Merrill Lynch International Investment Funds Audited Annual Report ...

World Income 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$) %
US$435,000 Packaging Dynamics Finance '144A'
10% 1/5/2016 437,175 0.14
US$1,700,000 Peco Energy Transition Trust
'2001-A A1' 6.52% 31/12/2010 1,775,660 0.58
US$250,000 Ply Gem Industries 9% 15/2/2012 213,750 0.07
US$200,000 Pogo Producing 7.875% 1/5/2013 204,500 0.07
US$500,000 Qwest 7.5% 1/10/2014 532,500 0.17
US$275,000 RathGibson 11.25% 15/2/2014 292,875 0.09
US$600,000 Reliant Energy 9.5% 15/7/2013 646,500 0.21
US$1,882,143 Residential Asset Mortgage Products
'2006-RZ2 A1' FRN 25/5/2036 1,883,562 0.61
US$250,000 RH Donnelley 'A-1' 6.875% 15/1/2013 240,937 0.08
US$250,000 RH Donnelley 'A-2' 6.875% 15/1/2013 240,937 0.08
US$250,000 San Pasqual Casino '144A' 8%
15/9/2013 258,125 0.08
US$2,550,000 SLM Student Loan Trust '2005-1 A2'
FRN 27/4/2020 2,542,541 0.82
US$250,000 Stanley-Martin Communities 9.75%
15/8/2015 223,750 0.07
US$500,000 Station Casinos 6.625% 15/3/2018 431,250 0.14
US$825,000 Station Casinos 7.75% 15/8/2016 830,156 0.27
US$550,000 Superior Essex Communications 9%
15/4/2012 574,750 0.19
US$180,000 Telcordia Technologies '144A' 10%
15/3/2013 159,300 0.05
US$250,000 Turning Stone Resort Casino
Enterprise '144A' 9.125%
15/9/2014 256,875 0.08
Transferable Securities Admitted to an Official Stock Exchange
Listing or Dealt in on Another Regulated Market
Holding Description Value (US$) %
US$3,000,000 US Treasury Bill 0% 18/1/2007 2,992,075 0.97
US$3,505,000 US Treasury Bond 4.5% 30/11/2011 3,473,510 1.13
US$1,899,000 US Treasury Bond 4.5% 15/2/2036 1,806,721 0.59
US$800,000 US Treasury Bond 4.625%
15/11/2016 794,437 0.26
US$2,235,673 US Treasury Inflation Indexed Bonds
2% 15/1/2026 2,096,380 0.68
US$1,319,710 US Treasury Inflation Indexed Bonds
2.5% 15/7/2016 1,328,748 0.43
US$1,718,325 Wells Fargo Home Equity Trust
'2006-2 A1' FRN 25/7/2036
___________
1,719,279
______
0.56
___________
68,953,750
______
22.35
Uruguay
US$1,815,000 Republic of Uruguay 9.25%
17/5/2017
___________
2,223,375
______
0.72
Venezuela
US$1,020,000 Venezuela Government International
Bond 7.65% 21/4/2025
___________
1,112,820
______
0.36
Total Portfolio 261,844,654 84.89
Other Net Assets
___________
46,618,733
______
15.11
Total Net Assets (US$)
___________
308,463,387
______
100.00
Swaps as at 31 December 2006
Nominal
Value
Description
Unrealised
profit/(loss)
US$
Nominal
Value
Description
Unrealised
profit/(loss)
US$
US$2,500,000 Interest Rate Swaps (Citigroup)
(Fund pays default protection on
Republic of Indonesia 6.75% 10/3/2014;
and receives Fixed 1.63%) (20/3//2011) 61,440
US$1,000,000 Credit Default Swaps (Morgan Stanley)
(Fund receives Fixed 0.78%; and pays default
protection on United Mexican States
7.50% 8/4/2033) (20/6/2011) 16,228
¥94,000,000 Interest Rate Swaps (Citibank)
(Fund pays Floating JPY Fixing Libor 6-Month;
and receives Fixed 2.39%) (18/12/2036) (8,248)
¥292,000,000 Interest Rate Swaps (Citibank)
(Fund pays Fixed 1.51% and receives JPY
Fixing Libor 6-Month) (18/12/2013) (9,625)
US$1,000,000 Credit Default Swaps (Citibank)
(Fund receives Fixed 0.46%; and pays
default protection on United Mexican
States 7.50% 8/4/2033) (20/10/2011)
_______
2,769
_______
62,564
Note: The net unrealised profit attributed to these transactions is included in the Statement of Net Assets (see Note 2c).
Call Options Purchased as at 31 December 2006
Par Value
Subject
to Call
US$
Issuer
Unrealised
loss
US$
Value
US$
29,525,165 OTC USD/KRW Call Option
strike price $1,000
expiring on 20/3/2007
___________
(10)
_________
56,088
Total Call Options
___________
(10)
_________
56,088
Note: Call Options are included in the Statement of Net Assets (see Note 2c).
Put Options Purchased as at 31 December 2006
Par Value
Subject
to Put
US$
Issuer
Unrealised
profit/(loss)
US$
Value
US$
83,600 OTC EUR/JPY Put Option
strike price €148
expiring on 7/2/2007 (86,281) 220
50,300 OTC USD/TRY Put Option
strike price US$1.44
expiring on 7/2/2007
___________
23,138
_________
78,217
Total Purchased Put Options
___________
(63,143)
_________
78,437
Note: Purchased Put Options are included in the Statement of Net Assets (see Note 2c).
208 Merrill Lynch International Investment Funds