Merrill Lynch International Investment Funds Audited Annual Report ...

US Dollar Low Duration Bond Fund continued
Portfolio of Investments 31 December 2006
Unquoted Securities
Holding Description Value (US$) %
BONDS
United States
US$1,553,657 Asset Backed Funding Certificates
'2006-OPT2 A3A' FRN 25/10/2036 1,554,495 0.94
US$1,850,000 Capital Auto Receivables Asset Trust
'2006-SN1A A2A' 5.4% 20/1/2009 1,851,688 1.12
US$353,654 GSAA Trust '2006-8N N1' 6%
26/10/2036 351,989 0.21
US$1,772,236 Structured Asset Investment Loan
Trust '2005-10 A3' FRN
25/12/2035 1,773,616 1.08
Unquoted Securities
Holding Description Value (US$) %
US$1,025,748 Structured Asset Investment Loan
Trust '2005-HE3 A3' FRN
25/9/2035
___________
1,026,471
______
0.62
Total Unquoted Securities
___________
6,558,259
______
3.97
Total Portfolio 166,670,229 101.01
Other Net Liabilities
___________
(1,663,922)
______
(1.01)
Total Net Assets (US$)
___________
165,006,307
______
100.00
Swaps as at 31 December 2006
Nominal
Value
Description
Unrealised
profit/(loss)
US$
US$8,000,000
Interest Rate Swaps (UBS SW)
(Fund pays Floating USD LIBOR BBA 3-Months;
and receives Fixed 5.0125%) (10/10/2010) (26,944)
_______
Note: The net unrealised loss attributed to this transaction is included in the Statement of Net Assets (see Note 2c).
Open Futures Contracts as at 31 December 2006
Number
Expiration Value
of Contracts
Contract/Description
date US$
302 US Treasury 2 Year Note March 2007 61,641,027
(192) US Treasury 5 Year Note March 2007 (20,184,000)
(29) US Treasury 10 Year Note March 2007 (3,120,219)
(10) US Treasury 30 Year Bond March 2007 (1,115,313)
(86) CME/IMM Euro Dollar December 2007
__________
(20,440,050)
Total commitment
__________
16,781,445
Note: The net unrealised profit of US$12,250 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 183