Merrill Lynch International Investment Funds Audited Annual Report ...

Euro Corporate Bond Fund (1) 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 (€) %
€200,000 Goldman Sachs Group 4.75% 28/1/2014 204,370 0.89
€155,000 IntesaBci Capital Trust 6.988%
12/7/2011 (Perpetual) 170,168 0.74
€200,000 JPMorgan Chase & Co EMTN 4.375%
12/11/2019 198,366 0.87
€300,000 New York Life Global Funding GMTN
3.75% 19/10/2009 297,040 1.29
€100,000 Parker Hannifin 3.5% 11/11/2010 97,147 0.42
€50,000 Procter & Gamble 4.125% 7/12/2020 48,370 0.21
€250,000 SLM Student Loan Trust 2003-7 '03-7'
3.8% 17/6/2010 246,832 1.08
US$125,000 Teva Pharmaceutical Finance 6.15%
1/2/2036 92,412 0.40
Transferable Securities Admitted to an Official Stock Exchange
Listing or Dealt in on Another Regulated Market
Holding Description Value (€) %
€50,000 Unicredito Italiano Capital Trust III
4.028% 27/10/2015 (Perpetual) 46,642 0.20
€100,000 Zurich Finance USA EMTN 4.5%
17/9/2014
___________
100,717
______
0.44
___________
3,578,317
______
15.60
Total Portfolio 22,049,975 96.12
Other Net Assets
___________
889,537
______
3.88
Total Net Assets (€)
___________
22,939,512
______
100.00
Open Forward Foreign Exchange Transactions
as at 31 December 2006
Purchases
Sales Value date
Unrealised
profit/(loss)
€
US$100,000 €75,598 4/1/2007 251
€563,549 US$745,000 4/1/2007 (1,526)
€148,060 £100,000 4/1/2007
_______
(848)
Net unrealised loss
_______
(2,123)
Note: The net unrealised loss attributed to these transactions 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 €
15 Eurex Euro Bund March 2007 1,742,100
(25) Euro DTB BOBL March 2007 (2,721,000)
(1) Japanese Government Bond (TSE) March 2007 (855,712)
(24) US Treasury 10 Year Note March 2007 (1,955,928)
(4) US Treasury 30 Year Bond March 2007 (337,556)
6 LIFFE 3 Month EURIBOR June 2007
_________
1,439,175
Total commitment
_________
(2,688,921)
Note: The net unrealised profit of €20,949 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)
€
Nominal
Value
Description
Unrealised
profit/(loss)
€
£75,000 Interest Rate Swaps (UBS Warburg)
(Fund pays Floating GBP Libor 6-Month;
and receives Fixed 3.9775%) (17/1/2036) 10,797
€100,000 Credit Default Swaps (Citigroup) (Fund receives
Fixed 0.2675%; and pays default protection on
Sanofi Aventis 4.25% 15/9/2010) (20/3/2011) 579
€700,000 Credit Default Swaps (Citibank) (Fund pays Floating
quarterly performance of iTraxx Europe 6 V1;
and receives Fixed 0.30%) (20/12/2011) 2,025
€400,000 Credit Default Swaps (CitiBank) (Fund pays Fixed 0.50%;
and receives Floating quarterly performance
of iTraxx Europe 6 V1) (20/12/2016) (2,223)
€700,000 Credit Default Swaps (UBS)
(Fund pays Floating quarterly
performance of iTraxx Europe 6 V1;
and receives Fixed 0.30%) (20/12/2011) 2,109
€400,000 Credit Default Swaps (UBS) (Fund pays Fixed 0.50%;
and receives Floating quarterly performance of
iTraxx Europe 6 V1) (20/12/2016) (2,299)
€600,000 Credit Default Swaps (Citibank) (Fund buys default
protection on Mittal Steel Company N.V. 0%;
and receives Fixed 0.505%) (20/12/2011) (904)
€600,000 Credit Default Swaps (Citibank) (Fund sells default
protection on Clariant AG 4.25% 15/3/2008;
and pays Fixed 0.46%) (20/12/2011) 2,156
€1,250,000 Credit Default Swaps (UBS) (Fund pays Floating
quarterly performance of iTraxx Europe 6 V1;
and receives Fixed 0.30%) (20/12/2011) 3,766
€710,000 Credit Default Swaps (UBS) (Fund pays Fixed 0.50%;
and receives Floating quarterly performance of
iTraxx Europe 6 V1) (20/12/2016) (4,082)
€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) (214)
€150,000 Credit Default Swaps (Citigroup) (Fund pays Fixed 0.36%;
and receives default protection on SCA Finans AB)
(20/6/2011) (989)
€1,000,000 Credit Default Swaps (Citibank) (Fund Pays Fixed 0.40%;
and receives Floating quarterly performance of iTraxx
EUR.5.EU5) (20/6/2011) 7,592
€250,000 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) 2,470
€600,000 Credit Default Swaps (Citibank) (Fund buys default
protection on Pernod Ricard SA 4.625% 12/6/2013;
and receives Fixed 0.51%) (20/12/2011) (580)
€600,000 Credit Default Swaps (Citibank) (Fund sells default
protection on Imperial Tobacco Group PLC 6.25%
12/4/2018; and receives Fixed 0.38%) (20/12/2011) (459)
_______
19,744
_______
Note: The net unrealised profit attributed to these transactions is included in the Statement of Net Assets (see Note 2c).
86 Merrill Lynch International Investment Funds