/20 | USD | 500.00 | USD | 2,881 | (89,975 | ) | ||||||||||||||||
Seattle Genetics, Inc. | 1,049 | 04/17/20 | USD | 115.00 | USD | 12,103 | (765,770 | ) | ||||||||||||||||
Teladoc Health, Inc. | 460 | 04/17/20 | USD | 190.00 | USD | 7,130 | (149,500 | ) | ||||||||||||||||
Vertex Pharmaceuticals, Inc. | 226 | 04/17/20 | USD | 230.00 | USD | 5,378 | (303,970 | ) | ||||||||||||||||
Alnylam Pharmaceuticals, Inc. | 455 | 05/15/20 | USD | 115.00 | USD | 4,953 | (311,675 | ) | ||||||||||||||||
Neurocrine Biosciences, Inc. | 500 | 05/15/20 | USD | 90.00 | USD | 4,328 | (216,250 | ) | ||||||||||||||||
Teladoc Health, Inc. | 120 | 05/15/20 | USD | 190.00 | USD | 1,860 | (118,800 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
| (3,051,607 | ) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
| Put | ||||||||||||||||||||||||
Amicus Therapeutics, Inc. | 484 | 04/03/20 | USD | 9.50 | USD | 447 | (48,400 | ) | ||||||||||||||||
Amicus Therapeutics, Inc. | 523 | 04/03/20 | USD | 9.00 | USD | 483 | (20,920 | ) | ||||||||||||||||
Centene Corp. | 191 | 04/03/20 | USD | 48.50 | USD | 1,135 | (37,245 | ) | ||||||||||||||||
Immunomedics, Inc. | 250 | 04/03/20 | USD | 16.00 | USD | 337 | (68,750 | ) | ||||||||||||||||
| 3 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Health Sciences Trust II (BMEZ) |
Exchange-Traded Options Written (continued)
| Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||
| Put (continued): | ||||||||||||||||||||||||
Immunomedics, Inc. | 308 | 04/03/20 | USD | 15.50 | USD | 415 | $ | (147,840 | ) | |||||||||||||||
Intuitive Surgical, Inc. | 26 | 04/03/20 | USD | 550.00 | USD | 1,288 | (138,580 | ) | ||||||||||||||||
Intuitive Surgical, Inc. | 13 | 04/03/20 | USD | 535.00 | USD | 644 | (52,325 | ) | ||||||||||||||||
Nektar Therapeutics | 220 | 04/03/20 | USD | 21.00 | USD | 393 | (76,450 | ) | ||||||||||||||||
Nektar Therapeutics | 198 | 04/03/20 | USD | 19.50 | USD | 353 | (42,075 | ) | ||||||||||||||||
PTC Therapeutics, Inc. | 204 | 04/03/20 | USD | 2.00 | USD | 910 | (156,060 | ) | ||||||||||||||||
Tandem Diabetes Care, Inc. | 117 | 04/03/20 | USD | 77.50 | USD | 753 | (149,760 | ) | ||||||||||||||||
Vertex Pharmaceuticals, Inc. | 97 | 04/03/20 | USD | 227.50 | USD | 2,308 | (43,650 | ) | ||||||||||||||||
Vertex Pharmaceuticals, Inc. | 152 | 04/03/20 | USD | 225.00 | USD | 3,617 | (13,300 | ) | ||||||||||||||||
Vertex Pharmaceuticals, Inc. | 96 | 04/03/20 | USD | 215.00 | USD | 2,284 | (12,480 | ) | ||||||||||||||||
Edwards Lifesciences Corp. | 13 | 04/09/20 | USD | 197.50 | USD | 245 | (15,600 | ) | ||||||||||||||||
ABIOMED, Inc. | 244 | 04/17/20 | USD | 145.00 | USD | 3,542 | (159,820 | ) | ||||||||||||||||
Acceleron Pharma, Inc. | 878 | 04/17/20 | USD | 85.00 | USD | 7,891 | (294,130 | ) | ||||||||||||||||
Agios Pharmaceuticals, Inc. | 147 | 04/17/20 | USD | 45.00 | USD | 522 | (147,735 | ) | ||||||||||||||||
Agios Pharmaceuticals, Inc. | 136 | 04/17/20 | USD | 40.00 | USD | 483 | (78,200 | ) | ||||||||||||||||
Alcon, Inc. | 714 | 04/17/20 | USD | 60.00 | USD | 3,629 | (721,140 | ) | ||||||||||||||||
Alcon, Inc. | 516 | 04/17/20 | USD | 55.00 | USD | 2,622 | (301,860 | ) | ||||||||||||||||
Alexion Pharmaceuticals, Inc. | 75 | 04/17/20 | USD | 80.00 | USD | 673 | (13,125 | ) | ||||||||||||||||
Allakos, Inc. | 182 | 04/17/20 | USD | 55.00 | USD | 810 | (202,930 | ) | ||||||||||||||||
Alnylam Pharmaceuticals, Inc. | 568 | 04/17/20 | USD | 115.00 | USD | 6,183 | (488,480 | ) | ||||||||||||||||
Alnylam Pharmaceuticals, Inc. | 323 | 04/17/20 | USD | 105.00 | USD | 3,516 | (118,703 | ) | ||||||||||||||||
Alnylam Pharmaceuticals, Inc. | 58 | 04/17/20 | USD | 100.00 | USD | 631 | (10,585 | ) | ||||||||||||||||
Amedisys, Inc. | 51 | 04/17/20 | USD | 175.00 | USD | 936 | (36,465 | ) | ||||||||||||||||
Amedisys, Inc. | 45 | 04/17/20 | USD | 185.00 | USD | 826 | (47,362 | ) | ||||||||||||||||
Amicus Therapeutics, Inc. | 379 | 04/17/20 | USD | 9.00 | USD | 350 | (22,740 | ) | ||||||||||||||||
Apellis Pharmaceuticals, Inc. | 28 | 04/17/20 | USD | 30.00 | USD | 75 | (12,600 | ) | ||||||||||||||||
Argenx SE | 54 | 04/17/20 | USD | 145.00 | USD | 711 | (88,830 | ) | ||||||||||||||||
Argenx SE | 84 | 04/17/20 | USD | 140.00 | USD | 1,107 | (106,260 | ) | ||||||||||||||||
Argenx SE | 100 | 04/17/20 | USD | 135.00 | USD | 1,317 | (99,500 | ) | ||||||||||||||||
Avantor, Inc. | 100 | 04/17/20 | USD | 15.00 | USD | 125 | (30,000 | ) | ||||||||||||||||
ChemoCentryx, Inc. | 122 | 04/17/20 | USD | 44.00 | USD | 490 | (81,740 | ) | ||||||||||||||||
ChemoCentryx, Inc. | 109 | 04/17/20 | USD | 43.00 | USD | 438 | (67,580 | ) | ||||||||||||||||
Cooper Cos., Inc. | 47 | 04/17/20 | USD | 330.00 | USD | 1,296 | (253,800 | ) | ||||||||||||||||
Cooper Cos., Inc. | 75 | 04/17/20 | USD | 320.00 | USD | 2,068 | (333,750 | ) | ||||||||||||||||
DexCom, Inc. | 24 | 04/17/20 | USD | 280.00 | USD | 646 | (45,600 | ) | ||||||||||||||||
DexCom, Inc. | 36 | 04/17/20 | USD | 260.00 | USD | 969 | (35,280 | ) | ||||||||||||||||
Dicerna Pharmaceuticals, Inc. | 362 | 04/17/20 | USD | 15.00 | USD | 665 | (66,970 | ) | ||||||||||||||||
Encompass Health Corp. | 277 | 04/17/20 | USD | 75.00 | USD | 1,774 | (307,470 | ) | ||||||||||||||||
FibroGen, Inc. | 117 | 04/17/20 | USD | 40.00 | USD | 407 | (69,615 | ) | ||||||||||||||||
GW Pharmaceuticals PLC — ADR | 117 | 04/17/20 | USD | 110.00 | USD | 1,025 | (267,930 | ) | ||||||||||||||||
Haemonetics Corp. | 178 | 04/17/20 | USD | 110.00 | USD | 1,774 | (189,570 | ) | ||||||||||||||||
Hill-Rom Holdings, Inc. | 96 | 04/17/20 | USD | 100.00 | USD | 966 | (50,400 | ) | ||||||||||||||||
Hill-Rom Holdings, Inc. | 155 | 04/17/20 | USD | 95.00 | USD | 1,559 | (65,487 | ) | ||||||||||||||||
IQVIA Holdings, Inc. | 68 | 04/17/20 | USD | 145.00 | USD | 733 | (251,260 | ) | ||||||||||||||||
Insmed, Inc. | 220 | 04/17/20 | USD | 27.00 | USD | 353 | (240,900 | ) | ||||||||||||||||
Iovance Biotherapeutics, Inc. | 201 | 04/17/20 | USD | 22.50 | USD | 602 | (15,075 | ) | ||||||||||||||||
Kodiak Sciences, Inc. | 243 | 04/17/20 | USD | 55.00 | USD | 1,159 | (219,915 | ) | ||||||||||||||||
Masimo Corp. | 258 | 04/17/20 | USD | 165.00 | USD | 4,570 | (87,075 | ) | ||||||||||||||||
Mirati Therapeutics, Inc. | 82 | 04/17/20 | USD | 80.00 | USD | 630 | (58,220 | ) | ||||||||||||||||
| 4 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Health Sciences Trust II (BMEZ) |
Exchange-Traded Options Written (continued)
| Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||
| Put (continued): | ||||||||||||||||||||||||
Molecular Templates, Inc. | 330 | 04/17/20 | USD | 12.50 | USD | 439 | $ | (34,650 | ) | |||||||||||||||
Momenta Pharmaceuticals, Inc. | 218 | 04/17/20 | USD | 29.00 | USD | 593 | (67,035 | ) | ||||||||||||||||
Momenta Pharmaceuticals, Inc. | 76 | 04/17/20 | USD | 30.00 | USD | 207 | (29,070 | ) | ||||||||||||||||
MyoKardia, Inc. | 34 | 04/17/20 | USD | 60.00 | USD | 159 | (47,600 | ) | ||||||||||||||||
Neurocrine Biosciences, Inc. | 469 | 04/17/20 | USD | 95.00 | USD | 4,059 | (422,100 | ) | ||||||||||||||||
Nevro Corp. | 303 | 04/17/20 | USD | 130.00 | USD | 3,029 | (928,695 | ) | ||||||||||||||||
NuVasive, Inc. | 271 | 04/17/20 | USD | 70.00 | USD | 1,373 | (532,515 | ) | ||||||||||||||||
NuVasive, Inc. | 416 | 04/17/20 | USD | 65.00 | USD | 2,107 | (615,680 | ) | ||||||||||||||||
Penumbra, Inc. | 97 | 04/17/20 | USD | 180.00 | USD | 1,565 | (195,940 | ) | ||||||||||||||||
Penumbra, Inc. | 63 | 04/17/20 | USD | 165.00 | USD | 1,016 | (55,125 | ) | ||||||||||||||||
ResMed, Inc. | 119 | 04/17/20 | USD | 165.00 | USD | 1,753 | (229,670 | ) | ||||||||||||||||
Seattle Genetics, Inc. | 1,102 | 04/17/20 | USD | 105.00 | USD | 12,715 | (446,310 | ) | ||||||||||||||||
Silk Road Medical, Inc. | 227 | 04/17/20 | USD | 40.00 | USD | 715 | (200,895 | ) | ||||||||||||||||
Teladoc Health, Inc. | 208 | 04/17/20 | USD | 110.00 | USD | 3,224 | (16,640 | ) | ||||||||||||||||
Uniqure NV | 126 | 04/17/20 | USD | 55.00 | USD | 598 | (112,770 | ) | ||||||||||||||||
Varian Medical Systems, Inc. | 328 | 04/17/20 | USD | 130.00 | USD | 3,367 | (898,720 | ) | ||||||||||||||||
Varian Medical Systems, Inc. | 417 | 04/17/20 | USD | 125.00 | USD | 4,281 | (929,910 | ) | ||||||||||||||||
Zymeworks, Inc. | 60 | 04/17/20 | USD | 40.00 | USD | 213 | (35,700 | ) | ||||||||||||||||
Zymeworks, Inc. | 69 | 04/17/20 | USD | 35.00 | USD | 245 | (17,422 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
| (12,527,984 | ) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
| $ | (15,579,591 | ) | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
OTC Options Written
| Description | Counterparty | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||||||||||||||||||||||||
| Call | ||||||||||||||||||||||||||||||
Coloplast A/S, Class B | Credit Suisse International | 4,300 | 04/22/20 | DKK | 967.31 | DKK | 4,242 | $ | (26,702 | ) | ||||||||||||||||||||
Convatec Group PLC | Credit Suisse International | 1,208,000 | 04/22/20 | GBP | 1.86 | GBP | 2,253 | (103,011 | ) | |||||||||||||||||||||
Genmab A/S | Credit Suisse International | 51,300 | 04/22/20 | DKK | 1,434.03 | DKK | 70,640 | (270,139 | ) | |||||||||||||||||||||
Wuxi Apptec Ltd. H | Morgan Stanley & Co. International PLC | 270,200 | 04/22/20 | HKD | 103.30 | HKD | 25,777 | (75,204 | ) | |||||||||||||||||||||
Wuxi Biologics Cayman, Inc. | Morgan Stanley & Co. International PLC | 264,500 | 04/22/20 | HKD | 107.56 | HKD | 26,582 | (76,880 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
| (551,936 | ) | |||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
| Put | ||||||||||||||||||||||||||||||
Agios Pharmaceuticals, Inc. | JPMorgan Chase Bank N.A. | 17,500 | 04/01/20 | USD | 45.13 | USD | 621 | (168,802 | ) | |||||||||||||||||||||
Amplifon | Credit Suisse International | 47,600 | 04/01/20 | EUR | 24.10 | EUR | 891 | (298,222 | ) | |||||||||||||||||||||
Coloplast A/S, Class B | UBS AG | 36,800 | 04/01/20 | DKK | 893.26 | DKK | 36,307 | — | ||||||||||||||||||||||
Convatec Group PLC | JPMorgan Chase Bank N.A. | 1,527,700 | 04/01/20 | GBP | 1.94 | GBP | 2,849 | (161,757 | ) | |||||||||||||||||||||
Demant A/S | Citibank N.A. | 81,800 | 04/01/20 | DKK | 209.18 | DKK | 12,319 | (746,744 | ) | |||||||||||||||||||||
Encompass Health Corp. | Citibank N.A. | 30,600 | 04/01/20 | USD | 74.74 | USD | 1,959 | (327,686 | ) | |||||||||||||||||||||
Fibrogen, Inc. | JPMorgan Chase Bank N.A. | 13,700 | 04/01/20 | USD | 39.57 | USD | 476 | (66,089 | ) | |||||||||||||||||||||
Grifols SA | Citibank N.A. | 83,900 | 04/01/20 | EUR | 29.09 | EUR | 2,601 | (14,643 | ) | |||||||||||||||||||||
Jinxin Fertility Group Ltd. | Goldman Sachs International | 716,000 | 04/01/20 | HKD | 9.95 | HKD | 6,158 | (134,788 | ) | |||||||||||||||||||||
Lonza Group AG, Registered Shares | Morgan Stanley & Co. International PLC | 2,800 | 04/01/20 | CHF | 378.96 | CHF | 1,126 | (5,029 | ) | |||||||||||||||||||||
Merck KGaA | Morgan Stanley & Co. International PLC | 18,600 | 04/01/20 | EUR | 107.59 | EUR | 1,741 | (329,211 | ) | |||||||||||||||||||||
Nn Store Nord | Morgan Stanley & Co. International PLC | 78,400 | 04/01/20 | DKK | 367.91 | DKK | 23,818 | (785,049 | ) | |||||||||||||||||||||
| 5 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Health Sciences Trust II (BMEZ) |
OTC Options Written (continued)
| Description | Counterparty | Number of | Expiration Date | Exercise Price | Notional Amount (000) | Value | ||||||||||||||||||||
| Put (continued): | ||||||||||||||||||||||||||
Ping An Healthcare and Technology Co. Ltd. | JPMorgan Chase Bank N.A. | 82,900 | 04/01/20 | HKD | 75.97 | HKD | 5,994 | $ | (49,032 | ) | ||||||||||||||||
Sonova Holding AG | Citibank N.A. | 14,300 | 04/01/20 | CHF | 223.35 | CHF | 2,494 | (768,392 | ) | |||||||||||||||||
Straumann Holding AG | Citibank N.A. | 4,500 | 04/01/20 | CHF | 894.59 | CHF | 3,246 | (892,503 | ) | |||||||||||||||||
UCB SA | Citibank N.A. | 54,700 | 04/01/20 | EUR | 83.28 | EUR | 4,321 | (343,877 | ) | |||||||||||||||||
Wuxi Apptec Ltd. H | Goldman Sachs International | 50,800 | 04/01/20 | HKD | 115.52 | HKD | 4,846 | (139,400 | ) | |||||||||||||||||
Wuxi Biologics Cayman, Inc. | Morgan Stanley & Co. International PLC | 65,000 | 04/01/20 | HKD | 113.70 | HKD | 6,533 | (123,389 | ) | |||||||||||||||||
Amplifon | Credit Suisse International | 50,800 | 04/02/20 | EUR | 25.59 | EUR | 951 | (401,914 | ) | |||||||||||||||||
Coloplast A/S, Class B | Goldman Sachs International | 19,400 | 04/02/20 | DKK | 905.54 | DKK | 19,140 | (2 | ) | |||||||||||||||||
Convatec Group PLC | Goldman Sachs International | 743,700 | 04/02/20 | GBP | 2.00 | GBP | 1,387 | (140,341 | ) | |||||||||||||||||
Demant A/S | Morgan Stanley & Co. International PLC | 46,700 | 04/02/20 | DKK | 208.07 | DKK | 7,033 | (418,602 | ) | |||||||||||||||||
Genmab A/S | Credit Suisse International | 17,700 | 04/02/20 | DKK | 1,596.33 | DKK | 24,373 | (618,705 | ) | |||||||||||||||||
Grifols SA | Morgan Stanley & Co. International PLC | 64,100 | 04/02/20 | EUR | 31.61 | EUR | 1,987 | (107,990 | ) | |||||||||||||||||
Lonza Group AG, Registered Shares | Goldman Sachs International | 2,300 | 04/02/20 | CHF | 396.15 | CHF | 925 | (21,066 | ) | |||||||||||||||||
Merck KGaA | Morgan Stanley & Co. International PLC | 12,500 | 04/02/20 | EUR | 112.19 | EUR | 1,170 | (284,606 | ) | |||||||||||||||||
Nn Store Nord | Credit Suisse International | 39,400 | 04/02/20 | DKK | 378.50 | DKK | 11,970 | (456,163 | ) | |||||||||||||||||
Sonova Holding AG | Morgan Stanley & Co. International PLC | 9,500 | 04/02/20 | CHF | 235.73 | CHF | 1,657 | (632,643 | ) | |||||||||||||||||
Straumann Holding AG | Morgan Stanley & Co. International PLC | 2,800 | 04/02/20 | CHF | 940.37 | CHF | 2,020 | (688,489 | ) | |||||||||||||||||
UCB SA | Credit Suisse International | 29,600 | 04/02/20 | EUR | 88.72 | EUR | 2,338 | (363,671 | ) | |||||||||||||||||
Alcon AG | JPMorgan Chase Bank N.A. | 79,800 | 04/03/20 | USD | 60.59 | USD | 4,055 | (780,079 | ) | |||||||||||||||||
Convatec Group PLC | Citibank N.A. | 1,038,100 | 04/03/20 | GBP | 2.02 | GBP | 1,936 | (218,252 | ) | |||||||||||||||||
Hansoh Pharmaceutical Group Co. Ltd. | JPMorgan Chase Bank N.A. | 69,900 | 04/03/20 | HKD | 25.22 | HKD | 1,838 | (1,695 | ) | |||||||||||||||||
Jinxin Fertility Group Ltd. | JPMorgan Chase Bank N.A. | 1,113,800 | 04/03/20 | HKD | 9.93 | HKD | 9,579 | (207,044 | ) | |||||||||||||||||
Ping An Healthcare and Technology Co. Ltd. | JPMorgan Chase Bank N.A. | 76,800 | 04/03/20 | HKD | 73.01 | HKD | 5,553 | (26,053 | ) | |||||||||||||||||
WuXi Biologics, Inc. | UBS AG | 62,900 | 04/03/20 | HKD | 112.53 | HKD | 6,321 | (110,010 | ) | |||||||||||||||||
Wuxi Apptec Ltd. H | Citibank N.A. | 52,600 | 04/03/20 | HKD | 114.07 | HKD | 5,018 | (134,492 | ) | |||||||||||||||||
Dicerna Pharmaceuticals, Inc. | Morgan Stanley & Co. International PLC | 19,800 | 04/06/20 | USD | 18.73 | USD | 364 | (26,966 | ) | |||||||||||||||||
Coloplast A/S, Class B | UBS AG | 30,400 | 04/07/20 | DKK | 877.23 | DKK | 29,993 | (223 | ) | |||||||||||||||||
Convatec Group PLC | Goldman Sachs International | 1,240,200 | 04/07/20 | GBP | 1.96 | GBP | 2,313 | (196,593 | ) | |||||||||||||||||
Demant A/S | UBS AG | 65,000 | 04/07/20 | DKK | 200.58 | DKK | 9,789 | (510,713 | ) | |||||||||||||||||
Grifols SA | Credit Suisse International | 91,700 | 04/07/20 | EUR | 28.23 | EUR | 2,843 | (38,973 | ) | |||||||||||||||||
Jinxin Fertility Group Ltd. | Morgan Stanley & Co. International PLC | 1,546,000 | 04/07/20 | HKD | 9.72 | HKD | 13,296 | (246,059 | ) | |||||||||||||||||
Lonza Group AG, Registered Shares | Barclays Bank PLC | 2,300 | 04/07/20 | CHF | 365.18 | CHF | 925 | (10,767 | ) | |||||||||||||||||
Merck KGaA | UBS AG | 15,100 | 04/07/20 | EUR | 105.57 | EUR | 1,414 | (234,412 | ) | |||||||||||||||||
Nn Store Nord | UBS AG | 61,000 | 04/07/20 | DKK | 361.75 | DKK | 18,532 | (555,462 | ) | |||||||||||||||||
Ping An Healthcare and Technology Co. Ltd. | Citibank N.A. | 97,600 | 04/07/20 | HKD | 73.15 | HKD | 7,056 | (42,142 | ) | |||||||||||||||||
Sonova Holding AG | UBS AG | 11,400 | 04/07/20 | CHF | 221.87 | CHF | 1,988 | (595,023 | ) | |||||||||||||||||
Straumann Holding AG | Barclays Bank PLC | 3,500 | 04/07/20 | CHF | 866.82 | CHF | 2,525 | (593,222 | ) | |||||||||||||||||
UCB SA | Barclays Bank PLC | 44,000 | 04/07/20 | EUR | 81.42 | EUR | 3,476 | (247,128 | ) | |||||||||||||||||
Wuxi Apptec Ltd. H | Citibank N.A. | 83,300 | 04/07/20 | HKD | 109.94 | HKD | 7,947 | (168,990 | ) | |||||||||||||||||
Wuxi Biologics Cayman, Inc. | Goldman Sachs International | 102,000 | 04/07/20 | HKD | 108.83 | HKD | 10,251 | (133,240 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||||
| (14,566,343 | ) | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||
| $ | (15,118,279 | ) | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||
| 6 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Health Sciences Trust II (BMEZ) |
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 trusts. 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.
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 | $ | 543,013,782 | $ | 54,196,252 | $ | — | $ | 597,210,034 | ||||||||
Health Care Equipment & Supplies | 441,926,643 | 92,433,108 | — | 534,359,751 | ||||||||||||
Health Care Providers & Services | 146,996,748 | 27,827,102 | 19,349,484 | 194,173,334 | ||||||||||||
Health Care Technology | 47,932,164 | 8,164,366 | — | 56,096,530 | ||||||||||||
Life Sciences Tools & Services | 63,395,454 | 48,923,102 | — | 112,318,556 | ||||||||||||
Pharmaceuticals | 37,921,055 | 76,205,954 | — | 114,127,009 | ||||||||||||
Short Term Securities | 571,386,181 | — | — | 571,386,181 | ||||||||||||
Preferred Securities(a) | — | — | 7,991,794 | 7,991,794 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| $ | 1,852,572,027 | $ | 307,749,884 | $ | 27,341,278 | $ | 2,187,663,189 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Liabilities: | ||||||||||||||||
Equity contracts | $ | (15,579,591 | ) | $ | (15,118,279 | ) | $ | — | $ | (30,697,870 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (a) | See above Schedule of Investments for values in each sector. |
| (b) | Derivative financial instruments are options written. Options written are shown at value. |
| 7 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Health Sciences Trust II (BMEZ) |
A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
| Common stock | Preferred Securities | Total | ||||||||||
Assets: | ||||||||||||
Opening balance, as of January 30, 2020(a) | $ | — | $ | — | $ | — | ||||||
Transfers into Level 3 | — | — | — | |||||||||
Transfers out of Level 3 | — | — | — | |||||||||
Accrued discounts/premiums | — | — | — | |||||||||
Net realized gain (loss) | — | — | — | |||||||||
Net change in unrealized appreciation (depreciation) | — | — | — | |||||||||
Purchases | 19,349,484 | 7,991,794 | 27,341,278 | |||||||||
Sales | — | |||||||||||
|
|
|
|
|
| |||||||
Closing Balance, as of March 31, 2020 | $ | 19,349,484 | $ | 7,991,794 | $ | 27,341,278 | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2020(b) | $ | — | $ | — | $ | — | ||||||
|
|
|
|
|
| |||||||
| (a) | Commencement of operations. |
| (b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Trust’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.
The following table summarizes the valuation approaches used and unobservable inputs utilized by the Global Valuation Committee to determine the value of certain of the Trust’s Level 3 investments as of period end.
| Value | Valuation Approach | Unobservable Inputs | ||||||||||
Assets: | ||||||||||||
Common stock | $ | 19,349,484 | Market | Recent Transactions | (a) | |||||||
Preferred stock | 7,991,794 | Market | Recent Transactions | (a) | ||||||||
|
| |||||||||||
| $ | 27,341,278 | |||||||||||
|
| |||||||||||
| (a) | A significant change in unobservable input would have resulted in a correlated (inverse) significant change to value. |
| 8 |
