Merrill Lynch International Investment Funds Audited Annual Report ...

US Government Mortgage Fund continued
Portfolio of Investments 31 December 2006
Transferable Securities Admitted to an Official Stock Exchange
Listing or Dealt in on Another Regulated Market
Holding Description Value (US$) %
Freddie Mac Non Gold Pool
US$24,122 7% 15/1/2028 24,938 0.02
US$8,152 7% 15/2/2028 8,428 0.01
US$19,601 7% 15/3/2028 20,264 0.02
US$79,919 7% 15/4/2028 82,622 0.08
US$4,672 7% 15/5/2028 4,830 0.01
US$185,208 7% 15/6/2028 191,471 0.18
US$16,481 7% 15/7/2028 17,038 0.01
US$28,706 7% 15/8/2028 29,677 0.03
US$14,556 7% 15/9/2028 15,049 0.02
US$45,320 7% 15/10/2028 46,853 0.04
US$12,134 7% 15/11/2028 12,545 0.01
US$1,238 7% 15/3/2029 1,280 0.00
US$10,184 7% 15/5/2029 10,531 0.01
US$5,765 7% 15/7/2029 5,961 0.01
US$2,083 7% 15/8/2029 2,154 0.00
US$4,330 7% 15/8/2029 4,478 0.00
US$4,910 7% 15/8/2029 5,077 0.01
US$28,444 7% 15/8/2029 29,413 0.03
US$34,589 7% 15/8/2029 35,767 0.04
US$219,615 7% 15/8/2029 227,097 0.23
Transferable Securities Admitted to an Official Stock Exchange
Listing or Dealt in on Another Regulated Market
Holding Description Value (US$) %
Freddie Mac Non Gold Pool
US$670,037 7% 15/11/2029 692,866 0.69
US$15,876 7.5% 15/5/2029 16,571 0.02
US$47,932 7.5% 15/8/2029 50,036 0.05
US$73,560 7.5% 15/8/2030 76,793 0.07
US$12,667 7.5% 15/1/2031 13,229 0.01
US$13,198 7.5% 15/2/2031 13,783 0.01
US$62,971 7.5% 15/6/2031 65,763 0.07
US$184,373 8% 15/2/2031 195,468 0.19
US$362,579 8% 15/3/2032 384,358 0.38
US$1,500,000 Government National Mortgage
Association 4.658% 16/3/2037 1,402,208 1.39
US Treasury Bond
US$2,900,000 4.5% 30/11/2011 2,876,664 2.86
US$140,000 4.625% 30/9/2008 139,486 0.14
US$700,000 4.875% 15/8/2016
___________
709,434
______
0.71
Total Portfolio 154,820,399 153.94
Other Net Liabilities
___________
(54,250,638)
______
(53.94)
Total Net Assets (US$)
___________
100,569,761
______
100.00
EUR Hedged Share Class
Open Forward Foreign Exchange Transactions
as at 31 December 2006
Purchases
Sales Value date
Unrealised
profit/(loss)
€
€10,303,000 US$13,760,120 15/3/2007 (101,856)
US$70,211 €53,000 15/3/2007
_______
91
Net unrealised loss (101,765)
_______
Open Futures Contracts as at 31 December 2006
Number
Expiration Value
of Contracts
Contract/Description
date US$
(23) US Treasury 10 Year Note March 2007 (2,474,656)
(157) US Treasury 5 Year Note March 2007 (16,504,625)
_________
Total commitment (18,979,281)
_________
Note: The net profit of $129,374 attributed to these transactions is included in the Statement of
Net Assets (see Note 2c).
Note: The US$ equivalent – US$134,148 of the net unrealised loss attributed to these transactions
is included in the Statement of Net Assets (see Note 2c). As at the 29 December 2006, the
exchange rate used to convert from € is the year-end exchange rate of: 1 US$ = 0.7586 €
(see Note 2e).
Swaps as at 31 December 2006
Nominal
Value
Description
Unrealised
profit/(loss)
US$
Nominal
Value
Description
Unrealised
profit/(loss)
US$
US$10,500,000
US$6,100,000
Interest Rate Swaps (Citibank)
(Fund receives Floating USD Libor BBA 3-Month;
and pays Fixed 5.234%) (24/10/2011) 34,451
Interest Rate Swaps (Citibank)
(Fund receives Floating USD Libor BBA 3-Month;
and pays Fixed 4.95%) (12/12/2011) (37,430)
US$18,300,000
Interest Rate Swaps (Citibank)
(Fund receives Floating USD Libor BBA 3-Month;
and pays Fixed 4.985%) (12/20/2011) (83,192)
_______
(86,171)
_______
Note: The net unrealised loss attributed to these transactions is included in the Statement of Net Assets (see Note 2c).
190 Merrill Lynch International Investment Funds