Merrill Lynch International Investment Funds Audited Annual Report ...

Strategic Allocation Fund (US Dollar) continued
Swaps as at 31 December 2006
Nominal
Value
Description
Unrealised
profit/(loss)
US$
Nominal
Value
Description
Unrealised
profit/(loss)
US$
US$1,400,000 Interest Rate Swaps (Barclays)
(Fund pays Floating USD Libor BBA 3-Month;
and receives Fixed 5.089%) (10/11/2011) (393)
¥84,000,000 Interest Rate Swaps (Citibank)
(Fund pays Floating JPY Fixing Libor 6-Month;
and receives Fixed 2.39%) (18/12/2036) (636)
¥24,000,000 Interest Rate Swaps (Citibank)
(Fund pays Fixed 1.51% and receives
JPY Fixing Libor 6-Month) (18/12/2013) 78,482
_______
77,453
_______
Note: The net unrealised profit attributed to these transactions is included in the Statement of Net Assets (see Note 2c).
Call Options as at 31 December 2006
Par Value
Subject
to Call
US$
Issuer
Unrealised
profit
US$
Value
US$
9 S&P 100 Call Option
strike price US$660
expiring on 17/2/2007
___________
2,502
______
12,060
Total Call Options
___________
2,502
______
12,060
Note: Call Options are included in the Statement of Net Assets (see Note 2c).
Purchased Put Options as at 31 December 2006
Par Value
Subject
to Put
US$
Issuer
Unrealised
loss
US$
Value
US$
74 iShares Trust Russell Index Put Option
strike price $79
expiring on 17/2/2007 (6,623) 14,245
23 S&P 500 Put Option
strike price US$1,330
expiring on 19/1/2007
___________
(41,360)
______
4,169
Total Purchased Put Options
___________
(47,983)
______
18,414
Note: Purchased Put 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 165