Merrill Lynch International Investment Funds Audited Annual Report ...

US Dollar Core Bond Fund continued
Swaps as at 31 December 2006
Nominal
Value
Description
Unrealised
profit/(loss)
US$
Nominal
Value
Description
Unrealised
profit/(loss)
US$
US$13,100,000
US$18,000,000
US$900,000
Floating Total Return Swaps (Lehman Brothers)
(Fund pays Floating US$ Libor BBA 1-Month -0.13%;
an Index Floating Amount is calculated as follow:
((100 + Total Return of Lehman US Treasury Index
taken on first calendar day of each Month) - 1) *
Notional Value. If such value is positive Fund will
receive cash. If such value is negative Fund will pay
such value in addition of its Floating Amount)
(1/12/2006) (106,975)
Floating Total Return Swaps (UBS) (Fund pays
Floating US$ Libor 1-Month -0.06%; an Index
Floating Amount is calculated as follow:
((100 + since inception Total Return of Lehman
MBS Fixed Rate Index taken at the beginning
of each month) - 1) * Notional Value. If such value
is positive Fund will receive cash. If such value
is negative Fund will pay such value in addition
of its Floating Amount) (1/1/2007) (50,490)
Floating Total Return Swaps (Lehman Brothers)
(Fund pays Floating US$ Libor BBA 1-Month -0.13%;
an Index Floating Amount is calculated as follow:
((100 + Total Return of Lehman US Treasury Index
taken on first calendar day of each Month) - 1) *
Notional Value. If such value is positive Fund
will receive cash. If such value is negative
Fund will pay such value in addition of its
Floating Amount) (3/1/2007) –
US$6,800,000
US$13,400,000
US$2,900,000
US$4,000,000
US$10,000,000
US$10,500,000
US$475,000
US$600,000
Interest Rate Swaps (Lehman)
(Fund pays USD Libor BBA 3-Month;
and receives Fixed 5.215%) (20/10/2010) 27,486
Interest Rate Swaps (Morgan Stanley)
(Fund pays USD Libor BBA 3-Month;
and receives Fixed 5.229%) (24/10/2011) 74,852
Interest Rate Swaps (Citibank)
(Fund pays USD Libor BBA 3-Month;
and receives Fixed 5.2725%) (25/10/2009) 11,980
Interest Rate Swaps (Morgan Stanley)
(Fund pays USD Libor BBA 3-Month;
and receives Fixed 5.035%) (2/11/2011) (11,364)
Interest Rate Swaps (JP Morgan Chase)
(Fund pays USD Libor BBA 3-Month;
and receives Fixed 4.897%) (12/12/2011) (84,540)
Interest Rate Swaps (Citibank)
(Fund pays USD Libor BBA 3-Month;
and receives Fixed 4.946%) (12/12/2011) (66,266)
Credit Default Swaps (Morgan Stanley)
(Fund pays default protection on Comcast
Cable Communications 6.75% 30/1/2011;
and receives Fixed 1.15%) (20/9/2008) 20,825
Total Return Swaps (Morgan Stanley)
(Fund pays on TIP 15/1/2011; variable
notional amount, Fixed interest rate 3.5%;
and receives Fixed 4.17%) (15/1/2011)
_______
–
(184,492)
_______
Note: The net unrealised loss attributed to these transactions is included in the Statement of Net Assets (see Note 2c).
Open Futures Contracts as at 31 December 2006
Number
Expiration Value
of Contracts
Contract/Description
date US$
(419) US Treasury 5 Year Note March 2007 (44,047,375)
109 US Treasury 10 Year Note March 2007 11,727,719
15 US Treasury 30 Year Bond March 2007 1,672,969
(104) CME/IMM Euro Dollar June 2007 (24,642,800)
(171) CME/IMM Euro Dollar September 2007 (40,584,713)
_________
Total commitment (95,874,200)
_________
Note: The net unrealised profit of US$287,860 attributed to these transactions is 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 175