COOK and stir carrots, celery and onions in hot oil in large saucepan on medium-high heat 5 min. Add broth and pepper; stir. Bring to boil.
STIR in broccoli and rice. Simmer on medium-low heat 10 to 15 min. or until vegetables are tender, stirring frequently.
ADD soup, in batches, to blender or food processor; cover. Blend until pureed. Return soup puree to saucepan. Add milk and cheese; cook until heated through, stirring occasionally.