Merrill Lynch International Investment Funds Audited Annual Report ...

World Bond Fund continued
Open Forward Foreign Exchange Transactions
as at 31 December 2006
Purchases
Sales Value date
Unrealised
profit/(loss)
US$
A$97,106 US$75,711 10/1/2007 971
C$190,000 US$166,324 10/1/2007 (2,594)
CHF3,703,000 US$3,081,781 10/1/2007 (44,418)
DKr5,769,300 US$1,013,720 10/1/2007 6,900
€6,326,200 US$8,206,277 10/1/2007 135,873
£357,570 US$694,306 10/1/2007 7,673
HUF7,314,000 US$37,908 10/1/2007 427
¥473,663,000 US$4,059,469 10/1/2007 (70,179)
MXN815,000 US$75,185 10/1/2007 (110)
NOK319,000 US$52,016 10/1/2007 (990)
PLN269,000 US$93,431 10/1/2007 (967)
SKr8,392,000 US$1,227,685 10/1/2007 (3,509)
SGD96,000 US$62,356 10/1/2007 299
TWD4,223,000 US$131,149 10/1/2007 (1,469)
US$145,574 A$187,000 10/1/2007 (2,096)
US$311,737 C$353,582 10/1/2007 7,041
US$2,961,347 CHF3,660,000 10/1/2007 (40,744)
US$1,156,701 DKr6,520,713 10/1/2007 3,153
US$9,138,110 €6,922,160 10/1/2007 10,087
US$278,325 £145,500 10/1/2007 (7,319)
US$686,105 ¥79,166,573 10/1/2007 19,347
US$842,558 SKr5,950,000 10/1/2007 (25,393)
US$448,362 SGD697,000 10/1/2007 (6,545)
ZAR616,000 US$87,435 10/1/2007 632
¥29,691,149 €200,000 11/1/2007 (13,653)
¥61,615,000 US$523,864 11/1/2007 (4,876)
NOK1,646,796 €200,000 11/1/2007 (319)
SKr725,308 €80,000 11/1/2007 312
SGD490,000 US$313,262 11/1/2007 6,556
KRW361,114,451 US$395,525 12/1/2007 (6,988)
THB2,103,000 US$59,189 12/1/2007 93
US$58,094 THB2,103,000 12/1/2007
_______
(1,188)
Net unrealised loss
_______
(33,993)
Open Futures Contracts as at 31 December 2006
Number
Expiration Value
of Contracts
Contract/Description
date US$
(1) Eurex Euro-Bund March 2007 (153,098)
(8) Euro DTB BOBL March 2007 (1,147,799)
(5) US Treasury 2 Year Note March 2007 (1,020,000)
(36) US Treasury 5 Year Note March 2007 (3,781,125)
5 US Treasury 10 Year Note March 2007 537,188
1 US Treasury 30 Year Bond March 2007 111,250
15 Australian 90 Day Treasury Bill June 2007 2,664,200
(5) CME/IMM Euro Dollar June 2007 (1,184,563)
(12) MSE 3 Month Canadian Banker Acceptance June 2007
_________
(2,475,058)
Total commitment
_________
(6,449,005)
Note: The net unrealised profit of US$43,970 attributed to these transactions is included in the
Statement of Net Assets (see Note 2c).
Note: The net unrealised loss attributed to these transactions is included in the Statement of
Net Assets (see Note 2c).
Swaps as at 31 December 2006
Nominal
Value
Description
Unrealised
profit/(loss)
US$
Nominal
Value
Description
Unrealised
profit/(loss)
US$
€275,000 Credit Default Swaps (Citigroup)
(Fund receives Fixed 0.2675%;
and pays default protection on
Sanofi Aventis 4.25% 15/9/2010)
(20/3/2011) 2,102
€150,000 Credit Default Swaps (Citigroup)
(Fund pays Fixed 0.25%;
and receives default protection
on Akzo 4.25% 14/6/2011) (20/6/2011) (282)
€150,000 Credit Default Swaps (Citigroup)
(Fund pays Fixed 0.36%;
and receives default protection
on SCA Finans AB) (20/6/2011) (1,303)
€100,000 Credit Default Swaps (UBS)
(Fund receives Fixed 0.51%; and
pays default protection on Gutnir
Bank MF) (20/12/2011) 1,302
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)
¥8,000,000 Interest Rate Swaps (Citibank)
(Fund pays Floating JPY Fixing Libor 6-Month;
and receives Fixed 2.39%) (18/12/2036) (701)
¥24,000,000 Interest Rate Swaps (Citibank)
(Fund pays Fixed 1.51% and receives
JPY Fixing Libor 6-Month) (18/12/2013)
_______
660
_______
1,385
Note: The net unrealised profit attributed to these transactions is included in the Statement of Net Assets (see Note 2c).
198 Merrill Lynch International Investment Funds