N-Q 1 dnq.htm BLACKROCK FUNDS II BlackRock Funds II

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 811-22061

Name of Fund: BlackRock Funds II

Emerging Market Debt Portfolio

International Bond Portfolio

Strategic Income Opportunities Portfolio

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: Anne F. Ackerley, Chief Executive Officer, BlackRock Funds II, 55 East 52nd Street, New York, NY 10055.

Registrant’s telephone number, including area code: (800) 441-7762

Date of fiscal year end: 12/31/2010

Date of reporting period: 03/31/2010

Item 1    –    Schedule of Investments

Schedule of Investments March 31, 2010 (Unaudited)    BlackRock Emerging Market Debt Portfolio
  

(Percentages shown are based on Net Assets)

 

     Par
(000)		    Value

Corporate Bonds

      

Chile — 0.5%

      

Codelco, Inc., 6.15%, 10/24/36

    $ 100    $ 102,554
         

Kazakhstan — 2.9%

      

Eurasian Development Bank, 7.38%, 9/29/14(a)

      140      147,237

KazMunaiGaz Finance Sub BV, 11.75%, 1/23/15(a)

      380      488,300
         
        635,537
         

Malaysia — 1.7%

      

Petronas Capital Ltd.:

      

7.00%, 5/22/12

      200      220,189

5.25%, 8/12/19(a)

      150      152,058
         
        372,247

Mexico — 3.2%

      

Pemex Project Funding Master Trust, 5.75%, 3/01/18

      180      185,246

Petroleos Mexicanos, 4.88%, 3/15/15(a)

      500      513,500
         
        698,746
         

Russia — 5.8%

      

Gaz Capital SA, 7.29%, 8/16/37

      140      139,104

Gazprom, 9.63%, 3/01/13

      400      456,040

RSHB Capital SA, 9.00%, 6/11/14(a)

      600      694,220
         
        1,289,364
         

Venezuela — 0.8%

      

Petroleos de Venezuela SA:

      

5.25%, 4/12/17

      200      123,000

5.38%, 4/12/27

      120      59,400
         
        182,400
         

Total Corporate Bonds — 14.9%

         3,280,848
         

Foreign Government Obligations

      

Argentina — 4.5%

      

Republic of Argentina:

      

8.28%, 12/31/33

      903      677,594

2.50%, 12/31/38(b)

      900      323,100
         
        1,000,694
         

Brazil — 9.5%

      

Federative Republic of Brazil:

      

6.00%, 1/17/17

      570      619,305

8.00%, 1/15/18

      98      113,960

5.88%, 1/15/19

      200      215,000

8.88%, 4/15/24

      50      66,000

7.13%, 1/20/37

      615      700,178

11.00%, 8/17/40

      40      53,540

5.63%, 1/07/41

      350      329,525
         
        2,097,508
         

Colombia — 4.3%

      

Republic of Colombia:

      

7.38%, 1/27/17

      260      299,000

7.38%, 3/18/19

      200      230,000

7.38%, 9/18/37

      375      420,000
         
        949,000
         

Croatia — 0.8%

      

Croatia, 6.75%, 11/05/19(a)

      160      176,070
         

Dominican Republic — 0.3%

      

Dominican Republic, 9.04%, 1/23/18

      55      60,114
         

El Salvador — 0.9%

      

Republic of El Salvador:

      

7.38%, 12/01/19(a)

      100      109,000

7.65%, 6/15/35

      90      94,725
         
        203,725
         

Hungary — 1.1%

      

Republic of Hungary, 6.25%, 1/29/20

      230      244,666
         

Indonesia — 5.1%

      

Republic of Indonesia:

      

7.50%, 1/15/16(a)

      190      219,450

6.88%, 1/17/18(a)

      200      222,500

11.63%, 3/04/19(a)

      100      143,750

5.88%, 3/13/20 (a)

      170      176,375

6.63%, 2/17/37(a)

      130      132,925

7.75%, 1/17/38

      200      232,000
         
        1,127,000
         

Lithuania — 1.0%

      

Republic of Lithuania, 7.38%, 2/11/20(a)

      197      215,627
         

Malaysia — 0.2%

      

Malaysia Government, 7.50%, 7/15/11

      35      37,653
         

Mexico — 6.0%

      

United Mexican States:

      

5.95%, 3/19/19

      550      594,000

5.13%, 1/15/20

      40      40,400

8.30%, 8/15/31

      400      514,000

6.75%, 9/27/34

      112      123,200

6.05%, 1/11/40

      50      49,875
         
        1,321,475
         

Pakistan — 0.4%

      

Islamic Republic of Pakistan, 6.88%, 6/01/17

      100      90,500
         

Portfolio Abbreviations

 

To simplify the listings of fund holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:   AUD   Australian Dollar   KRW   South Korean Won
  BRL   Brazil Real   LIBOR   London Interbank Offered Rate
  BZDIOVRA   Brazil Interbank Deposit Rate   MXN   Mexican Peso
  CAD   Canadian Dollar   NOK   Norwegian Krone
  CHF   Swiss Francs   NZD   New Zealand Dollar
  CLP   Chilean Peso   PLN   Polish Zloty
  CNY   Chinese Yuan   PRIBOR   Prague Interbank Offered Rate
  DKK   Danish Krone   RB   Revenue Bonds
  EUR   Euro   SEK   Swedish Krona
  GBP   British Pound   SGD   Singapore Dollar
  GO   General Obligation   TRY   Turkish Lira
  INR   Indian Rupee   USD   United States Dollar
  JPY   Japanese Yen   ZAR   South African Rand

 

    BLACKROCK FUNDS II   

MARCH 31, 2010

    1

Schedule of Investments (continued)    BlackRock Emerging Market Debt Portfolio
   (Percentages shown are based on Net Assets)

 

 

      Par
(000)		    Value  

Foreign Government Obligations

      

Panama — 2.2%

      

Republic of Panama:

      

8.88%, 9/30/27

    $ 290    $ 374,100   

9.38%, 4/01/29

      88      119,460   
           
        493,560   
           

Peru — 2.8%

      

Republic of Peru:

      

9.88%, 2/06/15

      150      189,750   

7.13%, 3/30/19

      65      75,302   

7.35%, 7/21/25

      200      232,000   

6.55%, 3/14/37

      120      128,400   
           
        625,452   
           

Philippines — 4.2%

      

Republic of Philippines:

      

9.38%, 1/18/17

      220      278,025   

7.75%, 1/14/31

      370      423,650   

6.38%, 10/23/34

      220      215,600   
           
        917,275   
           

Poland — 2.3%

      

Republic of Poland, 6.38%, 7/15/19

      452      495,174   
           

Russia — 8.2%

      

Russia Federation, 7.50%, 3/31/30(b)

      1,570      1,810,089   
           

South Africa — 4.6%

      

Republic of South Africa:

      

6.50%, 6/02/14

      220      242,275   

6.88%, 5/27/19

      280      312,550   

5.50%, 3/09/20

      460      465,750   
           
        1,020,575   
           

Turkey — 8.4%

      

Republic of Turkey:

      

9.50%, 1/15/14

      400      478,000   

7.25%, 3/15/15

      150      168,570   

7.50%, 7/14/17

      320      364,800   

11.88%, 1/15/30

      95      151,411   

8.00%, 2/14/34

      155      178,056   

6.88%, 3/17/36

      495      499,950   
           
        1,840,787   
           

Ukraine — 1.4%

      

Ukraine Government:

      

6.58%, 11/21/16(a)

      100      95,250   

6.58%, 11/21/16

      230      219,397   
           
        314,647   
           

Uruguay — 1.4%

      

Republica Orient Uruguay, 7.63%, 3/21/36

      272      307,696   
           

Venezuela — 7.7%

      

Republic of Venezuela:

      

7.00%, 12/01/18

      70      50,050   

7.65%, 4/21/25

      30      19,575   

9.25%, 9/15/27

      1,207      944,478   

9.25%, 5/07/28

      160      117,840   

9.38%, 1/13/34

      755      553,037   
           
        1,684,980   
           

Total Foreign Government Obligations — 77.3%

         17,034,267   
           

Total Long-Term Investments
(Cost — $19,284,115) — 92.2%

         20,315,115   
           
     Shares       

Short-Term Securities

      

Time Deposits — 10.7%

      

Brown Brothers Harriman & Co., 0.03%(c)

      2,355,507      2,355,507   
           

Total Short-Term Securities
(Cost — $2,355,507) — 10.7%

         2,355,507   
           
     Contracts       

Options Purchased

      

Exchange-Traded Call Options Purchased

      

JPY Currency, Strike Price USD 0.92, Expires 6/07/10

      30      8,392   
           

Exchange-Traded Put Options Purchased

      

3-month Euro-Dollar Futures, Strike Price USD 98.75, Expires 9/13/10

      96      4,200   

EUR Currency, Strike Price USD 1.30, Expires 5/26/10

      50      3,698   
           
        7,898   
           

Total Options Purchased
(Cost — $110,153) — 0.1%

         16,290   
           

Total Investments Before Outstanding Options Written
(Cost — $21,749,775*) — 103.0%

         22,686,912   
           

Options Written

      

Exchange-Traded Put Options Written

      

3-month Euro-Dollar Futures, Strike Price USD 98.25, Expires 9/13/10

      96      (1,800 ) 
           

Total Options Written

      

(Premiums Received — $66,307) — (0.0)%

         (1,800 ) 
           

Total Investments Net of Outstanding Options Written — 103.0%

         22,685,112   

Liabilities in Excess of Other Assets — (3.0)%

         (653,366 ) 
           

Net Assets — 100.0%

       $ 22,031,746   
           

 

* The cost and unrealized appreciation (depreciation) of investments as of March 31, 2010, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 21,921,580   
        

Gross unrealized appreciation

    $ 882,990   

Gross unrealized depreciation

      (117,658 ) 
        

Net unrealized appreciation

    $ 765,332   
        

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(b) Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.
(c) Represents the current yield as of report date.

 

2

   BLACKROCK FUNDS II   

MARCH 31, 2010

     

Schedule of Investments (continued)    BlackRock Emerging Market Debt Portfolio
   (Percentages shown are based on Net Assets)

 

 

• Foreign currency exchange contracts as of March 31, 2010 were as follows:

 

Currency

Purchased

    Currency
Sold		   

Counterparty

    Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

BRL

    170,953    USD    95,987    Bank of New York Mellon Corp.    4/05/10    $ —     

BRL

    214,380    USD    120,371    BNP Paribas    4/05/10      —     

BRL

    511,415    USD    290,000    Citibank, N.A.    4/05/10      (2,719 ) 

BRL

    347,880    USD    195,000    Citibank, N.A.    4/05/10      417   

BRL

    426,075    USD    239,234    Goldman Sachs Bank USA    4/05/10      —     

BRL

    322,920    USD    180,000    Goldman Sachs Bank USA    4/05/10      1,396   

BRL

    380,000    USD    213,363    Morgan Stanley Capital Services, Inc.    4/05/10      —     

BRL

    470,600    USD    260,000    Royal Bank of Scotland Plc    4/05/10      4,354   

BRL

    171,000    USD    96,013    UBS AG    4/05/10      —     

BRL

    349,830    USD    196,423    UBS AG    4/05/10      —     

BRL

    288,328    USD    161,891    UBS AG    4/05/10      —     

BRL

    344,280    USD    190,000    UBS AG    4/05/10      3,395   

USD

    95,000    BRL    170,952    Bank of New York Mellon Corp.    4/05/10      (1,030 ) 

USD

    120,000    BRL    214,380    BNP Paribas    4/05/10      (425 ) 

USD

    287,150    BRL    511,415    Citibank, N.A.    4/05/10      —     

USD

    195,328    BRL    347,880    Citibank, N.A.    4/05/10      —     

USD

    230,000    BRL    426,075    Goldman Sachs Bank USA    4/05/10      (9,342 ) 

USD

    181,314    BRL    322,920    Goldman Sachs Bank USA    4/05/10      —     

USD

    213,964    BRL    380,000    Morgan Stanley Capital Services, Inc.    4/05/10      504   

USD

    264,234    BRL    470,600    Royal Bank of Scotland Plc    4/05/10      —     

USD

    160,000    BRL    288,328    UBS AG    4/05/10      (1,965 ) 

USD

    195,000    BRL    349,830    UBS AG    4/05/10      (1,513 ) 

USD

    95,000    BRL    171,000    UBS AG    4/05/10      (1,057 ) 

USD

    193,307    BRL    344,280    UBS AG    4/05/10      —     

MXN

    1,631,734    USD    130,000    HSBC Bank USA, N.A    4/08/10      1,873   

MXN

    1,127,673    USD    90,000    JPMorgan Chase Bank, N.A.    4/08/10      1,136   

MXN

    1,501,080    USD    120,000    JPMorgan Chase Bank, N.A.    4/08/10      1,314   

MXN

    933,866    USD    75,000    Royal Bank of Scotland Plc    4/08/10      473   

USD

    133,192    EUR    100,000    Credit Suisse International    4/08/10      (1,875 ) 

USD

    170,000    TRY    263,670    UBS AG    4/08/10      (3,482 ) 

KRW

    158,760,000    USD    140,000    JPMorgan Chase Bank, N.A.    4/09/10      265   

AUD

    183,950    USD    163,427    Goldman Sachs Bank USA    4/21/10      4,990   

AUD

    301,050    USD    270,000    UBS AG    4/21/10      5,631   

MXN

    253,000    USD    20,000    Citibank, N.A.    4/21/10      421   

MXN

    497,000    USD    38,216    Citibank, N.A.    4/21/10      1,899   

MXN

    2,080,960    USD    160,000    Deutsche Bank AG    4/21/10      7,963   

MXN

    3,900,000    USD    300,000    Goldman Sachs Bank USA    4/21/10      14,785   

MXN

    3,571,300    USD    284,384    Goldman Sachs International    4/21/10      3,870   

MXN

    3,028,440    USD    240,000    HSBC Bank USA, N.A.    4/21/10      4,438   

MXN

    2,291,040    USD    180,000    HSBC Bank USA, N.A.    4/21/10      4,919   

TRY

    167,414    USD    110,000    Citibank, N.A.    4/21/10      (99 ) 

TRY

    167,524    USD    110,000    Citibank, N.A.    4/21/10      (26 ) 

USD

    380,000    MXN    5,023,334    Barclays Bank Plc    4/21/10      (25,454 ) 

USD

    380,000    MXN    5,024,360    Goldman Sachs Bank USA    4/21/10      (25,537 ) 

USD

    250,000    MXN    3,305,475    Morgan Stanley Capital Services, Inc.    4/21/10      (16,799 ) 

USD

    164,708    ZAR    1,261,000    Royal Bank of Scotland Plc    4/21/10      (7,770 ) 

USD

    18,397    TRY    28,500    Royal Bank of Scotland Plc    4/21/10      (312 ) 

USD

    220,000    TRY    339,834    UBS AG    4/21/10      (3,088 ) 

USD

    444,568    AUD    485,000    UBS AG    4/21/10      519   

ZAR

    1,438,500    USD    195,231    Goldman Sachs International    4/21/10      1,526   

CLP

    52,620,000    USD    100,000    Deutsche Bank AG    4/30/10      336   

CLP

    52,500,000    USD    100,000    Royal Bank of Scotland Plc    4/30/10      107   

INR

    9,110,000    USD    200,000    Goldman Sachs Bank USA    4/30/10      2,394   

INR

    6,834,000    USD    150,000    HSBC Bank USA, N.A    4/30/10      1,829   

INR

    4,549,000    USD    100,000    Morgan Stanley Capital Services, Inc.    4/30/10      1,064   

KRW

    168,330,500    USD    145,000    Deutsche Bank AG    4/30/10      3,597   

KRW

    871,462,500    USD    750,000    Goldman Sachs Bank USA    4/30/10      19,300   

KRW

    113,550,000    USD    100,000    HSBC Bank USA, N.A    4/30/10      238   

 

    BLACKROCK FUNDS II   

MARCH 31, 2010

    3

Schedule of Investments (continued)    BlackRock Emerging Market Debt Portfolio
  

 

 

Currency
Purchased

    Currency
Sold		   

Counterparty

    Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

USD

    100,000    INR    4,571,000    Goldman Sachs Bank USA    4/30/10    $ (1,552 ) 

USD

    110,000    CLP    59,840,000    Morgan Stanley Capital Services, Inc.    4/30/10      (4,103 ) 

USD

    115,000    INR    5,219,850    Morgan Stanley Capital Services, Inc.    4/30/10      (968 ) 

USD

    90,000    CLP    48,852,000    Royal Bank of Scotland Plc    4/30/10      (3,151 ) 

USD

    100,000    INR    4,541,000    Royal Bank of Scotland Plc    4/30/10      (886 ) 

USD

    880,000    KRW    1,026,696,000    UBS AG    4/30/10      (26,335 ) 

USD

    145,000    KRW    164,430,000    UBS AG    4/30/10      (154 ) 

EUR

    117,000    USD    158,243    Citibank, N.A.    5/26/10      (210 ) 

USD

    175,346    EUR    129,500    Citibank, N.A.    5/26/10      429   
                       

Total

                   $ (44,470 ) 
                       

 

•  

Interest rate swaps outstanding as of March 31, 2010 were as follows:

 

Fixed
Rate		   

Floating

Rate

   

Counterparty

   

Expiration

    Notional
Amount
(000)		    Unrealized
Appreciation
(Depreciation)		  
10.30%(a)    BZDIOVRA Index   

Deutsche Bank AG

    January 2011    BRL 1,870    $ (8,270 ) 
10.32%(a)    BZDIOVRA Index   

JPMorgan Chase Bank, N.A.

    January 2011    BRL 2,620      (11,353 ) 
7.34%(b)    3-month ZAR-JIBAR    Citibank, N.A.    March 2012    ZAR 7,950      (5,770 ) 
7.38%(b)    3-month ZAR-JIBAR   

JPMorgan Chase Bank, N.A.

    March 2012    ZAR 7,950      (6,590 ) 
7.37%(b)    3-month ZAR-JIBAR   

Deutsche Bank AG

    March 2012    ZAR 3,980      (3,175 ) 
                    
Total                $ (35,158 ) 
                    

 

(a) Fund pays floating interest rate and receives fixed rate.
(b) Fund pays fixed interest rate and receives floating rate.

 

•  

Credit default swaps on single-name issues - buy protection outstanding as of March 31, 2010 were as follows:

 

Issuer

    Pay
Fixed
Rate		    

Counterparty

   

Expiration

    Notional
Amount
(000)		    Unrealized
Appreciation

Republic of France

    0.25 %   

JPMorgan Chase Bank, N.A.

    December 2019    USD 400    $ 4,459

 

•  

Credit default swaps on traded indexes - buy protection outstanding as of March 31, 2010 were as follows:

 

Index

    Pay
Fixed
Rate		    

Counterparty

   

Expiration

    Notional
Amount
(000)		    Unrealized
Appreciaton
(Depreciation)		  

iTraxx Index Sub Financials Series 12 Version 1

    1.00 %   

Deutsche Bank AG

    December 2014    EUR 340    $ (2,673 ) 

iTraxx Index Sub Financials Series 12 Version 1

    1.00 %    JPMorgan Chase Bank, N.A.    December 2014    EUR 340      608   
                   

Total

               $ (2,065 ) 
                   

 

•  

Fair Value Measurements – Various inputs are used in determining the fair value of investments, which are as follows:

 

  •  

Level 1 – 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 Fund’s own assumptions used in determining the fair value of investments)

 

4

   BLACKROCK FUNDS II   

MARCH 31, 2010

     

Schedule of Investments (concluded)    BlackRock Emerging Market Debt Portfolio
  

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report.

The following tables summarize the inputs used as of March 31, 2010 in determining the fair valuation of the Fund’s investments:

 

Valuation Inputs

    Level 1    Level 2    Level 3    Total

Assets:

            

Investments in Securities:

            

Long-Term Investments1

    —      $ 20,315,115    —      $ 20,315,115

Short-Term Securities

    —        2,355,507    —        2,355,507
                       

Total

    —      $ 22,670,622    —      $ 22,670,622
                       

 

1

See above Schedule of Investments for values in each security type.

 

     Derivative Financial Instruments2  

Valuation Inputs

    Level 1     Level 2     Level 3    Total  

Assets:

          

Credit contracts

      —        $ 5,067      —      $ 5,067   

Foreign currency exchange contracts

      —          107,472      —      $ 107,472   

Interest rate contracts

    $ 4,200        —        —      $ 4,200   

Liabilities:

          

Credit contracts

      —          (2,673 )    —      $ (2,673 ) 

Foreign currency exchange contracts

      —          (139,852 )    —      $ (139,852 ) 

Interest rate contracts

      (1,800 )      (35,158 )    —      $ (36,958 ) 
                             

Total

    $ 2,400      $ (65,144 )    —      $ (62,744 ) 
                             

 

2

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

 

    BLACKROCK FUNDS II   

MARCH 31, 2010

    5

Schedule of Investments March 31, 2010 (Unaudited)    BlackRock International Bond Portfolio
   (Percentages shown are based on Net Assets)

 

 

     Par
(000)		    Value

Asset-Backed Securities

      

France — 0.5%

      

Auto ABS, Series 2007-1, Class A, 0.77%, 2/25/19(a)

    EUR  400    $ 534,740

STORM, Series 2010-1, Class A1, 0.00%, 3/22/49(a)

      900      1,215,592
         
        1,750,332
         

Ireland — 0.3%

      

Cars Alliance Funding Plc, Series 2007-1, Class A, 0.82%, 10/08/23(a)

      700      932,276
         

Italy — 0.3%

      

Auto ABS, Series 2007-2, Class A, 0.81%, 10/25/20(a)

      700      932,352
         

Luxembourg — 0.1%

      

Bavarian Sky SA, Series 1, Class A, 0.49%, 8/15/15(a)

      395      531,825
         

Netherlands — 0.4%

      

Globaldrive BV, Series 2008-2, Class A, 4.00%, 10/20/16

      994      1,369,235
         

United States — 2.2%

      

Ally Auto Receivables Trust, Series 2009-B, Class A2, 1.21%, 6/15/12(b)

    USD  2,535      2,545,578

Bank of America Auto Trust, Series 2009-2A, Class A2, 1.16%, 2/15/12(b)

      2,370      2,376,600

Capital One Auto Finance Trust, Series 2006-A, Class A4, 0.24%, 12/15/12(a)

      552      549,031

Home Equity Asset Trust, Series 2007-2, Class 2A1, 0.36%, 7/25/37(a)

      574      552,426

SLM Student Loan Trust, Series 2003-10, 5.15%, 9/17/15

    GBP   1,280      1,865,704
         
        7,889,339
         

Total Asset-Backed Securities — 3.8%

         13,405,359
         

Corporate Bonds

      

Australia — 0.8%

      

Commonwealth Bank of Australia, 5.75%, 12/17/13

    AUD  3,180      2,893,810
         

Canada — 1.7%

      

Royal Bank of Canada, 4.63%, 12/07/10

    GBP   3,830      5,917,751
         

Denmark — 0.7%

      

Nykredit Realkredit A/S, 2.37%, 10/01/38(a)

    DKK  11,170      1,930,216

Realkredit Denmark A/S, 2.73%, 1/01/38(a)

      3,155      545,295
         
        2,475,511
         

Finland — 0.6%

      

Nordic Investment Bank:

      

3.00%, 4/08/14

    EUR   877      1,222,946

6.00%, 8/20/14

    AUD   1,035      947,427
         
        2,170,373
         

France — 0.4%

      

BNP Paribas, 5.43%, 9/07/17

    EUR   450      675,104

Credit Agricole Covered Bonds, 3.50%, 7/21/14

      600      845,363
         
        1,520,467
         

Germany — 2.4%

      

Kreditanstalt fuer Wiederaufbau:

      

5.50%, 8/08/13

    AUD   550      500,187

5.50%, 1/22/18

    EUR   5,000      7,837,651
         
        8,337,838
         

Ireland — 1.7%

      

DEPFA ACS Bank, 1.65%, 12/20/16

    JPY  200,000      1,819,733

The Governor & Co. of The Bank of Ireland, 2.75%, 3/02/12(b)

    USD   2,000      1,991,380

Irish Life & Permanent Group Holdings Plc, 3.60%, 1/14/13(b)

      2,100      2,095,579
         
        5,906,692
         

Japan — 4.3%

      

East Japan Railway Co., 4.75%, 12/08/31

    GBP   750      1,076,987

European Investment Bank, 1.40%, 6/20/17

    JPY  1,273,500      13,965,169
         
        15,042,156
         

Luxembourg — 2.2%

      

European Community:

      

3.25%, 11/07/14

    EUR   2,050      2,890,885

3.13%, 1/27/15

      2,500      3,502,617

European Investment Bank, 4.25%, 4/15/19

      880      1,275,892
         
        7,669,394
         

Netherlands — 1.0%

      

ABN Amro Bank NV, 3.75%, 7/15/14

      700      987,841

Fortis Bank Nederland NV, 3.38%, 5/19/14

      750      1,052,006

LeasePlan Corp. NV, 3.25%, 5/22/14

      950      1,328,309
         
        3,368,156
         

Spain — 0.5%

      

Caja de Ahorros de Valencia Castellon y Alicante, 3.00%, 3/12/12

      1,300      1,791,857
         

Sweden — 1.5%

      

Nordea Hypotek AB, 4.25%, 11/23/10

      2,485      3,423,449

Svenska Handelsbanken AB, 2.88%, 9/14/12(b)

    USD   1,700      1,732,208
         
        5,155,657
         

Switzerland — 0.7%

      

European Investment Bank, 2.00%, 8/29/16

    CHF   2,440      2,348,581
         

United Kingdom — 1.3%

      

Network Rail Infrastructure Finance Plc, 4.88%, 11/27/15

    GBP   1,630      2,677,813

Northern Rock Plc, 3.88%, 10/18/11

    EUR 1,450      1,992,580
         
        4,670,393
         

United States — 3.6%

      

The Boeing Co., 1.88%, 11/20/12

    USD   890      893,625

Citigroup, Inc., 2.24%, 12/09/22

    JPY   200,000      1,757,946

Crown Castle Towers LLC, 6.11%, 1/15/20(b)

    USD   800      836,832

General Electric Capital Corp., 6.50%, 9/28/15

    NZD   5,245      3,730,939

JPMorgan Chase & Co., 3.63%, 12/12/11

    EUR   3,300      4,634,406

Prudential Financial, Inc., 3.88%, 1/14/15

    USD  700      698,685
         
        12,552,433
         

Total Corporate Bonds — 23.4%

         81,821,069
         

 

6

   BLACKROCK FUNDS II   

MARCH 31, 2010

     

Schedule of Investments (continued)    BlackRock International Bond Portfolio
   (Percentages shown are based on Net Assets)

 

 

     Par
(000)		    Value

Foreign Agency Obligations

      

ANZ National International Ltd., 3.25%, 4/02/12(b)

    USD  1,900    $ 1,967,078

CDP Financial, Inc., 3.00%, 11/25/14(b)

      2,900      2,855,453

Dexia Credit Local, 2.38%, 9/23/11(b)

      1,210      1,235,728

Eksportfinans ASA, 3.00%, 11/17/14

      995      998,822

Export Development Canada, 2.38%, 3/19/12

      1,950      1,996,219

Petrobras International Finance Co., 6.88%, 1/20/40

      2,918      3,011,916

Société Financement de l’Economie Francaise, 3.38%, 5/05/14(b)

      2,140      2,220,314
         

Total Foreign Agency Obligations — 4.1%

         14,285,530
         

Foreign Government Obligations

      

Australia — 5.9%

      

Australia Government Bond:

      

5.25%, 3/15/19

    AUD  5,630      4,999,651

3.00%, 9/20/25

      1,490      1,411,845

New South Wales Treasury Corp., 2.75%, 11/20/25

      3,370      3,027,940

Queensland Treasury Corp., 6.00%, 9/14/17

      12,305      11,289,222
         
        20,728,658
         

Canada — 3.7%

      

Canada Housing Trust No. 1, 4.00%, 6/15/12(b)

    CAD  9,000      9,229,685

Canadian Government Bond, 5.00%, 6/01/37

      3,257      3,689,439
         
        12,919,124
         

Denmark — 4.9%

      

Kingdom of Denmark:

      

4.00%, 11/15/12

    DKK  39,621      7,630,540

3.13%, 3/17/14

    EUR  6,800      9,551,943
         
        17,182,483
         

Finland — 3.5%

      

Finland Government Bond, 4.25%, 7/04/15

      8,290      12,224,273
         

France — 5.0%

      

France Government Bond:

      

4.25%, 10/25/18

      225      328,584

4.25%, 10/25/23

      2,380      3,389,470

6.00%, 10/25/25

      320      540,924

4.00%, 10/25/38

      9,089      12,287,177

Reseau Ferre de France, 5.50%, 12/01/21

    GBP  600      999,323
         
        17,545,478
         

Germany — 4.5%

      

Bundesobligation, 2.50%, 2/27/15

    EUR  3,295      4,524,072

Bundesrepublik Deutschland:

      

3.50%, 7/04/19

      1,780      2,490,601

4.25%, 7/04/39

      5,985      8,692,550
         
        15,707,223
         

Greece — 4.2%

      

Hellenic Republic:

      

2.96%, 2/20/13(a)

      2,255      3,037,111

4.60%, 5/20/13

      2,325      3,015,830

4.00%, 8/20/13

      360      454,213

3.70%, 7/20/15

      2,100      2,515,757

6.10%, 8/20/15

      1,710      2,301,841

4.30%, 7/20/17

      710      841,283

6.00%, 7/19/19

      1,198      1,558,769

6.25%, 6/19/20

      580      752,247
         
        14,477,051
         

Italy — 6.4%

      

Italy Buoni Poliennali Del Tesoro:

      

3.50%, 6/01/14

      3,660      5,159,929

4.25%, 2/01/15

      5,945      8,627,308

4.50%, 2/01/20

      1,625      2,318,607

4.25%, 3/01/20

      4,490      6,270,038
         
        22,375,882
         

Japan — 15.7%

      

Japan Finance Organization for Municipalities, 2.00%, 5/09/16

    JPY  1,000,000      11,454,412

Japan Government (10 Year Issue), 1.40%, 9/20/19

      840,450      9,004,430

Japan Government (20 Year Issue), 2.10%, 12/20/27

      2,364,400      25,429,781

Japan Government CPI Linked Bond:

      

Series 4, 0.50%, 6/10/15

      279,000      2,851,239

Series 9, 1.10%, 9/10/16

      305,000      3,170,004

Series 14, 1.20%, 12/10/17

      104,300      1,075,202

Series 15, 1.40%, 3/10/18

      195,600      2,024,803
         
        55,009,871
         

South Korea — 3.2%

      

Korea Treasury Bond, 4.00%, 6/10/12

    KRW  12,436,210      11,063,407
         

Spain — 1.3%

      

Bonos y Obligation del Estado, 5.75%, 7/30/32

    EUR  2,897      4,577,180
         

United Kingdom — 1.8%

      

United Kingdom Treasury Bonds:

      

4.25%, 9/07/39

    GBP  675      978,493

4.50%, 12/07/42

      3,430      5,227,136
         
        6,205,629
         

Total Foreign Government Obligations — 60.1%

         210,016,259
         

Non-Agency Mortgage-Backed Securities

      

Collateralized Mortgage Obligations — 0.6%

      

United States — 0.6%

      

Bear Stearns Alt-A Trust, Series 2004-13, Class A1, 0.99%, 11/25/34(a)

    USD  834      610,821

GSR Mortgage Loan Trust, Series 2005-AR1, Class 4A1, 5.17%, 1/25/35(a)

      955      857,512

WaMu Mortgage Pass-Through Certificates, Series 2006-AR10, Class 3A2, 6.08%, 8/25/46(a)

      847      713,807
         
        2,182,140
         

Commercial Mortgage-Backed Securities — 3.6%

      

United States — 3.6%

      

Banc of America Commercial Mortgage, Inc.:

      

Series 2001-1, Class A2, 6.50%, 4/15/11

      2,570      2,651,634

Series 2004-5, Class A3, 4.56%, 11/10/41

      2,470      2,527,201

Commercial Mortgage Asset Trust, Series 1999-C1, Class A3, 6.64%, 1/17/32

      403      403,380

GMAC Commercial Mortgage Securities, Inc., Series 2000-C2, Class A2, 7.46%, 6/16/10(a)

      706      707,078

 

    BLACKROCK FUNDS II   

MARCH 31, 2010

    7

Schedule of Investments (continued)    BlackRock International Bond Portfolio
   (Percentages shown are based on Net Assets)

 

 

     Par
(000)		     Value  

Non-Agency Mortgage-Backed Securities

     

Commercial Mortgage-Backed Securities (concluded)

     

United States (concluded)

     

Greenwich Capital Commercial Funding Corp., Series 2004-GG1, Class A4, 4.76%, 6/10/36

    USD  880      $ 893,172   

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2001-C1, Class A3, 5.86%, 10/12/11

      4,530        4,738,170   

LB-UBS Commercial Mortgage Trust, Series 2000-C4, Class A2, 7.37%, 8/15/26

      744        747,835   
          
       12,668,470   
          

Total Non-Agency Mortgage-Backed Securities — 4.2%

        14,850,610   
          

Preferred Securities

     

Capital Trusts

     

France — 0.8%

     

Credit Agricole SA, 7.59%(a)(c)

    GBP  900        1,324,775   

Société Generale, 5.92%(a)(b)(c)

    USD  900        777,165   

Société Generale, 7.00%(a)(c)

    EUR  650        845,005   

Norway — 0.3%

     

DnB NOR Bank ASA, 7.07%(a)(c)

      725        996,853   
          

United Kingdom — 0.4%

     

Aviva Plc, 5.70%(a)(c)

      260        327,467   

Aviva Plc, 5.90%(a)(c)

    GBP  750        899,117   

United States — 0.2%

     

UBS Preferred Funding Trust I, 8.62%(a)(c)

    USD  750        742,637   
          

Total Preferred Securities — 1.7%

        5,913,019   
          

Taxable Municipal Bonds

     

Los Angeles Department of Airports RB, 6.58%, 5/15/39

      595        606,144   

New York State Urban Development Corp. RB, 5.77%, 3/15/39

      590        582,613   

State of California, 5.50%, 3/01/16

      1,710        1,738,335   

State of California GO, 7.30%, 10/01/39

      1,170        1,173,943   

State of California Various Purposes RB, 5.25%, 4/01/14

      100        103,298   
          

Total Taxable Municipal Bonds — 1.2%

        4,204,333   
          

U.S. Treasury Obligations — 0.8%

     

U.S. Treasury Bonds, 4.63%, 2/15/40

      2,795        2,754,822   
          

Total Long-Term Investments
(Cost — $341,871,484) — 99.3%

        347,251,001   
          
     Shares        

Short-Term Securities

     

United States — 0.2%

     

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.11%(d)(e)

      665,574        665,574   
          

Total Short-Term Securities
(Cost — $665,574) — 0.2%

        665,574   
          
     Contracts        

Options Purchased

     

Exchange-Traded Call Options Purchased

     

USD Currency, Strike Price JPY 98.00, Expires 3/25/11

      888        256,950   
          

Over-the-Counter Put Swaptions Purchased

     

Pay a fixed rate of 4.650% and receive a floating rate based on 3-Month LIBOR, Expires 4/29/10, Broker, Royal Bank of Scotland Plc

      640 (f)      343   

Pay a fixed rate of 5.400% and receive a floating rate based on 3-Month LIBOR, Expires 4/29/10, Broker, Royal Bank of Scotland Plc

      4,160 (f)      4   
          
       347   
          

Total Options Purchased
(Cost — $206,080) — 0.1%

        257,297   
          

Total Investments Before Outstanding Options Written
(Cost — $342,743,138*) — 99.6%

      $ 348,173,872   
          
     Contracts(f)        

Options Written

     

Over-the-Counter Call Swaptions Written

     

Pay a fixed rate of 3.650% and receive a floating rate based on 3-Month LIBOR, Expires 4/29/10, Broker, Royal Bank of Scotland Plc

      320        (8,696 ) 
          

Over-the-Counter Put Swaptions Written

     

Receive a fixed rate of 4.150% and pay a floating rate based on 3-Month LIBOR, Expires 4/29/10, Broker, Royal Bank of Scotland Plc

      320        (6,103 ) 
          

Total Options Written

(Premiums Received — $60,480) — (0.0)%

        (14,799 ) 
          

Total Investments Net of Outstanding Options Written — 99.6%

        348,159,073   

Other Assets Less Liabilities — 0.4%

        1,447,974   
          

Net Assets — 100.0%

      $ 349,607,047   
          

 

* The cost and unrealized appreciation (depreciation) of investments as of March 31, 2010, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 342,760,246   
        

Gross unrealized appreciation

    $ 27,828,122   

Gross unrealized depreciation

      (22,414,496 ) 
        

Net unrealized appreciation

    $ 5,413,626   
        

 

(a) Variable rate security. Rate shown is as of report date.
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(c) Security is perpetual in nature and has no stated maturity date.
(d) Investments in companies considered to be an affiliate of the Fund, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Net
Activity		     Realized
Gain		    Income

BlackRock Liquidity Funds, TempFund, Institutional Class

    $ (9,561,745 )    $ 43    $ 1,635

 

(e) Represents the current yield as of report date.
(f) One contract represents a notional amount of $10,000.

 

8

   BLACKROCK FUNDS II   

MARCH 31, 2010

     

Schedule of Investments (continued)    BlackRock International Bond Portfolio
  

 

 

•  

Foreign currency exchange contracts as of March 31, 2010 were as follows:

 

Currency

Purchased

    Currency
Sold		   

Counterparty

    Settlement
Date		    Unrealized
Appreciation
(Depreciation)		  

AUD

    395,000    USD    353,369    Citibank, N.A.    4/21/10    $ 8,279   

AUD

    3,991,000    USD    3,533,863    Citibank, N.A.    4/21/10      120,156   

AUD

    517,000    USD    472,649    Deutsche Bank AG    4/21/10      698   

CAD

    1,304,000    USD    1,225,370    Citibank, N.A.    4/21/10      58,523   

CAD

    1,060,400    USD    998,983    UBS AG    4/21/10      45,067   

CZK

    2,181,400    USD    115,819    UBS AG    4/21/10      173   

DKK

    54,203,500    USD    10,027,732    UBS AG    4/21/10      (195,222 ) 

GBP

    1,878,000    USD    3,040,491    Morgan Stanley Capital Services, Inc.    4/21/10      (190,995 ) 

GBP

    405,000    USD    634,756    UBS AG    4/21/10      (20,249 ) 

JPY

    67,471,000    USD    752,789    Citibank, N.A.    4/21/10      (31,013 ) 

JPY

    84,840,000    USD    934,962    Citibank, N.A.    4/21/10      (27,379 ) 

JPY

    48,875,000    USD    535,601    Citibank, N.A.    4/21/10      (12,757 ) 

JPY

    193,670,000    USD    2,175,048    Deutsche Bank, Plc    4/21/10      (103,249 ) 

JPY

    60,476,700    USD    654,166    Morgan Stanley- Capital Services, Inc.    4/21/10      (7,212 ) 

JPY

    6,360,760,000    USD    70,626,849    Royal Bank of Scotland Plc    4/21/10      (2,582,132 ) 

MXN

    5,010,000    USD    385,236    Citibank, N.A.    4/21/10      19,141   

NOK

    7,481,000    USD    1,273,904    Citibank, N.A.    4/21/10      (16,364 ) 

NZD

    6,121,200    USD    4,235,809    UBS AG    4/21/10      106,299   

PLN

    1,220,000    USD    408,018    Goldman Sachs Bank USA    4/21/10      18,292   

PLN

    8,268,000    USD    2,827,525    Royal Bank of Scotland Plc    4/21/10      61,597   

SEK

    16,257,000    USD    2,246,349    Citibank, N.A.    4/21/10      5,225   

SGD

    3,013,000    USD    2,144,179    Citibank, N.A.    4/21/10      9,348   

USD

    375,658    AUD    420,000    Citibank, N.A.    4/21/10      (8,880 ) 

USD

    463,898    AUD    515,000    Citibank, N.A.    4/21/10      (7,618 ) 

USD

    27,311,598    AUD    29,795,500    UBS AG    4/21/10      31,890   

USD

    5,971,893    CAD    6,247,000    Goldman Sachs Bank USA    4/21/10      (178,784 ) 

USD

    109,699    CHF    114,500    Citibank, N.A.    4/21/10      1,089   

USD

    10,178,584    DKK    53,778,000    Citibank, N.A.    4/21/10      423,260   

USD

    1,282,060    GBP    852,000    Citibank, N.A.    4/21/10      (10,683 ) 

USD

    582,534    GBP    390,000    Citibank, N.A.    4/21/10      (9,214 ) 

USD

    223,636    GBP    140,000    Citibank, N.A.    4/21/10      11,214   

USD

    873,228    GBP    560,000    Citibank, N.A.    4/21/10      23,538   

USD

    717,889    JPY    65,105,000    Citibank, N.A.    4/21/10      21,423   

USD

    1,356,289    JPY    121,000,000    Citibank, N.A.    4/21/10      61,883   

USD

    1,769,354    JPY    157,880,000    Citibank, N.A.    4/21/10      80,421   

USD

    543,758    JPY    48,200,000    Royal Bank of Scotland Plc    4/21/10      28,135   

USD

    1,305,642    JPY    115,515,000    Royal Bank of Scotland Plc    4/21/10      69,912   

USD

    1,330,447    JPY    122,600,000    UBS AG    4/21/10      18,924   

USD

    3,729,972    JPY    335,000,000    UBS AG    4/21/10      146,284   

USD

    8,010,615    NZD    11,296,000    UBS AG    4/21/10      (2,267 ) 

MYR

    6,333,995    USD    1,846,000    Royal Bank of Scotland Plc    4/30/10      92,573   

EUR

    1,330,000    USD    1,822,242    Citibank, N.A.    5/06/10      (25,815 ) 

EUR

    660,000    USD    880,963    Citibank, N.A.    5/06/10      10,497   

JPY

    329,151,537    USD    3,631,405    Citibank, N.A.    5/06/10      (109,995 ) 

USD

    3,631,405    EUR    2,610,000    Citibank, N.A.    5/06/10      106,085   

USD

    880,963    JPY    81,128,520    Citibank, N.A.    5/06/10      13,014   

USD

    1,822,242    JPY    163,430,400    Citibank, N.A.    5/06/10      73,791   

EUR

    5,305,000    USD    7,166,179    Citibank, N.A.    5/10/10      (717 ) 

EUR

    2,645,000    USD    3,567,943    Citibank, N.A.    5/10/10      4,657   

USD

    3,575,334    EUR    2,645,000    Citibank, N.A.    5/10/10      2,733   

USD

    7,804,644    EUR    5,715,000    Citibank, N.A.    5/10/10      85,395   

SEK

    25,427,497    USD    3,521,557    UBS AG    5/12/10      299   

USD

    3,521,557    EUR    2,595,000    UBS AG    5/12/10      16,488   

EUR

    6,210,000    USD    8,399,025    Citibank, N.A.    5/26/10      (11,126 ) 

USD

    768,935    EUR    575,000    Citibank, N.A.    5/26/10      (7,722 ) 

USD

    609,134    EUR    450,000    UBS AG    5/26/10      1,315   

CNY

    79,885,400    USD    12,040,000    Citibank, N.A.    10/27/10      (298,883 ) 

KRW

    2,042,010,000    USD    1,724,671    Citibank, N.A.    11/10/10      64,827   

USD

    10,715,289    KRW    12,513,314,502    Citibank, N.A.    11/10/10      (250,647 ) 
                       

Total

                $ (2,266,478 ) 
                       

 

   

BLACKROCK FUNDS II

   

MARCH 31, 2010

    9

Schedule of Investments (continued)    BlackRock International Bond Portfolio
  

 

 

•  

Financial futures contracts purchased as of March 31, 2010 were as follows:

 

Contracts   

Issue

   

Exchange

   

Expiration

Date

    Notional
Value		    Unrealized
Appreciation
(Depreciation)		  
125    Euro-Bund    Eurex    June 2010    $ 20,825,455    $ 131,412   
14   

Japanese

Government

Bonds (10 Year)

    Tokyo    June 2010    $ 20,698,257      (109,141 ) 
3   

Japanese

Government

Bonds (10 Year)

    London    June 2010    $ 4,431,490      (2,567 ) 
21   

U.S. Treasury Bonds

(10 Year)

    Chicago    June 2010    $ 2,441,250      6,615   
                    

Total

             $ 26,319   
                    

 

•  

Financial futures contracts sold as of March 31, 2010 were as follows:

 

Contracts   

Issue

   

Exchange

   

Expiration

Date

    Notional
Value		    Unrealized
Appreciation
(Depreciation)		  
204   

Australian

Government Bonds

(3 Year)

    Sydney    June 2010    $ 49,165,871    $ 91,749   
21   

Canadian

Government Bonds

(10 year)

    Montreal    June 2010    $ 2,429,272      11,250   
23    Euro-Bobl    Eurex    June 2010    $ 3,637,105      (13,383 ) 
232    Euro-Schatz    Eurex    June 2010    $ 34,069,262      (19,260 ) 
11    Gilt British    London    June 2010    $ 1,915,461      (18,168 ) 
159   

U.S. Treasury

Notes (2 Year)

    Chicago    June 2010    $ 34,495,547      (21,401 ) 
110   

U.S. Treasury

Notes (5 Year)

    Chicago    June 2010    $ 12,632,813      95,097   
7   

U.S. Treasury

Bonds (30 Year)

    Chicago    June 2010    $ 812,875      892   
42   

British Pound

Sterling (90 Day)

    London    March 2011    $ 7,856,120      (60,553 ) 
                    

Total

             $ 66,223   
                    

 

•  

Interest rate swaps outstanding as of March 31, 2010 were as follows:

 

Fixed
Rate		  

Floating

Rate

   

Counterparty

   

Expiration

    Notional
Amount
(000)		    Unrealized
Appreciaton
(Depreciation)		  
3.14%(a)   6-month PRIBOR    Barclays Bank Plc    May 2013    EUR  14,600    $ 351,721   
2.65%(b)   3-month LIBOR    Barclays Bank Plc    September 2014    USD  8,900      (78,865 ) 
2.71%(b)   3-month LIBOR    Barclays Bank Plc    September 2014    USD  5,300      (53,128 ) 
                   

Total

             $ 219,728   
                   

 

(a) Fund pays floating interest rate and receives fixed rate.
(b) Fund pays fixed interest rate and receives floating rate.

 

•  

Credit default swaps on single-name issues - buy protection outstanding as of March 31, 2010 were as follows:

 

Issuer

    Pay
Fixed
Rate		    

Counterparty

   

Expiration

    Notional
Amount
(000)		    Unrealized
Appreciation
(Depreciation)		  

STMicro Electronics NV

    0.26 %    Citibank, N.A.    September 2012    EUR  950    $ 1,950   

Telecom Austria AG

    0.73 %    Bank of America, N.A.    March 2013    EUR  500      (1,601 ) 
                   

Total

               $ 349   
                   

 

•  

Credit default swaps on single-name issues - sold protection outstanding as of March 31, 2010 were as follows:

 

Issuer

    Receive
Fixed
Rate		    

Counterparty

   

Expiration

    Credit
Rating1		    Notional
Amount
(000)2 		   Unrealized
Appreciation

Imperial Tobacco Group Plc

    0.71 %    Barclays Bank Plc    September 2012    BBB    EUR  1,300    $ 5,737

 

1

Using Standard & Poor’s rating of the issuer.

2

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

 

•  

Fair Value Measurements – Various inputs are used in determining the fair value of investments, which are as follows:

 

  •  

Level 1 – 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 Fund’s own assumptions used in determining the fair value of investments)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report.

 

10

  

BLACKROCK FUNDS II

   

MARCH 31, 2010

     

Schedule of Investments (concluded)    BlackRock International Bond Portfolio
  

 

The following tables summarize the inputs used as of March 31, 2010 in determining the fair valuation of the Fund’s investments:

 

Valuation Inputs

    Level 1    Level 2    Level 3    Total

Assets:

            

Investments in Securities:

            

Long-Term Investments1

     —      $ 347,251,001    —      $ 347,251,001

Short-Term Securities

    $ 665,574      —      —        665,574
                         

Total

    $ 665,574    $ 347,251,001    —      $ 347,916,575
                         

 

1

See above Schedule of Investments for values in each security type.

 

     Derivative Financial Instruments2  

Valuation Inputs

    Level 1     Level 2     Level 3    Total  

Assets:

          

Credit contracts

      —        $ 7,687      —      $ 7,687   

Foreign currency exchange contracts

      —          2,099,395      —      $ 2,099,395   

Interest rate contracts

    $ 337,015        352,068      —      $ 689,083   

Liabilities:

          

Credit contracts

      —          (1,601 )    —      $ (1,601 ) 

Foreign currency exchange contracts

      —          (4,108,923 )    —      $ (4,108,923 ) 

Interest rate contracts

      (244,473 )      (146,792 )    —      $ (391,265 ) 
                             

Total

    $ 92,542      $ (1,798,166 )    —      $ (1,705,624 ) 
                             

 

2

Derivative financial instruments are options purchased, options written, foreign currency exchange contracts, futures contracts and swaps. Futures contracts, foreign currency exchange contracts and swaps are valued at the unrealized appreciation/depreciation on the instrument and options purchased and options written are shown at value.

 

   

BLACKROCK FUNDS II

   

MARCH 31, 2010

    11

Schedule of Investments March 31, 2010 (Unaudited)    BlackRock Strategic Income Opportunities Portfolio
   (Percentages shown are based on Net Assets)

 

     Shares    Value

Affiliated Investment Companies(a)

      

Fixed Income Funds — 80.3%

      

BlackRock Emerging Market Debt Portfolio, BlackRock Class

      95,304    $ 958,755

BlackRock High Yield Bond Portfolio, BlackRock Class

      1,521,188      11,180,729

BlackRock International Bond Portfolio, BlackRock Class

      439,724      4,533,550

BlackRock Total Return Fund, BlackRock Class

      2,506,377      26,818,231
         
        43,491,265
         
     Par
(000)		     

Asset-Backed Securities

      

United States — 1.1%

      

Ford Credit Auto Owner Trust, Series 2009-B, Class A4, 4.50%, 7/15/14

    $ 300      319,556

SLC Student Loan Trust, Series 2006-A, Class A4, 0.37%, 1/15/19(b)

      130      120,520

SLM Student Loan Trust, Series 2008-5, Class A4, 1.95%, 7/25/23(b)

      175      185,019
         
        625,095
         

Corporate Bonds

      

Canada — 0.9%

      

Canadian Natural Resources Ltd., 5.90%, 2/01/18

      230      248,916

Cenovus Energy, Inc., 6.75%, 11/15/39(c)

      130      140,994

Nexen, Inc., 6.40%, 5/15/37

      100      100,802
         
        490,712
         

United Kingdom — 0.3%

      

BP Capital Markets Plc, 5.25%, 11/07/13

      150      165,064
         

United States — 7.3%

      

Ameriprise Financial, Inc., 5.30%, 3/15/20

      250      252,910

Anheuser-Busch InBev Worldwide, Inc., 5.38%, 1/15/20

      340      350,737

Bank of America Corp., 6.00%, 9/01/17

      70      72,802

CenterPoint Energy, Inc., 6.50%, 5/01/18

      250      264,718

Cisco Systems, Inc., 4.45%, 1/15/20

      170      169,058

Comcast Cable Communications Holdings, Inc., 9.46%, 11/15/22

      370      494,382

Cox Communications, Inc., 8.38%, 3/01/39(c)

      140      175,098

Enterprise Products Operating LLC, 6.13%, 10/15/39

      80      78,658

Florida Power Corp., 6.40%, 6/15/38

      100      108,756

The Goldman Sachs Group, Inc., 5.38%, 3/15/20

      200      198,150

International Paper Co., 7.30%, 11/15/39

      200      213,731

Kraft Foods, Inc.:

      

5.38%, 2/10/20

      245      249,007

6.50%, 2/09/40

      60      62,177

MidAmerican Energy Holdings Co., 5.95%, 5/15/37

      230      226,425

Oracle Corp., 5.75%, 4/15/18

      130      142,585

Philip Morris International, Inc., 4.50%, 3/26/20

      200      195,131

The Procter & Gamble Co., 4.70%, 2/15/19

      200      205,108

Rockies Express Pipeline LLC, 3.90%, 4/15/15(c)

      105      103,557

United Technologies Corp., 5.70%, 4/15/40

      125      126,417

Valero Energy Corp., 6.63%, 6/15/37

      160      152,169

XTO Energy, Inc., 6.38%, 6/15/38

      110      123,186
         
        3,964,762
         

Total Corporate Bonds — 8.5%

         4,620,538
         

Foreign Agency Obligations

      

Dexia Credit Local SA, 2.00%, 3/05/13(c)

      250      248,380

Eksportfinans ASA, 1.88%, 4/02/13

      430      428,337

Petrobras International Finance Co., 5.75%, 1/20/20

      410      420,041
         

Total Foreign Agency Obligations — 2.0%

         1,096,758
         

Foreign Government Obligations

      

Mexico — 0.2%

      

United Mexican States, 5.13%, 1/15/20

      100      101,000
         

Non-Agency Mortgage-Backed Securities

      

Collateralized Mortgage Obligations — 4.1%

      

United States — 4.1%

      

Banc of America Funding Corp., Series 2005-H, Class 2A1, 5.14%, 11/20/35(b)

      737      518,389

Countrywide Alternative Loan Trust, Series 2005-50CB, Class 1A1, 5.50%, 11/25/35

      898      646,761

Structured Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 2A1, 5.64%,
4/25/37(b)

      755      509,833

WaMu Mortgage Pass-Through Certificates, Series 2006-AR10, Class 3A2, 6.08%,
8/25/46(b)

      638      537,672
         
        2,212,655
         

Preferred Securities

      

Capital Trusts

      

United States — 0.3%

      

Goldman Sachs Capital II, 5.79%(b)(d)

      180      152,550
         

Taxable Municipal Bonds — 0.4%

      

State of California GO, 6.65%, 3/01/22

      200      208,104
         

U.S. Treasury Obligations — 0.2%

      

U.S. Treasury Notes, 3.63%, 2/15/20

      90      88,467
         

Total Long-Term Investments
(Cost — $51,603,623) — 97.1%

         52,596,432
         

 

12

  

BLACKROCK FUNDS II

   

MARCH 31, 2010

     

Schedule of Investments (concluded)    BlackRock Strategic Income Opportunities Portfolio
   (Percentages shown are based on Net Assets)

 

 

     Shares    Value  

Short-Term Securities

      

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.11%(a)(e)

    2,097,823    $ 2,097,823   
           

Total Short-Term Securities
(Cost — $2,097,823) — 3.9%

         2,097,823   
           

Total Investments
(Cost — $53,701,446*) — 101.0%

         54,694,255   

Liabilities in Excess of Other Assets — (1.0)%

         (566,215 ) 
           

Net Assets — 100.0%

       $ 54,128,040   
           

 

* The cost and unrealized appreciation (depreciation) of investments as of March 31, 2010, as computed for federal income tax purposes, were as follows:

 

Aggregate cost

    $ 53,819,191   
        

Gross unrealized appreciation

    $ 1,086,238   

Gross unrealized depreciation

      (211,174 ) 
        

Net unrealized appreciation

    $ 875,064   
        

 

(a) Investments in companies considered to be an affiliate of the Portfolio, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows:

 

Affiliate

    Purchase
Cost		     Sales
Cost		    Realized
Gain		    Income

BlackRock Emerging Market Debt Portfolio, BlackRock Class

    $ 328,180      $ 47,619    $ 211    $ 11,288

BlackRock High Yield Bond Portfolio, BlackRock Class

    $ 9,480,182      $ 3,186,134    $ 143,278    $ 176,359

BlackRock International Bond Portfolio, BlackRock Class

    $ 3,449,633      $ 93,103    $ 2,558    $ 15,541

BlackRock Liquidity Funds, TempFund, Institutional Class

    $ 2,097,823 **      —        —      $ 504

BlackRock Total Return Fund, BlackRock Class

    $ 20,739,402      $ 475,662    $ 2,640    $ 180,056

 

** Represents net purchase cost.
(b) Variable rate security. Rate shown is as of report date.
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(d) Security is perpetual in nature and has no stated maturity date.
(e) Represents the current yield as of report date.
• Financial futures contracts sold as of March 31, 2010 were as follows:

 

Contracts   

Issue

   

Expiration

Date

    Notional
Value		    Unrealized
Depreciation		  
22   

U.S. Treasury Notes

(2 Year)

    June 2010    $ 4,772,969    $ (2,188 ) 
17   

U.S. Treasury Notes

(5 Year)

    June 2010    $ 1,952,344      (2,627 ) 
19   

U.S. Treasury Notes

(10 Year)

    June 2010    $ 2,208,750      (5,505 ) 
4   

U.S. Treasury Bonds

(30 Year)

    June 2010    $ 464,500      (1,866 ) 
4   

U.S. Ultra Long-Term

Treasury Bonds

    June 2010    $ 479,875      (2,552 ) 
                 

Total

          $ (14,738 ) 
                 

 

•  

Fair Value Measurements – Various inputs are used in determining the fair value of investments, which are as follows:

 

  •  

Level 1 – 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 Fund’s own assumptions used in determining the fair value of investments)

The inputs or methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report.

The following tables summarize the inputs used as of March 31, 2010 in determining the fair valuation of the Fund’s investments:

 

     Valuation Inputs
     Level 1    Level 2    Level 3    Total

Assets:

            

Investments in Securities:

            

Long-Term Investments1

     —      $ 9,105,167    —      $ 9,105,167

Affiliated Investment Companies

    $ 43,491,265      —      —        43,491,265

Short-Term Securities

      2,097,823      —      —        2,097,823
                         

Total

    $ 45,589,088    $ 9,105,167    —      $ 54,694,255
                         

 

1

See above Schedule of Investments for values in each security type.

 

     Derivative Financial Instruments2  

Valuation Inputs

    Level 1     Level 2    Level 3    Total  

Liabilities:

           

Interest rate contracts

    $ (14,738 )    —      —      $ (14,738 ) 
                          

Total

    $ (14,738 )    —      —      $ (14,738 ) 
                          

 

2

Derivative financial instruments are financial futures contracts, which are shown at the unrealized appreciation/depreciation on the instrument.

 

   

BLACKROCK FUNDS II

   

MARCH 31, 2010

    13

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 15(d)-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 Funds II

    
By:  

/s/ Anne F. Ackerley

    
  Anne F. Ackerley    
  Chief Executive Officer of BlackRock Funds II  

Date: May 27, 2010

    
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/ Anne F. Ackerley

    
  Anne F. Ackerley    
  Chief Executive Officer (principal executive officer) of BlackRock Funds II  

Date: May 27, 2010

    
By:  

/s/ Neal J. Andrews

    
  Neal J. Andrews    
  Chief Financial Officer (principal financial officer) of BlackRock Funds II  

Date: May 27, 2010