Merrill Lynch International Investment Funds Audited Annual Report ...

Euro Bond Fund continued
Swaps as at 31 December 2006
Nominal
Value
Description
Unrealised
profit/(loss)
€
Nominal
Value
Description
Unrealised
profit/(loss)
€
£3,000,000 Interest Rate Swaps (Barclays Bank) (Fund pays
Fixed 4.18%; and receives Floating GBP Libor
3-Month) (22/11/2055) 107,385
£3,000,000 Interest Rate Swaps (Goldman Sachs) (Fund pays
Fixed 4.3325%; and receives Floating GBP Libor
6-Month) (5/4/2036) 176,925
€1,250,000 Credit Default Swaps (Citigroup) (Fund receives
Fixed 0.2675%; and pays default protection on
Sanofi Aventis 4.25% 15/9/2010) (20/3/2011) 7,243
PLN55,000,000 Interest Rate Swaps (Goldman Sachs)
(Fund pays Fixed 5.37%; and receives
Floating Wibor 6-Month) (18/9/2013) (304,305)
PLN94,300,000 Interest Rate Swaps (Goldman Sachs)
(Fund pays Fixed 5.285%; and receives
Floating Wibor 6-Month) (18/9/2010) 353,236
£4,000,000 Interest Rate Swaps (Barclays)
(Fund pays Floating UK Retail
Price Index All Items;
and receives Fixed 3.055%) (11/10/2036) 22,503
€8,100,000 Credit Default Swaps (Citibank) (Fund pays
Floating quarterly performance of iTraxx Europe
6 V1; and receives Fixed 0.30%) (20/12/2011) 23,427
€4,650,000 Credit Default Swaps (CitiBank)
(Fund pays Fixed 0.50%; and receives Floating
quarterly performance of iTraxx Europe 6 V1)
(20/12/2016) (25,842)
€8,100,000 Credit Default Swaps (UBS)
(Fund pays Floating quarterly
performance of iTraxx Europe 6 V1;
and receives Fixed 0.30%) (20/12/2011) 48,567
€4,600,000 Credit Default Swaps (UBS) (Fund pays Fixed 0.50%;
and receives Floating quarterly performance
of iTraxx Europe 6 V1) (20/12/2016) (56,086)
CZK80,000,000 Interest Rate Swaps (Deutsche Bank) (Fund pays
Fixed 3.867%; and receives Floating Pibor
6-Month) (12/9/2020) (11,430)
€1,350,000 Credit Default Swaps (Citigroup) (Fund pays Fixed
0.25%; and receives default protection on
Akzo 4.25% 14/6/2011) (20/6/2011) (1,925)
€1,350,000 Credit Default Swaps (Citigroup) (Fund pays Fixed
0.36%; and receives default protection on SCA
Finans AB) (20/6/2011) (8,899)
€900,000 Credit Default Swaps (UBS) (Fund pays Floating
quarterly coupon of Glitnir Banki hf. FRN, 27/1/2010;
and receives Fixed 0.51%) (20/12/2011) 8,893
£7,200,000 Interest Rate Swaps (Merrill Lynch Capital Markets
Bank) (Fund pays Fixed 5.09%; and receives
Floating GBP Libor 6-Month) (7/9/2011) (11,137)
£3,600,000 Interest Rate Swaps (Merrill Lynch Capital Markets
Bank) (Fund pays Fixed 4.47%; and receives
Floating GBP Libor 6-Month) (8/9/2036) (86,099)
US$26,475,000 Interest Rate Swaps (Goldman Sachs) (Fund pays
Floating US$ Libor BBA 3-Month; and receives
Fixed 5.205%) (24/10/2010) 62,708
€4,200,000 Credit Default Swaps (Citibank) (Fund buys default
protection on Mittal Steel Company N.V. 0%;
and receives Fixed 0.505%) (20/12/2011) (4,058)
€4,200,000 Credit Default Swaps (Citibank) (Fund sells default
protection on Clariant AG 4.25% 15/3/2008;
and pays Fixed 0.46%) (20/12/2011) (3,216)
PLN38,000,000 Interest Rate Swaps (UBS) (Fund receives
Floating WIBOR 6-Month; and receives
Fixed 4.922%) (24/10/2015)
_______
55,170
_______
353,060
Note: The net unrealised profit 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 83