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

BlackRock Floating Rate Income Portfolio

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Funds II, 55

East 52 nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2013

Date of reporting period: 11/30/2012

Item 1 – Schedule of Investments

 
Consolidated Schedule of Investments November 30, 2012 (Unaudited)   (Percentages shown are based on Net Assets)

 

             
Common Stocks   Shares     Value  

 

 

Chemicals — 0.0%

   

GEO Specialty Chemicals,
Inc. (a)(b)

    39,151      $ 18,009   

 

 

Media — 0.1%

   

HMH Publishing Co. Ltd. (AKA Education Media)

    48,185        963,707   

 

 

Paper & Forest Products — 0.1%

  

 

Ainsworth Lumber Co. Ltd. (a)(b)

    268,109        877,188   

 

 

Total Common Stocks — 0.2%

      1,858,904   

 

 
   

 

 

    

   
Corporate Bonds  

Par

(000)

    Value  

 

 

Aerospace & Defense — 0.1%

   

AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)

  USD 776        818,342   

 

 

Airlines — 0.1%

   

American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 10/15/21

    765        780,572   

 

 

Chemicals — 0.2%

   

Hexion U.S. Finance Corp., 6.63%, 4/15/20

    775        773,062   

MPM Escrow LLC/MPM Finance Escrow Corp.,
8.88%, 10/15/20 (b)

    1,230        1,220,775   
   

 

 

 
      1,993,837   

 

 

Commercial Services & Supplies — 0.0%

  

ARAMARK Corp.,
3.81%, 2/01/15 (c)

    395        394,013   

 

 

Diversified Financial Services — 1.2%

  

 

Ally Financial, Inc.,
2.62%, 12/01/14 (c)

    2,355        2,345,740   

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

   

7.75%, 1/15/16

    3,765        3,925,013   

8.00%, 1/15/18

    1,660        1,763,750   

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA:

   

5.75%, 10/15/20 (b)

    6,875        7,029,687   

6.88%, 2/15/21

    430        463,325   
   

 

 

 
      15,527,515   

 

 

Diversified Telecommunication Services — 0.1%

  

ITC Deltacom, Inc.,
10.50%, 4/01/16

    720        770,400   

Level 3 Financing, Inc.,
4.47%, 2/15/15 (c)

    1,145        1,142,137   
   

 

 

 
      1,912,537   

 

 

Electric Utilities — 0.8%

   

Energy Future Holdings Corp., 10.00%, 1/15/20

    1,525        1,620,312   

Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.,
10.00%, 12/01/20

    7,765        8,657,975   
   

 

 

 
      10,278,287   

 

 

Energy Equipment & Services — 0.1%

  

 

FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (b)

    832        856,960   

 

 
Corporate Bonds  

Par

(000)

    Value  

 

 

Health Care Providers & Services — 0.4%

  

 

CHS/Community Health Systems, Inc., 5.13%, 8/15/18

  USD  2,027      $ 2,133,418   

HCA, Inc., 6.50%, 2/15/20

    1,725        1,936,313   

Tenet Healthcare Corp., 6.25%, 11/01/18

    1,180        1,298,000   
   

 

 

 
      5,367,731   

 

 

Household Durables — 0.1%

   

Beazer Homes USA, Inc.,
6.63%, 4/15/18 (b)

    1,395        1,485,675   

 

 

Independent Power Producers & Energy Traders — 0.1%

  

Calpine Corp., 7.25%, 10/15/17 (b)

    953        1,019,710   

 

 

Internet Software & Services — 0.4%

   

Zayo Group LLC/Zayo Capital, Inc.:

   

8.13%, 1/01/20

    2,790        3,048,075   

10.13%, 7/01/20

    1,890        2,116,800   
   

 

 

 
      5,164,875   

 

 

Media — 0.5%

   

Clear Channel Communications, Inc., 9.00%, 12/15/19 (b)

    2,007        1,818,844   

Clear Channel Worldwide Holdings, Inc.:

   

6.50%, 11/15/22 (b)

    1,759        1,767,795   

6.50%, 11/15/22 (b)

    651        647,745   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 8.13%, 12/01/17 (b)

    2,000        2,170,000   
   

 

 

 
      6,404,384   

 

 

Oil, Gas & Consumable Fuels — 0.1%

   

EP Energy LLC/EP Energy Finance, Inc., 6.88%, 5/01/19 (b)

    960        1,039,200   

 

 

Real Estate Management & Development — 0.1%

  

Realogy Corp., 7.63%, 1/15/20 (b)

    1,020        1,137,300   

 

 

Software — 0.1%

   

First Data Corp., 6.75%, 11/01/20 (b)

    1,930        1,944,475   

 

 

Trading Companies & Distributors — 0.0%

  

United Rentals North America, Inc., 5.75%, 7/15/18 (b)

    535        576,463   

 

 

Wireless Telecommunication Services — 0.8%

  

Cricket Communications, Inc., 7.75%, 5/15/16

    3,850        4,071,375   

Sprint Nextel Corp.:

   

9.00%, 11/15/18 (b)

    1,830        2,255,475   

7.00%, 3/01/20 (b)

    3,270        3,785,025   
   

 

 

 
      10,111,875   

 

 

Total Corporate Bonds — 5.2%

      66,813,751   

 

 
   

 

 

    

   
Floating Rate Loan Interests (c)  

Par

(000)

    Value  

 

 

Advertising — 0.1%

   

Affinion Group, Inc., Tranche B Term Loan, 6.50%, 10/09/16

    965        888,230   

 

 
 

 

    Portfolio Abbreviations          

 

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:    AKA

CAD

DIP

EUR

  

Also known as

Canadian Dollar Debtor in possession

Euro

   FKA GBP USD   

Formerly known as

British Pound

US Dollar

 

    .         
      BLACKROCK FLOATING RATE INCOME PORTFOLIO       NOVEMBER 30, 2012    1

 
Consolidated Schedule of Investments (continued)   (Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)  

Par

(000)

    Value  

 

 

Aerospace & Defense — 1.8%

   

Sequa Corp.:

   

Term Loan, 3.46% - 3.61%, 12/03/14

  USD 11,930      $ 11,885,363   

Tranche 1 2011 New Term Loan, 6.25%, 12/03/14

    3,097        3,092,729   

The SI Organization, Inc., New Tranche B Term Loan, 4.50%, 11/22/16

    1,339        1,330,842   

Spirit Aerosystems, Inc. (FKA Mid-Western Aircraft Systems, Inc. & Onex Wind Finance LP), Term B Loan, 3.75%, 4/18/19

    1,478        1,482,495   

TransDigm, Inc.:

   

Tranche B-1 Term Loan, 4.00%, 2/14/17

    2,800        2,809,230   

Tranche B-2 Term Loan, 4.00%, 2/14/17

    1,119        1,123,204   

Wesco Aircraft Hardware Corp., Tranche B Term Loan, 5.25%, 4/07/17

    1,848        1,851,102   
   

 

 

 
      23,574,965   

 

 

Airlines — 0.5%

   

Delta Air Lines, Inc.:

   

Term Loan 2011, 5.50%, 4/20/17

    3,178        3,191,844   

Term Loan, 4.25%, 4/18/16

    2,370        2,367,038   

US Airways Group, Inc., Loan, 2.71%, 3/21/14

    355        347,101   
   

 

 

 
      5,905,983   

 

 

Auto Components — 1.4%

   

Federal-Mogul Corp.:

   

Tranche B Term Loan, 2.15%, 12/29/14

    5,016        4,656,365   

Tranche C Term Loan, 2.15%, 12/28/15

    1,644        1,525,938   

Fram Group Holdings, Inc./Prestone Holdings, Inc., Term Loan (First Lien), 6.50%, 7/29/17

    3,628        3,607,959   

The Goodyear Tire & Rubber Co., Loan (Second Lien), 4.75%, 4/30/19

    6,745        6,778,725   

UCI International, Inc. (United Components), Term Loan, 5.50%, 7/26/17

    1,400        1,405,901   
   

 

 

 
      17,974,888   

 

 

Automobiles — 0.4%

   

KAR Auction Services, Inc., Term Loan, 5.00%, 5/19/17

    5,081        5,112,271   

 

 

Biotechnology — 0.6%

   

Alkermes, Inc., 2019 Term Loan, 4.50%, 9/25/19

    3,280        3,299,122   

Grifols, Inc., New U.S. Tranche B Term Loan, 4.50%, 6/01/17

    4,398        4,443,427   
   

 

 

 
      7,742,549   

 

 

Building Products — 2.1%

   

Armstrong World Industries, Inc., Term Loan B-1, 4.00%, 3/10/18

    5,212        5,248,257   

CPG International I, Inc., Term Loan, 5.75%, 9/21/19

    5,075        5,100,375   

Hupah Finance, Inc., Initial Term Loan, 6.25% - 7.25%, 1/21/19

    4,249        4,286,087   

Tronox Pigments (Netherlands) BV:

   

Closing Date Term Loan, 4.25%, 2/08/18

    3,844        3,864,592   

Delayed Draw Term Loan, 4.25%, 2/08/18

    1,048        1,053,980   

Wilsonart LLC, Term Loan, 5.50%, 10/18/19

    6,580        6,612,900   
   

 

 

 
      26,166,191   

 

 

Capital Markets — 0.4%

   

American Capital Ltd. (FKA American Capital Strategies Ltd.), Senior Secured Term Loan, 5.50%, 8/22/16

    5,506        5,574,825   

 

 
Floating Rate Loan Interests (c)  

Par

(000)

    Value  

 

 

Chemicals — 2.2%

   

Ascend Performance Materials Operations LLC, Term B Loan, 6.75%, 4/10/18

  USD 7,959      $ 7,799,468   

Ashland, Inc., Term B Loan, 3.75%, 8/23/18

    1,554        1,567,442   

Chemtura Corp., Term Facility, 5.50%, 8/29/16

    3,255        3,293,669   

General Chemical Corp., New Tranche B Term Loan, 5.00% - 5.75%, 10/06/15

    1,763        1,761,708   

INEOS U.S. Finance LLC:

   

Cash Dollar Term Loan, 6.50%, 5/04/18

    7,953        8,043,701   

Short-Dated Cash Dollar Term Loan, 5.50%, 5/04/15

    627        636,836   

PolyOne Corp., Loan, 5.00%, 12/20/17

    1,166        1,171,144   

Trinseo Materials Operating S.C.A. (FKA Styron S.à r.l.), Term Loan, 8.00%, 8/02/17

    1,934        1,851,301   

Univar, Inc., Term B Loan, 5.00%, 6/30/17

    2,403        2,387,106   
   

 

 

 
      28,512,375   

 

 

Commercial Services & Supplies — 7.2%

  

 

ACCO Brands Corp., Term B Loan, 4.25%, 5/01/19

    3,836        3,865,151   

ADS Waste Holdings, Inc., Term Loan, 5.25%, 10/09/19

    8,750        8,841,875   

Altegrity, Inc. (FKA U.S. Investigations Services, Inc.):

   

Term Loan, 2.96%, 2/21/15

    1,753        1,626,226   

Tranche D Term Loan, 7.75%, 2/21/15

    1,488        1,487,264   

American Rock Salt Co. LLC, Term Loan, 5.50%, 4/25/17

    2,315        2,285,576   

ARAMARK Corp.:

   

LC-2 Facility, 0.06% - 3.40%, 7/26/16

    25        24,734   

LC-3 Facility, 0.06% - 3.40%, 7/26/16

    10        10,150   

U.S. Term B Loan (Extending), 3.46%, 7/26/16

    375        376,098   

U.S. Term C Loan,
3.46% - 3.61%, 7/26/16

    126        125,992   

AWAS Finance Luxembourg 2012 SA, Term Loan, 4.75%, 7/16/18

    896        907,655   

AWAS Finance Luxembourg S.à r.l., Loan, 5.25%, 6/10/16

    3,366        3,408,397   

Ceridian Corp., Extended U.S. Term Loan, 5.96%, 5/09/17

    6,238        6,218,488   

Coinmach Service Corp., Term Loan, 3.21%, 11/14/14

    5,244        5,073,384   

DynCorp International, Inc., Term Loan, 6.25% - 6.75%, 7/07/16

    1,098        1,102,252   

Garda Security, Term Loan, 4.50%, 9/28/17

    1,470        1,484,700   

GCA Services Group, Inc.:

   

Term Loan, 5.25%, 10/10/19

    2,645        2,633,970   

Term Loan, 9.25%, 10/10/20

    1,480        1,465,200   

Getty Images, Inc., Initial Term Loan (New), 4.75%, 10/18/19

    5,430        5,448,842   

HD Supply, Inc., Term Loan, 7.25%, 10/12/17

    18,464        18,942,841   

IG Investments Holdings LLC, Term Loan, 6.00%, 10/24/19

    2,600        2,587,000   

Infogroup, Inc., Term B Loan, 5.75%, 5/26/18

    1,718        1,515,960   

Intelligrated, Inc., Term Loan (First Lien 2012), 6.75%, 7/30/18

    2,400        2,421,000   

Kronos, Inc., Term Loan, 9.75%, 4/23/20

    2,130        2,130,000   

Laureate Education, Inc., Extended Term Loan, 5.25%, 6/15/18

    6,324        6,267,108   

Nexeo Solutions LLC, Initial Loans, 5.00%, 9/08/17

    5,298        5,193,623   

Progressive Waste Solutions Ltd., Term B Loan, 3.50%, 10/24/19

    2,770        2,790,775   
 

 

    .         
2       BLACKROCK FLOATING RATE INCOME PORTFOLIO       NOVEMBER 30, 2012   

 
Consolidated Schedule of Investments (continued)   (Percentages shown are based on Net Assets)

 

    Par        
Floating Rate Loan Interests (c)   (000)     Value  

 

 

Commercial Services & Supplies (concluded)

  

Protection One, Inc., Term Loan 2012, 5.75%, 3/21/19

  USD 2,736      $ 2,752,202   

Safway Services LLC, First Out Tranche Loan,
9.00%, 12/18/17

    1,500        1,500,000   
   

 

 

 
      92,486,463   

 

 

Communications Equipment — 0.4%

  

Commscope, Inc., Tranche 1 Term Loan, 4.25%, 1/14/18

    4,532        4,551,741   

 

 

Computers & Peripherals — 0.4%

  

CDW LLC (FKA CDW Corp.), Extended Term Loan,
4.00%, 7/15/17

    4,756        4,696,729   

 

 

Construction Materials — 0.3%

  

Metals USA, Term Loan, 6.25%, 11/08/19

    3,230        3,197,700   

 

 

Consumer Finance — 0.6%

   

Trans Union LLC, Replacement Term Loan, 5.50%, 2/10/18

    7,495        7,594,953   

 

 

Containers & Packaging — 0.2%

  

Sealed Air Corp., Term Loan, 4.00%, 10/03/18

    2,670        2,690,025   

 

 

Diversified Consumer Services — 0.8%

  

Education Management LLC, Tranche C-3 Term Loan, 8.25%, 3/30/18

    944        812,402   

The ServiceMaster Co.:

   

Delayed Draw Term Loan, 2.71%, 7/24/14

    608        605,535   

Tranche A Term Loan, 2.71%, 7/24/14

    6,463        6,438,955   

Weight Watchers International, Inc., Term F Loan, 4.00%, 3/15/19

    2,670        2,683,116   
   

 

 

 
      10,540,008   

 

 

Diversified Financial Services — 4.2%

  

Delos Aircraft, Inc., Term Loan, 4.75%, 4/12/16

    5,125        5,179,479   

GMACM Borrower LLC (RFC Borrower LLC):

   

Term A-1 Loan, 5.00%, 11/18/13

    5,495        5,497,308   

Term A-2 Loan, 6.75%, 11/18/13

    625        628,125   

HarbourVest Partners LP, Term Loan, 5.00%, 10/31/17

    2,685        2,688,356   

iPayment, Inc., Term Loan, 5.75%, 5/08/17

    1,104        1,097,365   

Matrix Acquisition Corp. (MacDermid, Inc.), Tranche C Term Loan, 2.30%, 4/12/14

  EUR 873        1,125,902   

Nuveen Investments, Inc.:

   

Additional Extended First-Lien Term Loan,
5.81% - 5.86%, 5/13/17

  USD 2,494        2,492,255   

Extended First-Lien Term Loan,
5.81% - 5.86%, 5/13/17

    11,326        11,329,237   

First-Lien Incremental Term Loan, 7.25%, 5/13/17

    290        291,450   

New Second-Lien Term Loan, 8.25%, 2/28/19

    5,755        5,841,325   

Reynolds Group Holdings, Inc., U.S. Term Loan, 4.75%, 9/28/18

    10,930        11,010,773   

Springleaf Financial Funding Co. (FKA American General Finance Corp.), Initial Loan, 5.50%, 5/10/17

    6,400        6,321,600   
   

 

 

 
      53,503,175   

 

 
    Par        
Floating Rate Loan Interests (c)   (000)     Value  

 

 

Diversified Telecommunication Services — 7.7%

  

Avaya, Inc.:

   

Term B-1 Loan, 3.06%, 10/24/14

  USD 6,370      $ 6,000,408   

Term B-3 Loan, 4.81%, 10/26/17

    2,540        2,221,154   

Bresnan Broadband Holdings LLC, Term B Loan, 4.50%, 12/14/17

    8,182        8,201,184   

Consolidated Communications, Inc., Term Loan, 5.25%, 12/31/18

    6,365        6,341,131   

Hawaiian Telcom Communications, Inc., Term Loan, 7.00%, 2/28/17

    4,090        4,159,039   

Integra Telecom Holdings, Inc., Term Loan, 9.25%, 4/15/15

    2,176        2,170,233   

Intelsat Jackson Holdings SA (FKA Intelsat Jackson Holdings Ltd.), Tranche B-1 Term Loan, 4.50%, 4/02/18

    18,683        18,729,297   

Level 3 Financing, Inc.:

   

Tranche B 2016 Term Loan, 4.75%, 2/01/16

    3,595        3,595,000   

Tranche B 2019 Term Loan, 5.25%, 8/01/19

    3,100        3,119,375   

Tranche B-II 2019 Term Loan, 4.75%, 8/01/19

    16,940        17,024,700   

Telesat Canada, Term A Loan, 3.00%, 3/28/17

  CAD 5,230        5,054,412   

U.S. Telepacific Corp., Term Loan Advance, 5.75%, 2/23/17

  USD 4,416        4,357,481   

West Corp., Term B-6 Loan, 5.75%, 6/30/18

    5,112        5,188,870   

Zayo Group LLC (Zayo Capital, Inc.), Term Loan, 5.25%, 7/02/19

    12,378        12,453,240   
   

 

 

 
      98,615,524   

 

 

Electronic Equipment, Instruments & Components — 0.0%

  

Flextronics International Ltd.:

   

A-2 Delayed Draw Loan, 2.46%, 10/01/14

    34        33,766   

A-3 Delayed Draw Loan, 2.46%, 10/01/14

    39        39,393   
   

 

 

 
      73,159   

 

 

Energy Equipment & Services — 0.7%

  

Vantage Drilling Co., Term Loan, 6.25%, 11/05/17

    8,855        8,722,175   

 

 

Food & Staples Retailing — 1.9%

  

AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots), Facility B1,
0.00% - 3.49%, 7/09/15

  GBP 5,675        8,817,179   

BJ’s Wholesale Club, Inc.:

   

Initial Loans (Second Lien), 9.75%, 3/26/20

  USD 1,505        1,544,130   

New Replacement Loan (First Lien),
5.75%, 9/26/19

    2,730        2,760,330   

Dunkin’ Brands, Inc., Term B-2 Loan,
4.00% - 5.25%, 11/23/17

    6,335        6,364,299   

U.S. Foods, Inc. (AKA U.S. Foodservice, Inc.):

   

Extended Term Loan, 5.75%, 3/31/17

    3,139        3,087,621   

Term Loan, 5.75%, 3/31/17

    1,230        1,207,958   
   

 

 

 
      23,781,517   

 

 
 

 

    .         
      BLACKROCK FLOATING RATE INCOME PORTFOLIO       NOVEMBER 30, 2012    3

 
Consolidated Schedule of Investments (continued)   (Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)   

Par

(000)

     Value  

 

 

Food Products — 1.6%

  

AdvancePierre Foods, Inc., Term Loan (First Lien), 5.75%, 7/10/17

   USD 4,570       $ 4,612,273   

Del Monte Foods Co., Initial Term Loan, 4.50%, 3/08/18

     5,517         5,519,240   

Dole Food Co., Inc., Tranche
B-2 Term Loan,
5.00% - 6.00%, 7/08/18

     2,010         2,014,324   

Michael Foods Group, Inc. (FKA M-Foods Holdings, Inc.), Term B Facility, 4.25%, 2/25/18

     1,426         1,431,995   

Pinnacle Foods Finance LLC:

     

Extended Initial Term Loan, 3.71%, 10/02/16

     1,285         1,289,870   

Tranche E Term Loan, 4.75%, 10/17/18

     2,524         2,534,900   

Solvest Ltd. (Dole), Tranche C-2 Term Loan, 5.00% - 6.00%, 7/08/18

     3,597         3,604,585   
     

 

 

 
        21,007,187   

 

 

Health Care Equipment & Supplies — 4.1%

  

Bausch & Lomb, Inc., Parent Term Loan, 5.25%, 5/17/19

     9,536         9,655,301   

Biomet, Inc., Dollar Term B-1 Loan, 3.96%, 7/25/17

     2,063         2,079,897   

BSN Medical Luxembourg Holding, S.à r.l. (P&F Capital), Facility B1A, 5.00%, 8/28/19

     2,975         2,980,950   

ConvaTec, Inc., Dollar Term Loan, 5.00%, 12/22/16

     4,051         4,073,297   

DJO Finance LLC (ReAble Therapeutics Finance LLC):

     

Tranche B-2 Term Loan (Extended), 5.21%, 11/01/16

     989         989,517   

Tranche B-3 Term Loan, 6.25%, 9/15/17

     7,771         7,798,692   

Hologic, Inc., Tranche B Term Loan, 4.50%, 8/01/19

       11,302         11,409,945   

Immucor, Inc. (FKA IVD Acquisition Corp.), Term B-1 Loan, 5.75%, 8/19/18

     6,803         6,868,181   

Kinetic Concepts, Inc., Dollar Term C-1 Loan, 5.50%, 5/04/18

     6,888         6,934,866   
     

 

 

 
        52,790,646   

 

 

Health Care Providers & Services — 4.0%

  

Ardent Medical Services, Inc., Term Loan, 6.75%, 5/16/18

     1,855         1,864,275   

CHG Companies, Inc., Term Loan, 5.00%, 11/09/19

     3,505         3,496,238   

DaVita, Inc.:

     

Term Loan B2, 4.00%, 8/01/19

     4,940         4,949,682   

Tranche B Term Loan, 4.50%, 10/20/16

     4,592         4,614,676   

Drumm Investors LLC (AKA Golden Living), Term Loan, 5.00%, 5/04/18

     969         929,171   

Emdeon, Inc., Term B-1 Loan, 5.00%, 11/02/18

     5,632         5,698,718   

Emergency Medical Services Corp., Initial Term Loan, 5.25%, 5/25/18

     5,027         5,070,600   

Genesis Healthcare Corp., Term Loan, 10.00%, 9/20/17

     865         831,481   

HCA, Inc.:

     

Tranche B-2 Term Loan, 3.61%, 3/31/17

     2,360         2,360,991   

Tranche B-3 Term Loan, 3.46%, 5/01/18

     1,770         1,771,009   

Health Management Associates, Inc., Term B Loan, 4.50%, 11/16/18

     2,554         2,575,912   

Iasis Healthcare LLC, Term B Loan, 5.00%, 5/03/18

     2,230         2,233,588   

Sheridan Holdings, Inc., Initial Term Loan (First Lien), 6.00%, 6/29/18

     4,814         4,846,020   
Floating Rate Loan Interests (c)   

Par

(000)

     Value  

 

 

Health Care Providers & Services (concluded)

  

Truven Health Analytics, Inc. (FKA Thomson Reuters (Healthcare), Inc.), New Tranche B Term Loan, 5.75%, 6/06/19

   USD 4,177       $ 4,175,993   

U.S. Renal Care, Inc., Initial Term Loan (First Lien),
6.25% - 7.25%, 7/03/19

     2,963         2,992,201   

Universal Health Services, Inc., Tranche B Term Loan 2011, 3.75%, 11/15/16

     619         620,817   

Vanguard Health Holding Co. II LLC (Vanguard Health System, Inc.), Initial Term Loan, 5.00%, 1/29/16

     1,441         1,450,482   
     

 

 

 
        50,481,854   

 

 

Health Care Technology — 0.8%

  

IMS Health, Inc., Tranche B Dollar Term Loan, 4.50%, 8/26/17

     7,640         7,695,856   

MedAssets, Inc., Term Loan, 5.00%, 11/16/16

     2,154         2,155,755   
     

 

 

 
        9,851,611   

 

 

Hotels, Restaurants & Leisure — 5.0%

  

Ameristar Casinos, Inc., B Term Loan, 4.00%, 4/16/18

     1,098         1,105,524   

Bass Pro Group LLC, Term Loan, 4.00%, 11/14/19

     4,285         4,284,229   

Boyd Gaming Corp., Increased Term Loan, 6.00%, 12/17/15

     2,156         2,176,223   

Caesars Entertainment Operating Co., Inc. (FKA Harrah’s Operating Co., Inc.):

     

Term B-1 Loan, 3.21%, 1/28/15

     6,965         6,747,344   

Term B-2 Loan, 3.21%, 1/28/15

     2,130         2,063,438   

Term B-4 Loan, 9.50%, 10/31/16

     2,196         2,238,669   

Term B-6 Loan, 5.46%, 1/28/18

     3,174         2,842,612   

Harrah’s Las Vegas Propco LLC, Term Loan, 3.31%, 2/13/13

     6,534         5,485,480   

NP Opco LLC (Station GVR Acquisition LLC), B Term Loan, 5.50%, 9/28/19

     5,690         5,704,225   

OSI Restaurant Partners LLC, Term Loan, 4.75%, 10/28/19

     3,870         3,903,863   

Pilot Travel Centers LLC, First Amendment Tranche B Term Loan, 4.25%, 8/07/19

     2,380         2,391,900   

SeaWorld Parks & Entertainment, Inc. (FKA SW Acquisitions Co., Inc.), Term B Loan, 4.00%, 8/17/17

     6,248         6,287,677   

Six Flags Theme Parks, Inc., Tranche B Term Loan, 4.25%, 12/20/18

     5,130         5,148,314   

Station Casinos LLC, Term Loan, 4.00%, 6/17/16

     6,675         6,394,116   

Stockbridge/SBE Holdings, Tranche B Loan, 13.00%, 5/02/17

     590         582,625   

Wendy’s International, Inc., Term Loan, 4.75%, 5/15/19

     6,705         6,762,261   
     

 

 

 
        64,118,500   

 

 

Household Products — 0.7%

  

Spectrum Brands, Inc.:

     

Term Loan, 5.00%, 10/18/19

     6,585         6,626,156   

Term Loan, 5.00%, 10/18/19

   CAD 1,960         1,973,121   
     

 

 

 
        8,599,277   

 

 

Independent Power Producers & Energy Traders — 1.8%

  

The AES Corp., Initial Term Loan, 4.25%, 6/01/18

   USD     3,275         3,302,404   
 

 

    .         
4       BLACKROCK FLOATING RATE INCOME PORTFOLIO       NOVEMBER 30, 2012   

 
Consolidated Schedule of Investments (continued)   (Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)   

Par

(000)

     Value  

 

 

Independent Power Producers & Energy Traders (concluded)

  

Calpine Corp.:

     

Term Loan (6/2011), 4.50%, 4/01/18

   USD 1,492       $ 1,501,622   

Term Loan, 4.50%, 4/01/18

     5,972         6,009,148   

Dynegy Midwest Generation LLC, Term Loan, 9.25%, 8/05/16

     4,091         4,222,403   

Dynegy Power LLC, Term Loan, 9.25%, 8/05/16

     5,502         5,728,085   

GenOn Energy, Inc./GenOn Americas, Inc., Term Loan, 6.50%, 12/04/17

     2,179         2,187,029   
     

 

 

 
        22,950,691   

 

 

Insurance — 1.1%

  

Asurion LLC (FKA Asurion Corp.), Term Loan (First Lien), 5.50%, 5/24/18

     5,905         5,952,026   

CNO Financial Group, Inc.:

     

Tranche B-1 Term Loan, 4.25%, 9/28/16

     2,490         2,496,225   

Tranche B-2 Term Loan, 5.00%, 9/28/18

     3,385         3,401,925   

Cunningham Lindsey Intermediate Holdings (Delaware) LLC, Term Loan, 5.00%, 10/17/19

     2,390         2,395,975   
     

 

 

 
        14,246,151   

 

 

Internet Software & Services — 0.2%

  

Web.com Group, Inc., Term Loan (First Lien 2012), 5.50%, 10/27/17

     2,473         2,457,892   

 

 

IT Services — 0.9%

  

Booz Allen Hamilton, Inc., Initial Tranche B Term Loan, 4.50%, 7/31/19

     4,600         4,635,466   

Genpact Ltd., Term Loan, 4.25%, 8/30/19

     5,975         6,019,813   

Neustar, Inc., Term Advance, 5.00%, 11/08/18

     1,442         1,451,411   
     

 

 

 
        12,106,690   

 

 

Leisure Equipment & Products — 1.8%

  

Alpha Topco Ltd. (Formula One), Facility B2 (USD), 6.00%, 4/30/19

     5,098         5,155,778   

Eastman Kodak Co., Term Loan (DIP), 8.50%, 7/20/13

     2,580         2,576,379   

Equinox Holdings, Inc., Term Loan, 5.75%, 11/16/19

     3,295         3,286,763   

FGI Operating Co. LLC, Term B Loan, 5.50% - 6.50%, 4/19/19

     3,393         3,418,522   

Leslie’s Poolmart, Inc., Term Loan B, 0.50% - 5.25%, 10/16/19

     7,930         7,949,825   
     

 

 

 
        22,387,267   

 

 

Life Sciences Tools & Services — 0.8%

  

Pharmaceutical Product Development, Inc. (Jaguar Holdings LLC), Term Loan, 6.25%, 12/05/18

     9,641         9,779,295   

 

 

Machinery — 2.4%

  

BakerCorp International, Inc. (FKA B-Corp Holdings, Inc.), Term Loan, 5.00%, 6/01/18

     2,158         2,168,476   

FleetPride Corp., Term Loan, 5.25%, 11/14/19

     3,195         3,189,025   

Rexnord LLC/RBS Global, Inc., Term B Loan Refinancing, 4.50%, 4/01/18

     5,142         5,182,389   

Schaeffler AG, Term Loan B, 4.70%, 1/27/15

   EUR 2,895         3,689,769   

Sensata Technology BV/Sensata Technology Finance Co. LLC, Term Loan, 4.00%, 5/12/18

   USD 2,765         2,770,488   

Terex Corp.:

     

New Euro Term Loan, 6.00%, 4/28/17

   EUR 411         532,992   

New U.S. Term Loan, 4.50%, 4/28/17

   USD     3,699         3,730,697   

Wabash National, Initial Term Loan, 6.00%, 5/08/19

     4,329         4,372,792   
Floating Rate Loan Interests (c)   

Par

(000)

     Value  

 

 

Machinery (concluded)

  

Windsor Financing LLC, Term Loan, 5.00%, 11/07/19

   USD 4,445       $ 4,400,550   
     

 

 

 
        30,037,178   

 

 

Media — 5.7%

  

AMC Entertainment, Inc., Term B-3 Loan, 4.75%, 2/22/18

     1,935         1,953,490   

AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18

     2,756         2,761,813   

Catalina Marketing Corp., 2017 Term Loan, 5.71%, 9/29/17

     3,757         3,757,135   

Cengage Learning Acquisitions, Inc. (Thomson Learning):

     

Original Term Loan, 2.71%, 7/03/14

     1,826         1,390,655   

Tranche 1 Incremental Term Loan, 7.50%, 7/03/14

     1,250         1,010,749   

Charter Communications Operating LLC:

  

Term C Loan, 3.46%, 9/06/16

     3,264         3,277,586   

Term D Loan, 4.00%, 5/15/19

     1,808         1,821,505   

Clear Channel Communications, Inc.:

  

Term Loan, 3.76%, 7/30/14

     5,033         4,914,457   

Tranche B Term Loan, 3.88%, 1/29/16

     4,061         3,294,740   

Tranche C Term Loan, 3.88%, 1/29/16

     1,269         1,004,941   

Cumulus Media Holdings, Inc., Term Loan (First Lien), 5.75%, 9/17/18

     3,213         3,225,151   

FoxCo Acquisition Sub LLC, Initial Term Loan, 5.50%, 7/14/17

     4,195         4,242,194   

Gray Television, Inc., Initial Term Loan, 4.75%, 10/12/19

     4,010         4,019,303   

Kabel Deutschland GmbH, Facility F, 4.25%, 2/01/19

     3,925         3,947,569   

LIN Television Corp., Tranche B Term Loan, 5.00%, 12/21/18

     1,970         1,981,204   

MTL Publishing LLC (EMI Music Publishing Group North America Holdings, Inc.), Term B Loan, 5.50%, 6/29/18

     4,544         4,586,777   

Nielsen Finance LLC, Class B Dollar Term Loan, 3.96%, 5/02/16

     4,946         4,968,770   

Sinclair Television Group, Inc., New Tranche B Term Loan, 4.00%, 10/28/16

     2,720         2,724,991   

TWCC Holding Corp., Term Loan, 4.25%, 2/13/17

     2,792         2,815,992   

Univision Communications, Inc., Extended First-Lien Term Loan, 4.46%, 3/31/17

     6,275         6,125,038   

UPC Financing Partnership:

     

Facility T, 3.71%, 12/30/16

     730         726,154   

Facility U, 0.00% - 4.11%, 12/31/17

   EUR 2,175         2,823,661   

WideOpenWest Finance LLC, Term Loan, 6.25%, 7/17/18

   USD 2,838         2,868,225   

WMG Acquisitions Corp., Term Loan, 5.25%, 10/17/18

     2,400         2,417,256   
     

 

 

 
        72,659,356   

 

 

Metals & Mining — 2.5%

  

Constellium Holdco BV, Initial Term Loan, 9.25%, 5/25/18

     2,893         2,892,750   

FMG Resources (August 2006) Pty Ltd. (FMG America Finance, Inc.), Term Loan, 5.25%, 10/18/17

     13,900         13,934,750   
 

 

    .         
      BLACKROCK FLOATING RATE INCOME PORTFOLIO       NOVEMBER 30, 2012    5

 
Consolidated Schedule of Investments (continued)   (Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)   

Par

(000)

     Value  

 

 

Metals & Mining (concluded)

     

Novelis, Inc.:

     

Term B-2 Loan, 4.00%, 3/10/17

   USD 1,381       $ 1,384,452   

Term Loan, 4.00%, 3/10/17

     8,514         8,537,686   

Walter Energy, Inc. (FKA Walter Industries, Inc.), B Term Loan, 5.75%, 4/02/18

     5,011         5,023,750   
     

 

 

 
        31,773,388   

 

 

Multiline Retail — 0.7%

     

99¢ Only Stores, Tranche B-1 Loan, 5.25%, 1/11/19

     2,263         2,284,426   

Evergreen Acqco 1 LP, New Term Loan, 5.00% - 6.00%, 7/09/19

     4,659         4,662,319   

Hema Holding BV:

     

Facility B, 2.11%, 7/06/15

   EUR 834         1,021,126   

Facility C, 2.86%, 7/05/16

     834         1,015,702   
     

 

 

 
        8,983,573   

 

 

Oil, Gas & Consumable Fuels — 3.6%

  

  

Chesapeake Energy Corp., Loan, 5.75%, 12/02/17

   USD 7,735         7,599,637   

EP Energy LLC (FKA Everest Acquisition LLC), Tranche
B-1 Loan, 5.00%, 5/24/18

     8,065         8,138,956   

Gibson Energy ULC, Tranche B Term Loan, 4.75%, 6/15/18

     6,350         6,417,882   

MEG Energy Corp., Initial Term Loan, 4.00%, 3/18/18

     4,401         4,419,227   

Obsidian Natural Gas Trust, Loan, 7.00%, 11/02/15

     930         929,737   

Plains Exploration & Production, Inc., Term Loan, 4.00%, 9/28/19

     8,200         8,230,750   

Samson Investment Co., Initial Term Loan (Second Lien), 6.00%, 9/25/18

     1,760         1,771,000   

Tervita Corp. (FKA CCS Corp.):

     

Series A Term Loan, 6.50%, 11/14/14

     2,139         2,137,062   

Term Loan, 3.21%, 11/14/14

     6,650         6,523,880   
     

 

 

 
        46,168,131   

 

 

Paper & Forest Products — 0.1%

  

  

NewPage Corp., Term Loan (DIP), 8.75%, 3/08/13

     975         974,396   

 

 

Personal Products — 0.4%

     

NBTY, Inc., Term B-1 Loan, 4.25%, 10/01/17

     2,934         2,957,190   

Prestige Brands, Inc., Term B Loan, 5.25% - 6.25%, 1/31/19

     2,521         2,547,828   
     

 

 

 
        5,505,018   

 

 

Pharmaceuticals — 3.9%

     

Aptalis Pharma, Inc. (FKA Axcan Intermediate Holdings, Inc.), Term B-1 Loan, 5.50%, 2/10/17

     10,406         10,402,394   

Capsugel Holdings U.S., Inc., Initial Term Loan (New), 4.75%, 8/01/18

     3,331         3,356,952   

inVentiv Health, Inc. (FKA Ventive Health, Inc.):

     

Consolidated Term Loan, 6.50%, 8/04/16

     2,103         1,982,128   

Term B-3 Loan, 6.75%, 5/15/18

     2,998         2,922,583   

Par Pharmaceutical Cos., Inc. (Par Pharmaceutical, Inc.), Term B Loan, 5.00%, 9/30/19

     11,425         11,386,955   

Quintiles Transnational Corp., Term B Loan, 5.00%, 6/08/18

     5,580         5,592,771   

RPI Finance Trust, New Term Loan, 4.00%, 11/09/18

     686         689,420   
Floating Rate Loan Interests (c)   

Par

(000)

     Value  

 

 

Pharmaceuticals (concluded)

     

Valeant Pharmaceuticals International, Inc.:

     

Term Loan B, 4.25%, 9/19/19

   USD 3,790       $ 3,801,370   

Term Loan, 3.61%, 2/13/19

     6,054         6,075,288   

Warner Chilcott Co. LLC, Term B-2 Loan, 4.25%, 3/15/18

     776         780,233   

Warner Chilcott Corp.:

     

Additional Term B-1 Loan, 4.25%, 3/15/18

     590         592,601   

Term B-1 Loan, 4.25%, 3/15/18

     1,553         1,560,466   

WC Luxco S.à r.l. (Warner Chilcott), Term B-3 Loan, 4.25%, 3/15/18

     1,067         1,072,820   
     

 

 

 
        50,215,981   

 

 

Professional Services — 0.1%

     

On Assignment, Inc., Initial Term B Loan, 5.00%, 5/15/19

     1,579         1,587,320   

 

 

Real Estate Investment Trusts (REITs) — 0.5%

  

iStar Financial, Inc., Loan, 5.75%, 10/15/17

     6,431         6,432,966   

 

 

Real Estate Management & Development — 1.6%

  

Realogy Corp.:

     

Extended (First Lien) Term Loan, 4.46%, 10/10/16

     19,773         19,735,650   

Extended Synthetic Commitment,
0.06% - 4.40%, 10/10/16

     1,157         1,154,450   

Non-Extended Synthetic Commitment,
0.06% - 3.15%, 10/10/13

     150         145,642   
     

 

 

 
        21,035,742   

 

 

Road & Rail — 0.2%

     

Transtar Holding Co., Term Loan, 6.50%, 10/02/18

     3,100         3,115,500   

 

 

Semiconductors & Semiconductor Equipment — 0.7%

  

Freescale Semiconductor, Inc., Tranche B-1 Term Loan, 4.46%, 12/01/16

     4,842         4,692,847   

NXP BV/NXP Funding LLC:

     

Term Loan, 4.50%, 3/03/17

     1,190         1,199,675   

Tranche A-2 Loan, 5.50%, 3/03/17

     1,741         1,769,395   

Tranche B Loan, 5.25%, 3/19/19

     968         973,616   
     

 

 

 
        8,635,533   

 

 

Software — 4.4%

     

Blackboard, Inc., Term Loan (First Lien), 7.50%, 10/04/18

     575         578,251   

First Data Corp.:

     

2018 Dollar Term Loan, 4.21%, 3/23/18

     19,543         18,595,424   

2018B Term Loan, 5.21%, 9/24/18

     4,575         4,475,494   

Infor (U.S.), Inc. (FKA Lawson Software, Inc.), Tranche B-2 Term Loan, 5.25%, 4/05/18

     13,708         13,835,140   

Interactive Data Corp., Term B Loan, 4.50%, 2/11/18

     8,638         8,682,882   

Sabre, Inc., Non-Extended Initial Term Loan, 2.21%, 9/30/14

     375         374,468   

Sophia, L.P., Initial Term Loan, 6.25%, 7/19/18

     3,641         3,683,155   

SS&C Technologies, Inc.,/Sunshine Acquisition II, Inc.:

     

Funded Term B-1 Loan, 5.00%, 6/07/19

     5,163         5,219,095   

Funded Term B-2 Loan, 5.00%, 6/07/19

     534         539,906   

SunGard Data Systems, Inc. (Solar Capital Corp.), Tranche B U.S. Term Loan,
3.83% - 3.94%, 2/28/16

     589         588,679   
     

 

 

 
        56,572,494   

 

 
 

 

    .         
6       BLACKROCK FLOATING RATE INCOME PORTFOLIO       NOVEMBER 30, 2012   

 
Consolidated Schedule of Investments (continued)   (Percentages shown are based on Net Assets)

 

Floating Rate Loan Interests (c)   

Par

(000)

     Value  

 

 

Specialty Retail — 4.8%

     

Academy Ltd., Initial Term Loan (2012), 4.75%, 8/03/18

   USD   7,581       $ 7,600,015   

David’s Bridal, Inc., Initial Term Loan, 5.00%, 10/11/19

     8,545         8,502,275   

The Gymboree Corp., Term Loan, 5.00%, 2/23/18

     944         910,782   

Harbor Freight Tools USA, Inc./Central Purchasing LLC, Initial Loan, 5.50%, 11/14/17

     2,294         2,307,625   

J. Crew Group, Inc., Loan, 4.75%, 3/07/18

     1,005         1,006,537   

Jo-Ann Stores, Inc., Loan, 4.75%, 3/16/18

     2,627         2,628,381   

Michaels Stores, Inc.:

     

B-2 Term Loan,
4.88% - 4.94%, 7/31/16

     6,968         7,028,481   

B-3 Term Loan,
4.88% - 4.94%, 7/31/16

     755         761,188   

The Neiman Marcus Group, Inc., Term Loan, 4.75%, 5/16/18

     4,990         4,988,952   

Party City Holdings, Inc., Term Loan, 5.75%, 7/27/19

     9,145         9,225,019   

PETCO Animal Supplies, Inc., New Loan, 4.50%, 11/24/17

     6,957         6,987,610   

Toys ‘R’ Us-Delaware, Inc.:

     

Initial Loan, 6.00%, 9/01/16

     1,708         1,682,798   

Term B-2 Loan, 5.25%, 5/25/18

     496         483,816   

Term B-3 Loan, 5.25%, 5/25/18

     1,249         1,218,294   

The Yankee Candle Co., Inc., Initial Term Loan, 5.25%, 4/02/19

     5,530         5,579,927   
     

 

 

 
        60,911,700   

 

 

Textiles, Apparel & Luxury Goods — 0.3%

  

Burlington Coat Factory Warehouse Corp., Term
B-1 Loan, 5.50%, 2/23/17

     1,377         1,386,579   

Wolverine World Wide, Inc., Tranche B Term Loan, 4.00%, 7/31/19

     2,888         2,904,116   
     

 

 

 
        4,290,695   

 

 

Transportation Infrastructure — 0.1%

  

Road Infrastructure Investment LLC, Term Loan (First Lien), 6.25%, 3/30/18

     920         918,074   

 

 

Wireless Telecommunication Services — 1.8%

  

Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19

     2,275         2,284,965   

MetroPCS Wireless, Inc., Tranche B-3 Term Loan, 4.00%, 3/17/18

     3,050         3,053,879   

Vodafone Americas Finance 2, Inc.:

     

Initial Loan, 6.88%, 8/11/15 (d)

     7,188         7,331,278   

New Series A Loan, 6.25%, 7/11/16

     5,981         6,145,734   

WaveDivision Holdings LLC, Initial Term Loan, 5.50%, 10/12/19

     3,940         3,989,250   
     

 

 

 
        22,805,106   

 

 

Total Floating Rate Loan Interests — 90.5%

  

     1,155,304,658   

 

 
     

    

     
Other Interests (e)    Beneficial
Interest
(000) 		     Value  

 

 

Chemicals — 0.0%

     

Wellman Holdings, Inc.

     8,250         83   

 

 
Other Interests (e)   

Beneficial

Interest

(000)

     Value  

 

 

Diversified Financial Services — 0.2%

  

  

J.G. Wentworth LLC Preferred Equity Interests

     USD     1       $ 2,470,586   

 

 

Total Other Interests — 0.2%

        2,470,669   

 

 
     

    

     
Rights    Shares      Value  

 

 

Paper & Forest Products — 0.0%

     

Ainsworth Lumber Co. Ltd. (Issued 11/14/12) (b)

     268,109         174,288   

 

 

Total Rights — 0.0%

        174,288   

 

 
     

    

     
Warrants (f)    Shares      Value  

 

 

Media — 0.0%

     

New Vision Holdings LLC:

     

(Issued 3/21/11, Expires 9/30/14, Strike Price $25)

     7,419         22,257   

(Issued 3/21/11, Expires 9/30/14, Strike Price $29.40)

     41,217         123,651   

 

 

Total Warrants — 0.0%

        145,908   

 

 

Total Long-Term Investments

     

(Cost — $1,216,126,842) — 96.1%

  

     1,226,768,178   

 

 
     

    

     
Short-Term Securities    Shares      Value  

 

 

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (g)(h)

     191,250,898         191,250,898   

 

 

Total Short-Term Securities

     

(Cost — $191,250,898) — 15.0%

        191,250,898   

 

 

Total Investments

     

(Cost — $1,407,377,740*) — 111.1%

  

     1,418,019,076   

Liabilities in Excess of Other Assets — (11.1)%

  

     (142,005,568 ) 
     

 

 

 

Net Assets — 100.0%

      $ 1,276,013,508   
     

 

 

 

 

* As of November 30, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:

  Tax cost

   $ 1,404,276,558   
  

 

 

 

  Gross unrealized appreciation

   $ 21,404,738   

  Gross unrealized depreciation

     (7,662,220 ) 
  

 

 

 

  Net unrealized appreciation

   $ 13,742,518   
  

 

 

 

 

(a) Non-income producing security.
(b) 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.
(c) Variable rate security. Rate shown is as of report date.
(d) Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(e) Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
 

 

    .         
      BLACKROCK FLOATING RATE INCOME PORTFOLIO       NOVEMBER 30, 2012    7

 
Consolidated Schedule of Investments (continued)  

 

(f) Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.
(g) Investments in issuers considered to be an affiliate of the Fund during the period ended November 30, 2012, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliate    Shares
Held at
August 31,
2012 		     Net
Activity 		    

Shares

Held at
November 30,
2012

     Income  

 

 

BlackRock Liquidity Funds, TempFund, Institutional Class

     105,813,605         85,437,293         191,250,898       $ 65,087   

 

 

 

(h) Represents the current yield as of report date.

 

—  

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

 

—  

Foreign currency exchange contracts as of November 30, 2012 were as follows:

 

 

 
Currency
Purchased 		 

Currency

Sold

    Counter party   Settlement
Date 		 

Un-

realized
Appre-

ciation

 

 

 

USD 1,953,874

  CAD 1,940,000      Goldman Sachs Group, Inc.   1/16/13   $ 2,870   

USD 5,023,723

  CAD 4,913,000      UBS AG   1/16/13     82,853   

USD 6,848,940

  GBP 4,273,000      Goldman Sachs Group, Inc.   1/16/13     3,620   

USD 1,122,847

  GBP 700,000      UBS AG   1/16/13     1,451   

USD 10,323,358

  EUR   7,872,000      UBS AG   1/23/13     79,624   

 

 

Total

        $ 170,418   
       

 

 

 

 

—  

Credit default swaps on single-name issues - sold protection outstanding as of November 30, 2012 were as follows:

 

 

 
Issuer   Receive
Fixed
Rate 		   

Counter

party

 

Expir-

ation
Date

    Issuer
Credit
Rating 1 		  Notional
Amount
(000) 2 		 

Un-

realized
Appre-

ciation

 

 

 

Caesars

Enter-

tainment

Operating
Co., Inc.

    5.00 %    JPMorgan
Chase &
Co. 		    12/20/15      CCC   USD 1,199     52,556   

 

 

 

1  

Using Standard & Poor’s rating.

 

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

—  

Level 1 – unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Fund 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 Fund’s own 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 level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments 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 Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of November 30, 2012:

 

 

 
    Level 1     Level 2     Level 3     Total  

 

 

Assets:

       

Investments:

       

  Long-
Term

       

Invest- ments:

       

Common Stocks

  $ 963,707      $ 877,188      $ 18,009      $ 1,858,904   

Corporate Bonds

    —          66,813,751        —          66,813,751   

Floating
Rate Loan Inte-
rests

    —          1,061,744,644        93,560,014        1,155,304,658   

Other Inte-
rests

    —          —          2,470,669        2,470,669   

Rights

    174,288        —          —          174,288   

Warrants

    145,908        —          —          145,908   

  Short-
Term Secu-
rities

    191,250,898        —          —          191,250,898   

 

 

Total

  $ 192,534,801      $ 1,129,435,583      $ 96,048,692      $ 1,418,019,076   
 

 

 

 
 

 

    .         
8       BLACKROCK FLOATING RATE INCOME PORTFOLIO       NOVEMBER 30, 2012   

 
Consolidated Schedule of Investments (concluded)  

 

 

 
     Level 1    Level 2      Level 3    Total  

 

 

Derivative Financial Instruments 1

  

     

Assets:

           

Credit contracts

   —      $ 52,556       —      $ 52,556   

Foreign currency exchange contracts

   —        170,418       —        170,418   

 

 

Total

   —      $ 222,974       —      $ 222,974   
  

 

 

 

1  

Derivative financial instruments are swaps and foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of November 30, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

 

 

 
     Level 1      Level 2     Level 3    Total  

 

 

Assets:

          

Foreign currency at value

   $ 6,827,165         —        —      $ 6,827,165   

Liabilities:

          

Bank overdraft

     —         $ (2,110,658 )    —        (2,110,658 ) 

 

 

Total

   $ 6,827,165       $ (2,110,658 )    —      $ 4,716,507   
  

 

 

 

There were no transfers between Level 1 and Level 2 during the period ended November 30, 2012.

Certain of the Fund’s investments are categorized as Level 3 and were valued utilizing transaction prices from recent transactions or third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

 

 

A reconciliation of Level 3 investments is presented when the Fund 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
Stocks 		    Floating Rate
Loan Interests 		    Other
Interests 		     Total  

 

 

Assets:

         

Opening Balance, as of August 31, 2012

   $ 18,010      $ 38,764,070      $ 2,470,669       $ 41,252,749   

Transfers into Level 3 2

     —        36,830,862        —         36,830,862   

Transfers out of Level 3 2

     —        (16,708,469 )      —         (16,708,469 ) 

Accrued discounts/premiums

     —        18,100        —         18,100   

Net realized gain (loss)

     —        (3,447 )      —         (3,447 ) 

Net change in unrealized appreciation/depreciation 3

     (1 )      3,287,204        —         3,287,203   

Purchases

     —        31,774,945        —         31,774,945   

Sales

     —        (403,251 )      —         (403,251 ) 

 

 

Closing Balance, as of November 30, 2012

   $ 18,009      $ 93,560,014      $ 2,470,669       $ 96,048,692   
  

 

 

 

 

2  

Transfers into and transfers out of Level 3 represent the values as of the beginning of the reporting period. As of August 31, 2012, the Fund used observable inputs in determining the value of certain investments. As of November 30, 2012, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning period value of $36,830,862 transferred from Level 2 to Level 3 in the disclosure hierarchy. As of August 31, 2012, the Fund used significant unobservable inputs in determining the value of certain investments. As of November 30, 2012, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $16,708,469 transferred from Level 3 to Level 2 in the disclosure hierarchy.

 

3  

The change in unrealized appreciation/depreciation on investments still held as of November 30, 2012 was $3,287,203.

 

 

 

    .         
      BLACKROCK FLOATING RATE INCOME PORTFOLIO       NOVEMBER 30, 2012    9

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 15d-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/ John M. Perlowski

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of BlackRock Funds II
Date: January 23, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ John M. Perlowski

  John M. Perlowski
  Chief Executive Officer (principal executive officer) of BlackRock Funds II
Date: January 23, 2013
By:  

/s/ Neal J. Andrews

  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of BlackRock Funds II
Date: January 23, 2013