BlackRock Variable Series Funds II NPORT-P BlackRock U.S. Government Bond V.I. Fund (Mar 2023 report)

BlackRock

U.S.

Government

Bond

V.I.

Fund

2

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

March

31,

2023

Security

Par

(000)

Par

(000)

Value

Non-Agency

Mortgage-Backed

Securities

Commercial

Mortgage-Backed

Securities

—

2.0%

280

Park

Avenue

Mortgage

Trust,

Series

2017-

280P,

Class

A,

(1-mo.

LIBOR

USD

at

0.88%

Floor

+

0.88%),

5.56%,

09/15/34

(a)(b)

....

USD

139

$

134,896

BX

Trust,

Series

2021-MFM1,

Class

C,

(1-mo.

CME

Term

SOFR

at

1.31%

Floor

+

1.31%),

6.14%,

01/15/34

(a)(b)

...............

33

31,040

Commercial

Mortgage

Trust,

Series

2017-

COR2,

Class

AM,

3.80%,

09/10/50

.....

22

19,658

Credit

Suisse

Mortgage

Capital

Certificates,

Series

2021-980M,

Class

A,

2.39%,

07/15/31

(b)

.....................

100

85,996

CSMC

Trust,

Series

2021-BHAR,

Class

A,

(1-

mo.

LIBOR

USD

at

1.15%

Floor

+

1.15%),

5.83%,

11/15/38

(a)(b)

...............

168

160,700

Hudson

Yards

Mortgage

Trust,

Series

2019-

30HY,

Class

D,

3.44%,

07/10/39

(a)(b)

....

101

80,499

JPMorgan

Chase

Commercial

Mortgage

Securities

Trust,

Series

2020-609M,

Class

A,

(1-mo.

LIBOR

USD

at

1.37%

Floor

+

1.37%),

6.05%,

10/15/33

(a)(b)

.........

100

91,086

Morgan

Stanley

Capital

I

Trust,

Series

2018-

H3,

Class

B,

4.62%,

07/15/51

(a)

.......

39

34,391

Wells

Fargo

Commercial

Mortgage

Trust,

Series

2021-FCMT,

Class

A,

(1-mo.

LIBOR

USD

at

1.20%

Floor

+

1.20%),

5.88%,

05/15/31

(a)(b)

....................

160

148,800

787,066

Interest

Only

Commercial

Mortgage-Backed

Securities

—

0.5%

(a)

Arbor

Multifamily

Mortgage

Securities

Trust,

Series

2021-MF3,

Class

XA,

0.74%,

10/15/54

(b)

.....................

128

5,315

BANK,

Series

2021-BN33,

Class

XA,

1.06%,

05/15/64

......................

1,750

101,109

Benchmark

Mortgage

Trust,

Series

2020-B20,

Class

XA,

1.62%,

10/15/53

..........

1,160

87,569

193,993

Total

Non-Agency

Mortgage-Backed

Securities

—

2.5%

(Cost:

$1,088,382)

..............................

981,059

Beneficial

Interest

(000)

Other

Interests

(c)

Capital

Markets

—

0.0%

Lehman

Brothers

Holdings,

Inc.

(d)(e)

.......

514

—

Total

Other

Interests

—

0.0%

(Cost:

$—)

....................................

—

Par

(000)

Par

(000)

U.S.

Government

Sponsored

Agency

Securities

(f)

Agency

Obligations

—

1.3%

Federal

Home

Loan

Bank

Bonds,

4.00%, 04/10/28

.................

500

502,350

Collateralized

Mortgage

Obligations

—

0.0%

Government

National

Mortgage

Association

Variable

Rate

Notes,

Series

2014-107,

Class

WX,

6.72%, 07/20/39

(a)

.............

—

(g)

1

Security

Par

(000)

Par

(000)

Value

Interest

Only

Commercial

Mortgage-Backed

Securities

—

0.2%

(a)

Federal

Home

Loan

Mortgage

Corp.

Multifamily

Structured

Pass-Through

Certificates

Variable

Rate

Notes

Series

K116,

Class

X1,

1.42%, 07/25/30

.

USD

106

$

8,430

Series

K119,

Class

X1,

0.93%, 09/25/30

.

180

9,757

Series

K120,

Class

X1,

1.04%, 10/25/30

.

127

7,590

Series

K122,

Class

X1,

0.88%, 11/25/30

.

255

13,130

Federal

National

Mortgage

Association

ACES

Variable

Rate

Notes,

Series

2020-M21,

Class

AX,

1.56%, 01/25/58

..........

255

34,778

73,685

Mortgage-Backed

Securities

—

77.3%

Government

National

Mortgage

Association

(f)

2.00%, 04/15/53

.................

1,140

968,390

2.50%, 04/15/53

.................

2,499

2,199,120

3.00%, 04/15/53

.................

1,060

965,505

4.50%, 04/15/53

.................

126

124,104

5.00%, 04/15/53

.................

93

93,116

5.50%, 04/15/53

.................

55

55,622

Uniform

Mortgage-Backed

Securities

1.50%, 04/25/38

-

04/25/53

(f)

.........

246

211,392

2.00%, 04/25/53

(f)

................

7,259

6,000,337

2.50%, 04/25/53

(f)

................

5,636

4,857,527

3.00%, 04/25/53

(f)

................

2,858

2,564,302

3.50%, 04/25/38

-

04/25/53

(f)

.........

271

252,418

4.00%, 10/01/52

.................

10,999

10,519,749

4.00%, 04/25/53

(f)

................

327

312,459

4.50%, 04/25/53

(f)

................

840

822,637

5.00%, 04/25/53

(f)

................

33

33,112

5.50%, 04/25/53

(f)

................

346

349,494

6.00%, 04/25/53

(f)

................

300

306,199

30,635,483

Total

U.S.

Government

Sponsored

Agency

Securities

—

78.8%

(Cost:

$31,317,495)

..............................

31,211,519

U.S.

Treasury

Obligations

U.S.

Treasury

Bonds

4.25%, 05/15/39

-

11/15/40

..........

212

228,440

4.50%, 08/15/39

.................

170

188,780

4.38%, 11/15/39

.................

170

185,725

4.63%, 02/15/40

.................

42

47,266

3.88%, 08/15/40

.................

42

43,070

3.13%, 02/15/43

.................

660

593,433

2.88%, 05/15/43

-

11/15/46

..........

1,290

1,107,109

3.63%, 08/15/43

.................

660

640,612

3.75%, 11/15/43

.................

660

651,905

2.50%, 02/15/45

.................

154

122,881

2.75%, 11/15/47

.................

154

128,121

3.00%, 02/15/48

.................

784

683,856

2.25%, 08/15/49

.................

815

612,810

1.63%, 11/15/50

.................

85

54,510

U.S.

Treasury

Notes

0.25%, 04/15/23

.................

214

213,691

2.75%, 05/31/23

.................

1,260

1,255,956

1.75%, 07/31/24

.................

2,430

2,346,848

2.13%, 07/31/24

-

05/15/25

..........

2,650

2,559,234

2.25%, 11/15/24

-

08/15/27

..........

1,627

1,544,072

2.00%, 02/15/25

.................

1,580

1,519,022

0.50%, 03/31/25

-

05/31/27

..........

659

598,957

0.38%, 04/30/25

.................

367

340,392

1.50%, 08/15/26

-

02/15/30

..........

1,881

1,743,249

0.63%, 03/31/27

.................

146

129,438

BlackRock

U.S.

Government

Bond

V.I.

Fund

3

(Percentages

shown

are

based

on

Net

Assets)

Schedule

of

Investments

(unaudited)

(continued)

March

31,

2023

Security

Par

(000)

Par

(000)

Value

U.S.

Treasury

Obligations

(continued)

2.88%, 08/15/28

.................

USD

380

$

365,973

3.13%, 11/15/28

.................

380

370,441

2.38%, 03/31/29

.................

54

50,412

1.63%, 08/15/29

.................

266

237,259

Total

U.S.

Treasury

Obligations

—

46.8%

(Cost:

$20,260,370)

..............................

18,563,462

Total

Long-Term

Investments

—

128.1%

(Cost:

$52,666,247)

..............................

50,756,040

Shares

Shares

Short-Term

Securities

Money

Market

Funds

—

0.5%

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class,

4.70%

(h)(i)

.................

199,276

199,276

Total

Money

Market

Funds

—

0.5%

(Cost:

$199,276)

................................

199,276

Par

(000)

Pa

r

(

000)

U.S.

Government

Sponsored

Agency

Securities

Agency

Obligations

—

15.1%

Federal

Home

Loan

Bank

Discount

Notes,

4.52%, 04/21/23

(j)

...............

6,000

5,986,199

Total

U.S.

Government

Sponsored

Agency

Securities

—

15.1%

(Cost:

$5,985,000)

..............................

5,986,199

Security

Par

(000)

Pa

r

(

000)

Value

U.S.

Treasury

Obligations

—

4.6%

U.S.

Treasury

Bills

,

4.48%, 06/01/23

(j)

.....

USD

1,841

$

1,827,310

Total

U.S.

Treasury

Obligations

—

4.6%

(Cost:

$1,827,162)

..............................

1,827,310

Total

Short-Term

Securities

—

20.2%

(Cost:

$8,011,438)

..............................

8,012,785

Total

Investments

Before

Options

Written

and

TBA

Sale

Commitments

—

148.3%

(Cost:

$60,677,685

)

..............................

58,768,825

Total

Options

Written

—

(0.0)%

(Premium

Received

—

$(17,238))

....................

(12,138)

TBA

Sale

Commitments

(f)

Mortgage-Backed

Securities

—

(39.4)%

Government

National

Mortgage

Association

2.50%

,

 04/15/53

.................

(59)

(51,920)

4.50%

,

 04/15/53

.................

(126)

(124,104)

5.00%

,

 04/15/53

.................

(93)

(93,116)

5.50%

,

 04/15/53

.................

(55)

(55,622)

Uniform

Mortgage-Backed

Securities

1.50%

,

 04/25/38

-

04/25/53

..........

(246)

(211,392)

3.50%

,

 04/25/38

-

04/25/53

..........

(271)

(252,417)

2.00%

,

 04/25/53

.................

(586)

(484,253)

2.50%

,

 04/25/53

.................

(2,036)

(1,754,777)

3.00%

,

 04/25/53

.................

(268)

(240,400)

4.00%

,

 04/25/53

.................

(11,327)

(10,832,970)

4.50%

,

 04/25/53

.................

(840)

(822,637)

5.00%

,

 04/25/53

.................

(33)

(33,112)

5.50%

,

 04/25/53

.................

(346)

(349,494)

6.00%

,

 04/25/53

.................

(300)

(306,199)

Total

TBA

Sale

Commitments

—

(39.4)%

(Proceeds:

$(15,676,382))

.........................

(15,612,413)

Total

Investments

Net

of

Options

Written

and

TBA

Sale

Commitments

—

108.9%

(Cost:

$44,984,065

)

..............................

43,144,274

Liabilities

in

Excess

of

Other

Assets

—

(8.9)%

............

(3,526,970)

Net

Assets

—

100.0%

..............................

$

39,617,304

(a)

Variable

rate

security.

Interest

rate

resets

periodically.

The

rate

shown

is

the

effective

interest

rate

as

of

period

end.

Security

description

also

includes

the

reference

rate

and

spread

if

published

and

available.

(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)

Other

interests

represent

beneficial

interests

in

liquidation

trusts

and

other

reorganization

or

private

entities.

(d)

Issuer

filed

for

bankruptcy

and/or

is

in

default.

(e)

Security

is

valued

using

significant

unobservable

inputs

and

is

classified

as

Level

3

in

the

fair

value

hierarchy.

(f)

Represents

or

includes

a

TBA

transaction.

(g)

Rounds

to

less

than

1,000.

(h)

Annualized

7-day

yield

as

of

period

end.

(i)

Affiliate

of

the

Fund.

(j)

Rates

are

discount

rates

or

a

range

of

discount

rates

as

of

period

end.

BlackRock

U.S.

Government

Bond

V.I.

Fund

4

Schedule

of

Investments

(unaudited)

(continued)

March

31,

2023

Affiliates

Investments

in

issuers

considered

to

be

affiliate(s)

of

the

Fund

during

the period

ended

March

31,

2023

for

purposes

of

Section

2(a)(3)

of

the

Investment

Company

Act

of

1940,

as

amended,

were

as

follows:

Affiliated

Issuer

Value

at

12/31/22

Purchases

at

Cost

Proceeds

from

Sale

Net

Realized

Gain

(Loss)

Change

in

Unrealized

Appreciation

(Depreciation)

Value

at

03/31/23

Shares

Held

at

03/31/23

Income

Capital

Gain

Distributions

from

Underlying

Funds

BlackRock

Liquidity

Funds,

T-Fund,

Institutional

Class

...

$

845,499

$

—

$

(646,223)

(a)

$

—

$

—

$

199,276

199,276

$

11,609

$

—

—

—

(a)

Represents

net

amount

purchased

(sold).

BlackRock

U.S.

Government

Bond

V.I.

Fund

5

Schedule

of

Investments

(unaudited)

(continued)

March

31,

2023

Derivative

Financial

Instruments

Outstanding

as

of

Period

End

Futures

Contracts

Description

Number

of

Contracts

Expiration

Date

Notional

Amount

(000)

Value/

Unrealized

Appreciation

(Depreciation)

Long

Contracts

U.S.

Treasury

10

Year

Note

...................................................

13

06/21/23

$

1,496

$

2,725

U.S.

Treasury

10

Year

Ultra

Note

...............................................

8

06/21/23

970

32,973

U.S.

Treasury

Ultra

Bond

.....................................................

6

06/21/23

850

38,355

U.S.

Treasury

5

Year

Note

....................................................

35

06/30/23

3,838

74,568

148,621

Short

Contracts

U.S.

Treasury

Long

Bond

.....................................................

10

06/21/23

1,314

(54,867)

U.S.

Treasury

2

Year

Note

....................................................

8

06/30/23

1,653

(19,087)

(73,954)

$

74,667

Forward

Foreign

Currency

Exchange

Contracts

Currency

Purchased

Currency

Sold

Counterparty

Settlement

Date

Unrealized

Appreciation  

(Depreciation)

CAD

24,000

USD

17,574

HSBC

Bank

plc

04/19/23

$

188

USD

17,471

CAD

24,000

HSBC

Bank

plc

04/19/23

(291)

$

(103)

OTC

Interest

Rate

Swaptions

Written

Paid

by

the

Fund

Received

by

the

Fund

Description

Rate

Frequency

Rate

Frequency

Counterparty

Expiration

Date

Exercise

Rate

Notional

Amount

(000)

Value

Call

10-Year

Interest

Rate

Swap

(a)

2.60%

Semi-Annual

1-day

SOFR

Annual

Bank

of

America

NA

04/12/23

2.60

%

USD

200

$

(11)

10-Year

Interest

Rate

Swap

(a)

2.95%

Semi-Annual

1-day

SOFR

Annual

Bank

of

America

NA

03/13/26

2.95

USD

17

(828)

(839)

Put

10-Year

Interest

Rate

Swap

(a)

1-day

SOFR

Annual

2.60%

Semi-Annual

Bank

of

America

NA

04/12/23

2.60

USD

200

(10,325)

10-Year

Interest

Rate

Swap

(a)

1-day

SOFR

Annual

2.95%

Semi-Annual

Bank

of

America

NA

03/13/26

2.95

USD

18

(974)

(11,299)

$

(12,138)

(a)

Forward

settling

swaption.

Centrally

Cleared

Interest

Rate

Swap

s

Paid

by

the

Fund

Received

by

the

Fund

Rate

Frequency

Rate

Frequency

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

2.16%

Annual

1-day

SOFR

Annual

04/01/32

USD

300

$

26,015

$

—

$

26,015

2.65%

Annual

1-day

SOFR

Annual

06/02/32

USD

100

4,778

—

4,778

1-day

SOFR

Annual

3.64%

Annual

09/28/32

USD

200

6,742

385

6,357

BlackRock

U.S.

Government

Bond

V.I.

Fund

6

Schedule

of

Investments

(unaudited)

(continued)

March

31,

2023

Fair

Value

Hierarchy

as

of

Period

End

Various

inputs

are

used

in

determining

the

fair

value

of

financial

instruments.

These

inputs

to

valuation

techniques

are

categorized

into

a

fair

value

hierarchy

consisting

of

three

broad

levels

for

financial

reporting

purposes

as

follows:

Level

1

—

Unadjusted

price

quotations

in

active

markets/exchanges

for

identical

assets

or

liabilities

that

the

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);

and

Level

3

—

Unobservable

inputs

based

on

the

best

information

available

in

the

circumstances,

to

the

extent

observable

inputs

are

not

available

(including

the

Valuation

Committee's

assumptions

used

in

determining

the

fair

value

of

financial

instruments).

The

hierarchy

gives

the

highest

priority

to

unadjusted

quoted

prices

in

active

markets

for

identical

assets

or

liabilities

(Level

1

measurements)

and

the

lowest

priority

to

unobservable

inputs

(Level

3

measurements).

Accordingly,

the

degree

of

judgment

exercised

in

determining

fair

value

is

greatest

for

instruments

categorized

in

Level

3.

The

inputs

used

to

measure

fair

value

may

fall

into

different

levels

of

the

fair

value

hierarchy.

In

such

cases,

for

disclosure

purposes,

the

fair

value

hierarchy

classification

is

determined

based

on

the

lowest

level

input

that

is

significant

to

the

fair

value

measurement

in

its

entirety.

Investments

classified

within

Level

3

have

significant

unobservable

inputs

used

by

the

Valuation

Committee

in

determining

the

price

for

Fair

Valued

Investments.

Level

3

investments

include

equity

or

debt

issued

by

privately

held

companies

or

funds.

There

may

not

be

a

secondary

market,

and/

or

there

are

a

limited

number

of

investors.

The

categorization

of

a

value

determined

for

financial

instruments

is

based

on

the

pricing

transparency

of

the

financial

instruments

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

financial

instruments,

refer

to

its

most

recent

financial

statements.

The

following

table

summarizes

the

Fund’s

financial

instruments

categorized

in

the

fair

value

hierarchy.

The

breakdown

of

the

Fund's

financial

instruments

into

major

categories

is

disclosed

in

the

Schedule

of

Investments

above.

Centrally

Cleared

Interest

Rate

Swaps

(continued)

Paid

by

the

Fund

Received

by

the

Fund

Rate

Frequency

Rate

Frequency

Termination

Date

Notional

Amount

(000)

Value

Upfront

Premium

Paid

(Received)

Unrealized

Appreciation

(Depreciation)

3.16%

Annual

1-day

SOFR

Annual

01/18/33

USD

350

$

2,021

$

—

$

2,021

1-day

SOFR

Annual

2.10%

Annual

03/21/33

USD

300

(28,005)

—

(28,005)

$

11,551

$

385

$

11,166

The

following

reference

rates,

and

their

values

as

of

period

end,

are

used

for

security

descriptions:

Reference

Index

Reference

Rate

1

-

day

SOFR

.........................................

Secured

Overnight

Financing

Rate

4.87

%

Level

1

Level

2

Level

3

Total

Assets

Investments

Long-Term

Investments

Non-Agency

Mortgage-Backed

Securities

........................

$

—

$

981,059

$

—

$

981,059

Other

Interests

..........................................

—

—

—

—

U.S.

Government

Sponsored

Agency

Securities

....................

—

31,211,519

—

31,211,519

U.S.

Treasury

Obligations

...................................

—

18,563,462

—

18,563,462

Short-Term

Securities

Money

Market

Funds

......................................

199,276

—

—

199,276

U.S.

Government

Sponsored

Agency

Securities

....................

—

5,986,199

—

5,986,199

U.S.

Treasury

Obligations

...................................

—

1,827,310

—

1,827,310

Liabilities

Investments

TBA

Sale

Commitments

....................................

—

(15,612,413)

—

(15,612,413)

$

199,276

$

42,957,136

$

—

$

43,156,412

Derivative

Financial

Instruments

(a)

Assets

Foreign

currency

exchange

contracts

............................

$

—

$

188

$

—

$

188

Interest

rate

contracts

.......................................

148,621

39,171

—

187,792

BlackRock

U.S.

Government

Bond

V.I.

Fund

7

Schedule

of

Investments

(unaudited)

(continued)

March

31,

2023

Level

1

Level

2

Level

3

Total

Liabilities

Foreign

currency

exchange

contracts

............................

$

—

$

(291)

$

—

$

(291)

Interest

rate

contracts

.......................................

(73,954)

(40,143)

—

(114,097)

$

74,667

$

(1,075)

$

—

$

73,592

(a)

Derivative

financial

instruments

are

swaps,

futures

contracts,

forward

foreign

currency

exchange

contracts

and

options

written.

Swaps,

futures

contracts

and

forward

foreign

currency

exchange

contracts

are

valued

at

the

unrealized

appreciation

(depreciation)

on

the

instrument

and

options

written

are

shown

at

value.

Currency

Abbreviation

CAD

Canadian

Dollar

USD

United

States

Dollar

Portfolio

Abbreviation

CSMC

Credit

Suisse

Mortgage

Capital

LIBOR

London

Interbank

Offered

Rate

OTC

Over-the-counter

SOFR

Secured

Overnight

Financing

Rate

TBA

To-be-announced

Fair

Value

Hierarchy

as

of

Period

End

(continued)