Merrill Lynch International Investment Funds Audited Annual Report ...

US Basic Value Fund continued
Written Call Options as at 31 December 2006
Par Value
Subject
to Call
US$
Issuer
Unrealised
profit/(loss)
US$
Value
US$
(2,400) Baxter International Call Option
strike price US$50
expiring on 19/5/2007 25,943 (270,000)
(3,649) Comcast Call Option
strike price US$40
expiring on 20/1/2007 (639,392) (1,112,945)
(1,000) Deere Call Option
strike price US$95
expiring on 16/6/2007 (254,047) (790,000)
(2,700) Gap Call Option
strike price US$22.50
expiring on 17/3/2007 138,861 (87,750)
Par Value
Subject
to Call
US$
Issuer
Unrealised
profit/(loss)
US$
Value
US$
(1,100) Hartford Financial Services Call Option
strike price US$95
expiring on 17/3/2007 (47,009) (277,750)
(1,000) International Business Machines Call Option
strike price US$90
expiring on 20/1/2007 (553,298) (795,000)
(751) Northrop Grumann Call Option
strike price US$70
expiring on 17/2/2007 2,566 (69,468)
(3,500) Wells Fargo Call Option
strike price US$35
expiring on 20/1/2007
___________
247,905
_________
(385,000)
Total Written Call Options
___________
(1,078,470) (3,787,913)
_________
Note: Written Call Options are included in the Statement of Net Assets (see Note 2c).
Purchased Put Options as at 31 December 2006
Par Value
Subject
to Put
US$
Issuer
Unrealised
loss
US$
Value
US$
2,400 Baxter International Put Option
strike price US$45
expiring on 20/1/2007 (221,619) 78,000
1,000 Deere Put Option
strike price US$85
expiring on 17/3/2007 (276,970) 95,000
Par Value
Subject
to Put
US$
Issuer
Unrealised
loss
US$
Value
US$
2,700 Gap Put Option
strike price US$20
expiring on 20/1/2007 (37,987) 195,750
1,000 International Business Machines
strike price US$85
expiring on 20/1/2007
___________
(185,590)
_________
7,500
Total Purchased Put Options
___________
(722,166)
_________
376,250
Note: Purchased Put Options are included in the Statement of Net Assets (see Note 2c).
Sector Breakdown as at 31 December 2006
% of net
assets
Finance 26.1
Information technology 13.0
Consumer discretionary 11.3
Industrials 10.8
Energy 10.5
Consumer staples 8.4
Healthcare 8.3
Telecommunication services 4.9
Materials 3.3
Utilities 1.7
Other net assets
___________
1.7
___________
100.0
EUR Hedged Share Class
Open Forward Foreign Exchange Transactions
as at 31 December 2006
Unrealised
loss
Purchases
Sales Value date
€
€81,381,000 US$108,499,717 15/3/2007 (662,174)
US$2,725,846 €2,062,000 15/3/2007
_______
(823)
Net unrealised loss (662,997)
_______
Note: The US$ equivalent – US$873,974 of the net unrealised loss attributed to these transactions
is included in the Statement of Net Assets (see Note 2c). As at the 29 December 2006, the
exchange rate used to convert from € is the year-end exchange rate of: 1 US$ = 0.7586 €
(see Note 2e).
The notes on pages 213 to 219 form an integral part of these financial statements.
Audited Annual Report and Accounts 169