Merrill Lynch International Investment Funds Audited Annual Report ...

Strategic Allocation Fund (Euro) continued
Swaps as at 31 December 2006
Nominal
Value
Description
Unrealised
profit/(loss)
€
Nominal
Value
Description
Unrealised
profit/(loss)
€
US$1,100,000 Interest Rate Swaps (Barclays) (Fund pays
Floating USD Libor BBA 3-Month; and
receives Fixed 5.089%) (10/11/2011) (234)
¥6,000,000 Interest Rate Swaps (Citibank) (Fund pays
Floating JPY Fixing Libor 6-Month; and
receives Fixed 2.39%) (18/12/2036) (362)
¥18,000,000 Interest Rate Swaps (Citibank) (Fund pays
Fixed 1.51% and receives JPY Fixing
Libor 6-Month) (18/12/2013) 44,650
_______
44,054
_______
Note: The net unrealised profit attributed to these transactions is included in the Statement of Net Assets (see Note 2c).
Sector Breakdown as at 31 December 2006
% of net
assets
Fixed interest 35.9
Finance 17.0
Information technology 7.2
Healthcare 7.1
Investment funds 5.7
Energy 5.5
Consumer staples 4.7
Consumer discretionary 4.5
Materials 4.1
Telecommunication services 4.0
Industrials 3.9
Other net assets
___________
0.4
___________
100.0
Open Futures Contracts as at 31 December 2006
Number
Expiration Value
of Contracts
Contract/Description
date €
29 SFE 3 Year Treasury Bond March 2007 1,632,466
(25) DJ Euro STOXX 50 March 2007 (1,039,500)
(2) Eurex Euro-Bund March 2007 (232,280)
(5) Euro DTB BOBL March 2007 (544,200)
9 LIFFE Long Gilt March 2007 1,449,248
(5) US Treasury 2 Year Note March 2007 (773,724)
(16) US Treasury 5 Year Note March 2007 (1,274,748)
(2) US Treasury 10 Year Note March 2007 (162,994)
7 US Treasury 30 Year Bond March 2007 590,723
12 Australian 90 Day Treasury Bill June 2007 1,616,784
(9) MSE 3 Month Canadian Banker Acceptance June 2007
_________
(1,408,143)
Total commitment
_________
(146,368)
Note: The net unrealised loss of €744 attributed to these transactions is included in the
Statement of Net Assets (see Note 2c).
Call Options as at 31 December 2006
Par Value
Subject
to Call
€
Issuer
Unrealised
profit
€
Value
€
7 S&P 100 Call Option
strike price US$660
expiring on 17/2/2007
___________
1,376
______
7,115
Total Call Options
___________
1,376
______
7,115
Open Forward Foreign Exchange Transactions
as at 31 December 2006
Purchases
Sales Value date
Unrealised
profit/(loss)
€
C$50,000 US$44,317 10/1/2007 (932)
CHF2,231,000 €1,403,974 10/1/2007 (16,243)
CZK13,584,000 €479,308 10/1/2007 14,689
€84,457 A$142,000 10/1/2007 (576)
€429,232 C$638,274 10/1/2007 12,136
€474,120 CZK13,224,000 10/1/2007 (6,785)
€609,845 DKr4,546,752 10/1/2007 (103)
€858,583 £581,000 10/1/2007 (6,379)
€2,228,578 ¥343,680,510 10/1/2007 33,582
€285,065 SGD568,000 10/1/2007 3,947
€5,371,092 US$7,031,338 10/1/2007 39,225
£105,000 US$200,131 10/1/2007 4,559
¥71,040,000 US$607,131 10/1/2007 (6,674)
SKr4,436,000 €488,723 10/1/2007 1,983
US$34,537 A$45,000 10/1/2007 (758)
US$1,800,273 CHF2,225,000 10/1/2007 (18,851)
US$2,770,100 €2,117,523 10/1/2007 (16,954)
US$463,761 SKr3,275,000 10/1/2007 (10,607)
€35,000 ¥5,332,218 11/1/2007 942
¥23,010,639 €155,000 11/1/2007 (8,028)
¥23,730,000 US$201,959 11/1/2007 (1,573)
NOK1,320,548 €160,000 11/1/2007 179
SGD315,000 US$200,762 11/1/2007
_______
3,670
Net unrealised profit
_______
20,449
Note: The net unrealised profit attributed to these transactions is included in the Statement of
Net Assets (see Note 2c).
Purchased Put Options as at 31 December 2006
Par Value
Subject
to Put
€
Issuer
Unrealised
loss
€
Value
€
58 iShares Trust Russell Index Put Option
strike price US$79
expiring on 17/2/2007 (4,173) 8,469
19 S&P 500 Put Option
strike price US$1330
expiring on 19/1/2007
___________
(26,797)
______
2,612
Total Purchased Put Options
___________
(29,588)
______
11,082
Note: Purchased Put Options are included in the Statement of Net Assets (see Note 2c).
Note: Call Options are included in the Statement of Net Assets (see Note 2c).
The notes on pages 213 to 219 form an integral part of these financial statements.
Audited Annual Report and Accounts 161