Merrill Lynch International Investment Funds Audited Annual Report ...

Global Allocation Fund continued
Swaps as at 31 December 2006
Nominal
Value
Description
Unrealised
profit/(loss)
US$
Nominal
Value
Description
Unrealised
profit/(loss)
US$
US$1,030,000
US$1,300,000
US$1,300,000
Credit Default Swaps (CSFB) (Fund pays
Fixed 1.12%; and receives default protection
on United Mexican States 7.5% 8/4/2033)
(20/5/2010) 25,755
Credit Default Swaps (JPMorganChase) (Fund
pays Fixed 0.53%; and receives default protection
on J.C. Penney Company Inc. 8% 1/3/2010)
(20/9/2011) 1,208
Credit Default Swaps (JPMorganChase) (Fund
pays Fixed 0.48%; and receives default protection
on Whirlpool Corporation 7.75% 15/7/2016)
(20/9/2011) 4,623
US$1,300,000 Credit Default Swaps (JPMorganChase) (Fund
pays Fixed 0.16%; and receives default protection
on McDonalds Corporation 6% 15/4/2011)
(20/9/2011) 1,586
US$4,000,000 Credit Default Swaps (JPMorganChase)
(Fund pays Fixed 0.25%; and receives default
protection on Carnival Corporation 6.65% 15/1/2028)
(20/9/2011) 15,700
€2,100,000 Credit Default Swaps (JPMorganChase) (Fund pays
Fixed 0.53%; and receives default protection on
Daimler Chrysler 7.2% 1/9/2009) (20/6/2011)
_______
5,502
_______
54,374
Note: The net unrealised profit attributed to these transactions is included in the Statement of Net Assets (see Note 2c).
GBP Hedged Share Class
Open Forward Foreign Exchange Transactions
as at 31 December 2006
Purchases
Sales Value date
Unrealised
loss
£
£12,676,000 US$24,924,753 15/3/2007 (15,457)
US$987,347 £503,000 15/3/2007
_______
(252)
Net unrealised loss
_______
(15,709)
Note: The US$ equivalent – US$30,838 of the net unrealised loss attributed to these transactions
is included in the Statement of Net Assets (see Note 2c). As at the 29 December 2006, the
exchange rate used to convert from GBP is the year-end exchange rate of: 1 US$ = 0.5094 GBP
(see Note 2e).
EUR Hedged Share Class
Open Forward Foreign Exchange Transactions
as at 31 December 2006
Unrealised
profit/(loss)
Purchases
Sales Value date
€
€620,448,000 US$827,812,630 15/3/2007 (5,511,012)
US$14,508,074 €10,899,000 15/3/2007
________
71,429
Net unrealised loss (5,439,583)
________
Note: The US$ equivalent – US$7,170,555 of the net unrealised loss attributed to these
transactions is included in the Statement of Net Assets (see Note 2c). As at the 29 December 2006,
the exchange rate used to convert from € is the year-end exchange rate of: 1 US$ = 0.7586 €
(see Note 2e).
110 Merrill Lynch International Investment Funds