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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07651
ING Variable Portfolios, Inc.
(Exact name of registrant as specified in charter)
7337 E. Doubletree Ranch Rd., Scottsdale, AZ |
| 85258 |
(Address of principal executive offices) |
| (Zip code) |
The Corporation Trust Incorporated, 300 E. Lombard Street, Baltimore, MD 21201
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-992-0180
Date of fiscal year end: | December 31 |
|
|
Date of reporting period: | January 1, 2012 to December 31, 2012 |
ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1):
Annual Report
December 31, 2012
Classes ADV, I, S and S2
ING Variable Product Funds
n ING Balanced Portfolio
n ING BlackRock Science and Technology Opportunities Portfolio
n ING Growth and Income Portfolio
n ING Intermediate Bond Portfolio
n ING Money Market Portfolio
n ING Small Company Portfolio
E-Delivery Sign-up – details inside
This report is submitted for general information to shareholders of the ING Funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the funds' investment objectives, risks, charges, expenses and other information. This information should be read carefully.
MUTUAL FUNDS
TABLE OF CONTENTS
President's Letter | 1 | ||||||
Market Perspective | 2 | ||||||
Portfolio Managers' Reports | 4 | ||||||
Shareholder Expense Examples | 15 | ||||||
Report of Independent Registered Public Accounting Firm | 17 | ||||||
Statements of Assets and Liabilities | 18 | ||||||
Statements of Operations | 21 | ||||||
Statements of Changes in Net Assets | 23 | ||||||
Financial Highlights | 26 | ||||||
Notes to Financial Statements | 29 | ||||||
Summary Portfolios of Investments | 49 | ||||||
Tax Information | 95 | ||||||
Director/Trustee and Officer Information | 96 | ||||||
Advisory Contract Approval Discussion | 101 |
PROXY VOTING INFORMATION
A description of the policies and procedures that the Portfolios use to determine how to vote proxies related to portfolio securities is available: (1) without charge, upon request, by calling Shareholder Services toll-free at (800) 992-0180; (2) on the ING Funds' website at www.inginvestment.com; and (3) on the U.S. Securities and Exchange Commission's ("SEC's") website at www.sec.gov. Information regarding how the Portfolios voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is available without charge on the ING Funds' website at www.inginvestment.com and on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS
The Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. This report contains a summary portfolio of investments for certain Portfolios. The Portfolios' Forms N-Q are available on the SEC's website at www.sec.gov. The Portfolios' Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC, and information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The Portfolios' Forms N-Q, as well as a complete portfolio of investments, are available without charge upon request from the Portfolios by calling Shareholder Services toll-free at (800) 992-0180.
PRESIDENT'S LETTER
Looking forward
Dear Shareholder,
Normally I end my letters by exhorting clients to keep their portfolios focused on long-term goals and well diversified in terms of assets and geography, and to discuss thoroughly any proposed investment changes with their financial advisors before taking action. This month, the reminders are up front to emphasize their importance as we conclude an eventful year and take a look forward.
A central theme over the past few years has been the impact government and central bank policymaking has had on economic and market outcomes. Private-sector forces, which tend to restore equilibrium in normal times, have not done enough to allow policymakers to scale back their involvement. An important reason for this is that the framework within which private-sector decisions are made requires substantial overhaul; economic and monetary ties in the euro zone need to be strengthened, the U.S. must make some difficult fiscal decisions and the success of a number of economies depends on the introduction of structural reforms.
Since the world economy is still sluggish, supportive public policies will remain critical in 2013 and beyond. However, what might we anticipate over the long term? For insight into this question, I turned to a recent report published by the National Intelligence Council — a U.S. government agency that serves as a bridge between the U.S. intelligence and policy communities — entitled "Global Trends 2030: Alternative Worlds." The report identifies four "megatrends" that the Council considers likely to emerge over the next 20 years or so. Among these are two that potentially carry implications for future investment themes. Individual empowerment will accelerate owing to growth of the global middle class, says the Council, potentially leading to a virtuous cycle of global economic expansion and creating dynamic markets for new products and technologies. Meanwhile, emerging nations will wield greater regional influence, and the health of the global economy increasingly will be linked to how well the developing world fares. This suggests that a portfolio of securities that provide exposure to developed and emerging market economies — such as ING Funds seeks to provide — may offer attractive potential for some time to come.
It's important to remember that these are projections and subject to change, but they point to the value of keeping one's portfolio well diversified to meet the challenges and take advantage of the opportunities that lie ahead.
All of us at ING Funds extend our best wishes for a happy and prosperous new year. We appreciate your continued confidence in us, and we look forward to serving your investment needs in the future.
Sincerely,
Shaun Mathews
President and Chief Executive Officer
ING Funds
January 4, 2013
The views expressed in the President's Letter reflect those of the President as of the date of the letter. Any such views are subject to change at any time based upon market or other conditions and ING Funds disclaims any responsibility to update such views. These views may not be relied on as investment advice and because investment decisions for an ING Fund are based on numerous factors, may not be relied on as an indication of investment intent on behalf of any ING Fund. Reference to specific company securities should not be construed as recommendations or investment advice.
International investing poses special risks including currency fluctuation, economic and political risks not found in investments that are solely domestic.
1
MARKET PERSPECTIVE: YEAR ENDED DECEMBER 31, 2012
In the early part of our fiscal year, global equities in the form of the MSCI World IndexSM measured in local currencies including net reinvested dividends, enjoyed the best first quarter rally since 1998. But in the two months from early April the MSCI World IndexSM slumped 11% as, for the third consecutive year, the basis of earlier optimism was undermined by events. The recovery from there was dramatic and the MSCI World IndexSM ended up 15.71% for the whole year, despite slow, patchy improvement in economic data, and investors' frustration at the futile efforts of global leaders to resolve key problems. It came because central banks, by their actions, made risky assets much more attractive. (The MSCI World IndexSM returned 15.83% for the one year ended December 31, 2012, measured in U.S. dollars.)
Much of the early upbeat sentiment rested on a sharp improvement in the employment situation, probably the most important driver of economic activity. But the improvement faded fast: the three-month average of 245,000 new jobs reported in March slumped to only 94,000 in September, before rebounding less than one third of the way to 139,000 by December. The unemployment rate was still uncomfortably high at 7.7%.
By December, other economic data, from average hourly earnings growth to consumer confidence to retail sales were mostly inconclusive. Final third quarter gross domestic product ("GDP") growth was revised up to 3.1%, but it didn't feel like it and the next few quarters were expected to show growth at about half of this level.
The housing market however, seemed clearly to be on the mend. The final S&P/Case-Shiller 20-City Composite Home Price Index showed a 4.3% year-over-year gain, while new home sales in November were the highest since April 2010.
Also in the relative doldrums was China, responsible for much of global GDP growth in recent years. GDP increased by 7.4% in the third quarter of 2012 over the same quarter in 2011, the lowest rise in three years.
And yet despite the shortage of good news, the MSCI World IndexSM ended December 16% above the low point in early June. How could this be? One reason was a growing sense that the euro zone's enduring sovereign debt crisis might at last be approaching the end-game. Another was a third round of quantitative easing launched by the Federal Reserve.
In the euro zone, amid ongoing protests against fiscal austerity, a €100 billion recapitalization bailout for Spain's shaky banks was tortuously agreed upon in June. Attention returned to Greece in July where the continuation of the country's bailout rested on the outcome of an examination by creditors of its parlous fiscal state. With prospects for the euro looking increasingly tenuous, European Central Bank ("ECB") President Draghi came out on July 26 with a statement unprecedented in its explicitness, that the ECB was "ready to do whatever it takes to preserve the euro." Under certain conditions, the ECB would buy without limitation the 1-3 year bonds of a country in difficulties.
In September, Federal Reserve Chairman Bernanke announced a third round of quantitative easing: an additional $40 billion of agency mortgage-backed securities would be purchased monthly. Then in December, "Operation Twist" was replaced by $45 billion in monthly Treasury purchases. Exceptionally low policy interest rates would remain at least until the unemployment rate fell to 6.5%.
So the year ended with central bankers sounding increasingly determined to underpin the euro and the prices of risky assets. This was enough to drive those prices higher despite dark political clouds. In Europe, inter-governmental squabbling dangerously held back agreement on Greece's next bailout tranche until November 27. In the U.S., the newly-elected Congress looked rather like the old one, and an ominous year-end cocktail of deflationary tax increases and spending cuts was forestalled by an eleventh-hour agreement on tax increases alone which postponed an even bigger conflict on spending and the debt ceiling until March.
In U.S. fixed income markets the Barclays Capital U.S. Aggregate Bond Index ("BCAB") of investment grade bonds rose 4.22% in 2012. The Barclays Capital U.S. Treasury Index, a sub-index of the BCAB, returned only 1.99% as risk appetite recovered. By contrast the Barclays Capital U.S. Corporate Investment Grade Bond Index, also a sub-index of the BCAB, rose 9.82%, while the Barclays Capital High-Yield Bond — 2% Issuer Constrained Composite Index (not part of the BCAB index) gained 15.78%.
U.S. equities, represented by the S&P 500® Index including dividends, advanced 16.00% in the fiscal year. By sector, financials led the way with a return of 28.82%, followed by consumer discretionary with a return of 23.92%. No sector incurred a loss, but defensive utilities' slim 1.29% gain reflected improved risk appetite. Operating earnings per share for S&P 500® companies set a new record in the second quarter of 2012, and barely slipped in the third.
In currency markets, the dollar fell 1.76% against the euro, which rebounded after Draghi's July pronouncements, and 4.38% against the pound, which moved in sympathy with the euro, reflecting close trade ties. But the dollar gained 12.79% over the yen in 2012, as Japan's parliamentary opposition won a landslide in December elections and promised unlimited monetary easing.
In international markets, the MSCI Japan® Index soared 21.57%, due mainly to the monetary stimulus referred to above. This was despite the effect on Japan's export focused economy of the euro zone crisis, the slowdown in China and a return to recession. The MSCI Europe ex UK® Index rose 18.78% due to central bank initiatives, in the face of economic news that was unremittingly bad, also including a return to recession and record unemployment at 11.7%. The MSCI UK® Index added 10.19%, boosted by financials but held back by large, lagging energy and materials. The U.K. GDP grew 1% in the third quarter, but this was largely due to one-time statistical anomalies.
Parentheses denote a negative number.
All indices are unmanaged and investors cannot invest directly in an index. Past performance does not guarantee future results. The performance quoted represents past performance. Investment return and principal value of an investment will fluctuate, and shares, when redeemed, may be worth more or less than their original cost. The Portfolios' performance is subject to change since the period's end and may be lower or higher than the performance data shown. Please call (800) 992-0180 or log on to www.inginvestment.com to obtain performance data current to the most recent month end.
Market Perspective reflects the views of ING's Chief Investment Risk Officer only through the end of the period, and is subject to change based on market and other conditions.
2
BENCHMARK DESCRIPTIONS
Index | Description | ||||||
Barclays Capital High Yield Bond — 2% Issuer Constrained Composite Index | An unmanaged index that includes all fixed-income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and at least one year to maturity. | ||||||
Barclays Capital U.S. Aggregate Bond Index | An unmanaged index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities. | ||||||
Barclays Capital U.S. Corporate Investment Grade Bond Index | An unmanaged index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. | ||||||
Barclays Capital U.S. Treasury Index | An unmanaged index that includes public obligations of the U.S. Treasury. Treasury bills, certain special issues, such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS and STRIPS, are excluded. | ||||||
MSCI EAFE® Index | An unmanaged index that measures the performance of securities listed on exchanges in Europe, Australasia and the Far East. It includes the reinvestment of dividends net of withholding taxes, but does not reflect fees, brokerage commissions or other expenses of investing. | ||||||
MSCI Europe ex UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK. | ||||||
MSCI Japan® Index | A free float-adjusted market capitalization index that is designed to measuredeveloped market equity performance in Japan. | ||||||
MSCI UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. | ||||||
MSCI World IndexSM | An unmanaged index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East. | ||||||
NYSE Arca Tech 100 Index | A multi-industry technology index measuring the performance of companies using technology innovation across a broad spectrum of industries. It is comprised of 100 listed and over-the-counter stocks from 14 different subsectors including computer hardware, software, semiconductors, telecommunications, data storage and processing, electronics and biotechnology. | ||||||
Russell 2000® Index | An unmanaged index that measures the performance of securities of small U.S. companies. iMoneyNet First Tier Retail Index An unmanaged index that includes the most broadly based money market funds. | ||||||
Russell 3000® Index | An unmanaged index that measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market. | ||||||
S&P 500® Index | An unmanaged index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. | ||||||
S&P/Case-Shiller 20-City Composite Home Price Index | A composite index of the home price index for the top 20 Metropolitan Statistical Areas in the United States. The index is published monthly by Standard & Poor's. | ||||||
S&P Target Risk Growth Index | Seeks to provide increased exposure to equities, while also using some fixed-income exposure to dampen risk. |
3
ING BALANCED PORTFOLIO
PORTFOLIO MANAGERS' REPORT
ING Balanced Portfolio (the "Portfolio") seeks total return consisting of capital appreciation (both realized and unrealized) and current income; the secondary investment objective is long-term capital appreciation. The Portfolio is managed by Christopher F. Corapi, Christine Hurtsellers, CFA, Heather Hackett, CFA, and Paul Zemsky, CFA, Portfolio Managers, of ING Investment Management Co. LLC — the Sub-Adviser.
Performance: For the year ended December 31, 2012, the Portfolio's Class I shares provided a total return of 13.64% compared to the S&P Target Risk Growth Index, Barclays Capital U.S. Aggregate Bond Index, MSCI EAFE® Index and Russell 3000® Index, which returned 11.72%, 4.21%, 17.32% and 16.42%, respectively, for the same period.
Portfolio Specifics: Performance of our tactical asset allocation strategies was additive over the year. During May, we initiated an overweight to large-cap core, with a corresponding underweight to emerging markets, which we held until the middle of September. Over this time, domestic equity outperformed international equity and, therefore, this position was additive to performance. Toward the end of the year, we initiated a large-cap value overweight with a large-cap growth underweight, which was slightly beneficial. Certain valuation metrics supported this position. Specifically, growth stocks outperformed for four years in a period of slow growth and deleveraging in the United States.
We believe private sector deleveraging to be complete and anticipate a continued U.S. cyclical recovery, which would aid value stocks. We also believe value's overweight to financials to be supported by continued quantitative easing from the U.S. Federal Reserve (the "Fed"), strength in recovering U.S. housing and expectations of gradual improvement in European financial stocks. We believe the continued negative earnings momentum in technology, overweighted in growth, could reward our underweight growth position.
At the beginning of December, anticipating that fiscal support would be stronger in non-U.S. countries than in the U.S., where fiscal cliff-driven austerity measures were just beginning, we initiated an overweight to non-U.S. equity. This included MSCI EAFE® and emerging market equities, with a corresponding underweight to large-cap core domestic equity. We increased this position slightly toward the end of the year. We also initiated a modest high yield overweight, with a corresponding U.S. core fixed income underweight toward the end of 2012. With the "search for yield" a key investment theme; and with additional quantitative easing, continued low rates and diminished economic fears, these factors provided strong support for an overweight to high yield bonds relative to core bonds. At the beginning of May, we increased our strategic allocation to U.S. equities. We also initiated a strategic allocation to the ING Mid Cap Value sleeve, as well as the ING High Yield Bond sleeve. At the same time, we decreased our strategic allocation to international stocks and increased our allocation to emerging markets. We also decreased our allocation to U.S. domestic bonds.
The Portfolio beat its S&P Target Risk benchmark due partially to outperformance of the underlying funds as well as the Index holding a significant allocation to underperforming short term Treasuries. The Portfolio held a higher weighting to equities which was beneficial to performance. Among the underlying equity funds, the Large Cap Growth, International Equity and Emerging Markets Equity sleeves outperformed their individual benchmarks, while Growth and Income Portfolio, Large Cap Value, Mid Cap Value and Mid Cap Opportunities underperformed. The Portfolios underlying fixed income funds were additive to performance with the ING Intermediate Bond sleeve and the ING Global Bond sleeve outperforming over the period.
Current Strategy and Outlook: Despite the thirteenth-hour compromise on the fiscal cliff, risks remain for 2013, but we continue to be optimistic. Global financial markets are currently indicating low levels of stress and turbulence. In addition, we anticipate that monetary and fiscal policies will be more expansionary outside the U.S. than within going forward. With many central banks expected to keep stimulating their economies, we could see further equity gains in 2013. We believe both European and Japanese valuations are more attractive than those in the United States, but there are still questions about 2013-14 economic growth in both regions. Chinese economic developments continue to support a recovery in the equity market, and China should be expected to continue to be a catalyst for emerging markets.
Looking ahead, we also believe that large cap value has relatively attractive valuations. It has a concentration in financials, which stand to benefit from improvements in U.S. housing and a continuation of open-ended quantitative easing from the Fed. Our current positioning reflects these views, with an overweight to value over growth, an overweight to non-U.S. equity, as well as an overweight to high yield bonds. Fundamentals in the high yield asset class are currently attractive, with low default rates. We expect returns for high yield bonds to come from the higher coupon rather than broad price movement going forward.
Investment Type Allocation
as of December 31, 2012
(as a percentage of net assets)
Common Stock | 61.9 | % | |||||
Corporate Bonds/Notes | 10.0 | % | |||||
U.S. Government Agency Obligations | 6.8 | % | |||||
Exchange-Traded Funds | 6.2 | % | |||||
Collateralized Mortgage Obligations | 4.1 | % | |||||
Foreign Government Bonds | 4.0 | % | |||||
U.S. Treasury Obligations | 2.3 | % | |||||
Asset-Backed Securities | 1.1 | % | |||||
Preferred Stock | 0.1 | % | |||||
Purchased Options | 0.1 | % | |||||
Assets in Excess of Other Liabilities* | 3.4 | % | |||||
Net Assets | 100.0 | % |
* Includes short-term investments and purchased options.
Portfolio holdings are subject to change daily.
Top Ten Holdings
as of December 31, 2012*
(as a percentage of net assets)
iShares iBoxx $ High Yield Corporate Bond Fund | 3.4 | % | |||||
SPDR Barclays Capital High Yield Bond ETF | 2.6 | % | |||||
ExxonMobil Corp. | 1.4 | % | |||||
Apple, Inc. | 1.2 | % | |||||
Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/23 | 1.2 | % | |||||
Fannie Mae, 3.000%, 11/25/42 | 0.9 | % | |||||
Pfizer, Inc. | 0.8 | % | |||||
Google, Inc. — Class A | 0.8 | % | |||||
Coca-Cola Enterprises, Inc. | 0.8 | % | |||||
United States Treasury Bond, 2.750%, 08/15/42 | 0.7 | % |
* Excludes short-term investments.
Portfolio holdings are subject to change daily.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. The outlook for this Portfolio may differ from that presented for other ING Funds. Performance for the different classes of shares will vary based on differences in fees associated with each class.
4
ING BALANCED PORTFOLIO
PORTFOLIO MANAGERS' REPORT
Average Annual Total Returns for the Periods Ended December 31, 2012 | |||||||||||||||||||
1 Year | 5 Year | 10 Year | Since Inception of Class S May 29, 2003 | ||||||||||||||||
Class I | 13.64 | % | 1.87 | % | 5.62 | % | — | ||||||||||||
Class S | 13.49 | % | 1.63 | % | — | 4.81 | % | ||||||||||||
S&P Target Risk Growth Index | 11.72 | % | 2.21 | % | 7.20 | % | 6.73 | %(1) | |||||||||||
Barclays Capital U.S. Aggregate Bond Index | 4.21 | % | 5.95 | % | 5.18 | % | 4.97 | %(1) | |||||||||||
MSCI EAFE® Index | 17.32 | % | (3.69 | )% | 8.21 | % | 7.83 | %(1) | |||||||||||
Russell 3000® Index | 16.42 | % | 2.04 | % | 7.68 | % | 6.83 | %(1) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING Balanced Portfolio against the indices indicated. An index has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Portfolio's performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on portfolio distributions or the redemption of portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns
and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.inginvestment.com or call (800) 992-0180 to get performance through the most recent month end.
This report contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers' views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Since inception performance for the indices is shown from June 1, 2003.
Effective March 1, 2002, ING Investments, LLC began serving as investment adviser and ING Investment Management Co. LLC, the former investment adviser, began serving as sub-adviser to the Portfolio.
5
ING BLACKROCK SCIENCE AND TECHNOLOGY OPPORTUNITIES PORTFOLIO
PORTFOLIO MANAGERS' REPORT
ING BlackRock Science and Technology Opportunities Portfolio (the "Portfolio") seeks long-term capital appreciation. The Portfolio is managed by Thomas P. Callan, CFA, Managing Director and Senior Portfolio Manager, Erin Xie, PhD, Managing Director and Portfolio Manager and Jean M. Rosenbaum, CFA, Managing Director and Portfolio Manager of BlackRock Advisors, LLC — the Sub-Adviser.*
Performance: For the year ended December 31, 2012, the Portfolio's Class I shares provided a total return of 7.89% compared to the S&P 500® Index and the NYSE Arca Tech 100 IndexSM, which returned 16.00% and 21.40%, respectively, for the same period.
Portfolio Specifics: Portfolio returns were positive for the one year ended December 2012. The Portfolio's performance trailed both its Morningstar Technology peer group average, which returned 13.10%, and the NYSE Arca Tech 100 IndexSM.
The positive absolute performance of the Portfolio in 2012 was led primarily by positioning in three sub-industries; application software, data processing & outsources services and computer hardware. The stocks owned in these particular groups are benefiting from a number of factors including multi-year service trends in cloud-based computing, migration from cash-based to electronic-based payment transactions and a wealthier emerging market consumer. On a single names basis, Apple Inc. was the largest contributor as it rose nearly 33% and was held at an average portfolio weight of 10%, which was in-line with most Tech fund peers throughout the year. We have since reduced exposure to Apple given its strong run and evidence of growing competition in the smart-phone arena.
In a relative sense, underperformance came from stock selection in the communications equipment, internet software & services, semiconductors and systems software sub-industries. Additionally, the Portfolio's overweight to semiconductors and underweight to biotechnology were relative detractors from an allocation standpoint. In communications equipment, stocks such as F5 Networks and Ciena Corp came under significant pressure prior to their disposal from the Portfolio. Enterprise IT spending slowed during the second half of the year as companies took a more cautious view of the economic outlook. As a result, earnings estimates were trimmed for 2012 and 2013, disappointing investors. For the internet software space, we had positioned ourselves overweight to begin the year only to pull back exposure in the second half given concerns about the US 'fiscal cliff', declines in European growth and a deceleration in China. We still like the group, but rather than mining for smaller-caps with unproven business models, we have been drawn to more established players where cash flow metrics look most attractive, such as Google and eBay. Lastly, stock-specific performance volatility in the semiconductors and systems software sub-industry further hampered relative results.
Current Strategy and Outlook: At period end, there are two things the investment team believes will continue to shape the Portfolio's positioning. The first is that the world economy will continue to muddle along, just above stall speed, continuing to test investors' convictions. Secondly, macro-uncertainty and financial repression (i.e. low real yields) will continue to cause investors to crowd into higher quality shares on the margin, despite valuation spreads for this cohort of stocks that are at the high end of historical ranges. As a result, the Portfolio continues to have only a very modest bet on continued growth in the world economy, as the team maintains a careful balance of defensive and cyclical exposures.
Within the context of maintaining balance, an overweight to semiconductors is one area we are constructive on in the near-to-medium term. Inventory levels in the channel are well controlled as the industry has been under-shipping demand for a while. The share values did not reflect a cyclical upturn, which we believe is possible as the macroeconomic and political issues begin to be worked through. We believe the U.S. housing market is beginning to recover and should help drive a broader industrial recovery. This outlook coupled with reasonable valuations keeps us optimistic on the shares of analog semiconductor companies in particular given their greater exposure to the industrial end market.
Industry Diversification
as of December 31, 2012
(as a percentage of net assets)
Semiconductors & Semiconductor Equipment | 19.9 | % | |||||
Information Technology | 16.3 | % | |||||
IT Services | 16.3 | % | |||||
Communications Equipment | 13.4 | % | |||||
Internet Software & Services | 10.4 | % | |||||
Computers & Peripherals | 10.0 | % | |||||
Internet & Catalog Retail | 4.9 | % | |||||
Software | 2.6 | % | |||||
Electronic Equipment, Instruments & Components | 2.2 | % | |||||
Health Care | 1.3 | % | |||||
Assets in Excess of Other Liabilities* | 2.7 | % | |||||
Net Assets | 100.0 | % |
* Includes short-term investments.
Portfolio holdings are subject to change daily.
Top Ten Holdings
as of December 31, 2012*
(as a percentage of net assets)
Apple, Inc. | 8.4 | % | |||||
Cisco Systems, Inc. | 5.4 | % | |||||
Google, Inc. — Class A | 5.1 | % | |||||
Qualcomm, Inc. | 4.9 | % | |||||
Visa, Inc. | 3.9 | % | |||||
Salesforce.com, Inc. | 3.4 | % | |||||
eBay, Inc. | 3.0 | % | |||||
Oracle Corp. | 2.6 | % | |||||
International Business Machines Corp. | 2.5 | % | |||||
Xilinx, Inc. | 2.4 | % |
* Excludes short-term investments.
Portfolio holdings are subject to change daily.
* Effective September 25, 2012, Paul Ma was removed as a co-portfolio manager for the Portfolio. On December 12, 2012, the Board of Directors of the Portfolio approved a proposal to reorganize the Portfolio with and into ING MidCap Opportunities Portfolio, which is not included in this report. The proposed reorganization is subject to approval by shareholders of the Portfolio at a shareholder meeting scheduled to be held on or about March 12, 2013. The Portfolio will notify its shareholders if shareholder approval of the proposed reorganization is not obtained. If shareholder approval of the proposed reorganization is obtained, it is expected that the reorganization will take place on or about March 23, 2013.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. The outlook for this Portfolio may differ from that presented for other ING Funds. Performance for the different classes of shares will vary based on differences in fees associated with each class.
6
ING BLACKROCK SCIENCE AND TECHNOLOGY OPPORTUNITIES PORTFOLIO
PORTFOLIO MANAGERS' REPORT
Average Annual Total Returns for the Periods Ended December 31, 2012 | |||||||||||||||||||||||
1 Year | 5 Year | 10 Year | Since Inception of Class ADV December 16, 2008 | Since Inception of Class S2 February 27, 2009 | |||||||||||||||||||
Class ADV | 7.30 | % | — | — | 13.97 | % | — | ||||||||||||||||
Class I | 7.89 | % | 1.04 | % | 7.99 | % | — | — | |||||||||||||||
Class S(1) | 7.63 | % | 0.80 | % | 2.15 | % | — | — | |||||||||||||||
Class S2 | 7.41 | % | — | — | — | 17.60 | % | ||||||||||||||||
S&P 500® Index | 16.00 | % | 1.66 | % | 7.10 | % | 14.58 | %(2) | 21.42 | %(3) | |||||||||||||
NYSE Arca Tech 100 IndexSM | 21.40 | % | 7.63 | % | 11.68 | % | 21.85 | %(2) | 25.55 | %(3) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING BlackRock Science and Technology Opportunities Portfolio against the indices indicated. An index has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Portfolio's performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on portfolio distributions or the redemption of portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please call (800) 992-0180 to get performance through the most recent month end.
This report contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers' views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) On December 16, 2003, all outstanding shares of Class S were fully redeemed. On July 20, 2005, Class S recommenced operations. The returns for Class S include the performance for Class I, adjusted to reflect the higher expenses of Class S, for the period December 17, 2003 to July 19, 2005.
(2) Since inception performance for the indices is shown from January 1, 2009.
(3) Since inception performance for the indices is shown from March 1, 2009.
Effective March 1, 2002, ING Investments, LLC began serving as investment adviser. Formerly, ING Investment Management Co. LLC served as the investment adviser. Prior to January 1, 2004, the Portfolio was sub-advised by a different sub-adviser.
7
ING GROWTH AND INCOME PORTFOLIO
PORTFOLIO MANAGERS' REPORT
ING Growth and Income Portfolio (the "Portfolio") seeks to maximize total return through investments in a diversified portfolio of common stocks and securities convertible into common stock. It is anticipated that capital appreciation and investment income will both be major factors in achieving total return. The Portfolio is managed by Christopher F. Corapi and Michael Pytosh, Portfolio Managers of ING Investment Management Co. LLC — the Sub-Adviser.
Performance: For the year ended December 31, 2012, the Portfolio's Class I shares provided a total return of 15.78% compared to the S&P 500® Index, which returned 16.00% for the same period.
Portfolio Specifics: Despite a reporting period of fairly good investment results, the Portfolio slightly lagged its benchmark after the deduction of fees and expenses. During the period, stock selection benefited the Portfolio, notably selection within information technology and healthcare. Stock selection within financials and consumer staples detracted value.
Within information technology, an overweight in Seagate Technology Inc. was the largest contributor to performance. Shares of enterprise storage company Seagate Technology outperformed based on positive earnings revisions due to better supply-demand conditions and higher pricing, improved long-term profitability due to industry consolidation and $2 billion in dividends and share repurchases.
Our overweight position of apparel company Michael Kors outperformed the market after the company's same-store sales, licensing revenues and operating margins strongly exceeded expectations in 2012. In addition, the company raised fiscal year 2013 guidance over 100%. Furthermore, Michael Kors is rapidly gaining market share of the high-end women's handbag market.
In financials, not owning Bank of America Corp. was unfavorable to returns. In October, the company reported third quarter earnings that exceeded consensus. While the quarter was highlighted by strong commercial loan growth, capital ratio building, lower non-interest expense and margin expansion, the results also reflected weakness in consumer, banking, cards, trading, loans and brokerage. The Portfolio does not own Bank of America as we believe the firm's revenue picture remains muted despite improvements in capital structure and mortgage-related costs.
Allegheny Technologies is a specialty metals and components supplier. Its shares underperformed after disappointing earnings results for the third straight quarter. The earnings miss was driven by the impact of global economic weakness on customers' inventory management and on overall demand for the company's products.
Current Strategy and Outlook: We adhere to the investment process, and have been taking advantage of market volatility to add to existing positions during corrections or to initiate new positions. Currently the Portfolio is overweight in the energy, industrials and telecommunications sectors and underweight in financials, utilities and consumer discretionary sectors.
Sector Diversification
as of December 31, 2012
(as a percentage of net assets)
Information Technology | 19.1 | % | |||||
Financials | 14.4 | % | |||||
Energy | 12.1 | % | |||||
Health Care | 11.8 | % | |||||
Industrials | 11.1 | % | |||||
Consumer Discretionary | 10.8 | % | |||||
Consumer Staples | 10.1 | % | |||||
Telecommunication Services | 3.4 | % | |||||
Materials | 3.4 | % | |||||
Utilities | 1.6 | % | |||||
Assets in Excess of Other Liabilities* | 2.2 | % | |||||
Net Assets | 100.0 | % |
* Includes short-term investments.
Portfolio holdings are subject to change daily.
Top Ten Holdings
as of December 31, 2012*
(as a percentage of net assets)
Apple, Inc. | 5.5 | % | |||||
ExxonMobil Corp. | 4.9 | % | |||||
Google, Inc. — Class A | 4.3 | % | |||||
Pfizer, Inc. | 3.0 | % | |||||
Wells Fargo & Co. | 2.8 | % | |||||
Oracle Corp. | 2.6 | % | |||||
Comcast Corp. — Class A | 2.5 | % | |||||
Verizon Communications, Inc. | 2.4 | % | |||||
JPMorgan Chase & Co. | 2.2 | % | |||||
Philip Morris International, Inc. | 1.9 | % |
* Excludes short-term investments.
Portfolio holdings are subject to change daily.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. The outlook for this Portfolio may differ from that presented for other ING Funds. Performance for the different classes of shares will vary based on differences in fees associated with each class.
8
ING GROWTH AND INCOME PORTFOLIO
PORTFOLIO MANAGERS' REPORT
Average Annual Total Returns for the Periods Ended December 31, 2012 | |||||||||||||||||||||||||||
1 Year | 5 Year | 10 Year | Since Inception of Class ADV December 20, 2006 | Since Inception of Class S June 11, 2003 | Since Inception of Class S2 February 27, 2009 | ||||||||||||||||||||||
Class ADV | 15.24 | % | 0.89 | % | — | 1.79 | % | — | — | ||||||||||||||||||
Class I | 15.78 | % | 1.37 | % | 6.85 | % | — | — | — | ||||||||||||||||||
Class S | 15.47 | % | 1.12 | % | — | — | 5.59 | % | — | ||||||||||||||||||
Class S2 | 15.30 | % | — | — | — | — | 19.28 | % | |||||||||||||||||||
S&P 500® Index | 16.00 | % | 1.66 | % | 7.10 | % | 2.29 | %(1) | 6.32 | %(2) | 21.42 | %(3) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING Growth and Income Portfolio against the index indicated. An index has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Portfolio's performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on portfolio distributions or the redemption of portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost.
Please log on to www.inginvestment.com or call (800) 992-0180 to get performance through the most recent month end.
This report contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements.
The views expressed in this report reflect those of the portfolio manager only through the end of the period as stated on the cover. The portfolio manager's views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Since inception performance for the index is shown from January 1, 2007.
(2) Since inception performance for the index is shown from June 1, 2003.
(3) Since inception performance for the index is shown from March 1, 2009.
Effective March 1, 2002, ING Investments, LLC began serving as investment adviser and ING Investment Management Co. LLC, the former investment adviser, began serving as sub-adviser to the Portfolio.
9
ING INTERMEDIATE BOND PORTFOLIO
PORTFOLIO MANAGERS' REPORT
ING Intermediate Bond Portfolio (the "Portfolio") seeks to maximize total return consistent with reasonable risk. The Portfolio seeks its objective through investments in a diversified portfolio consisting primarily of debt securities. It is anticipated that capital appreciation and investment income will both be major factors in achieving total return. The Portfolio is managed by Christine Hurtsellers, CFA, Matthew Toms, CFA, and Michael Mata, Portfolio Managers of ING Investment Management Co. LLC — the Sub-Adviser.
Performance: For the year ended December 31, 2012, the Portfolio's Class I shares provided a total return of 9.39% compared to the Barclays Capital U.S. Aggregate Bond Index, which returned 4.21% for the same period.
Portfolio Specifics: Fortunately, the world did not come to an end in December as the Mayans had predicted. In fact, fixed income investors continued to endorse risk assets and finished the year strongly, with most spread sectors rallying and driving up U.S. interest rates as the year ended. The Portfolio ended the year by delivering strong positive absolute returns as well as outperforming the benchmark over the period.
The Portfolio strongly outperformed the benchmark index in the first quarter of 2012 largely due to overweighting spread sector assets such as non-agency mortgage backed securities ("MBS") and high yield corporate bonds as the markets embraced risk-taking. Security selection within investment grade credit and emerging market debt helped performance.
In the second quarter, the Portfolio added back performance on a relative basis as risk aversion picked up, and the underweight exposure to U.S. Treasury assets hurt performance of the Portfolio in April and May.
The Portfolio's duration positioning was modestly short to U.S. interest rates during the second half of 2012 which, as interest rates moved higher and the U.S. yield curve steepened, had a positive impact on relative returns.
The second half of the year was more like the first quarter, where our overweights to investment grade and high yield credit, commercial mortgage-backed securities ("CMBS") and non-agency mortgages all helped relative returns as those spread sectors outperformed over the period. Overweighting agency mortgages and asset-backed securities were just a slight drag on relative performance as these underperformed. Underweighting U.S. Treasuries to fund other spread sector overweight positions helped as Treasuries underperformed. Lastly, security selection with investment grade corporates, agency mortgages and CMBS were all contributors to relative returns, while security selection in U.S. Treasuries was a drag on relative returns over the period.
Throughout the year, Treasury futures and swaps were used to manage duration. These holdings along with cash bonds led our duration and curve management to a net modest contribution over the period. Currency forwards were used for currency risk management which along with cash bonds added to the slight underperformance versus the benchmark as they were a net detractor. These together added slightly to outperformance versus the benchmark. Credit default swaps were used for both sector management and issue selection, which when combined with cash bonds were the largest contributors to excess returns for the year.
Current Strategy and Outlook: The New Year's celebrations are behind us, a fresh start is on the books for 2013, and it seems that a majority of the headwinds from 2012 have dissipated. However, we believe global imbalances are here to stay with minimal European growth being a drag on the global economy for the foreseeable future. In contrast, private sector growth in the U.S. appears to be sustainable against the backstop of highly accommodative monetary policy (substantial bond buying by the Federal Reserve). The stimulus cycle across emerging markets that featured broad rate cuts in 2012 is now paying dividends to investors. Despite the presence of political uncertainty and volatility likely induced at times by these global imbalances, our forecast is for sustained positive macro momentum and modest global growth in 2013.
Spread sectors for 2013 will largely be a different game than in 2012 given our base-case scenario of moderate economic growth, abundant financial liquidity, and good credit quality. Yields in the highest quality segments like U.S. Treasuries, agencies, agency mortgages and asset-backed securities look far less attractive relative to credit sensitive sectors like investment grade corporates, non-agency MBS, high yield corporates and emerging market sovereigns and corporates. The fixed income landscape has richened with valuations further stretched by capital flows from investors hungry for sources of sustainable yield and income. As such, we are maintaining constructive on these spread sensitive areas: investment grade and high yield credit, non-agency MBS and emerging market debt. These look to be areas better positioned to perform coming into 2013.
Investment Type Allocation
as of December 31, 2012
(as a percentage of net assets)
Corporate Bonds/Notes | 31.0 | % | |||||
U.S. Government Agency Obligations | 29.2 | % | |||||
Collateralized Mortgage Obligations | 16.6 | % | |||||
Affiliated Mutual Funds | 11.3 | % | |||||
U.S. Treasury Obligations | 10.7 | % | |||||
Asset-Backed Securities | 4.9 | % | |||||
Foreign Government Bonds | 2.3 | % | |||||
Preferred Stock | 1.0 | % | |||||
Purchased Options | 0.2 | % | |||||
Liabilities in Excess of Other Assets* | (7.2 | )% | |||||
Net Assets | 100.0 | % |
* Includes short-term investments and purchased options.
Portfolio holdings are subject to change daily.
Top Ten Holdings
as of December 31, 2012
(as a percentage of net assets)
ING Emerging Markets Hard Currency Sovereign Debt Fund Class P | 4.7 | % | |||||
ING Emerging Markets Local Currency Debt Fund | |||||||
Class P | 3.7 | % | |||||
Ginnie Mae, 3.500%, 05/15/41 | 3.2 | % | |||||
ING Emerging Markets Corporate Debt Fund Class P | 2.9 | % | |||||
United States Treasury Note, 0.250%, 11/30/14 | 2.9 | % | |||||
United States Treasury Bond, 2.750%, 08/15/42 | 2.4 | % | |||||
Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/23 | 2.3 | % | |||||
United States Treasury Bond, 1.625%, 11/15/22 | 2.1 | % | |||||
Ginnie Mae, 3.000%, 08/15/42 | 1.6 | % | |||||
Fannie Mae, 3.500%, 06/25/42 | 1.5 | % |
Portfolio holdings are subject to change daily.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. The outlook for this Portfolio may differ from that presented for other ING Funds. Performance for the different classes of shares will vary based on differences in fees associated with each class.
10
ING INTERMEDIATE BOND PORTFOLIO
PORTFOLIO MANAGERS' REPORT
Average Annual Total Returns for the Periods Ended December 31, 2012 | |||||||||||||||||||||||
1 Year | 5 Year | 10 Year | Since Inception of Class ADV December 20, 2006 | Since Inception of Class S2 February 27, 2009 | |||||||||||||||||||
Class ADV | 8.85 | % | 5.09 | % | — | 5.09 | % | — | |||||||||||||||
Class I | 9.39 | % | 5.72 | % | 5.29 | % | — | — | |||||||||||||||
Class S | 9.08 | % | 5.44 | % | 5.02 | % | — | — | |||||||||||||||
Class S2 | 8.93 | % | — | — | — | 10.40 | % | ||||||||||||||||
Barclays Capital U.S. Aggregate Bond Index | 4.21 | % | 5.95 | % | 5.18 | % | 6.12 | %(1) | 6.74 | %(2) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING Intermediate Bond Portfolio against the index indicated. An index has has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Portfolio's performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on portfolio distributions or the redemption of portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost.
Please log on to www.inginvestment.com or call (800) 992-0180 to get performance through the most recent month end.
This report contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements.
The views expressed in this report reflect those of the portfolio managers, only through the end of the period as stated on the cover. The portfolio managers' views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Since inception performance for the the index is shown from January 1, 2007.
(2) Since inception performance for the index is shown from March 1, 2009.
Effective March 1, 2002, ING Investments, LLC began serving as investment adviser and ING Investment Management Co. LLC, the former investment adviser, began serving as sub-adviser to the Portfolio.
11
ING MONEY MARKET PORTFOLIO
PORTFOLIO MANAGERS' REPORT
ING Money Market Portfolio (the "Portfolio") seeks to provide high current return, consistent with preservation of capital and liquidity, through investment in high-quality money market instruments, while maintaining a stable share price of $1.00 per share. The Portfolio is managed by David S. Yealy, Portfolio Manager of ING Investment Management Co. LLC — the Sub-Adviser.
Performance: For the year ended December 31, 2012, the Portfolio's Class I shares provided a total return of 0.03% compared to the iMoneyNet First Tier Retail Index, which returned 0.02% for the same period.
Portfolio Specifics: Preservation of capital, limiting credit risk and keeping an excess liquidity cushion due to the still elevated risks in the market remain our primary objectives for the Portfolio. Maximizing the yield and return of the Portfolio remains a secondary objective in light of the current market conditions and risks and the low absolute level of rates. The Portfolio's Adviser and Distributor continue to waive fees to the extent necessary to maintain a 0.00% net yield, as do most of our competitors due to the historically low level of rates on money market securities.
The first quarter of 2012 was highlighted by a modestly improving U.S. economy, including job creation, and a market-perceived reduction in risk from the European sovereign credit crisis due to new measures implemented by the various central banks and the European Central Bank ("ECB"). The most important action by the ECB was the introduction of the three-year Long Term Refinancing Operations during the fourth quarter of 2011, followed by a second round of funding in February 2012. This reduced the short-term funding needs for the European banks which struggled to maintain adequate low cost short-term funding, a large portion of which is normally supplied by U.S. money market funds. The Federal Reserve Board (the "Fed"), in attempt to increase transparency, announced new disclosure that included a summary of predictions of the next anticipated move in the federal funds rate. The initial disclosure was for the next anticipated move to come late in 2014. Short-term money market rates remained anchored in their historical low range due to the expectations for rates to remain at current levels for the foreseeable future.
The major themes during the second and third quarters were modest economic growth in the United States, a poor but improving job market in the U.S. and slowing growth in the euro zone. In addition, there continued to be elevated market risk from the euro zone due to Greece, Spain, Italy and other countries experiencing very difficult economic conditions and funding issues. While various central banks and the ECB addressed the euro zone problems, they continued to struggle to find a permanent solution. The Fed continued to view the U.S. economic recovery as slow and at risk without additional policy accommodation. At its September 13 meeting, the Fed extended the outlook for the federal funds rate to be kept in the 0% to 0.25% range until the middle of 2015, from 2014 previously.
The fourth quarter saw the unemployment rate hold steady at an elevated 7.8% and inflation remained below the Fed's longer-run objective. The housing market continued to improve as distressed sales as a percentage of overall sales dropped. At the Fed's final meeting of the year in December it announced it would continue with its quantitative easing by extending the purchase of securities beyond year-end. The political debates over the fiscal cliff issues and the raising of the debt ceiling became the hot topic once we got past the Presidential election in November. We believe that these issues, along with the need to reduce the U.S. debt, will be the primary drivers of the markets in the near-term. The rates for short-term money market securities traded in a narrow range at historically low levels throughout 2012, due in part to the Fed keeping the federal funds rate anchored between 0% to 0.25%.
During the reporting period, the Portfolio followed the strategy of taking on a limited amount of interest rate risk while maintaining reduced longer-term credit exposure. The Portfolio ended the period with a 45 day weighted average maturity ("WAM"). This was slightly shorter than the peer average of 47 days for the iMoneyNet First Tier Retail category, but did have a higher WAM for the majority of the period.
The Portfolio maintained limited exposure to European banks during the reporting period by investing in those issuers that we had the highest confidence of being able to weather the deteriorating credit conditions in the euro zone, as well as a possible default by one or more countries such as Greece, Spain, Italy and other weak members of the European Union. We invested in short-term U.S. government securities from time to time and maintained a higher repurchase agreement exposure on a daily basis at a slight yield concession to the higher yielding bank debt in order to further reduce credit risk.
Outlook and Current Strategy: Our current strategy for the Portfolio will continue to focus on maintaining an extended WAM posture with limited credit risk. We will look to extend our WAM during any backup in rates to levels that offer enough yield pickup relative to the increased risk, as these backups would be expected to be temporary in nature in light of the Fed's position. Exposure to European banks is expected to remain low or be reduced further until we see resolution to the European sovereign debt crisis and funding issues.
Preservation of capital and liquidity remain our top objectives. We plan on maintaining reasonable daily and short-term liquidity to give the Portfolio flexibility to take advantage of any periods of temporary increases in yields. That being said, liquidity will not be as high as it was in the past, given the drag in yields from the low rates on repurchase agreements and other lower risk short-term liquidity securities, including U.S. government securities.
Principal Risk Factors: Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio.
Investment Type Allocation
as of December 31, 2012
(as a percentage of net assets)
Asset Backed Commercial Paper | 29.6 | % | |||||
Other Note | 27.0 | % | |||||
Treasury Debt | 14.1 | % | |||||
Government Agency Repurchase Agreement | 8.8 | % | |||||
Financial Company Commercial Paper | 7.8 | % | |||||
Certificate of Deposit | 5.6 | % | |||||
Other Instrument | 4.7 | % | |||||
Government Agency Debt | 2.7 | % | |||||
Other Commercial Paper | 0.7 | % | |||||
Liabilities in Excess of Other Assets | (1.0 | )% | |||||
Net Assets | 100.0 | % |
Portfolio holdings are subject to change daily.
Top Ten Holdings
as of December 31, 2012
(as a percentage of net assets)
Goldman Sachs Repurchase Agreement dated 12/31/12, 0.200%, due 01/02/13, $50,000,556 to be received upon repurchase (Collateralized by $50,990,000, FHLB, 0.170%-0.300%, Market Value plus accrued interest $51,004,531 due 12/09/13-12/20/13) | 5.1 | % | |||||
Treasury Bill, 0.030%, 01/17/13 | 5.0 | % | |||||
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.144%, 01/02/13 | 4.7 | % | |||||
Treasury Bill, 0.050%, 01/10/13 | 3.9 | % | |||||
Deutsche Bank Repurchase Agreement dated 12/31/12, 0.200%, due 01/02/13, $35,835,398 to be received upon repurchase (Collateralized by $26,212,263, FMNT and FNNT, 0.625%-6.090%, Market Value plus accrued interest $36,551,700 due 12/29/14-09/27/27) | 3.7 | % | |||||
Treasury Bill, 0.060%, 01/03/13 | 3.4 | % | |||||
Wells Fargo Bank NA, 0.380%, 03/22/13 | 3.2 | % | |||||
Old Line Funding LLC, 0.321%, 04/22/13 | 3.1 | % | |||||
Barton Capital LLC, 0.187%, 01/03/13 | 3.0 | % | |||||
Concord Minutemen Capital Co., 0.652%, 04/02/13 | 2.9 | % |
Portfolio holdings are subject to change daily.
* Please see Note 5 for more information regarding the contractual waiver in place to reimburse certain expenses of the Portfolio to the extent necessary to assist the Portfolio in maintaining a net yield of not less than 0.00%.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. The outlook for this Portfolio may differ from that presented for other ING Funds. Performance for the different classes of shares will vary based on differences in fees associated with each class.
12
ING SMALL COMPANY PORTFOLIO
PORTFOLIO MANAGERS' REPORT
ING Small Company Portfolio (the "Portfolio") seeks growth of capital primarily through investment in a diversified portfolio of common stocks of companies with smaller market capitalizations. The Portfolio is managed by Joseph Basset, CFA, Steve Salopek and James Hasso, Portfolio Managers of ING Investment Management Co. LLC — the Sub Adviser.*
Performance: For the year ended December 31, 2012, the Portfolio's Class I shares provided a total return of 14.52% compared to the Russell 2000® Index, which returned 16.35% for the same period.
Portfolio Specifics: Benchmark returns were strongest in the first quarter as the Russell 2000® Index advanced by 12.44%. The markets experienced a pullback in the second quarter, however, and the index declined by 3.47%. Positive performance followed in the third and fourth quarters, with returns of 5.25% and 1.85% respectively. Small-caps underperformed mid-caps and large-caps, which returned 17.28% and 16.42% as measured by the Russell Mid Cap and Russell 1000® indices, respectively. Stocks with higher returns on equity held up better during the period and stocks that were less sensitive to market risk (lower beta) outperformed higher beta stocks. For the Russell 2000® Index, the consumer durables and real estate sectors were the strongest performers for the year returning 49.20% and 25.75%% respectively. Insurance and industrial materials also had strong performance, with returns of 24.12% and 23.99% respectively. The only sector posting a negative return for the period was energy which declined by 3.69%.
Stock selection within consumer services was the largest contributor to returns for the period. The Portfolio's overweight allocation to banks and capital goods also added to performance. Stock selection within energy and diversified financials detracted most from performance for the period.
The main individual contributors to performance were Nationstar Mortgage Holdings Inc. and Ariba Inc. The Portfolio's position in Nationstar Mortgage Holdings Inc. was the largest contributor to returns for the period. The company is a non-bank residential mortgage servicer with a range of services across the residential mortgage product spectrum. Strong earnings and several accretive acquisitions contributed to the stock's outperformance during the period. The stock also benefited as banks jettisoned hundreds of billions of dollars of loans, to raise capital and cut costs as housing modestly rebounded. Ariba is a provider of collaborative business commerce solutions for buying and selling goods and services in the United States and internationally. The company agreed to be acquired by SAP for approximately $4.3 billion on May 22, which was a 19% premium to the prior day's close. SAP said the acquisition will establish it as the leading business network provider, adding business-to-business collaboration to its existing solutions. The deal is also anticipated to boost SAP's cloud application portfolio with the addition of Ariba's cloud-based procurement solutions.
Key detractors from performance were Bill Barrett Corp. and Thompson Creek Metals Co. Inc. Bill Barrett Corp., an independent exploration and production company focused on gas and oil, was the largest detractor from performance during the period. The stock experienced a large decline in the first half of the year for two main reasons. One, natural gas prices were under pressure due to oversupply of the commodity. Two, the company engaged in a large spending program to diversify its business and increase its exposure to oil and gas liquids. Investors displayed skepticism regarding the company's efforts and the markets became impatient with the speed of the transitions and the additional capital expenditures they required.
Thompson Creek Metals Co., Inc. operates two molybdenum mines in North America along with roasting facilities to further process the output. The company benefited from better than expected molybdenum pricing; however, the key driver to performance has been the construction of the Mt. Milligan copper mining project, which is now fully funded. As a result, investor concerns have moved away from the risks associated with capital expenditure budgeting to operational risks, which are less pronounced. We remain holders of the stock, and in fact have been aggressive buyers as we think current prices imbed significant negative value for the new copper mine. Mt. Milligan should be completed by the end of 2013. Once more tangible progress is apparent on such things as the mill facility or the tailings pond, we believe investors will shift their attention away from recent management missteps and begin assessing the value of a functional copper mine in a safe jurisdiction, with output expected in a year.
Current Strategy and Outlook: We are cautious about the global macroeconomic landscape and continue to assess the potential impact that it may have on the performance of companies and valuations. The Portfolio's positioning has not changed significantly. We seek to remain nimble and continue to focus on what we believe are quality companies, i.e., companies that have strong managements, strong balance sheets and good cash flow generation capabilities. Even among cyclical companies our primary focus is on management quality, cash flows and the strength of the balance sheet. We believe the Portfolio is well positioned going forward, as we think that investors will continue to focus on companies' fundamentals due to increased economic uncertainty.
Sector Diversification
as of December 31, 2012
(as a percentage of net assets)
Financials | 23.0 | % | |||||
Industrials | 18.1 | % | |||||
Information Technology | 15.5 | % | |||||
Consumer Discretionary | 13.9 | % | |||||
Health Care | 10.8 | % | |||||
Materials | 5.9 | % | |||||
Energy | 5.6 | % | |||||
Utilities | 2.7 | % | |||||
Consumer Staples | 1.7 | % | |||||
Exchange-Traded Funds | 1.2 | % | |||||
Assets in Excess of Other Liabilities* | 1.6 | % | |||||
Net Assets | 100.0 | % |
* Includes short-term investments.
Portfolio holdings are subject to change daily.
Top Ten Holdings
as of December 31, 2012*
(as a percentage of net assets)
Acuity Brands, Inc. | 1.2 | % | |||||
iShares Russell 2000 Index Fund | 1.2 | % | |||||
Brady Corp. | 1.1 | % | |||||
HB Fuller Co. | 1.1 | % | |||||
Watts Water Technologies, Inc. | 1.0 | % | |||||
Starwood Property Trust, Inc. | 1.0 | % | |||||
Actuant Corp. | 1.0 | % | |||||
Waste Connections, Inc. | 1.0 | % | |||||
Unit Corp. | 1.0 | % | |||||
Worthington Industries | 1.0 | % |
* Excludes short-term investments.
Portfolio holdings are subject to change daily.
* Effective April 30, 2012, James Hasso has been added as a portfolio manager to the Portfolio.
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. The outlook for this Portfolio may differ from that presented for other ING Funds. Performance for the different classes of shares will vary based on differences in fees associated with each class.
13
ING SMALL COMPANY PORTFOLIO
PORTFOLIO MANAGERS' REPORT
Average Annual Total Returns for the Periods Ended December 31, 2012 | |||||||||||||||||||||||
1 Year | 5 Year | 10 Year | Since Inception of Class ADV December 16, 2008 | Since Inception of Class S2 February 27, 2009 | |||||||||||||||||||
Class ADV | 14.01 | % | — | — | 15.79 | % | — | ||||||||||||||||
Class I | 14.52 | % | 4.08 | % | 10.11 | % | — | ||||||||||||||||
Class S | 14.26 | % | 3.83 | % | 9.85 | % | — | — | |||||||||||||||
Class S2 | 14.08 | % | — | — | — | 22.51 | % | ||||||||||||||||
Russell 2000® Index | 16.35 | % | 3.56 | % | 9.72 | % | 15.81 | %(1) | 24.29 | %(2) |
Based on a $10,000 initial investment, the graph and table above illustrate the total return of ING Small Company Portfolio against the index indicated. An index has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Portfolio's performance is shown without the imposition of any expenses or charges which are, or may be, imposed under your annuity contract. Total returns would have been lower if such expenses or charges were included.
The performance graph and table do not reflect the deduction of taxes that a shareholder will pay on portfolio distributions or the redemption of portfolio shares.
The performance shown may include the effect of fee waivers and/or expense reimbursements by the Investment Adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower.
The performance update illustrates performance for a variable investment option available through a variable contract. The performance shown indicates past performance and is not a projection or prediction of future results. Actual investment returns
and principal value will fluctuate so that shares and/or units, at redemption, may be worth more or less than their original cost. Please log on to www.inginvestment.com or call (800) 992-0180 to get performance through the most recent month end.
This report contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements.
The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The portfolio manager's views are subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
(1) Since inception performance for the index is January 1, 2009.
(2) Since inception performance for the index is March 1, 2009.
Effective March 1, 2002, ING Investments, LLC began serving as investment adviser and ING Investment Management Co. LLC, the former investment adviser, began serving as sub-adviser to the Portfolio.
14
SHAREHOLDER EXPENSE EXAMPLES (UNAUDITED)
As a shareholder of a Portfolio, you incur two types of costs: (1) transaction costs, including redemption fees and exchange fees; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Portfolio expenses. These Examples are intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The Examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2012 to December 31, 2012. The Portfolios' expenses are shown without the imposition of any charges which are, or may be, imposed under your annuity contract. Expenses would have been higher if such charges were included.
Actual Expenses
The left section of the table shown below, "Actual Portfolio Return," provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled "Expenses Paid During the Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The right section of the table shown below, "Hypothetical (5% return before expenses)," provides information about hypothetical account values and hypothetical expenses based on a Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Portfolio and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees or exchange fees. Therefore, the hypothetical lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different mutual funds. In addition, if these transactional costs were included, your costs would have been higher.
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
ING Balanced Portfolio | Beginning Account Value July 1, 2012 | Ending Account Value December 31, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2012* | Beginning Account Value July 1, 2012 | Ending Account Value December 31, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2012* | |||||||||||||||||||||||||||
Class I | $ | 1,000.00 | $ | 1,075.40 | 0.64 | % | $ | 3.34 | $ | 1,000.00 | $ | 1,021.92 | 0.64 | % | $ | 3.25 | |||||||||||||||||||
Class S | 1,000.00 | 1,074.90 | 0.89 | 4.64 | 1,000.00 | 1,020.66 | 0.89 | 4.52 | |||||||||||||||||||||||||||
ING BlackRock Science and Technology Opportunities Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 988.80 | 1.56 | % | $ | 7.80 | $ | 1,000.00 | $ | 1,017.29 | 1.56 | % | $ | 7.91 | |||||||||||||||||||
Class I | 1,000.00 | 990.90 | 1.06 | 5.30 | 1,000.00 | 1,019.81 | 1.06 | 5.38 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 990.70 | 1.31 | 6.56 | 1,000.00 | 1,018.55 | 1.31 | 6.65 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 990.70 | 1.46 | 7.31 | 1,000.00 | 1,017.80 | 1.46 | 7.41 | |||||||||||||||||||||||||||
ING Growth and Income Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,066.10 | 1.04 | % | $ | 5.40 | $ | 1,000.00 | $ | 1,019.91 | 1.04 | % | $ | 5.28 | |||||||||||||||||||
Class I | 1,000.00 | 1,068.50 | 0.59 | 3.07 | 1,000.00 | 1,022.17 | 0.59 | 3.00 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,066.80 | 0.84 | 4.36 | 1,000.00 | 1,020.91 | 0.84 | 4.27 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,066.50 | 0.99 | 5.14 | 1,000.00 | 1,020.16 | 0.99 | 5.03 |
* Expenses are equal to each Portfolio's respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/366 to reflect the most recent fiscal half-year.
15
SHAREHOLDER EXPENSE EXAMPLES (UNAUDITED) (CONTINUED)
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
ING Intermediate Bond Portfolio | Beginning Account Value July 1, 2012 | Ending Account Value December 31, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2012* | Beginning Account Value July 1, 2012 | Ending Account Value December 31, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2012* | |||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,049.20 | 1.00 | % | $ | 5.15 | $ | 1,000.00 | $ | 1,020.11 | 1.00 | % | $ | 5.08 | |||||||||||||||||||
Class I | 1,000.00 | 1,052.10 | 0.50 | 2.58 | 1,000.00 | 1,022.62 | 0.50 | 2.54 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,050.50 | 0.75 | 3.87 | 1,000.00 | 1,021.37 | 0.75 | 3.81 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,050.10 | 0.90 | 4.64 | 1,000.00 | 1,020.61 | 0.90 | 4.57 | |||||||||||||||||||||||||||
ING Money Market Portfolio | |||||||||||||||||||||||||||||||||||
Class I | $ | 1,000.00 | $ | 1,000.10 | 0.34 | % | $ | 1.71 | $ | 1,000.00 | $ | 1,023.43 | 0.34 | % | $ | 1.73 | |||||||||||||||||||
Class S | 1,000.00 | 1,000.00 | 0.36 | 1.81 | 1,000.00 | 1,023.33 | 0.36 | 1.83 | |||||||||||||||||||||||||||
ING Small Company Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,055.20 | 1.35 | % | $ | 6.97 | $ | 1,000.00 | $ | 1,018.35 | 1.35 | % | $ | 6.85 | |||||||||||||||||||
Class I | 1,000.00 | 1,057.10 | 0.85 | 4.40 | 1,000.00 | 1,020.86 | 0.85 | 4.32 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,056.20 | 1.10 | 5.69 | 1,000.00 | 1,019.61 | 1.10 | 5.58 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,055.50 | 1.25 | 6.46 | 1,000.00 | 1,018.85 | 1.25 | 6.34 |
* Expenses are equal to each Portfolio's respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/366 to reflect the most recent fiscal half-year.
16
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Shareholders and Board of Directors/Trustees
ING Balanced Portfolio, Inc., ING Variable Funds, ING Variable Portfolios, Inc., ING Intermediate Bond Portfolio, and ING Money Market Portfolio
We have audited the accompanying statements of assets and liabilities, including the portfolio of investments or summary portfolios of investments, as indicated, of ING Balanced Portfolio, a series of ING Balanced Portfolio, Inc., ING Growth and Income Portfolio, a series of ING Variable Funds, ING Small Company Portfolio and ING BlackRock Science and Technology Opportunities Portfolio, each a series of ING Variable Portfolios, Inc., ING Intermediate Bond Portfolio, and ING Money Market Portfolio, as of December 31, 2012, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2012, by correspondence with the custodian, transfer agent, and brokers, or by other appropriate auditing procedures when replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the aforementioned portfolios as of December 31, 2012, and the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 25, 2013
17
STATEMENTS OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2012
ING Balanced Portfolio | ING BlackRock Science and Technology Opportunities Portfolio | ING Growth and Income Portfolio | ING Intermediate Bond Portfolio | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments in securities at fair value+* | $ | 508,074,090 | $ | 298,227,001 | $ | 3,802,703,827 | $ | 2,165,204,586 | |||||||||||
Investments in affiliates** | — | — | — | 255,783,755 | |||||||||||||||
Short-term investments at fair value*** | 21,553,943 | 16,100,264 | 90,582,331 | 37,257,829 | |||||||||||||||
Total Investments at fair value | $ | 529,628,033 | $ | 314,327,265 | $ | 3,893,286,158 | $ | 2,458,246,170 | |||||||||||
Short-term investments at amortized cost | — | — | — | 34,748,672 | |||||||||||||||
Cash | 3,980,260 | — | 522,382 | 65,071 | |||||||||||||||
Cash collateral for futures | 2,370,390 | — | — | 1,828,543 | |||||||||||||||
Foreign currencies at value**** | 1,840,226 | 2,495 | 242,700 | — | |||||||||||||||
Foreign cash collateral for futures***** | 34,267 | — | — | — | |||||||||||||||
Receivable for derivatives collateral (Note 2) | 710,000 | — | — | 2,644,000 | |||||||||||||||
Receivables: | |||||||||||||||||||
Investment securities sold | 4,031,134 | 3,632,264 | — | 2,522 | |||||||||||||||
Investment securities sold on a delayed-delivery or when-issued basis | 10,630,573 | — | — | 53,131,255 | |||||||||||||||
Fund shares sold | 208 | 247,114 | 477,308 | 289,238 | |||||||||||||||
Dividends | 527,457 | 4,423 | 3,824,560 | 113,168 | |||||||||||||||
Interest | 1,437,643 | — | — | 15,065,727 | |||||||||||||||
Foreign tax reclaims | 98,383 | 28,575 | — | — | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | 969,254 | 14,365 | — | 1,001,422 | |||||||||||||||
Upfront payments paid on OTC swap agreements | 44,320 | — | — | 592,551 | |||||||||||||||
Unrealized appreciation on OTC swap agreements | 70,767 | — | — | 980,602 | |||||||||||||||
Prepaid expenses | 9,295 | 5,831 | 72,103 | 39,206 | |||||||||||||||
Reimbursement due from manager | — | 32,111 | — | — | |||||||||||||||
Total assets | 556,382,210 | 318,294,443 | 3,898,425,211 | 2,568,748,147 | |||||||||||||||
LIABILITIES: | |||||||||||||||||||
Payable for investment securities purchased | 3,216,171 | 3,802,764 | — | 9,600,129 | |||||||||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | 21,693,054 | — | — | 262,633,084 | |||||||||||||||
Payable for fund shares redeemed | 161,257 | 3,566,760 | 2,028,662 | 8,790,158 | |||||||||||||||
Payable upon receipt of securities loaned | 2,188,940 | 4,153,870 | 3,198,331 | 8,304,828 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 1,053,422 | 112,929 | — | 2,883,726 | |||||||||||||||
Upfront payments received on OTC swap agreements | 67,099 | — | — | 1,069,614 | |||||||||||||||
Unrealized depreciation on OTC swap agreements | 1,750,251 | — | — | 9,321,246 | |||||||||||||||
Payable for derivatives collateral (Note 2) | 60,000 | — | — | 2,300,000 | |||||||||||||||
Payable for investment management fees | 221,971 | 247,969 | 1,660,956 | 768,901 | |||||||||||||||
Payable for administrative fees | 24,416 | 14,356 | 182,701 | 105,721 | |||||||||||||||
Payable for distribution and shareholder service fees | 1,222 | 47,709 | 643,551 | 274,629 | |||||||||||||||
Payable for directors fees | 2,685 | 1,699 | 20,371 | 11,969 | |||||||||||||||
Payable for borrowings against line of credit | — | — | — | 3,730,000 | |||||||||||||||
Other accrued expenses and liabilities | 125,136 | 111,076 | 246,309 | 269,689 | |||||||||||||||
Written options, at fair value^ | 82 | — | — | — | |||||||||||||||
Total liabilities | 30,565,706 | 12,059,132 | 7,980,881 | 310,063,694 | |||||||||||||||
NET ASSETS | $ | 525,816,504 | $ | 306,235,311 | $ | 3,890,444,330 | $ | 2,258,684,453 | |||||||||||
NET ASSETS WERE COMPRISED OF: | |||||||||||||||||||
Paid-in capital | $ | 603,810,990 | $ | 278,748,731 | $ | 3,921,289,064 | $ | 2,405,361,776 | |||||||||||
Undistributed (distributions in excess of) net investment income | 11,818,189 | 86,139 | (466,290 | ) | (7,063,051 | ) | |||||||||||||
Accumulated net realized gain (loss) | (116,753,848 | ) | 10,918,440 | (654,350,288 | ) | (226,326,073 | ) | ||||||||||||
Net unrealized appreciation | 26,941,173 | 16,482,001 | 623,971,844 | 86,711,801 | |||||||||||||||
NET ASSETS | $ | 525,816,504 | $ | 306,235,311 | $ | 3,890,444,330 | $ | 2,258,684,453 | |||||||||||
+ Including securities loaned at value | $ | 2,115,638 | $ | 4,067,380 | $ | 3,111,459 | $ | 8,110,165 | |||||||||||
* Cost of investments in securities | $ | 479,672,907 | $ | 281,647,021 | $ | 3,178,732,778 | $ | 2,078,552,137 | |||||||||||
** Cost of investments in affiliates | $ | — | $ | — | $ | — | $ | 246,663,414 | |||||||||||
*** Cost of short-term investments | $ | 21,561,794 | $ | 16,100,264 | $ | 90,582,331 | $ | 37,257,829 | |||||||||||
**** Cost of foreign currencies | $ | 1,844,659 | $ | 2,370 | $ | 241,906 | $ | — | |||||||||||
***** Cost of foreign cash collateral for futures | $ | 34,267 | $ | — | $ | — | $ | — | |||||||||||
^ Premiums received on written options | $ | 56,736 | $ | — | $ | — | $ | — |
See Accompanying Notes to Financial Statements
18
STATEMENTS OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2012 (CONTINUED)
ING Balanced Portfolio | ING BlackRock Science and Technology Opportunities Portfolio | ING Growth and Income Portfolio | ING Intermediate Bond Portfolio | ||||||||||||||||
Class ADV: | |||||||||||||||||||
Net Assets | n/a | $ | 14,218,649 | $ | 1,251,577,470 | $ | 34,472,761 | ||||||||||||
Shares authorized | n/a | 100,000,000 | unlimited | unlimited | |||||||||||||||
Par value | n/a | $ | 0.001 | $ | 1.000 | $ | 1.000 | ||||||||||||
Shares outstanding | n/a | 2,698,016 | 51,488,288 | 2,676,951 | |||||||||||||||
Net asset value and redemption price per share | n/a | $ | 5.27 | $ | 24.31 | $ | 12.88 | ||||||||||||
Class I: | |||||||||||||||||||
Net Assets | $ | 520,249,118 | $ | 97,314,772 | $ | 1,865,425,379 | $ | 1,001,254,906 | |||||||||||
Shares authorized | 500,000,000 | 100,000,000 | unlimited | unlimited | |||||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 1.000 | $ | 1.000 | |||||||||||
Shares outstanding | 42,384,105 | 17,939,946 | 76,019,601 | 77,281,247 | |||||||||||||||
Net asset value and redemption price per share | $ | 12.27 | $ | 5.42 | $ | 24.54 | $ | 12.96 | |||||||||||
Class S: | |||||||||||||||||||
Net Assets | $ | 5,567,386 | $ | 193,262,863 | $ | 772,713,280 | $ | 1,221,679,519 | |||||||||||
Shares authorized | 500,000,000 | 100,000,000 | unlimited | unlimited | |||||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 1.000 | $ | 1.000 | |||||||||||
Shares outstanding | 456,502 | 36,262,312 | 31,772,756 | 94,786,331 | |||||||||||||||
Net asset value and redemption price per share | $ | 12.20 | $ | 5.33 | $ | 24.32 | $ | 12.89 | |||||||||||
Class S2: | |||||||||||||||||||
Net Assets | n/a | $ | 1,439,027 | $ | 728,201 | $ | 1,277,267 | ||||||||||||
Shares authorized | n/a | 100,000,000 | unlimited | unlimited | |||||||||||||||
Par value | n/a | $ | 0.001 | $ | 1.000 | $ | 1.000 | ||||||||||||
Shares outstanding | n/a | 272,159 | 30,240 | 98,861 | |||||||||||||||
Net asset value and redemption price per share | n/a | $ | 5.29 | $ | 24.08 | $ | 12.92 |
See Accompanying Notes to Financial Statements
19
STATEMENTS OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2012
ING Money Market Portfolio | ING Small Company Portfolio | ||||||||||
ASSETS: | |||||||||||
Investments in securities at fair value+* | $ | — | $ | 570,467,801 | |||||||
Short-term investments at fair value** | — | 31,169,550 | |||||||||
Total Investments at fair value | $ | — | $ | 601,637,351 | |||||||
Short-term investments at amortized cost | 985,062,060 | — | |||||||||
Cash | 17,395 | 38,040 | |||||||||
Receivables: | |||||||||||
Investment securities sold | 2,249,305 | 2,752,297 | |||||||||
Fund shares sold | 26,137 | 33,323 | |||||||||
Dividends | 789 | 490,981 | |||||||||
Interest | 1,021,922 | — | |||||||||
Prepaid expenses | 20,079 | 10,418 | |||||||||
Total assets | 988,397,687 | 604,962,410 | |||||||||
LIABILITIES: | |||||||||||
Payable for investment securities purchased | — | 5,409,530 | |||||||||
Payable for fund shares redeemed | 12,433,589 | 740,980 | |||||||||
Payable upon receipt of securities loaned | — | 18,620,550 | |||||||||
Payable for investment management fees | 210,731 | 363,124 | |||||||||
Payable for administrative fees | 46,360 | 26,629 | |||||||||
Payable for distribution and shareholder service fees | 17 | 23,768 | |||||||||
Payable for directors fees | 5,338 | 3,002 | |||||||||
Other accrued expenses and liabilities | 98,072 | 52,765 | |||||||||
Total liabilities | 12,794,107 | 25,240,348 | |||||||||
NET ASSETS | $ | 975,603,580 | $ | 579,722,062 | |||||||
NET ASSETS WERE COMPRISED OF: | |||||||||||
Paid-in capital | $ | 975,580,924 | $ | 478,464,983 | |||||||
Undistributed (distributions in excess of) net investment income | (131,928 | ) | 2,945,290 | ||||||||
Accumulated net realized gain | 154,584 | 36,904,760 | |||||||||
Net unrealized appreciation | — | 61,407,029 | |||||||||
NET ASSETS | $ | 975,603,580 | $ | 579,722,062 | |||||||
+ Including securities loaned at value | $ | — | $ | 17,967,458 | |||||||
* Cost of investments in securities | $ | — | $ | 509,060,772 | |||||||
** Cost of short-term investments | $ | — | $ | 31,169,550 | |||||||
Class ADV: | |||||||||||
Net Assets | n/a | $ | 6,212,824 | ||||||||
Shares authorized | n/a | 100,000,000 | |||||||||
Par value | n/a | $ | 0.001 | ||||||||
Shares outstanding | n/a | 324,815 | |||||||||
Net asset value and redemption price per share | n/a | $ | 19.13 | ||||||||
Class I: | |||||||||||
Net Assets | $ | 975,469,497 | $ | 472,254,050 | |||||||
Shares authorized | unlimited | 100,000,000 | |||||||||
Par value | $ | 1.000 | $ | 0.001 | |||||||
Shares outstanding | 975,188,713 | 24,054,164 | |||||||||
Net asset value and redemption price per share | $ | 1.00 | $ | 19.63 | |||||||
Class S: | |||||||||||
Net Assets | $ | 134,083 | $ | 101,041,001 | |||||||
Shares authorized | unlimited | 100,000,000 | |||||||||
Par value | $ | 1.000 | $ | 0.001 | |||||||
Shares outstanding | 134,040 | 5,222,839 | |||||||||
Net asset value and redemption price per share | $ | 1.00 | $ | 19.35 | |||||||
Class S2: | |||||||||||
Net Assets | n/a | $ | 214,187 | ||||||||
Shares authorized | n/a | 100,000,000 | |||||||||
Par value | n/a | $ | 0.001 | ||||||||
Shares outstanding | n/a | 11,143 | |||||||||
Net asset value and redemption price per share | n/a | $ | 19.22 |
See Accompanying Notes to Financial Statements
20
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2012
ING Balanced Portfolio | ING BlackRock Science and Technology Opportunities Portfolio | ING Growth and Income Portfolio | ING Intermediate Bond Portfolio | ||||||||||||||||
INVESTMENT INCOME: | |||||||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 9,071,806 | $ | 3,219,935 | $ | 92,157,364 | $ | 843,348 | |||||||||||
Interest, net of foreign taxes withheld* | 8,024,526 | — | 42,267 | 98,202,270 | |||||||||||||||
Dividends from affiliated funds | — | — | — | 3,210,661 | |||||||||||||||
Securities lending income, net | 103,229 | 103,165 | 129,118 | 92,909 | |||||||||||||||
Total investment income | 17,199,561 | 3,323,100 | 92,328,749 | 102,349,188 | |||||||||||||||
EXPENSES: | |||||||||||||||||||
Investment management fees | 2,685,112 | 3,228,393 | 20,371,271 | 9,574,921 | |||||||||||||||
Distribution and shareholder service fees: | |||||||||||||||||||
Class ADV | — | 66,820 | 6,454,658 | 133,934 | |||||||||||||||
Class S | 15,040 | 539,661 | 2,016,218 | 3,105,176 | |||||||||||||||
Class S2 | — | 5,968 | 2,206 | 5,824 | |||||||||||||||
Transfer agent fees | 749 | 495 | 13,480 | 7,431 | |||||||||||||||
Administrative service fees | 295,356 | 186,903 | 2,240,180 | 1,316,519 | |||||||||||||||
Shareholder reporting expense | 47,979 | 81,666 | 323,200 | 188,302 | |||||||||||||||
Professional fees | 34,246 | 35,343 | 282,742 | 160,881 | |||||||||||||||
Custody and accounting expense | 288,606 | 71,776 | 359,534 | 491,706 | |||||||||||||||
Directors fees | 16,111 | 10,195 | 122,228 | 71,812 | |||||||||||||||
Miscellaneous expense | 40,037 | 24,334 | 232,126 | 125,450 | |||||||||||||||
Merger expense | — | 40,000 | — | — | |||||||||||||||
Interest expense | 2,148 | 209 | 2,720 | 1,229 | |||||||||||||||
Total expenses | 3,425,384 | 4,291,763 | 32,420,563 | 15,183,185 | |||||||||||||||
Net waived and reimbursed fees | — | (88,332 | ) | (645,850 | ) | (1,165 | ) | ||||||||||||
Net expenses | 3,425,384 | 4,203,431 | 31,774,713 | 15,182,020 | |||||||||||||||
Net investment income (loss) | 13,774,177 | (880,331 | ) | 60,554,036 | 87,167,168 | ||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investments | 26,094,809 | 15,756,146 | 200,741,438 | 91,559,873 | |||||||||||||||
Capital gain distributions from affiliated underlying funds | — | — | — | 662,976 | |||||||||||||||
Foreign currency related transactions | (1,048,650 | ) | 73,011 | (8,084 | ) | (3,821,494 | ) | ||||||||||||
Futures | 643,673 | — | 1,188,416 | (17,402,583 | ) | ||||||||||||||
Swaps | (3,966,112 | ) | — | — | (18,163,517 | ) | |||||||||||||
Written options | 317,743 | — | — | 943,234 | |||||||||||||||
Net realized gain | 22,041,463 | 15,829,157 | 201,921,770 | 53,778,489 | |||||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investments | 32,236,609 | 8,826,677 | 315,186,913 | 58,560,868 | |||||||||||||||
Affiliated funds | — | — | — | 9,120,341 | |||||||||||||||
Foreign currency related transactions | 122,763 | (397,851 | ) | (162 | ) | (1,609,933 | ) | ||||||||||||
Futures | 85,126 | — | — | 3,744,051 | |||||||||||||||
Swaps | 851,587 | — | — | 527,620 | |||||||||||||||
Written options | (99,026 | ) | — | — | (667,022 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) | 33,197,059 | 8,428,826 | 315,186,751 | 69,675,925 | |||||||||||||||
Net realized and unrealized gain | 55,238,522 | 24,257,983 | 517,108,521 | 123,454,414 | |||||||||||||||
Increase in net assets resulting from operations | $ | 69,012,699 | $ | 23,377,652 | $ | 577,662,557 | $ | 210,621,582 | |||||||||||
* Foreign taxes withheld | $ | 260,728 | $ | 9,972 | $ | 396,910 | $ | 687 |
See Accompanying Notes to Financial Statements
21
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2012
ING Money Market Portfolio | ING Small Company Portfolio | ||||||||||
INVESTMENT INCOME: | |||||||||||
Dividends, net of foreign taxes withheld* | $ | 16,059 | $ | 7,826,317 | |||||||
Interest | 3,942,941 | — | |||||||||
Securities lending income, net | — | 537,498 | |||||||||
Total investment income | 3,959,000 | 8,363,815 | |||||||||
EXPENSES: | |||||||||||
Investment management fees | 2,667,905 | 4,502,767 | |||||||||
Distribution and shareholder service fees: | |||||||||||
Class ADV | — | 31,513 | |||||||||
Class S | 449 | 272,999 | |||||||||
Class S2 | — | 1,090 | |||||||||
Transfer agent fees | 1,296 | 1,245 | |||||||||
Administrative service fees | 586,927 | 330,196 | |||||||||
Shareholder reporting expense | 92,449 | 42,172 | |||||||||
Professional fees | 77,821 | 49,131 | |||||||||
Custody and accounting expense | 124,781 | 80,520 | |||||||||
Directors fees | 32,031 | 18,011 | |||||||||
Miscellaneous expense | 60,824 | 46,724 | |||||||||
Interest expense | 100 | 1,318 | |||||||||
Total expenses | 3,644,583 | 5,377,686 | |||||||||
Net waived and reimbursed fees | (29,840 | ) | (218 | ) | |||||||
Net expenses | 3,614,743 | 5,377,468 | |||||||||
Net investment income | 344,257 | 2,986,347 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investments | 154,584 | 57,728,705 | |||||||||
Net realized gain | 154,584 | 57,728,705 | |||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||
Investments | — | 21,377,778 | |||||||||
Net change in unrealized appreciation (depreciation) | — | 21,377,778 | |||||||||
Net realized and unrealized gain | 154,584 | 79,106,483 | |||||||||
Increase in net assets resulting from operations | $ | 498,841 | $ | 82,092,830 | |||||||
* Foreign taxes withheld | $ | — | $ | 3,389 |
See Accompanying Notes to Financial Statements
22
STATEMENTS OF CHANGES IN NET ASSETS
ING Balanced Portfolio | ING BlackRock Science and Technology Opportunities Portfolio | ||||||||||||||||||
Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 13,774,177 | $ | 14,821,347 | $ | (880,331 | ) | $ | (1,389,324 | ) | |||||||||
Net realized gain | 22,041,463 | 23,761,184 | 15,829,157 | 47,315,931 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 33,197,059 | (46,020,484 | ) | 8,428,826 | (89,371,300 | ) | |||||||||||||
Increase (decrease) in net assets resulting from operations | 69,012,699 | (7,437,953 | ) | 23,377,652 | (43,444,693 | ) | |||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class I | (16,407,669 | ) | (15,869,939 | ) | (200,751 | ) | — | ||||||||||||
Class S | (165,089 | ) | (182,605 | ) | — | — | |||||||||||||
Class S2 | — | — | (1,921 | ) | — | ||||||||||||||
Net realized gains: | |||||||||||||||||||
Class ADV | — | — | (818,701 | ) | — | ||||||||||||||
Class I | — | — | (6,632,653 | ) | — | ||||||||||||||
Class S | — | — | (13,511,496 | ) | — | ||||||||||||||
Class S2 | — | — | (83,251 | ) | — | ||||||||||||||
Total distributions | (16,572,758 | ) | (16,052,544 | ) | (21,248,773 | ) | — | ||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 3,421,064 | 6,609,523 | 40,689,804 | 82,557,188 | |||||||||||||||
Reinvestment of distributions | 16,572,757 | 16,052,544 | 21,248,773 | — | |||||||||||||||
19,993,821 | 22,662,067 | 61,938,577 | 82,557,188 | ||||||||||||||||
Cost of shares redeemed | (77,456,866 | ) | (90,525,985 | ) | (79,779,419 | ) | (118,727,363 | ) | |||||||||||
Net decrease in net assets resulting from capital share transactions | (57,463,045 | ) | (67,863,918 | ) | (17,840,842 | ) | (36,170,175 | ) | |||||||||||
Net decrease in net assets | (5,023,104 | ) | (91,354,415 | ) | (15,711,963 | ) | (79,614,868 | ) | |||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 530,839,608 | 622,194,023 | 321,947,274 | 401,562,142 | |||||||||||||||
End of year or period | $ | 525,816,504 | $ | 530,839,608 | $ | 306,235,311 | $ | 321,947,274 | |||||||||||
Undistributed (distributions in excess of) net investment income/Accumulated net investment loss at end of year or period | $ | 11,818,189 | $ | 16,685,110 | $ | 86,139 | $ | (75,611 | ) |
See Accompanying Notes to Financial Statements
23
STATEMENTS OF CHANGES IN NET ASSETS
ING Growth and Income Portfolio | ING Intermediate Bond Portfolio | ||||||||||||||||||
Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 60,554,036 | $ | 46,966,555 | $ | 87,167,168 | $ | 103,984,079 | |||||||||||
Net realized gain | 201,921,770 | 21,471,346 | 53,778,489 | 126,279,384 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 315,186,751 | (157,910,038 | ) | 69,675,925 | (54,653,578 | ) | |||||||||||||
Increase (decrease) in net assets resulting from operations | 577,662,557 | (89,472,137 | ) | 210,621,582 | 175,609,885 | ||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | (17,283,832 | ) | (10,844,280 | ) | (1,377,112 | ) | (712,832 | ) | |||||||||||
Class I | (33,859,750 | ) | (24,719,662 | ) | (46,331,028 | ) | (53,618,661 | ) | |||||||||||
Class S | (12,215,984 | ) | (9,460,294 | ) | (52,405,250 | ) | (52,930,354 | ) | |||||||||||
Class S2 | (11,472 | ) | (1,636 | ) | (52,316 | ) | (43,906 | ) | |||||||||||
Total distributions | (63,371,038 | ) | (45,025,872 | ) | (100,165,706 | ) | (107,305,753 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 211,287,361 | 207,918,700 | 315,624,658 | 464,216,980 | |||||||||||||||
Proceeds from shares issued in merger (Note 14) | — | 1,845,801,824 | — | — | |||||||||||||||
Reinvestment of distributions | 63,344,871 | 45,005,585 | 100,145,495 | 107,285,977 | |||||||||||||||
274,632,232 | 2,098,726,109 | 415,770,153 | 571,502,957 | ||||||||||||||||
Cost of shares redeemed | (788,623,530 | ) | (814,449,911 | ) | (738,335,864 | ) | (683,342,402 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (513,991,298 | ) | 1,284,276,198 | (322,565,711 | ) | (111,839,445 | ) | ||||||||||||
Net increase (decrease) in net assets | 300,221 | 1,149,778,189 | (212,109,835 | ) | (43,535,313 | ) | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 3,890,144,109 | 2,740,365,920 | 2,470,794,288 | 2,514,329,601 | |||||||||||||||
End of year or period | $ | 3,890,444,330 | $ | 3,890,144,109 | $ | 2,258,684,453 | $ | 2,470,794,288 | |||||||||||
Undistributed (distributions in excess of) net investment income at end of year or period | $ | (466,290 | ) | $ | 1,954,141 | $ | (7,063,051 | ) | $ | 10,996,298 |
See Accompanying Notes to Financial Statements
24
STATEMENTS OF CHANGES IN NET ASSETS
ING Money Market Portfolio | ING Small Company Portfolio | ||||||||||||||||||
Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 344,257 | $ | 8,033 | $ | 2,986,347 | $ | 2,016,387 | |||||||||||
Net realized gain | 154,584 | 40,348 | 57,728,705 | 69,793,435 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | — | 149,401 | 21,377,778 | (89,171,385 | ) | ||||||||||||||
Increase (decrease) in net assets resulting from operations | 498,841 | 197,782 | 82,092,830 | (17,361,563 | ) | ||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | — | — | — | (22,163 | ) | ||||||||||||||
Class I | (344,254 | ) | (8,033 | ) | (1,896,687 | ) | (1,919,855 | ) | |||||||||||
Class S | — | — | (158,247 | ) | (267,549 | ) | |||||||||||||
Class S2 | — | — | (158 | ) | (696 | ) | |||||||||||||
Net realized gains: | |||||||||||||||||||
Class ADV | — | — | (231,384 | ) | — | ||||||||||||||
Class I | — | (46,849 | ) | (16,798,543 | ) | — | |||||||||||||
Class S | — | (11 | ) | (4,016,404 | ) | — | |||||||||||||
Class S2 | — | — | (8,048 | ) | — | ||||||||||||||
Return of capital: | |||||||||||||||||||
Class I | — | (165,438 | ) | — | — | ||||||||||||||
Class S | — | (40 | ) | — | — | ||||||||||||||
Total distributions | (344,254 | ) | (220,371 | ) | (23,109,471 | ) | (2,210,263 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 105,169,901 | 396,127,327 | 50,498,757 | 126,373,173 | |||||||||||||||
Reinvestment of distributions | 344,254 | 220,371 | 23,109,471 | 2,210,263 | |||||||||||||||
105,514,155 | 396,347,698 | 73,608,228 | 128,583,436 | ||||||||||||||||
Cost of shares redeemed | (306,536,128 | ) | (290,114,374 | ) | (150,976,912 | ) | (140,231,718 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (201,021,973 | ) | 106,233,324 | (77,368,684 | ) | (11,648,282 | ) | ||||||||||||
Net increase (decrease) in net assets | (200,867,386 | ) | 106,210,735 | (18,385,325 | ) | (31,220,108 | ) | ||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 1,176,470,966 | 1,070,260,231 | 598,107,387 | 629,327,495 | |||||||||||||||
End of year or period | $ | 975,603,580 | $ | 1,176,470,966 | $ | 579,722,062 | $ | 598,107,387 | |||||||||||
Undistributed (distributions in excess of) net investment income at end of year or period | $ | (131,928 | ) | $ | (131,931 | ) | $ | 2,945,290 | $ | 2,014,035 |
See Accompanying Notes to Financial Statements
25
FINANCIAL HIGHLIGHTS
Selected data for a share of beneficial interest outstanding throughout each year or period.
Income (loss) from investment operations | Less distributions | ||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | From return of capital | |||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||
ING Balanced Portfolio | |||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||
12-31-12 | 11.13 | 0.30 | • | 1.20 | 1.50 | 0.36 | — | — | |||||||||||||||||||||||
12-31-11 | 11.58 | 0.29 | • | (0.43 | ) | (0.14 | ) | 0.31 | — | — | |||||||||||||||||||||
12-31-10 | 10.42 | 0.27 | • | 1.19 | 1.46 | 0.30 | — | — | |||||||||||||||||||||||
12-31-09 | 9.18 | 0.24 | • | 1.43 | 1.67 | 0.43 | — | — | |||||||||||||||||||||||
12-31-08 | 14.45 | 0.40 | (4.07 | ) | (3.67 | ) | 0.45 | 1.15 | — | ||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||
12-31-12 | 11.05 | 0.27 | • | 1.21 | 1.48 | 0.33 | — | — | |||||||||||||||||||||||
12-31-11 | 11.50 | 0.26 | • | (0.43 | ) | (0.17 | ) | 0.28 | — | — | |||||||||||||||||||||
12-31-10 | 10.36 | 0.24 | 1.18 | 1.42 | 0.28 | — | — | ||||||||||||||||||||||||
12-31-09 | 9.12 | 0.21 | • | 1.43 | 1.64 | 0.40 | — | — | |||||||||||||||||||||||
12-31-08 | 14.36 | 0.34 | (4.02 | ) | (3.68 | ) | 0.41 | 1.15 | — | ||||||||||||||||||||||
ING BlackRock Science and Technology Opportunities Portfolio | |||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||
12-31-12 | 5.20 | (0.03 | ) | 0.43 | 0.40 | — | 0.33 | — | |||||||||||||||||||||||
12-31-11 | 5.83 | (0.03 | ) | (0.60 | ) | (0.63 | ) | — | — | — | |||||||||||||||||||||
12-31-10 | 4.94 | (0.03 | )• | 0.92 | 0.89 | — | — | — | |||||||||||||||||||||||
12-31-09 | 3.25 | (0.02 | ) | 1.71 | 1.69 | — | — | — | |||||||||||||||||||||||
12-16-08(5)-12-31-08 | 3.29 | (0.01 | ) | (0.03 | ) | (0.04 | ) | — | — | — | |||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||
12-31-12 | 5.32 | (0.01 | ) | 0.45 | 0.44 | 0.01 | 0.33 | — | |||||||||||||||||||||||
12-31-11 | 5.94 | (0.01 | ) | (0.61 | ) | (0.62 | ) | — | — | — | |||||||||||||||||||||
12-31-10 | 5.01 | (0.01 | ) | 0.94 | 0.93 | — | — | — | |||||||||||||||||||||||
12-31-09 | 3.28 | (0.01 | ) | 1.74 | 1.73 | — | — | — | |||||||||||||||||||||||
12-31-08 | 5.45 | 0.00 | * | (2.17 | ) | (2.17 | ) | — | — | — | |||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||
12-31-12 | 5.24 | (0.02 | ) | 0.44 | 0.42 | — | 0.33 | — | |||||||||||||||||||||||
12-31-11 | 5.86 | (0.03 | ) | (0.59 | ) | (0.62 | ) | — | — | — | |||||||||||||||||||||
12-31-10 | 4.96 | (0.02 | ) | 0.92 | 0.90 | — | — | — | |||||||||||||||||||||||
12-31-09 | 3.25 | (0.02 | ) | 1.73 | 1.71 | — | — | — | |||||||||||||||||||||||
12-31-08 | 5.42 | (0.01 | ) | (2.16 | ) | (2.17 | ) | — | — | — | |||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||
12-31-12 | 5.22 | (0.02 | ) | 0.43 | 0.41 | 0.01 | 0.33 | — | |||||||||||||||||||||||
12-31-11 | 5.85 | (0.02 | ) | (0.61 | ) | (0.63 | ) | — | — | — | |||||||||||||||||||||
12-31-10 | 4.95 | (0.03 | )• | 0.93 | 0.90 | — | — | — | |||||||||||||||||||||||
02-27-09(5)-12-31-09 | 3.01 | (0.02 | )• | 1.96 | 1.94 | — | — | — | |||||||||||||||||||||||
ING Growth and Income Portfolio | |||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||
12-31-12 | 21.39 | 0.29 | • | 2.97 | 3.26 | 0.34 | — | — | |||||||||||||||||||||||
12-31-11 | 21.74 | 0.22 | (0.38 | ) | (0.16 | ) | 0.19 | — | — | ||||||||||||||||||||||
12-31-10 | 19.31 | 0.15 | • | 2.47 | 2.62 | 0.19 | — | — | |||||||||||||||||||||||
12-31-09 | 15.04 | 0.18 | • | 4.29 | 4.47 | 0.20 | — | — | |||||||||||||||||||||||
12-31-08 | 24.61 | 0.23 | • | (9.58 | ) | (9.35 | ) | 0.22 | — | — | |||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||
12-31-12 | 21.59 | 0.40 | • | 3.00 | 3.40 | 0.45 | — | — | |||||||||||||||||||||||
12-31-11 | 21.94 | 0.31 | • | (0.37 | ) | (0.06 | ) | 0.29 | — | — | |||||||||||||||||||||
12-31-10 | 19.42 | 0.22 | 2.53 | 2.75 | 0.23 | — | — | ||||||||||||||||||||||||
12-31-09 | 15.11 | 0.27 | • | 4.30 | 4.57 | 0.26 | — | — | |||||||||||||||||||||||
12-31-08 | 24.76 | 0.36 | (9.69 | ) | (9.33 | ) | 0.32 | — | — | ||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||
12-31-12 | 21.40 | 0.34 | • | 2.97 | 3.31 | 0.39 | — | — | |||||||||||||||||||||||
12-31-11 | 21.77 | 0.24 | • | (0.35 | ) | (0.11 | ) | 0.26 | — | — | |||||||||||||||||||||
12-31-10 | 19.28 | 0.18 | 2.48 | 2.66 | 0.17 | — | — | ||||||||||||||||||||||||
12-31-09 | 15.00 | 0.19 | 4.32 | 4.51 | 0.23 | — | — | ||||||||||||||||||||||||
12-31-08 | 24.63 | 0.25 | • | (9.58 | ) | (9.33 | ) | 0.30 | — | — |
Ratios to average net assets | Supplemental data | ||||||||||||||||||||||||||||||||||||||||||
Total distributions | Payment by affiliate | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/additions(2)(3)(4) | Expenses net of fee waivers and/or recoupments if any(2)(3)(4) | Expense net of all reductions/additions(2)(3)(4) | Net investment income (loss)(2)(4) | Net assets, end of year or period | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | |||||||||||||||||||||||||||||||||
ING Balanced Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.36 | — | 12.27 | 13.64 | 0.64 | 0.64 | 0.64 | 2.57 | 520,249 | 234 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.31 | — | 11.13 | (1.40 | ) | 0.65 | 0.65 | 0.65 | 2.51 | 524,887 | 259 | ||||||||||||||||||||||||||||||||
12-31-10 | 0.30 | — | 11.58 | 14.22 | 0.62 | 0.62 | † | 0.62 | † | 2.47 | † | 614,261 | 328 | ||||||||||||||||||||||||||||||
12-31-09 | 0.43 | — | 10.42 | 19.23 | 0.63 | 0.63 | † | 0.63 | † | 2.55 | † | 631,106 | 337 | ||||||||||||||||||||||||||||||
12-31-08 | 1.60 | — | 9.18 | (28.10 | ) | 0.62 | 0.62 | † | 0.62 | † | 2.97 | † | 602,815 | 294 | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.33 | — | 12.20 | 13.49 | 0.89 | 0.89 | 0.89 | 2.32 | 5,567 | 234 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.28 | — | 11.05 | (1.66 | ) | 0.90 | 0.90 | 0.90 | 2.25 | 5,953 | 259 | ||||||||||||||||||||||||||||||||
12-31-10 | 0.28 | — | 11.50 | 13.87 | 0.87 | 0.87 | † | 0.87 | † | 2.22 | † | 7,933 | 328 | ||||||||||||||||||||||||||||||
12-31-09 | 0.40 | — | 10.36 | 18.94 | 0.88 | 0.88 | † | 0.88 | † | 2.30 | † | 7,374 | 337 | ||||||||||||||||||||||||||||||
12-31-08 | 1.56 | — | 9.12 | (28.28 | ) | 0.87 | 0.87 | † | 0.87 | † | 2.73 | † | 6,684 | 294 | |||||||||||||||||||||||||||||
ING BlackRock Science and Technology Opportunities Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.33 | — | 5.27 | 7.30 | 1.58 | 1.56 | 1.56 | (0.56 | ) | 14,219 | 264 | ||||||||||||||||||||||||||||||||
12-31-11 | — | — | 5.20 | (10.81 | ) | 1.56 | 1.55 | 1.55 | (0.66 | ) | 9,905 | 148 | |||||||||||||||||||||||||||||||
12-31-10 | — | — | 5.83 | 18.02 | 1.55 | 1.55 | 1.55 | (0.66 | ) | 5,609 | 52 | ||||||||||||||||||||||||||||||||
12-31-09 | — | — | 4.94 | 52.00 | 1.57 | 1.55 | 1.55 | (0.92 | ) | 54 | 74 | ||||||||||||||||||||||||||||||||
12-16-08(5)-12-31-08 | — | — | 3.25 | (1.22 | ) | 1.58 | 1.56 | 1.56 | (2.08 | ) | 3 | 137 | |||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.34 | — | 5.42 | 7.89 | 1.08 | 1.06 | 1.06 | (0.08 | ) | 97,315 | 264 | ||||||||||||||||||||||||||||||||
12-31-11 | — | — | 5.32 | (10.44 | ) | 1.06 | 1.05 | 1.05 | (0.18 | ) | 105,891 | 148 | |||||||||||||||||||||||||||||||
12-31-10 | — | — | 5.94 | 18.56 | 1.05 | 1.05 | 1.05 | (0.20 | ) | 121,443 | 52 | ||||||||||||||||||||||||||||||||
12-31-09 | — | — | 5.01 | 52.74 | 1.07 | 1.05 | 1.05 | (0.13 | ) | 100,726 | 74 | ||||||||||||||||||||||||||||||||
12-31-08 | — | — | 3.28 | (39.82 | ) | 1.08 | 1.06 | 1.06 | 0.09 | 55,899 | 137 | ||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.33 | — | 5.33 | 7.63 | 1.33 | 1.31 | 1.31 | (0.33 | ) | 193,263 | 264 | ||||||||||||||||||||||||||||||||
12-31-11 | — | — | 5.24 | (10.58 | ) | 1.31 | 1.30 | 1.30 | (0.43 | ) | 205,905 | 148 | |||||||||||||||||||||||||||||||
12-31-10 | — | — | 5.86 | 18.15 | 1.30 | 1.30 | 1.30 | (0.45 | ) | 274,471 | 52 | ||||||||||||||||||||||||||||||||
12-31-09 | — | — | 4.96 | 52.62 | 1.32 | 1.30 | 1.30 | (0.41 | ) | 230,138 | 74 | ||||||||||||||||||||||||||||||||
12-31-08 | — | — | 3.25 | (40.04 | ) | 1.33 | 1.31 | 1.31 | (0.02 | ) | 89,548 | 137 | |||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.34 | — | 5.29 | 7.41 | 1.58 | 1.46 | 1.46 | (0.43 | ) | 1,439 | 264 | ||||||||||||||||||||||||||||||||
12-31-11 | — | — | 5.22 | (10.77 | ) | 1.56 | 1.45 | 1.45 | (0.56 | ) | 246 | 148 | |||||||||||||||||||||||||||||||
12-31-10 | — | — | 5.85 | 18.18 | 1.55 | 1.45 | 1.45 | (0.51 | ) | 40 | 52 | ||||||||||||||||||||||||||||||||
02-27-09(5)-12-31-09 | — | — | 4.95 | 64.45 | 1.57 | 1.45 | 1.45 | (0.56 | ) | 5 | 74 | ||||||||||||||||||||||||||||||||
ING Growth and Income Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.34 | — | 24.31 | 15.24 | 1.09 | 1.04 | 1.04 | 1.23 | 1,251,577 | 57 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.19 | — | 21.39 | (0.72 | ) | 1.08 | 1.03 | 1.03 | 1.03 | 1,221,084 | 75 | ||||||||||||||||||||||||||||||||
12-31-10 | 0.19 | — | 21.74 | 13.55 | 1.10 | 1.10 | † | 1.10 | † | 0.77 | † | 6,037 | 117 | ||||||||||||||||||||||||||||||
12-31-09 | 0.20 | — | 19.31 | 29.69 | 1.11 | 1.11 | † | 1.11 | † | 1.10 | † | 1,302 | 104 | ||||||||||||||||||||||||||||||
12-31-08 | 0.22 | — | 15.04 | (37.94 | )(a) | 1.10 | 1.10 | † | 1.10 | † | 1.14 | † | 791 | 169 | |||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.45 | — | 24.54 | 15.78 | 0.59 | 0.59 | 0.59 | 1.68 | 1,865,425 | 57 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.29 | — | 21.59 | (0.27 | ) | 0.58 | 0.58 | 0.58 | 1.39 | 1,873,712 | 75 | ||||||||||||||||||||||||||||||||
12-31-10 | 0.23 | — | 21.94 | 14.14 | 0.60 | 0.60 | † | 0.60 | † | 1.12 | † | 2,253,794 | 117 | ||||||||||||||||||||||||||||||
12-31-09 | 0.26 | — | 19.42 | 30.24 | 0.61 | 0.61 | † | 0.61 | † | 1.60 | † | 2,090,019 | 104 | ||||||||||||||||||||||||||||||
12-31-08 | 0.32 | — | 15.11 | (37.63 | )(a) | 0.60 | 0.60 | † | 0.60 | † | 1.64 | † | 1,622,085 | 169 | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.39 | — | 24.32 | 15.47 | 0.84 | 0.84 | 0.84 | 1.42 | 772,713 | 57 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.26 | — | 21.40 | (0.51 | ) | 0.83 | 0.83 | 0.83 | 1.13 | 795,131 | 75 | ||||||||||||||||||||||||||||||||
12-31-10 | 0.17 | — | 21.77 | 13.81 | 0.85 | 0.85 | † | 0.85 | † | 0.87 | † | 480,529 | 117 | ||||||||||||||||||||||||||||||
12-31-09 | 0.23 | — | 19.28 | 30.03 | 0.86 | 0.86 | † | 0.86 | † | 1.34 | † | 481,897 | 104 | ||||||||||||||||||||||||||||||
12-31-08 | 0.30 | — | 15.00 | (37.82 | )(a) | 0.85 | 0.85 | † | 0.85 | † | 1.44 | † | 290,152 | 169 |
See Accompanying Notes to Financial Statements
26
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share of beneficial interest outstanding throughout each year or period.
Income (loss) from investment operations | Less distributions | ||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | From return of capital | |||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||
ING Growth and Income Portfolio (continued) | |||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||
12-31-12 | 21.23 | 0.35 | • | 2.90 | 3.25 | 0.40 | — | — | |||||||||||||||||||||||
12-31-11 | 21.52 | 0.41 | • | (0.54 | ) | (0.13 | ) | 0.16 | — | — | |||||||||||||||||||||
12-31-10 | 19.26 | 0.14 | 2.28 | 2.42 | 0.16 | — | — | ||||||||||||||||||||||||
02-27-09(5)-12-31-09 | 12.69 | (0.06 | )• | 6.72 | 6.66 | 0.09 | — | — | |||||||||||||||||||||||
ING Intermediate Bond Portfolio | |||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||
12-31-12 | 12.34 | 0.42 | • | 0.67 | 1.09 | 0.55 | — | — | |||||||||||||||||||||||
12-31-11 | 12.04 | 0.47 | • | 0.38 | 0.85 | 0.55 | — | — | |||||||||||||||||||||||
12-31-10 | 11.62 | 0.57 | • | 0.48 | 1.05 | 0.63 | — | — | |||||||||||||||||||||||
12-31-09 | 11.12 | 0.47 | 0.76 | 1.23 | 0.73 | — | — | ||||||||||||||||||||||||
12-31-08 | 13.23 | 0.58 | (1.77 | ) | (1.19 | ) | 0.62 | 0.30 | — | ||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||
12-31-12 | 12.40 | 0.49 | • | 0.67 | 1.16 | 0.60 | — | — | |||||||||||||||||||||||
12-31-11 | 12.07 | 0.54 | • | 0.37 | 0.91 | 0.58 | — | — | |||||||||||||||||||||||
12-31-10 | 11.57 | 0.61 | • | 0.53 | 1.14 | 0.64 | — | — | |||||||||||||||||||||||
12-31-09 | 11.08 | 0.53 | • | 0.75 | 1.28 | 0.79 | — | — | |||||||||||||||||||||||
12-31-08 | 13.22 | 0.64 | • | (1.73 | ) | (1.09 | ) | 0.75 | 0.30 | — | |||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||
12-31-12 | 12.34 | 0.45 | • | 0.67 | 1.12 | 0.57 | — | — | |||||||||||||||||||||||
12-31-11 | 12.01 | 0.51 | • | 0.37 | 0.88 | 0.55 | — | — | |||||||||||||||||||||||
12-31-10 | 11.52 | 0.57 | • | 0.52 | 1.09 | 0.60 | — | — | |||||||||||||||||||||||
12-31-09 | 11.00 | 0.50 | • | 0.75 | 1.25 | 0.73 | — | — | |||||||||||||||||||||||
12-31-08 | 13.14 | 0.60 | • | (1.72 | ) | (1.12 | ) | 0.72 | 0.30 | — | |||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||
12-31-12 | 12.37 | 0.41 | 0.69 | 1.10 | 0.55 | — | — | ||||||||||||||||||||||||
12-31-11 | 12.08 | 0.52 | • | 0.34 | 0.86 | 0.57 | — | — | |||||||||||||||||||||||
12-31-10 | 11.59 | 0.55 | • | 0.53 | 1.08 | 0.59 | — | — | |||||||||||||||||||||||
02-27-09(5)-12-31-09 | 10.79 | 0.42 | • | 1.15 | 1.57 | 0.77 | — | — | |||||||||||||||||||||||
ING Money Market Portfolio(b) | |||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||
12-31-12 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | — | — | ||||||||||||||||||||
12-31-11 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | ||||||||||||||||||
12-31-10 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | — | 0.00 | * | |||||||||||||||||||
12-31-09 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | — | |||||||||||||||||||
12-31-08 | 1.05 | 0.02 | 0.00 | * | 0.02 | 0.07 | — | — | |||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||
12-31-12 | 1.00 | (0.00 | )* | 0.00 | * | 0.00 | * | — | — | — | |||||||||||||||||||||
12-31-11 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | — | 0.00 | * | 0.00 | * | ||||||||||||||||||||
03-15-10(5)-12-31-10 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | 0.00 | * | — | — | ||||||||||||||||||||
ING Small Company Portfolio | |||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||
12-31-12 | 17.39 | 0.01 | 2.41 | 2.42 | — | 0.68 | — | ||||||||||||||||||||||||
12-31-11 | 17.98 | (0.02 | )• | (0.51 | ) | (0.53 | ) | 0.06 | — | — | |||||||||||||||||||||
12-31-10 | 14.60 | 0.04 | • | 3.42 | 3.46 | 0.08 | — | — | |||||||||||||||||||||||
12-31-09 | 11.58 | 0.08 | • | 3.02 | 3.10 | 0.08 | — | — | |||||||||||||||||||||||
12-16-08(5)-12-31-08 | 11.13 | 0.00 | *• | 0.45 | 0.45 | — | — | — | |||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||
12-31-12 | 17.82 | 0.10 | • | 2.47 | 2.57 | 0.08 | 0.68 | — | |||||||||||||||||||||||
12-31-11 | 18.34 | 0.07 | (0.52 | ) | (0.45 | ) | 0.07 | — | — | ||||||||||||||||||||||
12-31-10 | 14.82 | 0.09 | 3.52 | 3.61 | 0.09 | — | — | ||||||||||||||||||||||||
12-31-09 | 11.70 | 0.09 | 3.11 | 3.20 | 0.08 | — | — | ||||||||||||||||||||||||
12-31-08 | 19.56 | 0.11 | • | (5.52 | ) | (5.41 | ) | 0.18 | 2.27 | — |
Ratios to average net assets | Supplemental data | ||||||||||||||||||||||||||||||||||||||||||
Total distributions | Payment by affiliate | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/additions(2)(3)(4) | Expenses net of fee waivers and/or recoupments if any(2)(3)(4) | Expense net of all reductions/additions(2)(3)(4) | Net investment income (loss)(2)(4) | Net assets, end of year or period | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | |||||||||||||||||||||||||||||||||
ING Growth and Income Portfolio (continued) | |||||||||||||||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.40 | — | 24.08 | 15.30 | 1.09 | 0.99 | 0.99 | 1.47 | 728 | 57 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.16 | — | 21.23 | (0.59 | ) | 1.08 | 0.98 | 0.98 | 1.99 | 217 | 75 | ||||||||||||||||||||||||||||||||
12-31-10 | 0.16 | — | 21.52 | 12.55 | 1.10 | 1.00 | † | 1.00 | † | 0.72 | † | 5 | 117 | ||||||||||||||||||||||||||||||
02-27-09(5)-12-31-09 | 0.09 | — | 19.26 | 52.46 | 1.11 | 1.01 | † | 1.01 | † | (0.39 | )† | 5 | 104 | ||||||||||||||||||||||||||||||
ING Intermediate Bond Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.55 | — | 12.88 | 8.85 | 1.00 | 1.00 | 1.00 | 3.25 | 34,473 | 425 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.55 | — | 12.34 | 7.04 | 1.00 | 1.00 | 1.00 | 3.76 | 16,953 | 456 | |||||||||||||||||||||||||||||||||
12-31-10 | 0.63 | — | 12.04 | 9.01 | 1.00 | 1.00 | † | 1.00 | † | 4.56 | † | 4,315 | 438 | ||||||||||||||||||||||||||||||
12-31-09 | 0.73 | — | 11.62 | 11.08 | 1.01 | 1.01 | † | 1.01 | † | 4.08 | † | 1 | 692 | ||||||||||||||||||||||||||||||
12-31-08 | 0.92 | — | 11.12 | (9.16 | ) | 1.01 | 1.00 | † | 1.00 | † | 4.58 | † | 1 | 666 | |||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.60 | — | 12.96 | 9.39 | 0.50 | 0.50 | 0.50 | 3.78 | 1,001,255 | 425 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.58 | — | 12.40 | 7.54 | 0.50 | 0.50 | 0.50 | 4.31 | 1,205,691 | 456 | |||||||||||||||||||||||||||||||||
12-31-10 | 0.64 | — | 12.07 | 9.84 | 0.50 | 0.50 | † | 0.50 | † | 4.93 | † | 1,217,280 | 438 | ||||||||||||||||||||||||||||||
12-31-09 | 0.79 | — | 11.57 | 11.57 | 0.51 | 0.51 | † | 0.51 | † | 4.62 | † | 1,236,593 | 692 | ||||||||||||||||||||||||||||||
12-31-08 | 1.05 | — | 11.08 | (8.41 | ) | 0.51 | 0.50 | † | 0.50 | † | 5.05 | † | 1,803,886 | 666 | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.57 | — | 12.89 | 9.08 | 0.75 | 0.75 | 0.75 | 3.52 | 1,221,680 | 425 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.55 | — | 12.34 | 7.30 | 0.75 | 0.75 | 0.75 | 4.09 | 1,247,149 | 456 | |||||||||||||||||||||||||||||||||
12-31-10 | 0.60 | — | 12.01 | 9.51 | 0.75 | 0.75 | † | 0.75 | † | 4.67 | † | 1,292,731 | 438 | ||||||||||||||||||||||||||||||
12-31-09 | 0.73 | — | 11.52 | 11.38 | 0.76 | 0.76 | † | 0.76 | † | 4.41 | † | 1,279,655 | 692 | ||||||||||||||||||||||||||||||
12-31-08 | 1.02 | — | 11.00 | (8.73 | ) | 0.76 | 0.75 | † | 0.75 | † | 4.82 | † | 1,153,518 | 666 | |||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.55 | — | 12.92 | 8.93 | 1.00 | 0.90 | 0.90 | 3.37 | 1,277 | 425 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.57 | — | 12.37 | 7.14 | 1.00 | 0.90 | 0.90 | 4.20 | 1,001 | 456 | |||||||||||||||||||||||||||||||||
12-31-10 | 0.59 | — | 12.08 | 9.29 | 1.00 | 0.90 | † | 0.90 | † | 4.50 | † | 3 | 438 | ||||||||||||||||||||||||||||||
02-27-09(5)-12-31-09 | 0.77 | — | 11.59 | 14.59 | 1.01 | 0.91 | † | 0.91 | † | 4.31 | † | 3 | 692 | ||||||||||||||||||||||||||||||
ING Money Market Portfolio(b) | |||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.00 | * | — | 1.00 | 0.03 | 0.34 | 0.34 | 0.34 | 0.03 | 975,469 | — | ||||||||||||||||||||||||||||||||
12-31-11 | 0.00 | * | — | 1.00 | 0.02 | 0.34 | 0.26 | 0.26 | 0.00 | * | 1,176,157 | — | |||||||||||||||||||||||||||||||
12-31-10 | 0.00 | * | — | 1.00 | 0.24 | 0.34 | 0.31 | † | 0.31 | † | 0.02 | † | 1,069,947 | — | |||||||||||||||||||||||||||||
12-31-09 | 0.00 | * | — | 1.00 | 0.33 | 0.37 | 0.37 | 0.37 | 0.25 | 1,328,429 | — | ||||||||||||||||||||||||||||||||
12-31-08 | 0.07 | — | 1.00 | 2.67 | 0.35 | 0.35 | 0.35 | 2.66 | 1,798,833 | — | |||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | — | — | 1.00 | 0.00 | 0.59 | 0.36 | 0.36 | 0.01 | 134 | — | |||||||||||||||||||||||||||||||||
12-31-11 | 0.00 | * | — | 1.00 | 0.02 | 0.59 | 0.26 | 0.26 | 0.00 | * | 314 | — | |||||||||||||||||||||||||||||||
03-15-10(5)-12-31-10 | 0.00 | * | — | 1.00 | 0.00 | 0.59 | 0.36 | † | 0.36 | † | 0.00 | *† | 313 | — | |||||||||||||||||||||||||||||
ING Small Company Portfolio | |||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.68 | — | 19.13 | 14.01 | 1.35 | 1.35 | 1.35 | 0.06 | 6,213 | 49 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.06 | — | 17.39 | (2.99 | ) | 1.35 | 1.35 | 1.35 | (0.10 | ) | 5,938 | 61 | |||||||||||||||||||||||||||||||
12-31-10 | 0.08 | — | 17.98 | 23.75 | 1.34 | 1.34 | † | 1.34 | † | 0.25 | † | 3,253 | 86 | ||||||||||||||||||||||||||||||
12-31-09 | 0.08 | — | 14.60 | 26.96 | 1.36 | 1.36 | † | 1.36 | † | 0.67 | † | 36 | 128 | ||||||||||||||||||||||||||||||
12-16-08(5)-12-31-08 | — | — | 11.58 | 4.04 | 1.35 | 1.35 | † | 1.35 | † | 0.65 | † | 3 | 145 | ||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.76 | — | 19.63 | 14.52 | 0.85 | 0.85 | 0.85 | 0.55 | 472,254 | 49 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.07 | — | 17.82 | (2.49 | ) | 0.85 | 0.85 | 0.85 | 0.38 | 483,473 | 61 | ||||||||||||||||||||||||||||||||
12-31-10 | 0.09 | — | 18.34 | 24.38 | 0.84 | 0.84 | † | 0.84 | † | 0.51 | † | 503,739 | 86 | ||||||||||||||||||||||||||||||
12-31-09 | 0.08 | — | 14.82 | 27.56 | 0.86 | 0.86 | † | 0.86 | † | 0.67 | † | 437,930 | 128 | ||||||||||||||||||||||||||||||
12-31-08 | 2.45 | — | 11.70 | (31.05 | ) | 0.85 | 0.85 | † | 0.85 | † | 0.71 | † | 420,626 | 145 |
See Accompanying Notes to Financial Statements
27
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share of beneficial interest outstanding throughout each year or period.
Income (loss) from investment operations | Less distributions | ||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | From return of capital | |||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||
ING Small Company Portfolio (continued) | |||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||
12-31-12 | 17.57 | 0.05 | • | 2.44 | 2.49 | 0.03 | 0.68 | — | |||||||||||||||||||||||
12-31-11 | 18.09 | 0.02 | (0.50 | ) | (0.48 | ) | 0.04 | — | — | ||||||||||||||||||||||
12-31-10 | 14.64 | 0.04 | 3.47 | 3.51 | 0.06 | — | — | ||||||||||||||||||||||||
12-31-09 | 11.57 | 0.05 | • | 3.09 | 3.14 | 0.07 | — | — | |||||||||||||||||||||||
12-31-08 | 19.39 | 0.09 | • | (5.50 | ) | (5.41 | ) | 0.14 | 2.27 | — | |||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||
12-31-12 | 17.47 | 0.03 | 2.41 | 2.44 | 0.01 | 0.68 | — | ||||||||||||||||||||||||
12-31-11 | 18.04 | 0.01 | • | (0.52 | ) | (0.51 | ) | 0.06 | — | — | |||||||||||||||||||||
12-31-10 | 14.61 | 0.06 | • | 3.42 | 3.48 | 0.05 | — | — | |||||||||||||||||||||||
02-27-09(5)-12-31-09 | 9.27 | 0.03 | • | 5.39 | 5.42 | 0.08 | — | — |
Ratios to average net assets | Supplemental data | ||||||||||||||||||||||||||||||||||||||||||
Total distributions | Payment by affiliate | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/additions(2)(3)(4) | Expenses net of fee waivers and/or recoupments if any(2)(3)(4) | Expense net of all reductions/additions(2)(3)(4) | Net investment income (loss)(2)(4) | Net assets, end of year or period | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000's) | (%) | |||||||||||||||||||||||||||||||||
ING Small Company Portfolio (continued) | |||||||||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.71 | — | 19.35 | 14.26 | 1.10 | 1.10 | 1.10 | 0.28 | 101,041 | 49 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.04 | — | 17.57 | (2.68 | ) | 1.10 | 1.10 | 1.10 | 0.12 | 108,502 | 61 | ||||||||||||||||||||||||||||||||
12-31-10 | 0.06 | — | 18.09 | 24.00 | 1.09 | 1.09 | † | 1.09 | † | 0.29 | † | 122,286 | 86 | ||||||||||||||||||||||||||||||
12-31-09 | 0.07 | — | 14.64 | 27.33 | 1.11 | 1.11 | † | 1.11 | † | 0.43 | † | 78,790 | 128 | ||||||||||||||||||||||||||||||
12-31-08 | 2.41 | — | 11.57 | (31.28 | ) | 1.10 | 1.10 | † | 1.10 | † | 0.71 | † | 44,764 | 145 | |||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 0.69 | — | 19.22 | 14.08 | 1.35 | 1.25 | 1.25 | 0.16 | 214 | 49 | |||||||||||||||||||||||||||||||||
12-31-11 | 0.06 | — | 17.47 | (2.85 | ) | 1.35 | 1.25 | 1.25 | 0.04 | 195 | 61 | ||||||||||||||||||||||||||||||||
12-31-10 | 0.05 | — | 18.04 | 23.85 | 1.34 | 1.24 | † | 1.24 | † | 0.40 | † | 50 | 86 | ||||||||||||||||||||||||||||||
02-27-09(5)-12-31-09 | 0.08 | — | 14.61 | 58.73 | 1.36 | 1.26 | † | 1.26 | † | 0.27 | † | 5 | 128 |
(1) Total return is calculated assuming reinvestment of all dividends, capital gain distributions and return of capital distributions, if any, at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized.
(2) Annualized for periods less than one year.
(3) Expense ratios do not include fees and expenses charged under the variable annuity contract or variable life insurance policy.
(4) Expense ratios reflect operating expenses of a Portfolio. Expenses before reductions/additions do not reflect amounts reimbursed by an Investment Adviser and/or Distributor or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by a Portfolio during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by an Investment Adviser and/or Distributor but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Portfolio. Net investment income (loss) is net of all such additions or reductions.
(5) Commencement of operations.
(a) There was no impact on total return by the affiliate payment.
(b) NAV and per share amounts have been restated to reflect the stock split that occurred on October 7, 2008. Effective October 7, 2008, the Portfolio converted to a stable share price of $1.00 per share. In connection with this change, the Portfolio utilized a stock split and distributed additional shares to its shareholders (adjustment factor: 12.926 shares to 1 share) such that each shareholder's proportionate interest and aggregate value of investment in the Portfolio remained the same.
• Calculated using average number of shares outstanding throughout the period.
* Amount is less than $0.005 or 0.005% or more than $(0.005) or (0.005)%.
† Impact of waiving the advisory fee for the ING Institutional Prime Money Market Fund holding has less than 0.005% impact on the expense ratio and net investment income or loss ratio.
See Accompanying Notes to Financial Statements
28
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012
NOTE 1 — ORGANIZATION
The ING Variable Product Funds are comprised of ING Balanced Portfolio, Inc., ING Variable Funds, ING Variable Portfolios, Inc., ING Intermediate Bond Portfolio, and ING Money Market Portfolio (collectively, "Registrants"), all of which are open-end investment management companies registered under the Investment Company Act of 1940, as amended ("1940 Act" or "Act").
ING Balanced Portfolio, Inc. is a company incorporated under the laws of Maryland on December 14, 1988 with one diversified series, ING Balanced Portfolio ("Balanced"). ING Variable Funds is a business trust formed under the laws of Massachusetts on January 25, 1984 with one diversified series, ING Growth and Income Portfolio ("Growth and Income"). ING Variable Portfolios, Inc. is a company incorporated under the laws of Maryland on June 4, 1996 and has twenty separate active diversified and non-diversified series. The two diversified series that are in this report are: ING Small Company Portfolio ("Small Company") and ING BlackRock Science and Technology Opportunities Portfolio ("Science and Technology Opportunities"). ING Intermediate Bond Portfolio is a business trust formed under the laws of Massachusetts on January 25, 1984 with one diversified series, ING Intermediate Bond Portfolio ("Intermediate Bond"). ING Money Market Portfolio is a business trust formed under the laws of Massachusetts on January 25, 1984 with one diversified series, ING Money Market Portfolio ("Money Market"). Each of the portfolios is a "Portfolio" and collectively, they are the "Portfolios."
Each Portfolio offers at least two of the following classes of shares: Adviser ("ADV") Class, Class I, Class S and Service 2 Class (Class "S2") shares. Each class has equal rights as to class and voting privileges. The classes differ principally in the applicable distribution and shareholder service fees. Shareholders of each class also bear certain expenses that pertain to that particular class. All shareholders bear the common expenses of the Portfolios and earn income and realized gains/losses from the Portfolios pro rata based on the average daily net assets of each class, without distinction between share classes. Expenses that are specific to a portfolio or a class are charged directly to that portfolio or class. Other operating expenses shared by several portfolios are generally allocated among those portfolios based on average net assets. Distributions are determined separately for each class based on income and expenses allocable to each class. Realized gain distributions are allocated to each class pro rata based on the shares outstanding of each class on the date of distribution. Differences in per share dividend rates generally result
from differences in separate class expenses, including distribution and shareholder service fees, if applicable.
During the period, Small Company was closed to new shareholders, except for shares purchased by: (1) certain insurance company separate accounts that are currently offering the Portfolio as an investment option under Variable Contracts; (2) certain Qualified Plans outside the separate account context; (3) custodial accounts; (4) certain investment advisers and their affiliates in connection with the creation or management of the Portfolio; and (5) registered investment companies. The closure did not affect share purchases through the reinvestment of dividends and distributions. Effective December 14, 2012, the Portfolio re-opened to new shareholders.
ING Investments, LLC serves as the investment adviser ("ING Investments" or the "Investment Adviser") to the Portfolios. ING Investment Management Co. LLC ("ING IM") serves as the sub-adviser to each of the Portfolios except Science and Technology Opportunities. ING Funds Services, LLC serves as the administrator ("IFS" or the "Administrator") for the Portfolios. ING Investments Distributor, LLC ("IID" or the "Distributor") serves as the principal underwriter to the Portfolios.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are consistently followed by the Portfolios in the preparation of their financial statements. Such policies are in conformity with U.S. generally accepted accounting principles ("GAAP") for investment companies.
A. Security Valuation. All investments in securities are recorded at their estimated fair value, as described below. Investments in equity securities traded on a national securities exchange are valued at the last reported sale price. Securities reported by NASDAQ are valued at the NASDAQ official closing prices. Securities traded on an exchange or NASDAQ for which there has been no sale and securities traded in the over-the-counter-market are valued at the mean between the last reported bid and ask prices. All investments quoted in foreign currencies are valued daily in U.S. dollars on the basis of the foreign currency exchange rates prevailing at that time. Debt securities acquired with more than 60 days to maturity are valued using matrix pricing methods determined by an independent pricing service which takes into consideration such factors as yields, maturities, liquidity, ratings and traded prices in similar or identical securities. Securities for which valuations are
29
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
not readily available from an independent pricing service may be valued by brokers which use prices provided by market makers or estimates of fair market value obtained from yield data relating to investments or securities with similar characteristics. U.S. government obligations are valued by using market quotations or independent pricing services that use prices provided by market-makers or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics. Investments in open-end mutual funds are valued at net asset value ("NAV"). Investments in securities of sufficient credit quality maturing in 60 days or less are valued at amortized cost which approximates fair value.
Securities and assets for which market quotations are not readily available (which may include certain restricted securities, which are subject to limitations as to their sale) are valued at their fair values, as defined in the 1940 Act, and as determined in good faith by or under the supervision of the Portfolios' Board of Directors/Trustees ("Board"), in accordance with methods that are specifically authorized by the Board. Securities traded on exchanges, including foreign exchanges, which close earlier than the time that a Portfolio calculates its NAV may also be valued at their fair values as defined by the 1940 Act, and as determined in good faith by or under the supervision of the Board, in accordance with methods that are specifically authorized by the Board. All such fair valuations are made in accordance with valuation procedures of the Portfolios (the "Valuation Procedures") which have been approved by the Board. The valuation techniques applied in any specific instance are set forth in the Valuation Procedures and may vary from case to case. With respect to a restricted security, for example, consideration is generally given to the cost of the investment, the market value of any unrestricted securities of the same class at the time of valuation, the potential expiration of restrictions on the security, the existence of any registration rights, the costs to the Portfolios related to registration of the security, as well as factors relevant to the issuer itself. Consideration may also be given to the price and extent of any public trading in similar securities of the issuer or comparable companies' securities. The value of a foreign security traded on an exchange outside the United States is generally based on its price on the principal foreign exchange where it trades as of the time a Portfolio determines its NAV or if the foreign exchange closes prior to the time a Portfolio
determines its NAV, the most recent closing price of the foreign security on its principal exchange. Trading in certain non-U.S. securities may not take place on all days on which the New York Stock Exchange ("NYSE") is open. Further, trading takes place in various foreign markets on days on which the NYSE is not open. Consequently, the calculation of a Portfolio's NAV may not take place contemporaneously with the determination of the prices of securities held by a Portfolio in foreign securities markets. Further, the value of a Portfolio's assets may be significantly affected by foreign trading on days when a shareholder cannot purchase or redeem shares of a Portfolio. In calculating a Portfolio's NAV, foreign securities denominated in foreign currency are converted to U.S. dollar equivalents. If an event occurs after the time at which the market for foreign securities held by a Portfolio closes but before the time that a Portfolio's NAV is calculated, such event may cause the closing price on the foreign exchange to not represent a readily available reliable market value quotation for such securities at the time a Portfolio determines its NAV. In such a case, a Portfolio will use the fair value of such securities as determined under a Portfolio's valuation procedures. Events after the close of trading on a foreign market that could require a Portfolio to fair value some or all of its foreign securities include, among others, securities trading in the U.S. and other markets, corporate announcements, natural and other disasters, and political and other events. Among other elements of analysis in the determination of a security's fair value, the Board has authorized the use of one or more independent research services to assist with such determinations. An independent research service may use statistical analyses and quantitative models to help determine fair value as of the time a Portfolio calculates its NAV. There can be no assurance that such models accurately reflect the behavior of the applicable markets or the effect of the behavior of such markets on the fair value of securities, or that such markets will continue to behave in a fashion that is consistent with such models. Unlike the closing price of a security on an exchange, fair value determinations employ elements of judgment. Consequently, the fair value assigned to a security may not represent the actual value that a Portfolio could obtain if it were to sell the security at the time of the close of the NYSE. Pursuant to procedures adopted by the Board, a Portfolio is not obligated to use the fair valuations suggested by any research service, and valuation recommendations provided by such research services may be overridden if other events have occurred or if other fair valuations are determined in good faith to
30
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
be more accurate. Unless an event is such that it causes a Portfolio to determine that the closing prices for one or more securities do not represent readily available reliable market value quotations at the time a Portfolio determines its NAV, events that occur between the time of the close of the foreign market on which they are traded and the close of regular trading on the NYSE will not be reflected in a Portfolio's NAV.
Money Market uses the amortized cost method to value its portfolio securities, which approximates fair value. The amortized cost method involves valuing a security at its cost and amortizing any discount or premium over the period until maturity, regardless of the impact of fluctuating interest rates or the fair value of the security.
Fair value is defined as the price that the Portfolios would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each investment asset or liability of the Portfolios is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Quoted prices in active markets for identical securities are classified as "Level 1," inputs other than quoted prices for an asset or liability that are observable are classified as "Level 2" and unobservable inputs, including the adviser's or sub-adviser's, judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Short-term securities of sufficient credit quality which are valued at amortized cost, which approximates fair value, are generally considered to be Level 2 securities under applicable accounting rules. A table summarizing the Portfolios' investments under these levels of classification is included following the Summary Portfolios of Investments.
The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available, and has delegated the responsibility for applying the valuation methods to the "Pricing Committee" as established by the fund's Administrator. The Pricing Committee considers all facts they deem relevant that are reasonably available, through either public information or information available to the Investment Adviser or sub-adviser, when determining the fair value of the
security. In the event that a security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the fair value of the security or asset will be determined in good faith by the Pricing Committee. When a Portfolio uses these fair valuation methods that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Pricing Committee believes accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. The methodologies used for valuing securities are not necessarily an indication of the risks of investing in those securities valued in good faith at fair value nor can it be assured a Portfolio can obtain the fair value assigned to a security if they were to sell the security.
To assess the continuing appropriateness of security valuations, the Pricing Committee may compare prior day prices, prices on comparable securities, and traded prices to the prior or current day prices and the Pricing Committee challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued in good faith at fair value, the Pricing Committee reviews and affirms the reasonableness of the valuation on a regular basis after considering all relevant information that is reasonably available.
For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The end of period timing recognition is used for the transfers between Levels of a Portfolio's assets and liabilities. A reconciliation of Level 3 investments is presented when a Portfolio has a significant amount of Level 3 investments.
For the year ended December 31, 2012, there have been no significant changes to the fair valuation methodologies.
B. Security Transactions and Revenue Recognition. Securities transactions are accounted for on the trade date. Realized gains and losses are reported on the basis of identified cost of securities sold. Interest income is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date, or for certain foreign securities, when the information becomes available to the Portfolios. Premium amortization and discount accretion are determined by the effective yield method.
31
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
C. Foreign Currency Translation. The books and records of the Portfolios are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis:
(1) Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at the end of the day.
(2) Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets and the market values are presented at the foreign exchange rates at the end of the day, the Portfolios do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments. For securities, which are subject to foreign withholding tax upon disposition, liabilities are recorded on the Statements of Assets and Liabilities for the estimated tax withholding based on the securities' current market value. Upon disposition, realized gains or losses on such securities are recorded net of foreign withholding tax.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on a Portfolio's books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities at fiscal year end, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and U.S. government securities. These risks include, but are not limited to, revaluation of currencies and future adverse political and economic developments, which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities.
D. Risk Exposures and the Use of Derivative Instruments. Certain Portfolios' investment strategies permit the Portfolios to enter into various types of
derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, a Portfolio will employ strategies in differing combinations to permit it to increase or decrease the level of risk, or change the level or types of exposure to market risk factors. This may allow a Portfolio to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of affecting a similar response to market factors.
Market Risk Factors. In pursuit of its investment objectives, a Portfolio may seek to use derivatives to increase or decrease its exposure to the following market risk factors:
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer durations, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter durations.
Risks of Investing in Derivatives. A Portfolio's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where a Portfolio is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by a Portfolio, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.
32
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
The use of these strategies involves certain special risks, including a possible imperfect correlation, or even no correlation, between price movements of derivative instruments and price movements of related investments. While some strategies involving derivative instruments can reduce the risk of loss, they can also reduce the opportunity for gain or even result in losses by offsetting favorable price movements in related investments or otherwise, due to the possible inability of a Portfolio to purchase or sell a portfolio security at a time that otherwise would be favorable or the possible need to sell a portfolio security at a disadvantageous time because a Portfolio is required to maintain asset coverage or offsetting positions in connection with transactions in derivative instruments. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and a Portfolio. Associated risks are not the risks that a Portfolio is attempting to increase or decrease exposure to, per their investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that a Portfolio will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to a Portfolio. Associated risks can be different for each type of derivative and are discussed by each derivative type in the following notes.
Counterparty Credit Risk and Credit Related Contingent Features. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to a Portfolio. Each Portfolio's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. A Portfolio intends to enter into financial transactions with counterparties that they believe to be creditworthy at the time of the transaction. To reduce this risk, a Portfolio has entered into master netting arrangements, established within each Portfolio's International Swap and Derivatives Association, Inc. Master Agreements ("Master Agreements"). These agreements are with select counterparties and they govern transactions, including certain over-the-counter ("OTC") derivative and forward foreign currency contracts, entered into by a Portfolio and the counterparty. The Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of
termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable Master Agreement.
A Portfolio may also enter into collateral agreements with certain counterparties to further mitigate counterparty risk on OTC derivative and forward foreign currency contracts. Subject to established minimum levels, collateral is generally determined based on the net aggregate unrealized gain or loss on contracts with a certain counterparty. Collateral pledged to or from a Portfolio is held in a segregated account by a third-party agent and can be in the form of cash or debt securities issued by the U.S. government or related agencies.
As of December 31, 2012, the maximum amount of loss that Balanced, Intermediate Bond, and Science and Technology Opportunities would incur if the counterparties to its derivative transactions failed to perform would be $1,364,894, $5,583,675 and $14,365, respectively, which represents the gross payments to be received by the Portfolios on open swaps, forward foreign currency contracts and purchased options were they to be unwound as of December 31, 2012. As of December 31, 2012, certain counterparties have posted $60,000 and $2,300,000, respectively, in cash collateral to Balanced and Intermediate Bond to reduce the potential risk of loss. In addition, certain counterparties have posted $415,000 principal value in U.S. Treasury Notes as collateral to Intermediate Bond.
Each Portfolio has credit-related contingent features that if triggered would allow its derivative counterparties to close out and demand payment or additional collateral to cover their exposure from a Portfolio. Credit-related contingent features are established between each Portfolio and their derivatives counterparties to reduce the risk that a Portfolio will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in a Portfolio's net assets and or a percentage decrease in a Portfolio's NAV, which could cause a Portfolio to accelerate payment of any net liability owed to the counterparty. The contingent features are established within each Portfolio's Master Agreements.
As of December 31, 2012, Balanced, Intermediate Bond, and Science and Technology Opportunities had a net liability position of $2,870,854, $13,274,586 and $112,929, respectively, on open swaps, forward foreign currency contract and written options with credit related contingent features. If a contingent
33
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
feature would have been triggered as of December 31, 2012, the Portfolios could have been required to pay this amount in cash to its counterparties. As of December 31, 2012, Balanced and Intermediate Bond have posted $710,000 and $2,644,000, respectively, for open OTC derivative transactions with their respective counterparties.
E. Forward Foreign Currency Transactions and Futures Contracts. Certain Portfolios may enter into foreign currency exchange transactions to convert to and from different foreign currencies and to and from the U.S. dollar in connection with the planned purchases or sales of securities. When entering into a forward foreign currency contract, a Portfolio agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed upon future date. A Portfolio either enters into these transactions on a spot basis at the spot rate prevailing in the foreign currency exchange market or uses forward foreign currency contracts to purchase or sell foreign currencies. When the contract is fulfilled or closed, gains or losses are realized. Until then, the gain or loss is included in unrealized appreciation or depreciation. Risks may arise upon entering into forward contracts from the potential inability of counterparties to meet the terms of their forward contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar.
During the year ended December 31, 2012, the following Portfolios had average contract amounts on forward foreign currency contracts to buy and sell as disclosed below:
Buy | Sell | ||||||||||
Balanced | $ | 95,698,585 | $ | 85,398,533 | |||||||
Intermediate Bond | 98,526,555 | 213,344,395 | |||||||||
Science and Technology Opportunities | 7,769,937 | 15,939,470 |
The above Portfolios entered into forward foreign currency contracts to protect their non-U.S. dollar-denominated holdings from adverse currency movements.
Each Portfolio, with the exception of Money Market, may enter into futures contracts involving foreign currency, interest rates, securities and security indices. A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. A Portfolio may buy and sell futures contracts. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as
reported by such principal exchange at its trading session ending at, or most recently prior to, the time when each Portfolio's assets are valued.
Upon entering into a futures contract, a Portfolio is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by a Portfolio each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. Open futures contracts are reported on a table following each Portfolio's Summary Portfolio of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are footnoted in the Summary Portfolio of Investments. Cash collateral held by the broker to cover initial margin requirements on open futures contracts are noted in the Statements of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statements of Operations. Realized gains (losses) are reported in the Statements of Operations at the closing or expiration of futures contracts.
Futures contracts are exposed to the market risk factor of the underlying financial instrument. During the year ended December 31, 2012, Balanced and Intermediate Bond have purchased and sold futures contracts on various equity indices (Balanced only), bonds, and notes. Balanced purchased equity futures to "equitize" cash. Both Balanced and Intermediate Bond purchased and sold futures on bonds and notes as part of their duration management. Growth and Income entered into equity futures to "equitize" cash. Additional associated risks of entering into futures contracts include the possibility that there may be an illiquid market where a Portfolio is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of a Portfolio's securities. With futures, there is minimal counterparty credit risk to the Portfolios since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. During the year ended December 31, 2012, the following Portfolios had average notional values on futures contracts purchased and sold as disclosed below:
Purchased | Sold | ||||||||||
Balanced | $ | 74,351,040 | $ | 40,404,340 | |||||||
Intermediate Bond | 631,340,811 | 550,459,994 | |||||||||
Growth and Income | 54,256,000 | — |
34
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
F. Options Contracts. Certain Portfolios may write call and put options on futures, swaps ("swaptions"), securities, commodities or foreign currencies it owns or in which it may invest. Writing put options tends to increase the Portfolios exposure to the underlying instrument. Writing call options tends to decrease the Portfolios exposure to the underlying instrument. When a Portfolio writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding on the Statements of Assets and Liabilities. Certain options may be written with premiums to be determined on a future date. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain or loss. A Portfolio as a writer of an option has no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk the Portfolios may not be able to enter into a closing transaction because of an illiquid market. The Portfolios may also purchase put and call options. Purchasing call options tends to increase the Portfolios' exposure to the underlying instrument. Purchasing put options tends to decrease the Portfolios exposure to the underlying instrument. The Portfolios pay a premium which is included on the Statements of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss.
During the year ended December 31, 2012, Balanced and Intermediate Bond have purchased and written credit default swaptions to gain exposure to credit risk and to generate income. There were no open
purchased or written credit default swaptions at December 31, 2012.
During the year ended December 31, 2012, Balanced and Intermediate Bond have purchased and written foreign currency options to gain exposure to currencies and to generate income. Please refer to the Summary Portfolio of Investments for open purchased foreign currency options and the table following the Summary Portfolio of Investments for open written foreign currency options at December 31, 2012 for Balanced. There were no open foreign currency options for Intermediate Bond.
During the year ended December 31, 2012, Balanced had purchased and written interest rate swaptions to gain exposure to interest rates and to generate income. Please refer to the Summary Portfolio of Investments for open purchased interest rate swaptions. There were no open written interest rate swaptions at December 31, 2012.
During the year ended December 31, 2012, Balanced had written options on U.S. Treasuries to generate income. There were no open written options on U.S. Treasuries at December 31, 2012.
Please refer to Note 9 for the volume of both purchased and written option activity during the year ended December 31, 2012.
G. Distributions to Shareholders. The Portfolios record distributions to their shareholders on the ex-dividend date. Balanced, Small Company and Science and Technology Opportunities declare and pay dividends annually. Growth and Income and Intermediate Bond declare and pay dividends semi-annually. Money Market declares dividends daily and pays dividends, if any, monthly. Each Portfolio distributes capital gains, if any, annually. The Portfolios may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code. The characteristics of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles for investment companies.
H. Federal Income Taxes. It is the policy of the Portfolios to comply with the requirements of subchapter M of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of their net investment income and any net realized capital gains to their shareholders. Therefore, a federal income tax or excise tax provision is not required. Management has considered the sustainability of the Portfolios' tax
35
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
positions taken on federal income tax returns for all open tax years in making this determination. No capital gain distributions shall be made until the capital loss carryforwards have been fully utilized or expire.
I. Use of Estimates. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
J. Repurchase Agreements. Each Portfolio may invest in repurchase agreements only with government securities dealers recognized by the Board of Governors of the Federal Reserve System. Under such agreements, the seller of the security agrees to repurchase it at a mutually agreed upon time and price. The resale price is in excess of the purchase price and reflects an agreed upon interest rate for the period of time the agreement is outstanding. The period of the repurchase agreements is usually short, from overnight to one week, while the underlying securities generally have longer maturities. Each Portfolio will receive as collateral securities acceptable to it whose market value is equal to at least 100% of the carrying amount of the repurchase agreements, plus accrued interest, being invested by the Portfolio. The underlying collateral is valued daily on a mark-to-market basis to assure that the value, including accrued interest is at least equal to the repurchase price. There would be potential loss to the Portfolio in the event the Portfolio is delayed or prevented from exercising its right to dispose of the collateral, and it might incur disposition costs in liquidating the collateral.
K. Securities Lending. Each Portfolio (except Money Market) may temporarily loan up to 331/3% of its total assets to brokers, dealers or other financial institutions in exchange for a negotiated lender's fee. The borrower is required to fully collateralize the loans with cash or U.S. government securities. Generally, in the event of counterparty default, a Portfolio has the right to use collateral to offset losses incurred. There would be potential loss to a Portfolio in the event a Portfolio is delayed or prevented from exercising its right to dispose of the collateral. The Portfolio bears the risk of loss with respect to the
investment of collateral with the following exception: The Bank of New York Mellon ("BNY") provides the Portfolio indemnification from loss with respect to the investment of collateral provided that the cash collateral is invested solely in overnight repurchase agreements. Engaging in securities lending could have a leveraging effect, which may intensify the credit, market and other risks associated with investing in a Portfolio.
L. Restricted Securities. The Portfolios may invest in restricted securities, which include those sold under Rule 144A of the Securities Act of 1933 ("1933 Act") or securities offered pursuant to Section 4(2) of the 1933 Act, and/or are subject to legal or contractual restrictions on resale and may not be publicly sold without registration under the 1933 Act. Restricted securities are fair valued using market quotations when readily available. In the absence of market quotations, the securities are valued based upon their fair value, as defined by the Act, determined under procedures approved by the Board.
M. When-Issued and Delayed-Delivery Transactions. Each Portfolio may purchase or sell securities on a when-issued or forward commitment basis. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The fair value of such is identified in the Summary Portfolio of Investments. Losses may arise due to changes in the fair value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Portfolios are required to hold liquid assets as collateral with the Portfolios' custodian sufficient to cover the purchase price.
N. Mortgage Dollar Roll Transactions. Each Portfolio, except Small Company, may engage in dollar roll transactions with respect to mortgage-backed securities issued by Government National Mortgage Association, Federal National Mortgage Association and Federal Home Loan Mortgage Corp. In a dollar roll transaction, a Portfolio sells a mortgage-backed security to a financial institution, such as a bank or broker/dealer, and simultaneously agrees to repurchase a substantially similar (i.e., same type, coupon, and maturity) security from the institution on a delayed delivery basis at an agreed upon price. The mortgage-backed securities that are repurchased will bear the same interest rate as those sold, but generally will be collateralized by different pools of mortgages with different prepayment histories. The Portfolios account for dollar roll transactions as purchases and sales.
36
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
O. Swap Agreements. Certain Portfolios may enter into swap agreements. A swap is an agreement between two parties pursuant to which each party agrees to make one or more payments to the other at specified future intervals based on the return of an asset (such as a stock, bond or currency) or non-asset reference (such as an interest rate or index). The swap agreement will specify the "notional" amount of the asset or non-asset reference to which the contract relates. Subsequent changes in fair value, if any, are calculated based upon changes in the performance of the asset or non-asset reference multiplied by the notional value of the contract. A Portfolio may enter into credit default, interest rate, total return and currency swaps to manage its exposure to credit, currency and interest rate risk. All outstanding swap agreements are reported following each Portfolio's Summary Portfolio of Investments.
Swaps are marked to market daily using quotations primarily from third party pricing services, counterparties or brokers. The value of the swap contract is recorded on each Portfolio's Statement of Assets or Liabilities. During the term of the swap, changes in the value of the swap, if any, are recorded as unrealized gains or losses on the Statement of Operations. Upfront payments paid or received by a Portfolio when entering into the agreements are reported on the Statement of Assets and Liabilities and as a component of the changes in unrealized gains or losses on the Statement of Operations. These upfront payments represent the amounts paid or received when initially entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and the prevailing market conditions. The upfront payments are included as a component in the realized gains or losses on each Portfolio's Statement of Operations upon termination or maturity of the swap. A Portfolio also records net periodic payments paid or received on the swap contract as a realized gain or loss on the Statement of Operations.
Entering into swap agreements involves the risk that the maximum potential loss of an investment exceeds the current value of the investment as reported on each Portfolio's Statement of Assets and Liabilities. Other risks involve the possibility that the counterparty to the agreements may default on its obligation to perform, that there will be no liquid market for these investments and that unfavorable changes in the market will have a negative impact on the value of the index or securities underlying the respective swap agreement.
Credit Default Swap Contracts. A credit default swap is a bilateral agreement between counterparties in which the buyer of the protection agrees to make a stream of periodic payments to the seller of protection in exchange for the right to receive a specified return in the event of a default or other credit event for a referenced entity, obligation or index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer a fixed payment stream based on the notional amount of the swap contract. This fixed payment stream will continue until the swap contract expires or a defined credit event occurs.
A Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. As a seller of protection in a credit default swap, a Portfolio may execute these contracts to manage its exposure to the market or certain sectors of the market. Certain Portfolios may also enter into credit default swaps to speculate on changes in an issuer's credit quality, to take advantage of perceived spread advantages, or to offset an existing short equivalent (i.e. buying protection on an equivalent reference entity).
Certain Portfolios may sell credit default swaps which expose these Portfolios to the risk of loss from credit risk related events specified in the contract. Although contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default or repudiation/moratorium. If a Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers
37
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed in each Portfolio's Summary Portfolio of Investment and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting fair values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of December 31, 2012, for which a Portfolio is seller of protection are disclosed in each Portfolio's Summary Portfolio of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreements, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Portfolio for the same referenced entity or entities.
For the year ended December 31, 2012, both Balanced and Intermediate Bond have purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and to hedge against anticipated potential credit events.
For the year ended December 31, 2012, both Balanced and Intermediate Bond have purchased credit protection on credit default swap indices ("CDX"). A
CDX is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. The Portfolios use CDX swaps to hedge the credit risk associated with various sectors within the credit markets.
For the year ended December 31, 2012, both Balanced and Intermediate Bond have sold credit protection through credit default swaps to gain exposure to the credit risk of individual securities that are either unavailable or considered to be less attractive in the bond market.
For the year ended December 31, 2012, Balanced and Intermediate Bond had average notional amounts of $4,386,878 and $50,239,161 on credit default swaps to buy protection and average notional amounts of $1,757,372 and $15,479,000 on credit default swaps to sell protection, respectively. Please refer to the tables following each respective Summary Portfolio of Investments for open credit default swaps at December 31, 2012.
Interest Rate Swap Contracts. An interest rate swap involves the agreement between counterparties to exchange periodic payments based on interest rates. One payment will be based on a floating rate of a specified interest rate while the other will be a fixed rate. Risks involve the future fluctuations of interest rates in which a Portfolio may make payments that are greater than what a Portfolio received from the counterparty. Other risks include credit, liquidity and market risk.
For the year ended December 31, 2012, Balanced and Intermediate Bond have entered into interest rate swaps in which they pay a floating interest rate and receive a fixed interest rate ("Long interest rate swap") in order to increase exposure to interest rate risk. Average notional amounts on long interest rate swaps were $50,195,433 and $102,720,000, respectively.
For the year ended December 31, 2012, Balanced and Intermediate Bond have entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate ("Short interest rate swap") in order to decrease exposure to interest rate risk. Average notional amounts on short interest rate swaps were $77,754,867 and $179,846,473, respectively.
Balanced and Intermediate Bond entered into interest rate swaps to adjust interest rate and yield curve exposures and to substitute for physical fixed-income securities. Please refer to the tables following the Summary Portfolio of Investments for open interest rate swaps at December 31, 2012.
38
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
P. Indemnifications. In the normal course of business, the Registrants may enter into contracts that provide certain indemnifications. The Registrants' maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolios and, therefore, cannot be estimated; however, based on experience, management considers the risk of loss from such claims remote.
NOTE 3 — INVESTMENT TRANSACTIONS
For the year ended December 31, 2012, the cost of purchases and proceeds from the sales of securities, excluding short-term and U.S. government securities, were as follows:
Purchases | Sales | ||||||||||
Balanced | $ | 800,631,050 | $ | 848,949,141 | |||||||
Science and Technology Opportunities | 870,239,882 | 910,772,458 | |||||||||
Growth and Income | 2,241,631,070 | 2,816,073,114 | |||||||||
Intermediate Bond | 2,698,653,292 | 2,758,652,926 | |||||||||
Small Company | 287,964,966 | 383,741,206 |
U.S. government securities not included above were as follows:
Purchases | Sales | ||||||||||
Balanced | $ | 407,506,066 | $ | 414,037,316 | |||||||
Intermediate Bond | 7,976,613,574 | 8,153,523,065 |
NOTE 4 — INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES
The Portfolios entered into investment management agreements ("Investment Management Agreements") with the Investment Adviser. The Investment Management Agreements compensate the Investment Adviser with a fee, computed daily and payable monthly, based on the average daily net assets of each Portfolio, at the following annual rates:
Balanced | 0.500% | ||||||
Science and Technology Opportunities(1) | 0.95% on first $500 million; | ||||||
0.85% on next $500 million; and 0.75% thereafter | |||||||
Growth and Income | 0.500% on first $10 billion; | ||||||
0.450% on next $5 billion; and | |||||||
0.425% over $15 billion | |||||||
Intermediate Bond | 0.400% | ||||||
Money Market | 0.250% | ||||||
Small Company | 0.750% |
(1) Effective April 30, 2012, the advisory fee was modified to add breakpoints.
The Investment Adviser entered into sub-advisory agreements with ING IM. ING IM acts as sub-adviser to all Portfolios except for Science and Technology Opportunities. Subject to such policies as the Board or the Investment Adviser may determine, ING IM
manages the Portfolios' assets in accordance with the Portfolios' investment objectives, policies, and limitations.
BlackRock Advisors, LLC ("BlackRock"), serves as Sub-Adviser to Science and Technology Opportunities pursuant to a Sub-Advisory Agreement, effective February 2, 2007, between the Investment Adviser and BlackRock.
Pursuant to administration agreements, IFS acts as administrator and provides certain administrative and shareholder services necessary for Portfolio operations and is responsible for the supervision of other service providers.
IFS is entitled to receive from each Portfolio a fee at an annual rate of 0.055% on the first $5 billion of daily net assets and 0.03% thereafter.
In placing equity security transactions, each sub-adviser is required to use its best efforts to choose a broker capable of providing brokerage services necessary to obtain the best execution for each transaction. Subject to this requirement, each sub-adviser may allocate equity security transactions through certain designated broker-dealers. Some of these broker-dealers participate in commission recapture programs that have been established for the benefit of the Portfolios. Under these programs, the participating broker-dealers will return to a Portfolio a portion of the brokerage commissions (in the form of a credit to a Portfolio) paid to the broker-dealers to pay certain expenses of a Portfolio. These commission recapture payments benefit the Portfolios and not the sub-adviser. Any amount credited to a Portfolio is recognized as brokerage commission recapture in the Statements of Operations.
NOTE 5 — DISTRIBUTION AND SERVICE FEES
ADV Class and Class S2 shares of the respective Portfolios are subject to a Shareholder Service and Distribution Plan (the "Plan"). Under the Plan, the Distributor is paid an annual shareholder service fee at the rate of 0.25% and an annual distribution fee at the rate of 0.25% of the average daily net assets attributable to its ADV Class and Class S2 shares. The Distributor has contractually agreed to waive a portion of its fee equal to 0.10% of the average daily net assets attributable to the distribution fee paid by Class S2 of the Portfolios, so that the actual fee paid by a Portfolio is an annual rate of 0.15%. For the year ended December 31, 2012, the Distributor for Growth and Income, Science and Technology Opportunities, Intermediate Bond, and Small Company waived $460, $1,194, $1,165 and $218, respectively. Additionally, the
39
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 5 — DISTRIBUTION AND SERVICE FEES (continued)
Distributor has contractually agreed to waive a portion of its fee equal to 0.05% of the average daily net assets attributable to the distribution fee paid by ADV Class of Growth and Income, so that the actual fee paid by the Portfolio is an annual rate of 0.20%. There is no guarantee that these waivers will continue.
Class S shares of the respective Portfolios have adopted either a Distribution Plan or a Shareholder Service and Distribution Plan pursuant to Rule 12b-1 under the 1940 Act (collectively, the "12b-1 Plans"), whereby the Distributor is compensated by each Portfolio for expenses incurred for Shareholder Servicing and/or the distribution of each Portfolio's shares. Pursuant to the 12b-1 Plans, the Distributor is entitled to a payment each month to compensate for expenses incurred in the distribution and promotion of each Portfolio's shares, including expenses incurred in printing prospectuses and reports used for sales purposes, expenses incurred in preparing and printing sales literature and other such distribution related expenses, including any distribution or shareholder servicing fees paid to securities dealers who have executed a distribution agreement with the Distributor. Under the 12b-1 Plans, Class S shares of the Portfolios pay the Distributor a fee calculated at an annual rate of 0.25% of average daily net assets. For Money Market, the Distributor agreed to waive 0.10% of average daily net assets attributable to distribution fees for Class S shares. During the year ended December 31, 2012, the Distributor for Money Market waived $179. There is no guarantee that this waiver will continue.
IID and ING Investments have contractually agreed to waive a portion of their distribution and/or shareholder servicing fees and management fees, as applicable, and to reimburse certain expenses to the extent necessary to assist Money Market in maintaining a yield of not less than zero. There is no guarantee that Money Market will maintain such a yield. Management fees waived or expenses reimbursed are subject to possible recoupment by ING Investments, as applicable, within three years subject to certain restrictions. For the year ended December 31, 2012, IID waived $228 of Class S specific distribution fees and ING Investments waived $29,433 of management fees for Money Market to maintain a yield of not less than zero. This expense waiver or reimbursement may be discontinued at any time. Please note that these waivers or reimbursements are in addition to existing contractual expense limitations, if any.
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATED AND RELATED PARTIES
At December 31, 2012, the following affiliated investment companies or indirect, wholly-owned subsidiaries of ING U.S., Inc. owned more than 5% of the following Portfolios:
Affiliated Investment Company/Subsidiary | Portfolios | Percentage | |||||||||
ING Life Insurance and Annuity Company | Balanced | 90.40 | % | ||||||||
Science and Technology Opportunities | 32.06 | % | |||||||||
Growth and Income | 41.27 | % | |||||||||
Intermediate Bond | 41.79 | % | |||||||||
Money Market | 82.93 | % | |||||||||
Small Company | 50.88 | % | |||||||||
ING National Trust | Small Company | 6.01 | % | ||||||||
ING Solution 2025 Portfolio | Small Company | 8.73 | % | ||||||||
ING Solution 2035 Portfolio | Small Company | 7.51 | % | ||||||||
ING Solution 2045 Portfolio | Small Company | 6.12 | % | ||||||||
ING USA Annuity and Life Insurance Company | Science and Technology Opportunities | 61.63 | % | ||||||||
Growth and Income | 49.36 | % | |||||||||
Intermediate Bond | 52.86 | % | |||||||||
Small Company | 14.35 | % |
Control is defined by the 1940 Act as the beneficial ownership, either directly or through one or more controlled companies, of more than 25% of the voting securities of a company. The 1940 Act defines affiliates as companies that are under common control. Therefore, because the Portfolios have a common owner that owns over 25% of the outstanding securities of the Portfolios, they are deemed to be affiliates of each other.
The Registrants have adopted a Deferred Compensation Plan (the "Plan"), which allows eligible independent directors/trustees as described in the Plan to defer the receipt of all or a portion of the directors'/trustees' fees payable. Amounts deferred are treated as though invested in various "notional" funds advised by ING Investments until distribution in accordance with the Plan.
NOTE 7 — EXPENSE LIMITATION AGREEMENT
ING Investments entered into a written expense limitation agreement ("Expense Limitation Agreement") with each of the following Portfolios whereby the Investment Adviser has agreed to limit expenses, excluding interest expense, taxes, brokerage commissions and extraordinary expenses (and acquired fund fees and expenses) to the levels listed below:
Class ADV | Class I | Class S | Class S2 | ||||||||||||||||
Science and Technology Opportunities | 1.55 | % | 1.05 | % | 1.30 | % | 1.45 | % | |||||||||||
Small Company | 1.45 | % | 0.95 | % | 1.20 | % | 1.35 | % |
40
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 7 — EXPENSE LIMITATION AGREEMENT (continued)
The Investment Adviser may at a later date recoup from a Portfolio management fees waived and other expenses assumed by the Investment Adviser during the previous 36 months, but only if, after such recoupment, the Portfolio's expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by the Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Statements of Operations. Amounts payable by the Investment Adviser are reflected on the accompanying Statements of Assets and Liabilities for each Portfolio.
As of December 31, 2012, the amount of waived and reimbursed fees that are subject to recoupment by the Investment Adviser, and the related expiration dates are as follows:
December 31, | |||||||||||||||||||
2013 | 2014 | 2015 | Total | ||||||||||||||||
Science and Technology Opportunities | $ | — | $ | 17,390 | $ | 87,138 | $ | 104,528 |
The Expense Limitation Agreement is contractual and shall renew automatically for one-year terms unless ING Investments provides written notice of the termination of the Expense Limitation Agreement within 90 days of the end of the then current term.
NOTE 8 — LINE OF CREDIT
The Portfolios, in addition to certain other funds managed by the Investment Adviser, have entered into an unsecured committed revolving line of credit agreement (the "Credit Agreement") with The Bank of New York Mellon for an aggregate amount of $100,000,000. The proceeds may be used to: (1) temporarily finance the purchase or sale of securities; or (2) finance the redemption of shares of an investor in the funds. The funds to which the line of credit is available pay a commitment fee equal to 0.08% per annum on the daily unused portion of the committed line amount.
Generally, borrowings under the Credit Agreement accrue interest at the federal funds rate plus a specified margin. Repayments generally must be made within 60 days after the date of a revolving credit
advance. The following Portfolios utilized the line of credit during the year ended December 31, 2012:
Portfolio | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | ||||||||||||
Balanced | 3 | $ | 1,725,000 | 1.30 | % | ||||||||||
Science and Technology Opportunities | 7 | 858,571 | 1.27 | % | |||||||||||
Growth and Income | 20 | 3,692,250 | 1.30 | % | |||||||||||
Intermediate Bond(1) | 12 | 2,420,833 | 1.27 | % | |||||||||||
Small Company | 2 | 16,962,500 | 1.31 | % |
(1) At December 31, 2012, Intermediate Bond had an outstanding balance of $3,730,000.
NOTE 9 — PURCHASED AND WRITTEN OPTIONS
Transactions in purchased foreign currency options for Balanced during the year ended December 31, 2012 were as follows:
USD Notional | AUD Notional | Cost | |||||||||||||
Balance at 12/31/11 | 18,200,000 | — | $ | 279,080 | |||||||||||
Options Purchased | 108,500,000 | 11,700,000 | 1,366,161 | ||||||||||||
Options Terminated in Closing Sell Transactions | (78,200,000 | ) | (11,700,000 | ) | (1,135,564 | ) | |||||||||
Options Expired | (44,600,000 | ) | — | (436,932 | ) | ||||||||||
Balance at 12/31/12 | 3,900,000 | — | $ | 72,745 |
Transactions in purchased credit default swaptions for Balanced during the year ended December 31, 2012 were as follows:
USD Notional | Cost | ||||||||||
Balance at 12/31/11 | — | $ | — | ||||||||
Options Purchased | 16,290,000 | 409,091 | |||||||||
Options Terminated in Closing Sell Transactions | (10,860,000 | ) | (203,837 | ) | |||||||
Options Expired | (5,430,000 | ) | (205,254 | ) | |||||||
Balance at 12/31/12 | — | $ | — |
Transactions in purchased interest rate swaptions for Balanced during the year ended December 31, 2012 were as follows:
USD Notional | Cost | ||||||||||
Balance at 12/31/11 | — | $ | — | ||||||||
Options Purchased | 25,943,000 | 452,105 | |||||||||
Options Terminated in Closing Sell Transactions | (18,129,000 | ) | (64,157 | ) | |||||||
Options Expired | (3,000,000 | ) | (30,000 | ) | |||||||
Balance at 12/31/12 | 4,814,000 | $ | 357,948 |
41
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 9 — PURCHASED AND WRITTEN OPTIONS (continued)
Transactions in written foreign currency options for Balanced during the year ended December 31, 2012 were as follows:
USD Notional | AUD Notional | Premiums Received | |||||||||||||
Balance at 12/31/11 | 18,200,000 | — | $ | 236,248 | |||||||||||
Options Written | 116,900,000 | 11,700,000 | 1,086,672 | ||||||||||||
Options Terminated in Closing Purchase Transactions | (69,100,000 | ) | (11,700,000 | ) | (898,962 | ) | |||||||||
Options Expired | (60,600,000 | ) | — | (367,222 | ) | ||||||||||
Balance at 12/31/12 | 5,400,000 | — | $ | 56,736 |
Transactions in written interest rate swaptions for Balanced during the year ended December 31, 2012 were as follows:
USD Notional | Premiums Received | ||||||||||
Balance at 12/31/11 | — | $ | — | ||||||||
Options Written | 11,608,000 | 78,376 | |||||||||
Options Terminated in Closing Purchase Transactions | (5,508,000 | ) | (47,876 | ) | |||||||
Options Expired | (6,100,000 | ) | (30,500 | ) | |||||||
Balance at 12/31/12 | — | $ | — |
Transactions in written credit default swaptions for Balanced during the year ended December 31, 2012 were as follows:
USD Notional | Premiums Received | ||||||||||
Balance at 12/31/11 | — | $ | — | ||||||||
Options Written | 10,860,000 | 161,271 | |||||||||
Options Terminated in Closing Purchase Transactions | (10,860,000 | ) | (161,271 | ) | |||||||
Options Expired | |||||||||||
Balance at 12/31/12 | — | $ | — |
Transactions in written options on U.S. Treasuries for Balanced during the year ended December 31, 2012 were as follows:
Contracts | Premiums Received | ||||||||||
Balance at 12/31/11 | 781,000 | $ | 244 | ||||||||
Options Written | |||||||||||
Options Terminated in Closing Purchase Transactions | |||||||||||
Options Expired | (781,000 | ) | (244 | ) | |||||||
Balance at 12/31/12 | — | $ | — |
Transactions in purchased foreign currency options for Intermediate Bond during the year ended December 31, 2012 were as follows:
USD Notional | AUD Notional | Cost | |||||||||||||
Balance at 12/31/11 | 60,800,000 | — | $ | 984,914 | |||||||||||
Options Purchased | 562,400,000 | 116,600,000 | 7,388,834 | ||||||||||||
Options Terminated in Closing Sell Transactions | (441,800,000 | ) | (116,600,000 | ) | (7,132,661 | ) | |||||||||
Options Expired | (181,400,000 | ) | — | (1,241,087 | ) | ||||||||||
Balance at 12/31/12 | — | — | $ | ��� |
Transactions in purchased options on interest rate swpations for Intermediate Bond during the year ended December 31, 2012 were as follows:
USD Notional | Cost | ||||||||||
Balance at 12/31/11 | — | $ | — | ||||||||
Options Purchased | 286,617,000 | 4,506,360 | |||||||||
Options Terminated in Closing Sell Transactions | (234,947,000 | ) | (649,194 | ) | |||||||
Options Expired | — | — | |||||||||
Balance at 12/31/12 | 51,670,000 | $ | 3,857,166 |
Transactions in purchased credit default swaptions for Intermediate Bond during the year ended December 31, 2012 were as follows:
USD Notional | Cost | ||||||||||
Balance at 12/31/11 | — | $ | — | ||||||||
Options Purchased | 225,565,000 | 5,737,445 | |||||||||
Options Terminated in Closing Sell Transactions | (125,310,000 | ) | (2,352,006 | ) | |||||||
Options Expired | (100,255,000 | ) | (3,385,439 | ) | |||||||
Balance at 12/31/12 | — | $ | — |
Transactions in written foreign currency options for Intermediate Bond during the year ended December 31, 2012 were as follows:
USD Notional | AUD Notional | Premiums Received | |||||||||||||
Balance at 12/31/11 | 60,800,000 | — | $ | 767,322 | |||||||||||
Options Written | 623,400,000 | 116,600,000 | 6,651,173 | ||||||||||||
Options Terminated in Closing Purchase Transactions | (502,800,000 | ) | (116,600,000 | ) | (6,841,488 | ) | |||||||||
Options Expired | (181,400,000 | ) | — | (577,007 | ) | ||||||||||
Balance at 12/31/12 | — | — | $ | — |
Transactions in written interest rate swaptions for Intermediate Bond during the year ended December 31, 2012 were as follows:
USD Notional | Premiums Received | ||||||||||
Balance at 12/31/11 | — | $ | — | ||||||||
Options Written | 26,245,000 | 415,722 | |||||||||
Options Terminated in Closing Purchase Transactions | (26,245,000 | ) | (415,722 | ) | |||||||
Options Expired | |||||||||||
Balance at 12/31/12 | — | $ | — |
Transactions in written credit default swaptions for Intermediate Bond during the year ended December 31, 2012 were as follows:
USD Notional | Premiums Received | ||||||||||
Balance at 12/31/11 | — | $ | — | ||||||||
Options Written | 162,910,000 | 2,312,054 | |||||||||
Options Terminated in Closing Purchase Transactions | (162,910,000 | ) | (2,312,054 | ) | |||||||
Options Expired | |||||||||||
Balance at 12/31/12 | — | $ | — |
42
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 10 — CAPITAL SHARES
Transactions in capital shares and dollars were as follows:
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | ||||||||||||||||||||||||||||||||||
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||||
Balanced | |||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 272,783 | — | 1,396,397 | (6,459,373 | ) | (4,790,193 | ) | 3,216,222 | — | 16,407,668 | (76,096,062 | ) | (56,472,172 | ) | |||||||||||||||||||||||||||||
12/31/11 | 546,025 | — | 1,319,197 | (7,728,438 | ) | (5,863,216 | ) | 6,324,059 | — | 15,869,939 | (88,331,539 | ) | (66,137,541 | ) | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 18,248 | — | 14,110 | (114,451 | ) | (82,093 | ) | 204,842 | — | 165,089 | (1,360,804 | ) | (990,873 | ) | |||||||||||||||||||||||||||||
12/31/11 | 25,221 | — | 15,255 | (191,435 | ) | (150,959 | ) | 285,464 | — | 182,605 | (2,194,446 | ) | (1,726,377 | ) | |||||||||||||||||||||||||||||
Science and Technology Opportunities | |||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 1,176,358 | — | 144,138 | (528,134 | ) | 792,362 | 6,631,436 | — | 818,701 | (2,835,033 | ) | 4,615,104 | |||||||||||||||||||||||||||||||
12/31/11 | 1,316,041 | — | — | (372,475 | ) | 943,566 | 7,779,707 | — | — | (2,090,659 | ) | 5,689,048 | |||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 1,052,934 | — | 1,172,115 | (4,171,532 | ) | (1,946,483 | ) | 6,134,184 | — | 6,833,404 | (22,866,139 | ) | (9,898,551 | ) | |||||||||||||||||||||||||||||
12/31/11 | 2,858,998 | — | — | (3,409,399 | ) | (550,401 | ) | 17,535,837 | — | — | (19,895,330 | ) | (2,359,493 | ) | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 4,463,748 | — | 2,353,930 | (9,847,014 | ) | (3,029,336 | ) | 25,909,585 | — | 13,511,496 | (53,249,998 | ) | (13,828,917 | ) | |||||||||||||||||||||||||||||
12/31/11 | 9,496,260 | — | — | (17,018,576 | ) | (7,522,316 | ) | 56,948,513 | — | — | (96,692,040 | ) | (39,743,527 | ) | |||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 363,756 | — | 14,943 | (153,628 | ) | 225,071 | 2,014,599 | — | 85,172 | (828,249 | ) | 1,271,522 | |||||||||||||||||||||||||||||||
12/31/11 | 49,472 | — | — | (9,182 | ) | 40,290 | 293,131 | — | — | (49,334 | ) | 243,797 | |||||||||||||||||||||||||||||||
Growth and Income | |||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 1,714,025 | — | 716,044 | (8,033,706 | ) | (5,603,637 | ) | 40,995,421 | — | 17,283,832 | (190,466,475 | ) | (132,187,222 | ) | |||||||||||||||||||||||||||||
12/31/11 | 794,351 | 64,132,504 | 511,015 | (8,623,691 | ) | 56,814,179 | 36,311,513 | 1,425,596,434 | 10,844,280 | (187,470,745 | ) | 1,285,281,482 | |||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 6,864,378 | — | 1,388,462 | (19,016,964 | ) | (10,764,124 | ) | 165,449,511 | — | 33,833,583 | (454,574,220 | ) | (255,291,126 | ) | |||||||||||||||||||||||||||||
12/31/11 | 5,767,812 | 773,256 | 1,153,056 | (23,631,000 | ) | (15,936,876 | ) | 139,395,287 | 16,686,674 | 24,699,375 | (504,372,088 | ) | (323,590,752 | ) | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 182,071 | — | 505,881 | (6,072,084 | ) | (5,384,132 | ) | 4,317,479 | — | 12,215,984 | (143,513,545 | ) | (126,980,082 | ) | |||||||||||||||||||||||||||||
12/31/11 | 1,385,742 | 18,034,409 | 445,601 | (4,780,013 | ) | 15,085,739 | 32,001,238 | 385,283,101 | 9,460,294 | (104,160,870 | ) | 322,583,763 | |||||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 22,449 | — | 480 | (2,933 | ) | 19,996 | 524,950 | — | 11,472 | (69,290 | ) | 467,132 | |||||||||||||||||||||||||||||||
12/31/11 | 10,425 | 865,079 | 78 | (865,574 | ) | 10,008 | 210,662 | 18,235,615 | 1,636 | (18,446,208 | ) | 1,705 | |||||||||||||||||||||||||||||||
Intermediate Bond | |||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 1,398,716 | — | 106,891 | (202,187 | ) | 1,303,420 | 17,907,899 | — | 1,377,112 | (2,605,745 | ) | 16,679,266 | |||||||||||||||||||||||||||||||
12/31/11 | 1,080,967 | — | 57,906 | (123,631 | ) | 1,015,242 | 13,597,225 | — | 712,832 | (1,538,641 | ) | 12,771,416 | |||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 13,571,376 | — | 3,577,104 | (37,098,802 | ) | (19,950,322 | ) | 173,524,387 | — | 46,310,817 | (478,030,373 | ) | (258,195,169 | ) | |||||||||||||||||||||||||||||
12/31/11 | 20,950,653 | — | 4,332,906 | (28,925,724 | ) | (3,642,165 | ) | 264,969,259 | — | 53,598,886 | (363,384,777 | ) | (44,816,632 | ) | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 9,683,970 | — | 4,066,019 | (20,040,810 | ) | (6,290,821 | ) | 123,829,509 | — | 52,405,250 | (257,514,263 | ) | (81,279,504 | ) | |||||||||||||||||||||||||||||
12/31/11 | 14,788,208 | — | 4,299,718 | (25,648,135 | ) | (6,560,209 | ) | 184,594,230 | — | 52,930,354 | (318,344,281 | ) | (80,819,697 | ) | |||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 28,406 | — | 4,049 | (14,489 | ) | 17,966 | 362,863 | — | 52,316 | (185,483 | ) | 229,696 | |||||||||||||||||||||||||||||||
12/31/11 | 82,924 | — | 3,558 | (5,865 | ) | 80,617 | 1,056,266 | — | 43,905 | (74,703 | ) | 1,025,468 | |||||||||||||||||||||||||||||||
Money Market | |||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 105,147,565 | — | 344,253 | (306,333,946 | ) | (200,842,128 | ) | 105,147,563 | — | 344,254 | (306,333,946 | ) | (200,842,129 | ) | |||||||||||||||||||||||||||||
12/31/11 | 396,085,340 | — | 220,318 | (290,073,206 | ) | 106,232,452 | 396,085,339 | — | 220,320 | (290,073,206 | ) | 106,232,453 | |||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 22,338 | — | — | * | (202,183 | ) | (179,845 | ) | 22,338 | — | — | (202,182 | ) | (179,844 | ) | ||||||||||||||||||||||||||||
12/31/11 | 41,988 | — | 51 | (41,169 | ) | 870 | 41,988 | — | 51 | (41,168 | ) | 871 | |||||||||||||||||||||||||||||||
Small Company | |||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 40,250 | — | 12,380 | (69,181 | ) | (16,551 | ) | 743,738 | — | 231,384 | (1,276,143 | ) | (301,021 | ) | |||||||||||||||||||||||||||||
12/31/11 | 249,707 | — | 1,147 | (90,421 | ) | 160,433 | 4,612,067 | — | 22,163 | (1,559,872 | ) | 3,074,358 |
43
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 10 — CAPITAL SHARES (continued)
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | ||||||||||||||||||||||||||||||||||
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||||
Small Company (continued) | |||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 2,064,007 | — | 977,784 | (6,118,868 | ) | (3,077,077 | ) | 39,495,576 | — | 18,695,232 | (117,544,976 | ) | (59,354,168 | ) | |||||||||||||||||||||||||||||
12/31/11 | 4,798,039 | — | 97,306 | (5,236,999 | ) | (341,654 | ) | 89,842,612 | — | 1,919,855 | (97,186,660 | ) | (5,424,193 | ) | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 547,502 | — | 221,232 | (1,722,312 | ) | (953,578 | ) | 10,223,632 | — | 4,174,648 | (32,112,408 | ) | (17,714,128 | ) | |||||||||||||||||||||||||||||
12/31/11 | 1,734,236 | — | 13,734 | (2,330,317 | ) | (582,347 | ) | 31,665,738 | — | 267,549 | (41,393,219 | ) | (9,459,932 | ) | |||||||||||||||||||||||||||||
Class S2 | |||||||||||||||||||||||||||||||||||||||||||
12/31/12 | 1,909 | — | 437 | (2,344 | ) | 2 | 35,811 | — | 8,207 | (43,385 | ) | 633 | |||||||||||||||||||||||||||||||
12/31/11 | 13,603 | — | 36 | (5,248 | ) | 8,391 | 252,756 | — | 696 | (91,967 | ) | 161,485 |
NOTE 11 — SECURITIES LENDING
Under an agreement with BNY, the Portfolios can lend their securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash and U.S. government securities. The collateral is equal to at least 105% of the market value of non-U.S. securities loaned and 102% of the market value of U.S. securities loaned. The market value of the loaned securities is determined at the close of business of the Portfolios at their last sale price or official closing price on the principal exchange or system on which they are traded and any additional collateral is delivered to the Portfolios on the next business day. The cash collateral received is invested in approved investments as defined in the Securities Lending Agreement with BNY (the "Agreement"). The Funds bear the risk of loss with respect to the investment of collateral with the following exception: BNY provides the Portfolios indemnification from loss with respect to the investment of collateral provided that the cash collateral is invested solely in overnight repurchase agreements.
The cash collateral is invested in overnight repurchase agreements that are collateralized at 102% with securities issued or fully guaranteed by the United States Treasury; United States government or any agency, instrumentality or authority of the United States government. The securities purchased with cash collateral received are reflected in the Summary Portfolio of Investments under Securities Lending Collateral.
Generally, in the event of counterparty default, the Portfolios have the right to use the collateral to offset losses incurred. The Agreement contains certain guarantees by BNY in the event of counterparty default and/or a borrower's failure to return a loaned security; however, there would be a potential loss to the Portfolios in the event the Portfolios are delayed
or prevented from exercising their right to dispose of the collateral. Engaging in securities lending could have a leveraging effect, which may intensify the credit, market and other risks associated with investing in a Portfolio. As of December 31, 2012, the following Portfolios had securities on loan with the following market values:
Portfolio | Value of Securities Loaned | Cash Collateral Received | |||||||||
Balanced | $ | 2,115,638 | $ | 2,188,940 | |||||||
Science and Technology Opportunities | 4,067,380 | 4,153,870 | |||||||||
Growth and Income | 3,111,459 | 3,198,331 | |||||||||
Intermediate Bond | 8,110,165 | 8,304,828 | |||||||||
Small Company | 17,967,458 | 18,620,550 |
NOTE 12 — CONCENTRATION OF INVESTMENT RISK
All mutual funds involve risk — some more than others — and there is always the chance that you could lose money or not earn as much as you hope. A Portfolio's risk profile is largely a factor of the principal securities in which it invests and investment techniques that it uses. For more information regarding the types of securities and investment techniques that may be used by each Portfolio and their corresponding risks, see the Portfolios' most recent Prospectus and/or the Statement of Additional Information.
Foreign Securities (All Portfolios). Investments in foreign securities may entail risks not present in domestic investments. Since securities in which the Portfolios may invest are denominated in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Portfolios. Foreign investments may also subject the Portfolios to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, as well as changes vis-a-vis the U.S. dollar from movements in currency,
44
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 12 — CONCENTRATION OF INVESTMENT RISK (continued)
and changes in security value and interest rate, all of which could affect the market and/or credit risk of the Portfolios' investments.
Emerging Markets Investments (Balanced, Intermediate Bond and Science and Technology Opportunities). Because of less developed markets and economies and, in some countries, less mature governments and governmental institutions, the risks of investing in foreign securities can be intensified in the case of investments in issuers domiciled or doing substantial business in emerging market countries.
NOTE 13 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles for investment companies. These
book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, income from passive foreign investment companies (PFICs), and wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as return of capital.
The following permanent tax differences have been reclassified as of December 31, 2012:
Paid-in Capital | Undistributed Net Investment Income | Accumulated Net Realized Gains/ (Losses) | |||||||||||||
Balanced | $ | — | $ | (2,068,340 | ) | $ | 2,068,340 | ||||||||
Science and Technology Opportunities | (1,170,606 | ) | 1,244,753 | (74,147 | ) | ||||||||||
Growth and Income(1) | 20,898,143 | 396,571 | (21,294,714 | ) | |||||||||||
Intermediate Bond | (2,606,292 | ) | (5,060,811 | ) | 7,667,103 |
(1) $20,898,143 relates to the expiration of capital loss carryforwards.
Dividends paid by the Portfolios from net investment income and distributions of net realized short-term capital gains are, for federal income tax purposes, taxable as ordinary income to shareholders.
The tax composition of dividends and distributions to shareholders was as follows:
Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||||
Ordinary Income | Long-term Capital Gain | Ordinary Income | Return of Capital | ||||||||||||||||
Balanced | $ | 16,572,758 | $ | — | $ | 16,052,544 | $ | — | |||||||||||
Science and Technology Opportunities | 202,125 | 21,046,648 | — | — | |||||||||||||||
Growth and Income | 63,371,038 | — | 45,025,872 | — | |||||||||||||||
Intermediate Bond | 100,165,706 | — | 107,305,753 | — | |||||||||||||||
Money Market | 344,254 | — | 54,893 | 165,478 | |||||||||||||||
Small Company | 2,055,092 | 21,054,379 | 2,210,263 | — |
The tax-basis components of distributable earnings and the capital loss carryforwards which may be used to offset future realized capital gains for federal income tax purposes as of December 31, 2012 are detailed below. The Regulated Investment Company Modernization Act of 2010 (the "Act") provides an unlimited carryforward period for newly generated capital losses. Under the Act, there may be a greater likelihood that all or a portion of the Portfolios' pre-enactment capital loss carryforwards may expire without being utilized due to the fact that post-enactment capital losses are required to be utilized before pre-enactment capital loss carryforwards.
Undistributed Ordinary | Late Year Ordinary Losses | Undistributed Long-term | Unrealized Appreciation/ | Capital Loss Carryforwards | |||||||||||||||||||||||||||
Income | Deferred | Capital Gain | (Depreciation) | Amount | Character | Expiration | |||||||||||||||||||||||||
Balanced | $ | 11,601,797 | $ | — | $ | — | $ | 23,076,518 | $ | (30,231,106 | ) | Short-term | 2016 | ||||||||||||||||||
(82,316,593 | ) | Short-term | 2017 | ||||||||||||||||||||||||||||
$ | (112,547,699 | ) | |||||||||||||||||||||||||||||
Science and Technology Opportunities | — | — | 15,414,700 | 12,083,731 | $ | — | — | — | |||||||||||||||||||||||
Growth and Income | 17,391 | — | — | 584,438,158 | $ | (7,073,840 | ) | Short-term | 2014 | ||||||||||||||||||||||
(40,824,489 | ) | Short-term | 2015 | ||||||||||||||||||||||||||||
(336,540,577 | ) | Short-term | 2016 | ||||||||||||||||||||||||||||
(229,778,054 | ) | Short-term | 2017 | ||||||||||||||||||||||||||||
(599,642 | ) | Long-term | None | ||||||||||||||||||||||||||||
$(614,816,602)* |
45
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 13 — FEDERAL INCOME TAXES (continued)
Undistributed Ordinary | Late Year Ordinary Losses | Undistributed Long-term | Unrealized Appreciation/ | Capital Loss Carryforwards | |||||||||||||||||||||||||||
Income | Deferred | Capital Gain | (Depreciation) | Amount | Character | Expiration | |||||||||||||||||||||||||
Intermediate Bond | — | (11,993,949 | ) | — | 89,726,971 | $ | (224,224,927 | ) | Short-term | 2017 | |||||||||||||||||||||
Money Market | 159,096 | — | 1,315 | — | $ | — | — | — | |||||||||||||||||||||||
Small Company | 13,614,464 | — | 40,660,354 | 53,829,288 | $ | (4,712,329 | ) | Short-term | 2015 | ||||||||||||||||||||||
(1,570,776 | ) | Short-term | 2016 | ||||||||||||||||||||||||||||
(520,509 | ) | Short-term | 2017 | ||||||||||||||||||||||||||||
$ | (6,803,614 | )* |
* Utilization of these capital losses is subject to annual limitations under Section 382 of the Internal Revenue Code.
The Portfolios' major tax jurisdictions are U.S. federal, Arizona, and Massachusetts. The earliest tax year that remains subject to examination by these jurisdictions is 2008.
As of December 31, 2012, no provisions for income tax would be required in the Portfolios' financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Portfolios' federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue.
NOTE 14 — REORGANIZATIONS
On December 3, 2011, Growth and Income ("Acquiring Portfolio") acquired all of the net assets of ING Core Growth and Income Portfolio (formerly, ING Janus Contrarian Portfolio) ("Acquired Portfolio"), an open-end investment company in a tax-free reorganization in exchange for shares of the Acquiring Portfolio, pursuant to a plan of reorganization approved by the Acquired Portfolio's shareholders on November 4, 2011. The purposes of the transaction were to combine comparable
investment objectives, policies, restrictions, management, and portfolio holdings of the Acquiring and Acquired Funds. For financial reporting purposes, assets received and shares issued by the Acquiring Portfolio were recorded at fair value; however, the cost basis of the investments received from the Acquired Portfolio was carried forward to align ongoing reporting of the Acquiring Portfolio's realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
Assuming the acquisition had been completed on January 1, 2011, the beginning of the annual reporting period of the Acquiring Portfolio, the Acquiring Portfolio's pro forma results of operations for the period ended December 31, 2011, are as follows:
Net investment income | $ | 52,623,883 | |||||
Net realized and unrealized gain on investments | $ | (182,344,641 | ) | ||||
Net increase in net assets resulting from operations | $ | (129,720,758 | ) |
Because the combined investment Portfolios have been managed as a single integrated Portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Portfolio that have been included in the
Acquiring Portfolio's statement of operations since December 3, 2011. Net assets and unrealized appreciation as of the reorganization date were as follows:
Acquiring Portfolio | Acquired Portfolio | Total Net Assets of Acquired Portfolio (000s) | Total Net Assets of Acquiring Portfolio (000s) | Acquired Capital Loss Carryforwards (000s) | Acquired Portfolio Unrealized Appreciation (000s) | Conversion Ratio | |||||||||||||||||||||
Growth and Income | ING Core Growth and Income Portfolio (Formerly, ING Janus Contrarian Portfolio) | $420,777 | $3,459,539 | $ | 285,576 | $(18,039) | 0.5089 |
The net assets of Growth and Income after the acquisition were $3,880,316,178.
46
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 14 — REORGANIZATIONS (continued)
On January 22, 2011, Growth and Income ("Acquiring Portfolio") acquired all of the net assets of ING American Funds Growth-Income Portfolio ("Acquired Portfolio"), an open-end investment company in a tax-free reorganization in exchange for shares of the Acquiring Portfolio, pursuant to a plan of reorganization approved by the Acquired Portfolio's shareholders on January 11, 2011. The purposes of the transaction were to combine comparable investment objectives, policies, restrictions, management, and portfolio holdings of the Acquiring and Acquired Funds. For financial reporting purposes, assets received and shares issued by the Acquiring Portfolio were recorded at fair value; however, the cost basis of
the investments received from the Acquired Portfolio was carried forward to align ongoing reporting of the Acquiring Portfolio's realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
Assuming the acquisition had been completed on January 1, 2011, the beginning of the annual reporting period of the Acquiring Portfolio, the Acquiring Portfolio's pro forma results of operations for the period ended December 31, 2011, are as follows:
Net investment income | $ | 47,049,002 | |||||
Net realized and unrealized gain on investments | $ | (124,724,034 | ) | ||||
Net increase in net assets resulting from operations | $ | (77,675,032 | ) |
Because the combined investment Portfolios have been managed as a single integrated Portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Portfolio that have been included in the Acquiring Portfolio's statement of operations since January 22, 2011. Net assets and unrealized appreciation as of the reorganization date were as follows:
Acquiring Portfolio | Acquired Portfolio | Total Net Assets of Acquired Portfolio (000s) | Total Net Assets of Acquiring Portfolio (000s) | Acquired Capital Loss Carryforwards (000s) | Acquired Portfolio Unrealized Appreciation (000s) | Conversion Ratio | |||||||||||||||||||||
Growth and Income | ING American Funds Growth-Income Portfolio | $1,425,025 | $2,796,305 | $ | 116,195 | $(12,723) | 1.4983 |
The net assets of Growth and Income after the acquisition were $4,221,330,209.
NOTE 15 — RESTRUCTURING PLAN
The Investment Adviser, IIM, the Administrator and the Distributor are indirect, wholly-owned subsidiaries of ING U.S., Inc. ("ING U.S."). ING U.S. is a U.S.-based financial institution whose subsidiaries operate in the retirement, investment, and insurance industries. As of December 31, 2012 ING U.S. is a wholly-owned subsidiary of ING Groep N.V. ("ING Groep"), which is a global financial institution of Dutch origin, with operations in more than 40 countries.
In October 2009, ING Groep submitted a restructuring plan (the "Restructuring Plan") to the European Commission to receive approval for state aid granted to ING Groep by the Kingdom of the Netherlands in November 2008 and March 2009. To receive approval for this state aid, ING Groep was required to divest its insurance and investment management businesses, including ING U.S. by the end of 2013. In November 2012, ING Groep announced that the European Commission agreed to an amendment to the Restructuring Plan which will extend the time for the completion of the divestiture. Under the terms of the amendment, at least 25% of ING U.S. has to be divested by the end of
2013, more than 50% has to be divested by the end of 2014, with the remaining interest divested by the end of 2016. It is anticipated that an initial public offering of a portion of the ING U.S. common stock will be conducted in 2013 as part of the Restructuring Plan. ING Groep has announced that the base case for divesting ING U.S. is an initial public offering of ING U.S. common stock, in which ING Groep anticipates selling a portion of its ownership interest in ING U.S. and thereafter divesting its remaining ownership interest over time. While the base case is an initial public offering, all options remain open and it is possible that ING Groep's divestment of ING U.S. may take place by means of a sale to a single buyer or group of buyers.
The investment advisory agreement for the Portfolios provides that it will terminate automatically in the event of its assignment, which would occur upon a transfer of a controlling block of the shares of the Investment Adviser. The Restructuring Plan may result in a need to obtain further Board and shareholder approval of new advisory agreements.
47
NOTES TO FINANCIAL STATEMENTS AS OF DECEMBER 31, 2012 (CONTINUED)
NOTE 15 — RESTRUCTURING PLAN (continued)
The Restructuring Plan, whether implemented through public offerings or other means, may be disruptive to the businesses of ING U.S. and its subsidiaries, including the Investment Adviser and affiliated entities that provide services to the Portfolios, and may cause, among other things, interruption of business operations or services, diversion of management's attention from day-to-day operations, reduced access to capital, and loss of key employees or customers. Completion of the Restructuring Plan is expected to result in the Investment Adviser's loss of access to the resources of ING Groep, which could adversely affect its business. Currently, the Investment Adviser does not anticipate that the Restructuring Plan will have an adverse impact on its operations or the operations of the Portfolios.
During the time that ING Groep retains a controlling interest in ING U.S., circumstances affecting ING Groep, including restrictions or requirements imposed on ING Groep and its subsidiaries, including ING U.S. and the Investment Adviser, by U.S., European and other authorities, may negatively affect ING U.S. and the Investment Adviser. For example, restrictions on activities of entities controlled by ING Groep, including ING U.S. and the Investment Adviser, could be imposed under U.S., European or other laws or regulations, as a result of activities engaged in by ING Groep and its subsidiaries over which ING U.S. and the Investment Adviser have no control.
NOTE 16 — SUBSEQUENT EVENTS
It is anticipated that one or more of the transactions contemplated by the Restructuring Plan may be deemed to be a change of control, resulting in the automatic terminations of the existing investment advisory and sub-advisory agreements for the Portfolios. At a meeting held on January 9, 2013, the Board approved new advisory and sub-advisory agreements (if applicable) for the Portfolios that will take effect upon shareholder approval or the close of the IPO, whichever is later. Information regarding the basis for the Board's approval of the investment advisory and investment sub-advisory relationships (if applicable) will be disclosed in the Portfolios' semi-annual shareholder report to be dated June 30, 2013. A proxy statement, including disclosures regarding the Board's considerations, is expected to
be sent to shareholders of the Portfolios included in this report, as well as shareholders of other ING Funds, seeking approval of the new investment advisory and sub-advisory agreements (if applicable).
At a meeting of the Board on January 9, 2013, the Board nominated 13 individuals (collectively, the "Nominees") for election as Trustees/Directors of the Trust/Company. The Nominees include Albert E. DePrince Jr., Russell H. Jones, Martin J. Gavin, Joseph E. Obermeyer and Shaun P. Mathews, each of whom is a current member of the Board. In addition, the Board has nominated Colleen D. Baldwin, John V. Boyer, Patricia W. Chadwick, Peter S. Drotch, J. Michael Earley, Patrick W. Kenny, Sheryl K. Pressler and Roger B. Vincent, each of whom is not currently a member of the Board, but who serve as a director or trustee to other investment companies in the ING Fund complex. These nominations are, in part, the result of an effort on the part of the Board and another board in the ING Fund complex to consolidate the membership of the boards so that the same members serve on each board in the ING Fund complex. A proxy statement is expected to be sent to shareholders of the Portfolios included in this report, as well as shareholders of other ING Funds, seeking approval of the same Nominees. If these proposals were all approved by shareholders, the result would be that all ING Funds would be governed by a board made up of the same individuals.
On December 12, 2012, the Board of Directors of Science and Technology Opportunities approved a proposal to reorganize the Portfolio with and into ING MidCap Opportunities Portfolio, which is not included in this report. The proposed reorganization is subject to approval by shareholders of the Portfolio at a shareholder meeting scheduled to be held on or about March 12, 2013. The Portfolio will notify its shareholders if shareholder approval of the proposed reorganization is not obtained. If shareholder approval of the proposed reorganization is obtained, it is expected that the reorganization will take place on or about March 23, 2013.
The Portfolios have evaluated events occurring after the Statements of Assets and Liabilities date (subsequent events) to determine whether any subsequent events necessitated adjustment to or disclosure in the financial statements. Other than the above, no such subsequent events were identified.
48
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012
Shares | Value | Percentage of Net Assets | |||||||||||||||||
COMMON STOCK: 61.9% | |||||||||||||||||||
Consumer Discretionary: 7.7% | |||||||||||||||||||
92,703 | Comcast Corp. - Class A | $ | 3,465,238 | 0.7 | |||||||||||||||
86,504 | @ | Delphi Automotive PLC | 3,308,778 | 0.6 | |||||||||||||||
68,458 | Foot Locker, Inc. | 2,198,871 | 0.4 | ||||||||||||||||
82,425 | Macy's, Inc. | 3,216,224 | 0.6 | ||||||||||||||||
39,710 | @ | Penn National Gaming, Inc. | 1,950,158 | 0.4 | |||||||||||||||
34,723 | Starbucks Corp. | 1,861,847 | 0.4 | ||||||||||||||||
884,926 | Other Securities (a) | 24,326,664 | 4.6 | ||||||||||||||||
40,327,780 | 7.7 | ||||||||||||||||||
Consumer Staples: 4.9% | |||||||||||||||||||
126,121 | Coca-Cola Enterprises, Inc. | 4,001,819 | 0.8 | ||||||||||||||||
30,698 | JM Smucker Co. | 2,647,395 | 0.5 | ||||||||||||||||
41,128 | Kraft Foods Group, Inc. | 1,870,090 | 0.3 | ||||||||||||||||
31,415 | Philip Morris International, Inc. | 2,627,551 | 0.5 | ||||||||||||||||
451,731 | Other Securities | 14,510,634 | 2.8 | ||||||||||||||||
25,657,489 | 4.9 | ||||||||||||||||||
Energy: 6.8% | |||||||||||||||||||
17,776 | EOG Resources, Inc. | 2,147,163 | 0.4 | ||||||||||||||||
82,963 | ExxonMobil Corp. | 7,180,448 | 1.4 | ||||||||||||||||
75,539 | Halliburton Co. | 2,620,448 | 0.5 | ||||||||||||||||
33,186 | Range Resources Corp. | 2,085,076 | 0.4 | ||||||||||||||||
61,197 | @ | Rowan Companies PLC | 1,913,630 | 0.3 | |||||||||||||||
18,079 | Royal Dutch Shell PLC - Class A ADR | 1,246,547 | 0.2 | ||||||||||||||||
59,894 | Royal Dutch Shell PLC - Class A | 2,078,942 | 0.4 | ||||||||||||||||
1,821,096 | Other Securities | 16,702,565 | 3.2 | ||||||||||||||||
35,974,819 | 6.8 | ||||||||||||||||||
Financials: 12.6% | |||||||||||||||||||
34,527 | Ameriprise Financial, Inc. | 2,162,426 | 0.4 | ||||||||||||||||
46,743 | Citigroup, Inc. | 1,849,153 | 0.4 | ||||||||||||||||
178,103 | Fifth Third Bancorp. | 2,705,384 | 0.5 | ||||||||||||||||
70,378 | JPMorgan Chase & Co. | 3,094,521 | 0.6 | ||||||||||||||||
25,869 | Travelers Cos., Inc. | 1,857,912 | 0.4 | ||||||||||||||||
66,770 | US Bancorp. | 2,132,634 | 0.4 | ||||||||||||||||
109,184 | Wells Fargo & Co. | 3,731,909 | 0.7 | ||||||||||||||||
85,477 | XL Group PLC | 2,142,054 | 0.4 | ||||||||||||||||
8,961,775 | Other Securities (a) | 46,502,814 | 8.8 | ||||||||||||||||
66,178,807 | 12.6 |
Shares | Value | Percentage of Net Assets | |||||||||||||||||
Health Care: 5.9% | |||||||||||||||||||
40,225 | Abbott Laboratories | $ | 2,634,738 | 0.5 | |||||||||||||||
23,157 | @ | Gilead Sciences, Inc. | 1,700,882 | 0.3 | |||||||||||||||
166,215 | Pfizer, Inc. | 4,168,672 | 0.8 | ||||||||||||||||
21,495 | @ | Watson Pharmaceuticals, Inc. | 1,848,570 | 0.4 | |||||||||||||||
377,973 | Other Securities | 20,531,597 | 3.9 | ||||||||||||||||
30,884,459 | 5.9 | ||||||||||||||||||
Industrials: 6.6% | |||||||||||||||||||
77,732 | Ametek, Inc. | 2,920,391 | 0.6 | ||||||||||||||||
113,357 | General Electric Co. | 2,379,363 | 0.4 | ||||||||||||||||
27,700 | Roper Industries, Inc. | 3,087,996 | 0.6 | ||||||||||||||||
20,993 | Union Pacific Corp. | 2,639,240 | 0.5 | ||||||||||||||||
520,515 | Other Securities | 23,720,469 | 4.5 | ||||||||||||||||
34,747,459 | 6.6 | ||||||||||||||||||
Information Technology: 9.3% | |||||||||||||||||||
11,748 | Apple, Inc. | 6,262,036 | 1.2 | ||||||||||||||||
72,256 | @ | EMC Corp. | 1,828,077 | 0.3 | |||||||||||||||
5,691 | @ | Google, Inc. - Class A | 4,037,024 | 0.8 | |||||||||||||||
88,098 | @ | NetApp, Inc. | 2,955,688 | 0.6 | |||||||||||||||
88,209 | Oracle Corp. | 2,939,124 | 0.6 | ||||||||||||||||
2,514 | Samsung Electronics Co., Ltd. | 3,612,115 | 0.7 | ||||||||||||||||
560,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 1,873,094 | 0.3 | ||||||||||||||||
1,193,095 | Other Securities (a) | 25,510,887 | 4.8 | ||||||||||||||||
49,018,045 | 9.3 | ||||||||||||||||||
Materials: 3.6% | |||||||||||||||||||
41,443 | Eastman Chemical Co. | 2,820,196 | 0.5 | ||||||||||||||||
50,639 | Packaging Corp. of America | 1,948,082 | 0.4 | ||||||||||||||||
769,917 | Other Securities | 14,095,165 | 2.7 | ||||||||||||||||
18,863,443 | 3.6 | ||||||||||||||||||
Telecommunication Services: 2.4% | |||||||||||||||||||
62,691 | Verizon Communications, Inc. | 2,712,639 | 0.5 | ||||||||||||||||
2,318,445 | Other Securities (a) | 10,204,865 | 1.9 | ||||||||||||||||
12,917,504 | 2.4 |
See Accompanying Notes to Financial Statements
49
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Shares | Value | Percentage of Net Assets | |||||||||||||||||
Utilities: 2.1% | |||||||||||||||||||
615,889 | Other Securities | $ | 10,947,200 | 2.1 | |||||||||||||||
Total Common Stock (Cost $301,405,507) | 325,517,005 | 61.9 | |||||||||||||||||
EXCHANGE-TRADED FUNDS: 6.2% | |||||||||||||||||||
192,300 | iShares iBoxx $ High Yield Corporate Bond Fund | 17,951,205 | 3.4 | ||||||||||||||||
328,100 | SPDR Barclays Capital High Yield Bond ETF | 13,353,670 | 2.6 | ||||||||||||||||
15,814 | Other Securities | 1,151,575 | 0.2 | ||||||||||||||||
Total Exchange- Traded Funds (Cost $31,829,805) | 32,456,450 | 6.2 | |||||||||||||||||
PREFERRED STOCK: 0.1% | |||||||||||||||||||
Financials: 0.1% | |||||||||||||||||||
6,804 | @,P | US Bancorp | 191,740 | 0.0 | |||||||||||||||
26,333 | Other Securities (a) | 700,973 | 0.1 | ||||||||||||||||
Total Preferred Stock (Cost $840,925) | 892,713 | 0.1 | |||||||||||||||||
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
CORPORATE BONDS/NOTES: 10.0% | |||||||||||||||||||
Consumer Discretionary: 0.7% | |||||||||||||||||||
111,000 | # | ADT Corp., 2.250%, 07/15/17 | $ | 110,198 | 0.0 | ||||||||||||||
49,000 | # | ADT Corp., 3.500%, 07/15/22 | 47,699 | 0.0 | |||||||||||||||
89,000 | #,L | CC Holdings GS V LLC, 2.381%, 12/15/17 | 89,506 | 0.0 | |||||||||||||||
338,000 | # | Hyatt Hotels Corp., 6.875%, 08/15/19 | 399,694 | 0.1 | |||||||||||||||
305,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 341,600 | 0.1 | |||||||||||||||
2,459,000 | Other Securities | 2,670,352 | 0.5 | ||||||||||||||||
3,659,049 | 0.7 | ||||||||||||||||||
Consumer Staples: 0.4% | |||||||||||||||||||
70,000 | # | JBS USA LLC/ JBS USA Finance, Inc., 8.250%, 02/01/20 | 74,550 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
238,000 | # | Kraft Foods Group, Inc., 5.000%, 06/04/42 | $ | 267,890 | 0.1 | ||||||||||||||
1,606,000 | Other Securities (a) | 1,800,404 | 0.3 | ||||||||||||||||
2,142,844 | 0.4 | ||||||||||||||||||
Energy: 1.7% | |||||||||||||||||||
210,000 | # | BG Energy Capital PLC, 2.875%, 10/15/16 | 221,779 | 0.0 | |||||||||||||||
90,000 | # | Chesapeake Oilfield Operating LLC/ Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 | 85,275 | 0.0 | |||||||||||||||
80,000 | # | Kinder Morgan Finance Co., LLC, 6.000%, 01/15/18 | 88,301 | 0.0 | |||||||||||||||
MXN | 10,000,000 | # | Petroleos Mexicanos, 7.650%, 11/24/21 | 851,210 | 0.2 | ||||||||||||||
164,600 | # | QGOG Atlantic / Alaskan Rigs Ltd., 5.250%, 07/30/18 | 174,064 | 0.0 | |||||||||||||||
250,000 | # | Reliance Holdings USA, Inc., 5.400%, 02/14/22 | 279,844 | 0.1 | |||||||||||||||
211,000 | # | Schlumberger Investment SA, 1.950%, 09/14/16 | 216,712 | 0.0 | |||||||||||||||
400,000 | # | Zhaikmunai LLP, 7.125%, 11/13/19 | 420,000 | 0.1 | |||||||||||||||
7,398,467 | Other Securities (a),(b) | 6,765,818 | 1.3 | ||||||||||||||||
9,103,003 | 1.7 | ||||||||||||||||||
Financials: 4.1% | |||||||||||||||||||
BRL | 568,000 | # | Banco Votorantim SA, 6.250%, 05/16/16 | 321,936 | 0.1 | ||||||||||||||
97,000 | # | Barclays Bank PLC, 6.050%, 12/04/17 | 107,744 | 0.0 | |||||||||||||||
150,000 | # | BBVA Bancomer SA/Texas, 6.750%, 09/30/22 | 169,125 | 0.0 | |||||||||||||||
145,000 | # | Charles Schwab Corp./The, 3.225%, 09/01/22 | 147,288 | 0.0 | |||||||||||||||
387,000 | Citigroup, Inc., 5.000%-5.950%, 09/15/14-12/29/49 | 398,764 | 0.1 |
See Accompanying Notes to Financial Statements
50
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
Financials (continued) | |||||||||||||||||||
204,000 | # | Cooperatieve Centrale Raiffeisen- Boerenleenbank BA/Netherlands, 11.000%, 12/29/49 | $ | 277,594 | 0.1 | ||||||||||||||
BRL | 6,300,000 | Credit Suisse Nota Do Tesouro Nacional, 10.000%, 01/05/17 | 3,231,386 | 0.6 | |||||||||||||||
250,000 | # | Development Bank of Kazakhstan JSC, 4.125%, 12/10/22 | 253,125 | 0.1 | |||||||||||||||
190,000 | # | ERAC USA Finance LLC, 3.300%, 10/15/22 | 192,541 | 0.0 | |||||||||||||||
100,000 | Fifth Third Bancorp., 8.250%, 03/01/38 | 143,107 | 0.0 | ||||||||||||||||
100,000 | # | HBOS PLC, 6.750%, 05/21/18 | 108,125 | 0.0 | |||||||||||||||
100,000 | # | Hyundai Capital America, 4.000%, 06/08/17 | 108,002 | 0.0 | |||||||||||||||
325,000 | # | ICICI Bank Ltd./Dubai, 4.700%, 02/21/18 | 342,046 | 0.1 | |||||||||||||||
181,000 | # | International Lease Finance Corp., 7.125%, 09/01/18 | 210,865 | 0.0 | |||||||||||||||
200,000 | # | Itau Unibanco Holding SA/ Cayman Island, 5.125%, 05/13/23 | 205,250 | 0.0 | |||||||||||||||
540,000 | JPMorgan Chase & Co., 2.000%-5.400%, 08/15/17-01/06/42 | 570,425 | 0.1 | ||||||||||||||||
591,000 | Morgan Stanley, 3.800%-7.300%, 01/26/15-07/28/21 | 648,337 | 0.1 | ||||||||||||||||
200,000 | # | RBS Citizens Financial Group, Inc., 4.150%, 09/28/22 | 204,269 | 0.0 | |||||||||||||||
1,850,000 | Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.298%, 12/27/17 | 1,993,375 | 0.4 | ||||||||||||||||
400,000 | # | Sberbank of Russia Via SB Capital SA, 5.125%, 10/29/22 | 409,500 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
107,000 | # | Simon Property Group L.P., 1.500%, 02/01/18 | $ | 106,484 | 0.0 | ||||||||||||||
200,000 | # | Turkiye Is Bankasi, 6.000%, 10/24/22 | 211,750 | 0.1 | |||||||||||||||
400,000 | # | Turkiye Vakiflar Bankasi Tao, 6.000%, 11/01/22 | 416,000 | 0.1 | |||||||||||||||
254,000 | Wells Fargo & Co., 1.500%-3.676%, 06/15/16-01/16/18 | 264,372 | 0.1 | ||||||||||||||||
9,935,400 | Other Securities (a) | 10,566,709 | 2.0 | ||||||||||||||||
21,608,119 | 4.1 | ||||||||||||||||||
Health Care: 0.5% | |||||||||||||||||||
99,000 | # | AbbVie, Inc., 2.900%, 11/06/22 | 100,914 | 0.0 | |||||||||||||||
164,000 | # | Aristotle Holding, Inc., 2.650%, 02/15/17 | 170,573 | 0.1 | |||||||||||||||
96,000 | # | Aristotle Holding, Inc., 3.500%, 11/15/16 | 102,703 | 0.0 | |||||||||||||||
138,000 | Gilead Sciences, Inc., 4.400%, 12/01/21 | 157,441 | 0.0 | ||||||||||||||||
100,000 | # | Valeant Pharmaceuticals International, 7.000%, 10/01/20 | 109,250 | 0.0 | |||||||||||||||
155,000 | # | Valeant Pharmaceuticals International, 7.250%, 07/15/22 | 170,113 | 0.1 | |||||||||||||||
1,869,000 | Other Securities | 1,694,245 | 0.3 | ||||||||||||||||
2,505,239 | 0.5 | ||||||||||||||||||
Industrials: 0.5% | |||||||||||||||||||
200,000 | # | Brunswick Rail Finance Ltd., 6.500%, 11/01/17 | 209,360 | 0.0 | |||||||||||||||
339,000 | General Electric Co., 2.700%-4.125%, 10/09/22-10/09/42 | 348,006 | 0.1 | ||||||||||||||||
450,000 | # | Hutchison Whampoa International 12 Ltd., 6.000%, 05/29/49 | 478,125 | 0.1 | |||||||||||||||
200,000 | # | Kazakhstan Temir Zholy Finance BV, 6.950%, 07/10/42 | 252,000 | 0.1 | |||||||||||||||
100,000 | #,L | Odebrecht Finance Ltd., 7.500%, 09/29/49 | 109,750 | 0.0 | |||||||||||||||
94,000 | # | Turlock Corp., 2.750%, 11/02/22 | 93,798 | 0.0 |
See Accompanying Notes to Financial Statements
51
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
Industrials (continued) | |||||||||||||||||||
87,000 | # | Turlock Corp., 4.150%, 11/02/42 | $ | 88,074 | 0.0 | ||||||||||||||
724,000 | Other Securities | 799,031 | 0.2 | ||||||||||||||||
2,378,144 | 0.5 | ||||||||||||||||||
Information Technology: 0.4% | |||||||||||||||||||
199,000 | Oracle Corp., 2.500%-5.375%, 10/15/22-07/15/40 | 224,787 | 0.0 | ||||||||||||||||
1,964,000 | Other Securities (a) | 2,049,178 | 0.4 | ||||||||||||||||
2,273,965 | 0.4 | ||||||||||||||||||
Materials: 0.4% | |||||||||||||||||||
340,000 | # | Anglo American Capital PLC, 2.625%, 09/27/17 | 347,241 | 0.1 | |||||||||||||||
80,000 | # | Georgia-Pacific LLC, 5.400%, 11/01/20 | 95,239 | 0.0 | |||||||||||||||
120,000 | # | Sealed Air Corp., 8.375%, 09/15/21 | 137,700 | 0.0 | |||||||||||||||
142,000 | # | Xstrata Finance Canada Ltd., 4.000%, 10/25/22 | 143,662 | 0.0 | |||||||||||||||
137,000 | # | Xstrata Finance Canada Ltd., 4.950%, 11/15/21 | 147,264 | 0.0 | |||||||||||||||
184,000 | # | Xstrata Finance Canada Ltd., 5.300%, 10/25/42 | 184,866 | 0.1 | |||||||||||||||
1,115,000 | Other Securities | 1,152,183 | 0.2 | ||||||||||||||||
2,208,155 | 0.4 | ||||||||||||||||||
Telecommunication Services: 0.4% | |||||||||||||||||||
200,000 | # | Colombia Telecomunicaciones SA ESP, 5.375%, 09/27/22 | 203,750 | 0.0 | |||||||||||||||
400,000 | # | Telefonica Chile SA, 3.875%, 10/12/22 | 400,853 | 0.1 | |||||||||||||||
472,000 | Verizon Communications, Inc., 1.950%-2.450%, 03/28/14-11/01/22 | 479,005 | 0.1 | ||||||||||||||||
1,138,000 | Other Securities | 1,203,994 | 0.2 | ||||||||||||||||
2,287,602 | 0.4 | ||||||||||||||||||
Utilities: 0.9% | |||||||||||||||||||
200,000 | # | Abu Dhabi National Energy Co., 5.875%, 12/13/21 | 239,700 | 0.1 | |||||||||||||||
162,000 | # | Allegheny Energy Supply Co., LLC, 5.750%, 10/15/19 | 177,829 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
200,000 | # | China Resources Gas Group Ltd, 4.500%, 04/05/22 | $ | 220,163 | 0.1 | ||||||||||||||
121,000 | # | Duquesne Light Holdings, Inc., 5.900%, 12/01/21 | 143,725 | 0.0 | |||||||||||||||
206,000 | # | Duquesne Light Holdings, Inc., 6.400%, 09/15/20 | 249,332 | 0.1 | |||||||||||||||
200,000 | # | Empresa de Energia de Bogota SA, 6.125%, 11/10/21 | 225,500 | 0.1 | |||||||||||||||
200,000 | # | Hrvatska Elektroprivreda, 6.000%, 11/09/17 | 212,000 | 0.0 | |||||||||||||||
75,000 | # | Iberdrola Finance Ireland Ltd., 3.800%, 09/11/14 | 77,067 | 0.0 | |||||||||||||||
82,530 | # | Juniper Generation, LLC, 6.790%, 12/31/14 | 77,165 | 0.0 | |||||||||||||||
159,000 | # | Korea Gas Corp., 6.250%, 01/20/42 | 213,581 | 0.0 | |||||||||||||||
2,253,000 | Other Securities | 2,628,339 | 0.5 | ||||||||||||||||
4,464,401 | 0.9 | ||||||||||||||||||
Total Corporate Bonds/Notes (Cost $50,994,230) | 52,630,521 | 10.0 | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 4.1% | |||||||||||||||||||
448,000 | # | American General Mortgage Loan Trust, 5.750%, 09/25/48 | 467,141 | 0.1 | |||||||||||||||
110,691 | # | Banc of America Large Loan, Inc., 1.609%, 06/15/18 | 108,882 | 0.0 | |||||||||||||||
118,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.322%, 07/10/43 | 121,163 | 0.1 | |||||||||||||||
70,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.338%, 07/10/43 | 71,436 | 0.0 | |||||||||||||||
160,000 | # | Bear Stearns Commercial Mortgage Securities, 5.573%, 04/12/38 | 162,800 | 0.1 | |||||||||||||||
40,000 | # | Bear Stearns Commercial Mortgage Securities, 5.640%, 02/14/31 | 39,896 | 0.0 |
See Accompanying Notes to Financial Statements
52
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||||||||||||||||
22,265 | # | Bear Stearns Commercial Mortgage Securities, 6.500%, 02/15/32 | $ | 22,271 | 0.0 | ||||||||||||||
996,899 | #,^ | Citigroup Commercial Mortgage Trust, 2.263%, 09/10/45 | 134,282 | 0.0 | |||||||||||||||
2,380,000 | #,^ | Commercial Mortgage Pass Through Certificates, 0.600%, 10/15/45 | 125,050 | 0.1 | |||||||||||||||
100,559 | # | Commercial Mortgage Pass Through Certificates, 0.659%, 12/15/20 | 99,035 | 0.0 | |||||||||||||||
77,353 | # | Commercial Mortgage Pass Through Certificates, 0.709%, 12/15/20 | 75,871 | 0.0 | |||||||||||||||
69,617 | # | Commercial Mortgage Pass Through Certificates, 0.809%, 12/15/20 | 59,697 | 0.0 | |||||||||||||||
300,000 | # | Credit Suisse First Boston Mortgage Securities Corp., 5.575%, 04/12/49 | 311,810 | 0.1 | |||||||||||||||
120,277 | # | First Union National Bank Commercial Mortgage, 6.000%, 12/12/33 | 120,852 | 0.0 | |||||||||||||||
150,000 | # | Fosse Master PLC, 1.725%, 10/18/54 | 153,118 | 0.0 | |||||||||||||||
685,173 | Freddie Mac, 5.000%-5.500%, 02/15/35-07/15/37 | 767,254 | 0.2 | ||||||||||||||||
150,000 | # | Gracechurch Mortgage Financing PLC, 1.862%, 11/20/56 | 153,044 | 0.0 | |||||||||||||||
350,000 | # | GS Mortgage Securities Corp. II, 3.007%, 12/10/30 | 358,260 | 0.1 | |||||||||||||||
480,000 | # | GS Mortgage Securities Corp. II, 5.309%, 01/10/40 | 479,878 | 0.1 | |||||||||||||||
200,000 | # | Heller Financial Commercial Mortgage Asset, 6.500%, 05/15/31 | 204,968 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
84,019 | JP Morgan Alternative Loan Trust, 5.500%, 12/25/35 | $ | 71,182 | 0.0 | |||||||||||||||
2,220,000 | ^ | JP Morgan Chase Commercial Mortgage Securities Corp., 1.958%, 12/15/47 | 273,708 | 0.1 | |||||||||||||||
1,000,000 | #,^ | JP Morgan Chase Commercial Mortgage Securities Corp., 0.361%, 12/15/47 | 29,352 | 0.0 | |||||||||||||||
44,270 | JP Morgan Chase Commerical Mortgage Securities Corp., 5.247%, 01/12/43 | 44,543 | 0.0 | ||||||||||||||||
173,749 | JP Morgan Mortgage Trust, 6.500%, 08/25/36 | 156,241 | 0.0 | ||||||||||||||||
317,761 | # | JPMorgan Chase Commerical Mortgage Securities Corp., 6.135%, 07/12/37 | 318,551 | 0.1 | |||||||||||||||
207,038 | JPMorgan Mortgage Trust, 5.279%, 07/25/35 | 208,229 | 0.0 | ||||||||||||||||
148,984 | JPMorgan Chase Commerical Mortgage Securities Corp., 5.198%-5.305%, 12/15/44-01/15/49 | 149,771 | 0.0 | ||||||||||||||||
300,000 | # | Lanark Master Issuer PLC, 1.711%, 12/22/54 | 307,536 | 0.1 | |||||||||||||||
9,535,860 | #,^ | LB-UBS Commercial Mortgage Trust, 0.648%, 11/15/38 | 187,228 | 0.1 | |||||||||||||||
100,000 | # | LB-UBS Commercial Mortgage Trust, 5.226%, 10/15/36 | 97,275 | 0.0 | |||||||||||||||
190,000 | # | LB-UBS Commercial Mortgage Trust, 5.246%, 02/15/40 | 167,027 | 0.0 | |||||||||||||||
90,000 | # | LB-UBS Commercial Mortgage Trust, 5.526%, 10/15/36 | 68,432 | 0.0 | |||||||||||||||
180,000 | # | LB-UBS Commercial Mortgage Trust, 5.980%, 09/15/39 | 178,046 | 0.1 |
See Accompanying Notes to Financial Statements
53
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||||||||||||||||
180,000 | # | LB-UBS Commercial Mortgage Trust, 6.890%, 07/15/32 | $ | 170,167 | 0.0 | ||||||||||||||
80,000 | # | Merrill Lynch Mortgage Investors, Inc., 6.000%, 12/15/30 | 83,930 | 0.0 | |||||||||||||||
1,233,943 | #,^ | Morgan Stanley Bank of America Merrill Lynch Trust, 1.937%, 08/15/45 | 139,706 | 0.0 | |||||||||||||||
1,586,774 | #,^ | Morgan Stanley Bank of America Merrill Lynch Trust, 2.196%, 11/15/45 | 200,960 | 0.1 | |||||||||||||||
100,000 | # | Morgan Stanley Capital I Trust 2007-TOP25, 5.614%, 11/12/49 | 49,870 | 0.0 | |||||||||||||||
110,000 | Morgan Stanley Capital I Trust 2008-TOP29, 6.275%, 01/11/43 | 131,761 | 0.0 | ||||||||||||||||
350,000 | # | Morgan Stanley Capital I, 5.418%, 01/13/41 | 350,295 | 0.1 | |||||||||||||||
250,000 | # | Morgan Stanley Capital I, 5.818%, 08/12/41 | 227,871 | 0.0 | |||||||||||||||
500,000 | # | Morgan Stanley Dean Witter Capital I, 6.082%, 03/12/35 | 499,115 | 0.1 | |||||||||||||||
300,000 | # | Morgan Stanley Reremic Trust, 5.843%, 12/17/43 | 306,985 | 0.1 | |||||||||||||||
710,000 | Morgan Stanley Capital I, Inc., 5.395%-5.575%, 06/15/38-04/12/49 | 748,279 | 0.1 | ||||||||||||||||
1,180,841 | Morgan Stanley Capital I, 5.073%-5.793%, 06/15/40-04/12/49 | 1,198,402 | 0.2 | ||||||||||||||||
5,236,235 | #,^ | RBSCF Trust, 0.973%, 04/15/24 | 93,536 | 0.0 | |||||||||||||||
530,000 | # | RBSCF Trust, 5.305%, 01/16/49 | 544,945 | 0.1 | |||||||||||||||
196,000 | # | Silverstone Master Issuer PLC, 1.869%, 01/21/55 | 201,778 | 0.0 | |||||||||||||||
190,000 | # | Springleaf Mortgage Loan Trust, 4.440%, 12/25/59 | 190,950 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
996,077 | #,^ | UBS-Barclays Commercial Mortgage Trust, 2.204%, 08/10/49 | $ | 139,815 | 0.0 | ||||||||||||||
997,080 | #,^ | Wells Fargo Commercial Mortgage Trust, 2.163%, 10/15/45 | 134,417 | 0.0 | |||||||||||||||
1,133,503 | #,^ | Wells Fargo Mortgage Backed Securities Trust, 1.608%, 06/15/45 | 122,584 | 0.0 | |||||||||||||||
1,444,307 | #,^ | Wells Fargo Mortgage Backed Securities Trust, 2.255%, 08/15/45 | 191,135 | 0.1 | |||||||||||||||
13,661,916 | Other Securities (c) | 9,596,415 | 1.8 | ||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $20,915,440) | 21,616,745 | 4.1 | |||||||||||||||||
ASSET-BACKED SECURITIES: 1.1% | |||||||||||||||||||
Automobile Asset-Backed Securities: 0.1% | |||||||||||||||||||
250,000 | # | Motor PLC, 1.286%, 02/25/20 | 250,958 | 0.1 | |||||||||||||||
100,000 | # | SMART Trust, 1.590%, 10/14/16 | 101,759 | 0.0 | |||||||||||||||
352,717 | 0.1 | ||||||||||||||||||
Credit Card Asset-Backed Securities: 0.1% | |||||||||||||||||||
300,000 | # | Gracechurch Card Funding PLC, 0.909%, 02/15/17 | 302,895 | 0.0 | |||||||||||||||
340,000 | # | Penarth Master Issuer PLC, 0.779%, 03/18/14 | 341,775 | 0.1 | |||||||||||||||
644,670 | 0.1 | ||||||||||||||||||
Home Equity Asset-Backed Securities: 0.1% | |||||||||||||||||||
704,096 | Other Securities | 328,310 | 0.1 | ||||||||||||||||
Other Asset-Backed Securities: 0.8% | |||||||||||||||||||
25,867 | # | ARES CLO Funds, 0.548%, 09/18/17 | 25,748 | 0.0 | |||||||||||||||
300,000 | # | ARES CLO Funds, 2.962%, 02/26/16 | 294,222 | 0.1 | |||||||||||||||
152,322 | # | Atrium CDO Corp., 0.642%, 10/27/16 | 150,858 | 0.0 | |||||||||||||||
150,063 | # | Black Diamond CLO Ltd., 0.579%, 06/20/17 | 147,928 | 0.0 | |||||||||||||||
100,000 | # | Castle Garden Funding, 6.560%, 10/27/20 | 105,951 | 0.0 |
See Accompanying Notes to Financial Statements
54
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
Other Asset-Backed Securities (continued) | |||||||||||||||||||
317,002 | # | Credit-Based Asset Servicing and Securitization, LLC, 5.746%, 12/25/37 | $ | 321,302 | 0.1 | ||||||||||||||
241,000 | # | Credit-Based Asset Servicing and Securitization, LLC, 6.020%, 12/25/37 | 240,649 | 0.0 | |||||||||||||||
500,000 | # | Dryden Leveraged Loan CDO 2002-II, 2.608%, 09/17/16 | 500,041 | 0.1 | |||||||||||||||
25,816 | # | First CLO Ltd., 0.620%, 12/14/16 | 25,786 | 0.0 | |||||||||||||||
300,000 | # | First CLO Ltd., 1.310%, 12/14/16 | 296,923 | 0.1 | |||||||||||||||
250,000 | # | Grayston CLO Ltd., 1.610%, 08/15/16 | 249,459 | 0.1 | |||||||||||||||
27,603 | # | Gulf Stream Compass CLO Ltd., 0.700%, 07/15/16 | 27,598 | 0.0 | |||||||||||||||
250,000 | # | Hewett's Island CDO Ltd., 1.508%, 12/15/16 | 240,252 | 0.1 | |||||||||||||||
42,738 | # | Katonah Ltd., 0.629%, 09/20/16 | 42,641 | 0.0 | |||||||||||||||
21,067 | # | Landmark CDO Ltd., 1.190%, 01/15/16 | 21,063 | 0.0 | |||||||||||||||
216,795 | # | Lightpoint CLO Ltd., 0.568%, 09/15/17 | 213,139 | 0.0 | |||||||||||||||
179,751 | # | Stanfield Modena CLO Ltd., 1.560%, 09/22/16 | 179,798 | 0.0 | |||||||||||||||
125,224 | # | Wind River CLO Ltd., 0.639%, 12/19/16 | 123,720 | 0.0 | |||||||||||||||
2,005,348 | Other Securities | 1,046,820 | 0.2 | ||||||||||||||||
4,253,898 | 0.8 | ||||||||||||||||||
Total Asset-Backed Securities (Cost $5,481,116) | 5,579,595 | 1.1 | |||||||||||||||||
FOREIGN GOVERNMENT BONDS: 4.0% | |||||||||||||||||||
EUR | 360,000 | # | Austria Government Bond, 3.200%, 02/20/17 | 528,462 | 0.1 | ||||||||||||||
BRL | 11,790,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/23 | 6,042,100 | 1.2 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
626,000 | Brazilian Government International Bond, 2.625%, 01/05/23 | $ | 630,069 | 0.1 | |||||||||||||||
DOP | 10,300,000 | # | Dominican Republic International Bond, 14.000%, 10/18/19 | 258,189 | 0.1 | ||||||||||||||
57,000 | # | El Salvador Government International Bond, 5.875%, 01/30/25 | 57,912 | 0.0 | |||||||||||||||
228,000 | # | Lithuania Government International Bond, 5.125%, 09/14/17 | 257,925 | 0.0 | |||||||||||||||
EUR | 640,000 | # | Netherlands Government Bond, 4.500%, 07/15/17 | 998,761 | 0.2 | ||||||||||||||
200,000 | # | Republic of Latvia, 2.750%, 01/12/20 | 198,800 | 0.0 | |||||||||||||||
RUB | 25,398,000 | Russian Federal Bond - OFZ, 8.150%, 02/03/27 | 921,085 | 0.2 | |||||||||||||||
79,050 | Russian Foreign Bond - Eurobond, 7.500%, 03/31/30 | 101,690 | 0.0 | ||||||||||||||||
EUR | 128,769,682 | Other Securities (b) | 10,860,305 | 2.1 | |||||||||||||||
Total Foreign Government Bonds (Cost $20,110,350) | 20,855,298 | 4.0 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 6.8% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 2.8%## | |||||||||||||||||||
2,012,000 | W | 3.500%, due 07/15/41 | 2,140,108 | 0.4 | |||||||||||||||
11,732,996 | ^,Z | 1.000%-6.500%, due 08/15/16- 01/15/42 | 12,615,599 | 2.4 | |||||||||||||||
14,755,707 | 2.8 | ||||||||||||||||||
Federal National Mortgage Association: 3.3%## | |||||||||||||||||||
4,541,000 | W | 3.000%, due 11/25/42 | 4,738,959 | 0.9 | |||||||||||||||
12,101,270 | W | 0.710%-7.500%, due 06/01/16- 08/01/42 | 13,003,888 | 2.4 | |||||||||||||||
17,742,847 | 3.3 |
See Accompanying Notes to Financial Statements
55
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
Government National Mortgage Association: 0.7% | |||||||||||||||||||
3,273,622 | W | 1.625%-7.000%, due 04/20/28- 10/20/60 | $ | 3,562,103 | 0.7 | ||||||||||||||
Total U.S. Government Agency Obligations (Cost $35,365,002) | 36,060,657 | 6.8 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS: 2.3% | |||||||||||||||||||
U.S. Treasury Bonds: 1.4% | |||||||||||||||||||
3,703,000 | 1.625%, due 11/15/22 | 3,658,449 | 0.7 | ||||||||||||||||
4,061,000 | 2.750%, due 08/15/42 | 3,907,446 | 0.7 | ||||||||||||||||
7,565,895 | 1.4 | ||||||||||||||||||
U.S. Treasury Notes: 0.9% | |||||||||||||||||||
4,630,200 | 0.250%-1.125%, due 11/30/14- 12/31/19 | 4,618,658 | 0.9 | ||||||||||||||||
Total U.S. Treasury Obligations (Cost $12,299,839) | 12,184,553 | 2.3 | |||||||||||||||||
# of Contracts | Value | Percentage of Net Assets | |||||||||||||||||
PURCHASED OPTIONS: 0.1% | |||||||||||||||||||
Interest Rate Swaptions: 0.1% | |||||||||||||||||||
616,000 | @ | Call Swaption, Receive a floating rate based on 3-month-USD- LIBOR and pay a fixed rate equal to 2.828%, Exp. 10/25/13 Counterparty: Deutsche Bank AG | $ | 33,118 | 0.0 | ||||||||||||||
1,791,000 | @ | Call Swaption, Receive a floating rate based on 3-month-USD- LIBOR and pay a fixed rate equal to 2.828%, Exp. 10/25/13 Counterparty: Deutsche Bank AG | 96,290 | 0.0 |
# of Contracts | Value | Percentage of Net Assets | |||||||||||||||||
1,791,000 | @ | Put Swaption, Receive a fixed rate equal to 2.828% and pay a floating based on 3-month-USD- LIBOR, Exp. 10/25/13 Counterparty: Deutsche Bank AG | $ | 112,315 | 0.1 | ||||||||||||||
616,000 | @ | Put Swaption, Receive a fixed rate equal to 2.828% and pay a floating based on 3-month-USD- LIBOR, Exp. 10/25/13 Counterparty: Deutsche Bank AG | 38,629 | 0.0 | |||||||||||||||
280,352 | 0.1 | ||||||||||||||||||
Options on Currencies: 0.0% | |||||||||||||||||||
2,800,000 | @ | EUR Put vs. USD Call Currency Option, Strike @ 1.275, Exp. 01/04/13 Counterparty: Barclays Bank PLC | 14 | 0.0 | |||||||||||||||
1,100,000 | @ | USD Put vs. MYR Call Currency Option, Strike @ 3.000, Exp. 01/16/13 Counterparty: Deutsche Bank AG | 187 | 0.0 | |||||||||||||||
201 | 0.0 | ||||||||||||||||||
Total Purchased Options (Cost $430,693) | 280,553 | 0.1 | |||||||||||||||||
Total Long-Term Investments (Cost $479,672,907) | 508,074,090 | 96.6 |
See Accompanying Notes to Financial Statements
56
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
SHORT-TERM INVESTMENTS: 4.1% | |||||||||||||||||||
Securities Lending Collateralcc(1): 0.4% | |||||||||||||||||||
1,000,000 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,000,011, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,020,000, due 10/01/16- 12/20/42) | $ | 1,000,000 | 0.2 | |||||||||||||||
165,463 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $165,465, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $168,773, due 10/31/17- 08/15/22) | 165,463 | 0.0 | ||||||||||||||||
23,477 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%, due 01/02/13 (Repurchase Amount $23,477, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $23,947, due 08/09/13- 04/18/36) | 23,477 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
1,000,000 | Royal Bank of Canada, Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $1,000,035, collateralized by various U.S. Government Agency Obligations, 2.000%-4.500%, Market Value plus accrued interest $1,020,000, due 10/01/32- 01/01/43) | $ | 1,000,000 | 0.2 | |||||||||||||||
2,188,940 | 0.4 | ||||||||||||||||||
Foreign Government Bonds: 0.6% | |||||||||||||||||||
MYR | 780,000 | Z | Bank Negara Malaysia Monetary Notes, 2.940%, 04/23/13 | 252,733 | 0.1 | ||||||||||||||
MXN | 4,920,200 | Z | Mexico Cetes, 4.260%, 03/21/13 | 377,064 | 0.0 | ||||||||||||||
MXN | 12,300,000 | Z | Mexico Cetes, 4.380%, 05/30/13 | 934,497 | 0.2 | ||||||||||||||
MXN | 20,182,000 | Z | Mexico Cetes, 4.450%, 09/19/13 | 1,512,335 | 0.3 | ||||||||||||||
NGN | 2,700,000 | Nigeria Government Bond, 12.200%, 10/10/13 | 15,778 | 0.0 | |||||||||||||||
3,092,407 | 0.6 | ||||||||||||||||||
Shares | Value | Percentage of Net Assets | |||||||||||||||||
Mutual Funds: 3.1% | |||||||||||||||||||
16,272,596 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $16,272,596) | $ | 16,272,596 | 3.1 | |||||||||||||||
| Total Short-Term Investments (Cost $21,561,794) | 21,553,943 | 4.1 | ||||||||||||||||
Total Investments in Securities (Cost $501,234,701) | $ | 529,628,033 | 100.7 | ||||||||||||||||
Liabilities in Excess of Other Assets | (3,811,529 | ) | (0.7 | ) | |||||||||||||||
Net Assets | $ | 525,816,504 | 100.0 |
See Accompanying Notes to Financial Statements
57
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
"Other Securities" represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of December 31, 2012.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
† Unless otherwise indicated, principal amount is shown in USD.
# Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.
## On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations.
@ Non-income producing security
ADR American Depositary Receipt
P Preferred Stock may be called prior to convertible date.
cc Securities purchased with cash collateral for securities loaned.
W Settlement is on a when-issued or delayed-delivery basis.
L Loaned security, a portion or all of the security is on loan at December 31, 2012.
^ Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security.
Z Indicates Zero Coupon Bond; rate shown reflects current effective yield.
(1) Collateral received from brokers for securities lending was invested into these short-term investments.
(a) This grouping contains securities on loan.
(b) The grouping contains securities in default.
(c) The grouping contains Interest only securities.
BRL Brazilian Real
DOP Dominican Peso
EUR EU Euro
GBP British Pound
MXN Mexican Peso
MYR Malaysian Ringgit
NGN Nigerian Naira
RUB Russian Ruble
THB Thai Baht
ZAR South African Rand
Cost for federal income tax purposes is $505,186,997.
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 34,954,183 | |||||
Gross Unrealized Depreciation | (10,513,147 | ) | |||||
Net Unrealized Appreciation | $ | 24,441,036 |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 12/31/12 | ||||||||||||||||
Asset Table | |||||||||||||||||||
Investments, at fair value | |||||||||||||||||||
Common Stock | |||||||||||||||||||
Consumer Discretionary | $ | 33,337,460 | $ | 6,990,320 | $ | — | $ | 40,327,780 | |||||||||||
Consumer Staples | 20,923,586 | 4,733,903 | — | 25,657,489 | |||||||||||||||
Energy | 27,478,034 | 8,496,785 | — | 35,974,819 | |||||||||||||||
Financials | 43,200,471 | 22,978,336 | — | 66,178,807 | |||||||||||||||
Health Care | 24,992,008 | 5,892,451 | — | 30,884,459 | |||||||||||||||
Industrials | 28,414,643 | 6,332,816 | — | 34,747,459 | |||||||||||||||
Information Technology | 36,859,477 | 12,158,568 | — | 49,018,045 | |||||||||||||||
Materials | 11,535,718 | 7,327,725 | — | 18,863,443 | |||||||||||||||
Telecommunication Services | 6,323,341 | 6,594,163 | — | 12,917,504 | |||||||||||||||
Utilities | 8,443,437 | 2,503,763 | — | 10,947,200 | |||||||||||||||
Total Common Stock | 241,508,175 | 84,008,830 | — | 325,517,005 | |||||||||||||||
Exchange-Traded Funds | 32,456,450 | — | — | 32,456,450 | |||||||||||||||
Preferred Stock | 594,390 | 298,323 | — | 892,713 | |||||||||||||||
Purchased Options | — | 280,553 | — | 280,553 | |||||||||||||||
Corporate Bonds/Notes | — | 49,399,135 | 3,231,386 | 52,630,521 | |||||||||||||||
Collateralized Mortgage Obligations | — | 21,067,535 | 549,210 | 21,616,745 | |||||||||||||||
Short-Term Investments | 16,272,596 | 5,281,347 | — | 21,553,943 | |||||||||||||||
U.S. Treasury Obligations | — | 12,184,553 | — | 12,184,553 | |||||||||||||||
Foreign Government Bonds | — | 20,855,298 | — | 20,855,298 | |||||||||||||||
Asset-Backed Securities | — | 5,579,595 | — | 5,579,595 | |||||||||||||||
U.S. Government Agency Obligations | — | 36,060,657 | — | 36,060,657 | |||||||||||||||
Total Investments, at fair value | $ | 290,831,611 | $ | 235,015,826 | $ | 3,780,596 | $ | 529,628,033 |
See Accompanying Notes to Financial Statements
58
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 12/31/12 | ||||||||||||||||
Other Financial Instruments+ | |||||||||||||||||||
Swaps | $ | — | $ | 108,648 | $ | — | $ | 108,648 | |||||||||||
Futures | 303,284 | — | — | 303,284 | |||||||||||||||
Written Options | — | — | — | — | |||||||||||||||
Forward Foreign Currency Contracts | — | 969,254 | — | 969,254 | |||||||||||||||
Total Assets | $ | 291,134,895 | $ | 236,093,728 | $ | 3,780,596 | $ | 531,009,219 | |||||||||||
Liabilities Table | |||||||||||||||||||
Other Financial Instruments+ | |||||||||||||||||||
Swaps | $ | — | $ | (1,810,911 | ) | $ | — | $ | (1,810,911 | ) | |||||||||
Futures | (41,751 | ) | — | — | (41,751 | ) | |||||||||||||
Written Options | — | (82 | ) | — | (82 | ) | |||||||||||||
Forward Foreign Currency Contracts | — | (1,053,422 | ) | — | (1,053,422 | ) | |||||||||||||
Total Liabilities | $ | (41,751 | ) | $ | (2,864,415 | ) | $ | — | $ | (2,906,166 | ) |
^ See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information.
+ Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument.
# The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio's investments are categorized as Level 2 investments.
At December 31, 2012, the following forward foreign currency contracts were outstanding for the ING Balanced Portfolio:
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Barclays Bank PLC | New Zealand Dollar | 902,444 | Buy | 01/11/13 | $ | 739,000 | $ | 745,380 | $ | 6,380 | |||||||||||||||||||||
Barclays Bank PLC | British Pound | 151,585 | Buy | 01/11/13 | 245,000 | 246,236 | 1,236 | ||||||||||||||||||||||||
Barclays Bank PLC | Indonesian Rupiah | 1,918,780,000 | Buy | 01/11/13 | 197,000 | 198,897 | 1,897 | ||||||||||||||||||||||||
Barclays Bank PLC | Indonesian Rupiah | 9,077,680,000 | Buy | 01/11/13 | 932,000 | 940,974 | 8,974 | ||||||||||||||||||||||||
Barclays Bank PLC | Hungarian Forint | 79,290,120 | Buy | 01/11/13 | 364,000 | 358,839 | (5,161 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Hungarian Forint | 64,913,340 | Buy | 01/11/13 | 298,000 | 293,775 | (4,225 | ) | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 99,959 | Buy | 01/11/13 | 161,000 | 162,374 | 1,374 | ||||||||||||||||||||||||
Barclays Bank PLC | Norwegian Krone | 607,623 | Buy | 01/11/13 | 107,000 | 109,295 | 2,295 | ||||||||||||||||||||||||
Barclays Bank PLC | Hungarian Forint | 27,150,972 | Buy | 01/11/13 | 121,000 | 122,876 | 1,876 | ||||||||||||||||||||||||
Barclays Bank PLC | Mexican Peso | 2,407,732 | Buy | 03/08/13 | 184,000 | 185,174 | 1,174 | ||||||||||||||||||||||||
Barclays Bank PLC | British Pound | 324,994 | Buy | 01/11/13 | 524,000 | 527,926 | 3,926 | ||||||||||||||||||||||||
Barclays Bank PLC | Polish Zloty | 630,890 | Buy | 03/08/13 | 204,000 | 202,506 | (1,494 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Thai Baht | 4,176,152 | Buy | 03/08/13 | 136,000 | 136,023 | 23 | ||||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 1,535,050 | Buy | 03/08/13 | 179,000 | 179,482 | 482 | ||||||||||||||||||||||||
Barclays Bank PLC | Polish Zloty | 921,595 | Buy | 03/08/13 | 298,000 | 295,817 | (2,183 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Thai Baht | 24,412,065 | Buy | 03/08/13 | 795,000 | 795,131 | 131 | ||||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 1,818,048 | Buy | 03/08/13 | 212,000 | 212,571 | 571 | ||||||||||||||||||||||||
Barclays Bank PLC | Canadian Dollar | 501,983 | Buy | 03/08/13 | 509,000 | 503,979 | (5,021 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Canadian Dollar | 414,960 | Buy | 03/08/13 | 420,000 | 416,611 | (3,389 | ) | |||||||||||||||||||||||
Barclays Bank PLC | EU Euro | 202,781 | Buy | 03/08/13 | 264,000 | 267,811 | 3,811 | ||||||||||||||||||||||||
Barclays Bank PLC | EU Euro | 853,379 | Buy | 03/08/13 | 1,104,174 | 1,127,048 | 22,874 | ||||||||||||||||||||||||
Barclays Bank PLC | EU Euro | 106,004 | Buy | 03/08/13 | 137,158 | 139,999 | 2,841 | ||||||||||||||||||||||||
Barclays Bank PLC | EU Euro | 1,230,324 | Buy | 03/08/13 | 1,595,808 | 1,624,875 | 29,067 | ||||||||||||||||||||||||
Barclays Bank PLC | British Pound | 266,334 | Buy | 01/11/13 | 427,000 | 432,637 | 5,637 | ||||||||||||||||||||||||
Barclays Bank PLC | Swiss Franc | 178,695 | Buy | 01/11/13 | 190,230 | 195,403 | 5,173 | ||||||||||||||||||||||||
Barclays Bank PLC | Singapore Dollar | 350,279 | Buy | 01/11/13 | 283,948 | 286,744 | 2,796 | ||||||||||||||||||||||||
Citigroup, Inc. | Norwegian Krone | 1,172,949 | Buy | 01/11/13 | 211,000 | 210,982 | (18 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Norwegian Krone | 1,522,009 | Buy | 01/11/13 | 268,000 | 273,768 | 5,768 | ||||||||||||||||||||||||
Citigroup, Inc. | British Pound | 77,414 | Buy | 01/11/13 | 124,128 | 125,753 | 1,625 | ||||||||||||||||||||||||
Citigroup, Inc. | British Pound | 223,268 | Buy | 01/11/13 | 358,000 | 362,679 | 4,679 | ||||||||||||||||||||||||
Citigroup, Inc. | Norwegian Krone | 1,130,806 | Buy | 01/11/13 | 199,000 | 203,401 | 4,401 | ||||||||||||||||||||||||
Citigroup, Inc. | Norwegian Krone | 628,907 | Buy | 01/11/13 | 111,000 | 113,123 | 2,123 | ||||||||||||||||||||||||
Citigroup, Inc. | New Zealand Dollar | 233,023 | Buy | 01/11/13 | 192,000 | 192,467 | 467 | ||||||||||||||||||||||||
Citigroup, Inc. | New Zealand Dollar | 228,505 | Buy | 01/11/13 | 188,000 | 188,735 | 735 | ||||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 145,927,460 | Buy | 01/11/13 | 670,870 | 660,415 | (10,455 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Norwegian Krone | 620,638 | Buy | 01/11/13 | 110,000 | 111,636 | 1,636 |
See Accompanying Notes to Financial Statements
59
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Citigroup, Inc. | British Pound | 471,403 | Buy | 01/11/13 | $ | 756,000 | $ | 765,754 | $ | 9,754 | |||||||||||||||||||||
Citigroup, Inc. | Norwegian Krone | 1,973,040 | Buy | 01/11/13 | 347,000 | 354,896 | 7,896 | ||||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 150,297 | Buy | 01/11/13 | 195,000 | 198,399 | 3,399 | ||||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 167,289 | Buy | 03/08/13 | 221,000 | 220,936 | (64 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Colombian Peso | 441,999,900 | Buy | 03/08/13 | 249,000 | 248,706 | (294 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Colombian Peso | 931,927,500 | Buy | 03/08/13 | 525,000 | 524,381 | (619 | ) | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 172,377 | Buy | 03/08/13 | 228,000 | 227,657 | (343 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Indian Rupee | 14,504,266 | Buy | 03/08/13 | 261,000 | 261,509 | 509 | ||||||||||||||||||||||||
Citigroup, Inc. | Norwegian Krone | 2,001,730 | Buy | 01/11/13 | 346,000 | 360,057 | 14,057 | ||||||||||||||||||||||||
Citigroup, Inc. | Indian Rupee | 27,838,400 | Buy | 03/08/13 | 507,907 | 501,920 | (5,987 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Indian Rupee | 80,837,721 | Buy | 03/08/13 | 1,474,872 | 1,457,486 | (17,386 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Norwegian Krone | 1,012,430 | Buy | 01/11/13 | 178,000 | 182,109 | 4,109 | ||||||||||||||||||||||||
Citigroup, Inc. | British Pound | 222,145 | Buy | 01/11/13 | 357,000 | 360,856 | 3,856 | ||||||||||||||||||||||||
Citigroup, Inc. | British Pound | 345,527 | Buy | 01/11/13 | 553,000 | 561,279 | 8,279 | ||||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 41,280,001 | Buy | 01/11/13 | 186,036 | 186,818 | 782 | ||||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 9,256,787 | Buy | 03/08/13 | 710,129 | 711,920 | 1,791 | ||||||||||||||||||||||||
Citigroup, Inc. | Mexican Peso | 4,817,085 | Buy | 03/08/13 | 369,540 | 370,472 | 932 | ||||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 269,097,581 | Buy | 01/11/13 | 1,226,784 | 1,217,840 | (8,944 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Canadian Dollar | 1,120,301 | Buy | 03/08/13 | 1,124,507 | 1,124,756 | 249 | ||||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 3,621,258 | Buy | 03/08/13 | 4,701,672 | 4,782,556 | 80,884 | ||||||||||||||||||||||||
Citigroup, Inc. | Israeli New Shekel | 576,547 | Buy | 03/08/13 | 144,852 | 154,025 | 9,173 | ||||||||||||||||||||||||
Credit Suisse Group AG | Swiss Franc | 421,579 | Buy | 01/11/13 | 462,000 | 460,997 | (1,003 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 3,095,261 | Buy | 01/11/13 | 551,000 | 556,754 | 5,754 | ||||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 3,142,289 | Buy | 01/11/13 | 556,000 | 565,213 | 9,213 | ||||||||||||||||||||||||
Credit Suisse Group AG | Philippine Peso | 25,401,268 | Buy | 01/11/13 | 623,000 | 618,781 | (4,219 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 1,254,081 | Buy | 01/11/13 | 218,000 | 225,575 | 7,575 | ||||||||||||||||||||||||
Credit Suisse Group AG | Swedish Krona | 1,947,534 | Buy | 01/11/13 | 288,000 | 299,416 | 11,416 | ||||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 529,093 | Buy | 01/11/13 | 92,000 | 95,169 | 3,169 | ||||||||||||||||||||||||
Credit Suisse Group AG | Swedish Krona | 1,680,482 | Buy | 01/11/13 | 252,000 | 258,359 | 6,359 | ||||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 4,601,893 | Buy | 01/11/13 | 811,000 | 827,756 | 16,756 | ||||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 2,040,225 | Buy | 01/11/13 | 356,000 | 366,981 | 10,981 | ||||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 1,002,620 | Buy | 01/11/13 | 175,000 | 180,344 | 5,344 | ||||||||||||||||||||||||
Credit Suisse Group AG | Canadian Dollar | 245,393 | Buy | 03/08/13 | 247,000 | 246,369 | (631 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | South Korean Won | 44,642,850 | Buy | 03/08/13 | 41,000 | 41,540 | 540 | ||||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 2,969,258 | Buy | 01/11/13 | 519,000 | 534,089 | 15,089 | ||||||||||||||||||||||||
Credit Suisse Group AG | Canadian Dollar | 365,602 | Buy | 03/08/13 | 368,000 | 367,056 | (944 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Mexican Peso | 2,891,837 | Buy | 03/08/13 | 222,000 | 222,405 | 405 | ||||||||||||||||||||||||
Credit Suisse Group AG | Colombian Peso | 912,671,000 | Buy | 03/08/13 | 499,000 | 513,545 | 14,545 | ||||||||||||||||||||||||
Credit Suisse Group AG | South Korean Won | 22,846,950 | Buy | 03/08/13 | 21,000 | 21,259 | 259 | ||||||||||||||||||||||||
Credit Suisse Group AG | British Pound | 161,060 | Buy | 01/11/13 | 260,000 | 261,629 | 1,629 | ||||||||||||||||||||||||
Credit Suisse Group AG | Canadian Dollar | 1,829,343 | Buy | 03/08/13 | 1,836,432 | 1,836,618 | 186 | ||||||||||||||||||||||||
Credit Suisse Group AG | Japanese Yen | 513,256,003 | Buy | 03/08/13 | 6,255,009 | 5,927,378 | (327,631 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | British Pound | 392,966 | Buy | 01/11/13 | 638,000 | 638,340 | 340 | ||||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 1,278,259 | Buy | 01/11/13 | 223,000 | 229,924 | 6,924 | ||||||||||||||||||||||||
Credit Suisse Group AG | Danish Krone | 849,772 | Buy | 01/11/13 | 146,714 | 150,359 | 3,645 | ||||||||||||||||||||||||
Credit Suisse Group AG | British Pound | 203,799 | Buy | 01/11/13 | 329,313 | 331,054 | 1,741 | ||||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 9,248,229 | Buy | 01/11/13 | 1,596,721 | 1,663,506 | 66,785 | ||||||||||||||||||||||||
Credit Suisse Group AG | New Zealand Dollar | 1,286,975 | Buy | 01/11/13 | 1,048,561 | 1,062,986 | 14,425 | ||||||||||||||||||||||||
Credit Suisse Group AG | Swedish Krona | 5,859,639 | Buy | 01/11/13 | 882,265 | 900,865 | 18,600 | ||||||||||||||||||||||||
Credit Suisse Group AG | Turkish Lira | 792,771 | Buy | 03/08/13 | 434,364 | 440,619 | 6,255 | ||||||||||||||||||||||||
Deutsche Bank AG | South African Rand | 4,273,201 | Buy | 03/08/13 | 496,822 | 499,635 | 2,813 | ||||||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 4,322,500 | Buy | 01/11/13 | 140,000 | 141,270 | 1,270 | ||||||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 2,161,250 | Buy | 01/11/13 | 70,000 | 70,635 | 635 | ||||||||||||||||||||||||
Deutsche Bank AG | British Pound | 91,393 | Buy | 01/11/13 | 148,000 | 148,461 | 461 | ||||||||||||||||||||||||
Deutsche Bank AG | Norwegian Krone | 2,945,682 | Buy | 01/11/13 | 526,000 | 529,849 | 3,849 | ||||||||||||||||||||||||
Deutsche Bank AG | British Pound | 273,452 | Buy | 01/11/13 | 442,000 | 444,200 | 2,200 | ||||||||||||||||||||||||
Deutsche Bank AG | British Pound | 170,519 | Buy | 01/11/13 | 273,000 | 276,993 | 3,993 | ||||||||||||||||||||||||
Deutsche Bank AG | New Zealand Dollar | 395,948 | Buy | 01/11/13 | 323,000 | 327,036 | 4,036 | ||||||||||||||||||||||||
Deutsche Bank AG | New Zealand Dollar | 224,397 | Buy | 01/11/13 | 181,000 | 185,343 | 4,343 | ||||||||||||||||||||||||
Deutsche Bank AG | New Zealand Dollar | 312,548 | Buy | 01/11/13 | 252,000 | 258,152 | 6,152 | ||||||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 39,996,133 | Buy | 01/11/13 | 1,249,586 | 1,307,173 | 57,587 | ||||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 2,563,196 | Buy | 03/08/13 | 197,875 | 197,130 | (745 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Australian Dollar | 189,290 | Buy | 03/08/13 | 196,000 | 195,641 | (359 | ) | |||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 1,412,470 | Buy | 03/08/13 | 1,861,000 | 1,865,433 | 4,433 | ||||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 9,193,425 | Buy | 03/08/13 | 709,719 | 707,046 | (2,673 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Hong Kong Sar Dollar | 2,030,107 | Buy | 03/08/13 | 262,000 | 261,978 | (22 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Taiwan New Dollar | 3,317,750 | Buy | 03/08/13 | 115,000 | 114,280 | (720 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Indian Rupee | 14,792,260 | Buy | 03/08/13 | 266,000 | 266,701 | 701 | ||||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 4,839,177 | Buy | 03/08/13 | 375,000 | 372,171 | (2,829 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 1,322 | Buy | 03/08/13 | 102 | 102 | 0 |
See Accompanying Notes to Financial Statements
60
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Deutsche Bank AG | South African Rand | 1,646,577 | Buy | 03/08/13 | $ | 187,727 | $ | 192,522 | $ | 4,795 | |||||||||||||||||||||
Deutsche Bank AG | Polish Zloty | 114,906 | Buy | 03/08/13 | 35,706 | 36,883 | 1,177 | ||||||||||||||||||||||||
Deutsche Bank AG | South African Rand | 1,048,953 | Buy | 03/08/13 | 119,592 | 122,647 | 3,055 | ||||||||||||||||||||||||
Deutsche Bank AG | Japanese Yen | 9,052,637 | Buy | 03/08/13 | 110,000 | 104,545 | (5,455 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 3,600,111 | Buy | 03/08/13 | 277,000 | 276,877 | (123 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 2,126,636 | Buy | 03/08/13 | 163,000 | 163,555 | 555 | ||||||||||||||||||||||||
Deutsche Bank AG | Turkish Lira | 1,271,776 | Buy | 03/08/13 | 704,000 | 706,849 | 2,849 | ||||||||||||||||||||||||
Deutsche Bank AG | Argentine Peso | 2,325,960 | Buy | 01/11/13 | 468,000 | 470,304 | 2,304 | ||||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 729,770 | Buy | 03/08/13 | 944,252 | 963,799 | 19,547 | ||||||||||||||||||||||||
Deutsche Bank AG | Chilean Peso | 129,571,533 | Buy | 01/11/13 | 273,466 | 270,330 | (3,136 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Colombian Peso | 254,372,455 | Buy | 03/08/13 | 137,886 | 143,131 | 5,245 | ||||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 1,737,339,045 | Buy | 03/08/13 | 1,584,339 | 1,616,578 | 32,239 | ||||||||||||||||||||||||
Deutsche Bank AG | Peruvian Nuevo Sol | 1,922,465 | Buy | 03/08/13 | 735,449 | 750,618 | 15,169 | ||||||||||||||||||||||||
Deutsche Bank AG | Polish Zloty | 4,959,830 | Buy | 03/08/13 | 1,500,296 | 1,592,026 | 91,730 | ||||||||||||||||||||||||
Deutsche Bank AG | Taiwan New Dollar | 1,226,729 | Buy | 03/08/13 | 42,214 | 42,255 | 41 | ||||||||||||||||||||||||
Deutsche Bank AG | Chinese Yuan | 1,586,844 | Buy | 08/09/13 | 252,000 | 251,306 | (694 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Yuan | 3,268,143 | Buy | 08/09/13 | 519,000 | 517,571 | (1,429 | ) | |||||||||||||||||||||||
HSBC | Swiss Franc | 194,404 | Buy | 01/11/13 | 212,000 | 212,581 | 581 | ||||||||||||||||||||||||
HSBC | Brazilian Real | 1,065,179 | Buy | 01/11/13 | 516,000 | 519,650 | 3,650 | ||||||||||||||||||||||||
HSBC | Brazilian Real | 1,112,658 | Buy | 01/11/13 | 539,000 | 542,813 | 3,813 | ||||||||||||||||||||||||
HSBC | Brazilian Real | 1,539,099 | Buy | 01/11/13 | 751,000 | 750,854 | (146 | ) | |||||||||||||||||||||||
HSBC | South Korean Won | 283,251,000 | Buy | 03/08/13 | 263,000 | 263,563 | 563 | ||||||||||||||||||||||||
HSBC | South Korean Won | 271,328,400 | Buy | 03/08/13 | 252,000 | 252,469 | 469 | ||||||||||||||||||||||||
HSBC | Malaysian Ringgit | 1,382,766 | Buy | 03/08/13 | 451,000 | 450,158 | (842 | ) | |||||||||||||||||||||||
HSBC | South Korean Won | 180,885,600 | Buy | 03/08/13 | 168,000 | 168,312 | 312 | ||||||||||||||||||||||||
HSBC | Thai Baht | 9,716,960 | Buy | 03/08/13 | 314,628 | 316,494 | 1,866 | ||||||||||||||||||||||||
HSBC | Malaysian Ringgit | 3,623,443 | Buy | 03/08/13 | 1,174,193 | 1,179,609 | 5,416 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 285,357 | Buy | 01/11/13 | 461,000 | 463,538 | 2,538 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 39,883 | Buy | 01/11/13 | 64,000 | 64,787 | 787 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | New Zealand Dollar | 239,913 | Buy | 01/11/13 | 194,000 | 198,157 | 4,157 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 417,457 | Buy | 01/11/13 | 668,000 | 678,123 | 10,123 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 9,781,143 | Buy | 03/08/13 | 747,000 | 752,247 | 5,247 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | Turkish Lira | 359,420 | Buy | 03/08/13 | 200,000 | 199,765 | (235 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | Turkish Lira | 950,666 | Buy | 03/08/13 | 529,000 | 528,377 | (623 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 182,084 | Buy | 03/08/13 | 14,221 | 14,004 | (217 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | Canadian Dollar | 474,748 | Buy | 03/08/13 | 481,000 | 476,636 | (4,364 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | Czech Koruna | 9,799,811 | Buy | 03/08/13 | 515,000 | 515,869 | 869 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 49,930 | Buy | 03/08/13 | 3,899 | 3,840 | (59 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | Australian Dollar | 219,438 | Buy | 03/08/13 | 230,000 | 226,800 | (3,200 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 4,806,946 | Buy | 03/08/13 | 371,000 | 369,692 | (1,308 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Norwegian Krone | 2,952,719 | Buy | 01/11/13 | 524,000 | 531,114 | 7,114 | ||||||||||||||||||||||||
UBS Warburg LLC | British Pound | 309,287 | Buy | 01/11/13 | 496,000 | 502,410 | 6,410 | ||||||||||||||||||||||||
UBS Warburg LLC | New Zealand Dollar | 348,342 | Buy | 01/11/13 | 287,000 | 287,715 | 715 | ||||||||||||||||||||||||
UBS Warburg LLC | Norwegian Krone | 1,313,712 | Buy | 01/11/13 | 227,000 | 236,301 | 9,301 | ||||||||||||||||||||||||
UBS Warburg LLC | Australian Dollar | 214,720 | Buy | 03/08/13 | 224,000 | 221,924 | (2,076 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Australian Dollar | 472,035 | Buy | 03/08/13 | 494,000 | 487,873 | (6,127 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Japanese Yen | 20,277,595 | Buy | 03/08/13 | 241,000 | 234,177 | (6,823 | ) | |||||||||||||||||||||||
UBS Warburg LLC | EU Euro | 160,332 | Buy | 03/08/13 | 210,000 | 211,749 | 1,749 | ||||||||||||||||||||||||
UBS Warburg LLC | Australian Dollar | 158,596 | Buy | 03/08/13 | 165,000 | 163,917 | (1,083 | ) | |||||||||||||||||||||||
UBS Warburg LLC | British Pound | 93,185 | Buy | 01/11/13 | 149,000 | 151,371 | 2,371 | ||||||||||||||||||||||||
UBS Warburg LLC | EU Euro | 512,821 | Buy | 03/08/13 | 670,000 | 677,276 | 7,276 | ||||||||||||||||||||||||
UBS Warburg LLC | South African Rand | 636,390 | Buy | 03/08/13 | 71,000 | 74,409 | 3,409 | ||||||||||||||||||||||||
UBS Warburg LLC | Canadian Dollar | 387,843 | Buy | 03/08/13 | 390,000 | 389,385 | (615 | ) | |||||||||||||||||||||||
UBS Warburg LLC | British Pound | 74,157 | Buy | 01/11/13 | 120,000 | 120,462 | 462 | ||||||||||||||||||||||||
$ | 402,040 | ||||||||||||||||||||||||||||||
Barclays Bank PLC | Russian Ruble | 8,454,814 | Sell | 01/11/13 | 278,000 | 276,324 | 1,676 | ||||||||||||||||||||||||
Barclays Bank PLC | British Pound | 36,314 | Sell | 01/11/13 | 59,000 | 58,989 | 11 | ||||||||||||||||||||||||
Barclays Bank PLC | British Pound | 238,474 | Sell | 01/11/13 | 382,000 | 387,382 | (5,382 | ) | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 89,458 | Sell | 01/11/13 | 142,000 | 145,316 | (3,316 | ) | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 26,104 | Sell | 01/11/13 | 41,534 | 42,403 | (869 | ) | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 181,824 | Sell | 01/11/13 | 289,000 | 295,358 | (6,358 | ) | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 304,894 | Sell | 01/11/13 | 487,000 | 495,275 | (8,275 | ) | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 11,905 | Sell | 01/11/13 | 19,000 | 19,338 | (338 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Canadian Dollar | 332,114 | Sell | 03/08/13 | 333,000 | 333,435 | (435 | ) | |||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 4,767,728 | Sell | 03/08/13 | 555,000 | 557,456 | (2,456 | ) | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 158,840 | Sell | 01/11/13 | 256,000 | 258,022 | (2,022 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Colombian Peso | 315,875,000 | Sell | 03/08/13 | 175,000 | 177,738 | (2,738 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Colombian Peso | 111,910,000 | Sell | 03/08/13 | 62,000 | 62,970 | (970 | ) |
See Accompanying Notes to Financial Statements
61
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Barclays Bank PLC | EU Euro | 30,221 | Sell | 03/08/13 | $ | 40,000 | $ | 39,912 | $ | 88 | |||||||||||||||||||||
Barclays Bank PLC | EU Euro | 217,588 | Sell | 03/08/13 | 288,000 | 287,367 | 633 | ||||||||||||||||||||||||
Barclays Bank PLC | British Pound | 244,300 | Sell | 01/11/13 | 391,000 | 396,846 | (5,846 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Australian Dollar | 501,635 | Sell | 03/08/13 | 524,000 | 518,465 | 5,535 | ||||||||||||||||||||||||
Barclays Bank PLC | EU Euro | 156,318 | Sell | 03/08/13 | 205,000 | 206,448 | (1,448 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Polish Zloty | 556,662 | Sell | 03/08/13 | 175,000 | 178,679 | (3,679 | ) | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 65,954 | Sell | 01/11/13 | 106,000 | 107,137 | (1,137 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Australian Dollar | 227,944 | Sell | 03/08/13 | 236,314 | 235,592 | 722 | ||||||||||||||||||||||||
Barclays Bank PLC | Mexican Peso | 13,651,051 | Sell | 03/08/13 | 1,041,707 | 1,049,873 | (8,166 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Mexican Peso | 9,474,589 | Sell | 03/08/13 | 723,003 | 728,671 | (5,668 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Hungarian Forint | 129,862,274 | Sell | 01/11/13 | 576,112 | 587,710 | (11,598 | ) | |||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 7,642,079 | Sell | 03/08/13 | 848,130 | 893,533 | (45,403 | ) | |||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 7,347,690 | Sell | 03/08/13 | 815,459 | 859,113 | (43,654 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Norwegian Krone | 6,609,680 | Sell | 01/11/13 | 1,184,000 | 1,188,903 | (4,903 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Brazilian Real | 1,094,316 | Sell | 01/11/13 | 527,000 | 533,865 | (6,865 | ) | |||||||||||||||||||||||
Citigroup, Inc. | British Pound | 236,602 | Sell | 01/11/13 | 381,000 | 384,340 | (3,340 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 100,629,624 | Sell | 01/11/13 | 463,000 | 455,414 | 7,586 | ||||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 42,630,023 | Sell | 01/11/13 | 195,000 | 192,928 | 2,072 | ||||||||||||||||||||||||
Citigroup, Inc. | New Zealand Dollar | 459,100 | Sell | 01/11/13 | 377,000 | 379,197 | (2,197 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Malaysian Ringgit | 766,621 | Sell | 03/08/13 | 249,000 | 249,573 | (573 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Colombian Peso | 838,950,000 | Sell | 03/08/13 | 470,000 | 472,064 | (2,064 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Thai Baht | 11,019,956 | Sell | 03/08/13 | 358,000 | 358,934 | (934 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Turkish Lira | 937,574 | Sell | 03/08/13 | 519,000 | 521,100 | (2,100 | ) | |||||||||||||||||||||||
Citigroup, Inc. | British Pound | 203,384 | Sell | 01/11/13 | 326,000 | 330,381 | (4,381 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Swedish Krona | 893,293 | Sell | 01/11/13 | 134,000 | 137,336 | (3,336 | ) | |||||||||||||||||||||||
Citigroup, Inc. | British Pound | 104,167 | Sell | 01/11/13 | 166,000 | 169,210 | (3,210 | ) | |||||||||||||||||||||||
Citigroup, Inc. | New Zealand Dollar | 70,085 | Sell | 01/11/13 | 57,000 | 57,887 | (887 | ) | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 815,240 | Sell | 03/08/13 | 1,058,469 | 1,076,678 | (18,209 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Australian Dollar | 64,568 | Sell | 03/08/13 | 66,929 | 66,734 | 195 | ||||||||||||||||||||||||
Citigroup, Inc. | Israeli New Shekel | 270,316 | Sell | 03/08/13 | 69,768 | 72,215 | (2,447 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 3,081,894 | Sell | 01/11/13 | 550,000 | 554,349 | (4,349 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Swedish Krona | 2,331,866 | Sell | 01/11/13 | 353,000 | 358,503 | (5,503 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 3,123,483 | Sell | 01/11/13 | 556,000 | 561,830 | (5,830 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | British Pound | 220,489 | Sell | 01/11/13 | 353,000 | 358,165 | (5,165 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 1,459,744 | Sell | 01/11/13 | 254,000 | 262,568 | (8,568 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Swedish Krona | 1,670,630 | Sell | 01/11/13 | 249,000 | 256,844 | (7,844 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 1,569,149 | Sell | 01/11/13 | 273,000 | 282,247 | (9,247 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 1,413,019 | Sell | 01/11/13 | 247,000 | 254,164 | (7,164 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Peruvian Nuevo Sol | 537,757 | Sell | 03/08/13 | 209,000 | 209,965 | (965 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Peruvian Nuevo Sol | 388,523 | Sell | 03/08/13 | 151,000 | 151,697 | (697 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 2,242,373 | Sell | 01/11/13 | 390,000 | 403,342 | (13,342 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 1,259,466 | Sell | 01/11/13 | 221,000 | 226,544 | (5,544 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Swedish Krona | 960,665 | Sell | 01/11/13 | 145,000 | 147,693 | (2,693 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 3,485,596 | Sell | 01/11/13 | 614,000 | 626,965 | (12,965 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Norwegian Krone | 3,059,640 | Sell | 01/11/13 | 541,000 | 550,347 | (9,347 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Malaysian Ringgit | 600,838 | Sell | 03/08/13 | 196,000 | 195,602 | 398 | ||||||||||||||||||||||||
Credit Suisse Group AG | Turkish Lira | 479,642 | Sell | 03/08/13 | 265,000 | 266,583 | (1,583 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | South Korean Won | 109,817,300 | Sell | 03/08/13 | 101,000 | 102,184 | (1,184 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | EU Euro | 155,784 | Sell | 03/08/13 | 204,000 | 205,742 | (1,742 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | South Korean Won | 1,042,112,400 | Sell | 03/08/13 | 958,000 | 969,676 | (11,676 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Mexican Peso | 11,749,529 | Sell | 03/08/13 | 895,549 | 903,631 | (8,082 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | British Pound | 249,867 | Sell | 01/11/13 | 403,982 | 405,887 | (1,905 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Indonesian Rupiah | 4,909,000,000 | Sell | 01/11/13 | 500,000 | 508,857 | (8,857 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 15,991,500 | Sell | 01/11/13 | 525,000 | 522,642 | 2,358 | ||||||||||||||||||||||||
Deutsche Bank AG | British Pound | 95,259 | Sell | 01/11/13 | 154,000 | 154,741 | (741 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 2,747,070 | Sell | 01/11/13 | 1,310,000 | 1,340,165 | (30,165 | ) | |||||||||||||||||||||||
Deutsche Bank AG | New Zealand Dollar | 622,310 | Sell | 01/11/13 | 523,000 | 514,001 | 8,999 | ||||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 102,753 | Sell | 01/11/13 | 49,000 | 50,128 | (1,128 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Swedish Krona | 3,147,418 | Sell | 01/11/13 | 473,000 | 483,887 | (10,887 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 1,348,536 | Sell | 01/11/13 | 644,000 | 657,887 | (13,887 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 70,593,044 | Sell | 01/11/13 | 322,922 | 319,479 | 3,443 | ||||||||||||||||||||||||
Deutsche Bank AG | New Zealand Dollar | 1,165,988 | Sell | 01/11/13 | 955,000 | 963,056 | (8,056 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Hungarian Forint | 74,612,568 | Sell | 01/11/13 | 338,723 | 337,670 | 1,053 | ||||||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 333,266 | Sell | 01/11/13 | 10,412 | 10,892 | (480 | ) | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 20,573 | Sell | 01/11/13 | 32,644 | 33,418 | (774 | ) | |||||||||||||||||||||||
Deutsche Bank AG | New Zealand Dollar | 477,269 | Sell | 01/11/13 | 388,000 | 394,203 | (6,203 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Australian Dollar | 230,152 | Sell | 03/08/13 | 238,000 | 237,874 | 126 | ||||||||||||||||||||||||
Deutsche Bank AG | Australian Dollar | 242,178 | Sell | 03/08/13 | 250,000 | 250,303 | (303 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Czech Koruna | 4,964,900 | Sell | 03/08/13 | 262,000 | 261,356 | 644 | ||||||||||||||||||||||||
Deutsche Bank AG | Peruvian Nuevo Sol | 956,879 | Sell | 03/08/13 | 374,000 | 373,610 | 390 |
See Accompanying Notes to Financial Statements
62
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Deutsche Bank AG | Canadian Dollar | 335,242 | Sell | 03/08/13 | $ | 337,000 | $ | 336,575 | $ | 425 | |||||||||||||||||||||
Deutsche Bank AG | EU Euro | 476,851 | Sell | 03/08/13 | 633,000 | 629,772 | 3,228 | ||||||||||||||||||||||||
Deutsche Bank AG | British Pound | 176,037 | Sell | 01/11/13 | 282,000 | 285,958 | (3,958 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Canadian Dollar | 444,285 | Sell | 03/08/13 | 446,000 | 446,052 | (52 | ) | |||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 796,236 | Sell | 03/08/13 | 1,052,000 | 1,051,580 | 420 | ||||||||||||||||||||||||
Deutsche Bank AG | Indian Rupee | 13,401,960 | Sell | 03/08/13 | 242,000 | 241,634 | 366 | ||||||||||||||||||||||||
Deutsche Bank AG | Japanese Yen | 44,319,713 | Sell | 03/08/13 | 525,000 | 511,830 | 13,170 | ||||||||||||||||||||||||
Deutsche Bank AG | Indian Rupee | 43,584,060 | Sell | 03/08/13 | 787,000 | 785,811 | 1,189 | ||||||||||||||||||||||||
Deutsche Bank AG | Polish Zloty | 1,641,185 | Sell | 03/08/13 | 529,000 | 526,794 | 2,206 | ||||||||||||||||||||||||
Deutsche Bank AG | Australian Dollar | 215,139 | Sell | 03/08/13 | 226,000 | 222,357 | 3,643 | ||||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 38,982 | Sell | 03/08/13 | 3,010 | 2,998 | 12 | ||||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 58,614 | Sell | 03/08/13 | 76,000 | 77,411 | (1,411 | ) | |||||||||||||||||||||||
Deutsche Bank AG | South African Rand | 1,248,624 | Sell | 03/08/13 | 138,887 | 145,993 | (7,106 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Australian Dollar | 96,638 | Sell | 03/08/13 | 100,000 | 99,880 | 120 | ||||||||||||||||||||||||
Deutsche Bank AG | Polish Zloty | 164,382 | Sell | 03/08/13 | 51,624 | 52,764 | (1,140 | ) | |||||||||||||||||||||||
Deutsche Bank AG | New Zealand Dollar | 133,271 | Sell | 01/11/13 | 110,000 | 110,076 | (76 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Czech Koruna | 13,178,286 | Sell | 03/08/13 | 658,293 | 693,715 | (35,422 | ) | |||||||||||||||||||||||
HSBC | British Pound | 75,095 | Sell | 01/11/13 | 122,000 | 121,986 | 14 | ||||||||||||||||||||||||
HSBC | Mexican Peso | 6,814,856 | Sell | 03/08/13 | 526,000 | 524,116 | 1,884 | ||||||||||||||||||||||||
HSBC | Malaysian Ringgit | 803,292 | Sell | 03/08/13 | 262,000 | 261,511 | 489 | ||||||||||||||||||||||||
HSBC | Mexican Peso | 1,408,957 | Sell | 03/08/13 | 110,000 | 108,360 | 1,640 | ||||||||||||||||||||||||
HSBC | Mexican Peso | 1,575,470 | Sell | 03/08/13 | 123,000 | 121,166 | 1,834 | ||||||||||||||||||||||||
HSBC | Thai Baht | 21,432,773 | Sell | 03/08/13 | 693,977 | 698,093 | (4,116 | ) | |||||||||||||||||||||||
HSBC | Brazilian Real | 6,373,472 | Sell | 01/11/13 | 3,110,832 | 3,109,315 | 1,517 | ||||||||||||||||||||||||
HSBC | Brazilian Real | 7,539,394 | Sell | 01/11/13 | 3,679,907 | 3,678,113 | 1,794 | ||||||||||||||||||||||||
HSBC | Thai Baht | 3,986,305 | Sell | 03/08/13 | 128,790 | 129,839 | (1,049 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | New Zealand Dollar | 623,100 | Sell | 01/11/13 | 524,000 | 514,653 | 9,347 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 179,408 | Sell | 01/11/13 | 290,000 | 291,433 | (1,433 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | New Zealand Dollar | 227,651 | Sell | 01/11/13 | 192,000 | 188,030 | 3,970 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | New Zealand Dollar | 224,624 | Sell | 01/11/13 | 188,000 | 185,529 | 2,471 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 245,066 | Sell | 01/11/13 | 389,000 | 398,089 | (9,089 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | New Zealand Dollar | 228,410 | Sell | 01/11/13 | 188,000 | 188,657 | (657 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | New Zealand Dollar | 384,157 | Sell | 01/11/13 | 316,000 | 317,297 | (1,297 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 342,428 | Sell | 01/11/13 | 552,000 | 556,246 | (4,246 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | Czech Koruna | 4,795,248 | Sell | 03/08/13 | 252,000 | 252,425 | (425 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | New Zealand Dollar | 205,699 | Sell | 01/11/13 | 167,000 | 169,898 | (2,898 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 245,034 | Sell | 01/11/13 | 395,000 | 398,037 | (3,037 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 10,447,280 | Sell | 03/08/13 | 813,661 | 803,478 | 10,183 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 12,241,310 | Sell | 03/08/13 | 953,343 | 941,453 | 11,890 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | Canadian Dollar | 407,873 | Sell | 03/08/13 | 414,000 | 409,495 | 4,505 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | Australian Dollar | 180,683 | Sell | 03/08/13 | 189,000 | 186,745 | 2,255 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | British Pound | 698,578 | Sell | 01/11/13 | 1,122,000 | 1,134,781 | (12,781 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | Canadian Dollar | 420,467 | Sell | 03/08/13 | 424,000 | 422,139 | 1,861 | ||||||||||||||||||||||||
JPMorgan Chase & Co. | Swedish Krona | 3,392,755 | Sell | 01/11/13 | 519,000 | 521,605 | (2,605 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Norwegian Krone | 2,821,665 | Sell | 01/11/13 | 507,000 | 507,541 | (541 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Swedish Krona | 3,460,534 | Sell | 01/11/13 | 528,000 | 532,025 | (4,025 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Norwegian Krone | 2,950,195 | Sell | 01/11/13 | 524,000 | 530,660 | (6,660 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Norwegian Krone | 1,670,050 | Sell | 01/11/13 | 295,000 | 300,397 | (5,397 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Norwegian Krone | 1,394,791 | Sell | 01/11/13 | 243,000 | 250,885 | (7,885 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Norwegian Krone | 2,559,762 | Sell | 01/11/13 | 445,000 | 460,432 | (15,432 | ) | |||||||||||||||||||||||
UBS Warburg LLC | British Pound | 100,049 | Sell | 01/11/13 | 161,000 | 162,522 | (1,522 | ) | |||||||||||||||||||||||
UBS Warburg LLC | EU Euro | 777,130 | Sell | 03/08/13 | 1,030,000 | 1,026,347 | 3,653 | ||||||||||||||||||||||||
UBS Warburg LLC | New Zealand Dollar | 202,954 | Sell | 01/11/13 | 164,000 | 167,631 | (3,631 | ) | |||||||||||||||||||||||
UBS Warburg LLC | British Pound | 106,869 | Sell | 01/11/13 | 171,000 | 173,600 | (2,600 | ) | |||||||||||||||||||||||
UBS Warburg LLC | British Pound | 628,783 | Sell | 01/11/13 | 1,014,000 | 1,021,406 | (7,406 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Norwegian Krone | 4,586,962 | Sell | 01/11/13 | 811,000 | 825,071 | (14,071 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Norwegian Krone | 3,059,307 | Sell | 01/11/13 | 541,000 | 550,287 | (9,287 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Norwegian Krone | 2,690,680 | Sell | 01/11/13 | 477,000 | 483,981 | (6,981 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Norwegian Krone | 1,412,370 | Sell | 01/11/13 | 250,000 | 254,047 | (4,047 | ) | |||||||||||||||||||||||
UBS Warburg LLC | British Pound | 128,858 | Sell | 01/11/13 | 207,000 | 209,319 | (2,319 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Thai Baht | 6,808,762 | Sell | 03/08/13 | 220,944 | 221,770 | (826 | ) | |||||||||||||||||||||||
UBS Warburg LLC | Australian Dollar | 123,650 | Sell | 03/08/13 | 128,000 | 127,798 | 202 | ||||||||||||||||||||||||
UBS Warburg LLC | Canadian Dollar | 769,855 | Sell | 03/08/13 | 774,000 | 772,917 | 1,083 | ||||||||||||||||||||||||
$ | (486,208 | ) |
See Accompanying Notes to Financial Statements
63
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
ING Balanced Portfolio Open Futures Contracts on December 31, 2012:
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Long Contracts | |||||||||||||||||||
30-year German Government Bond | 3 | 03/07/13 | $ | 542,265 | $ | 8,662 | |||||||||||||
Australia 10-Year Bond | 2 | 03/15/13 | 256,121 | 270 | |||||||||||||||
Australia 3-Year Bond | 5 | 03/15/13 | 568,758 | 944 | |||||||||||||||
Canada 10-Year Bond | 7 | 03/19/13 | 953,836 | (9,258 | ) | ||||||||||||||
Euro-Bobl 5-Year | 15 | 03/07/13 | 2,530,755 | 10,455 | |||||||||||||||
Euro-Schatz | 9 | 03/07/13 | 1,316,915 | 783 | |||||||||||||||
Long Gilt | 19 | 03/26/13 | 3,670,430 | 220 | |||||||||||||||
Mini MSCI Emerging Markets Index | 101 | 03/15/13 | 5,421,175 | 157,015 | |||||||||||||||
S&P 500 E-Mini | 96 | 03/15/13 | 6,816,480 | (10,340 | ) | ||||||||||||||
Short Gilt | 17 | 03/26/13 | 2,862,928 | (3,251 | ) | ||||||||||||||
U.S. Treasury 2-Year Note | 76 | 03/28/13 | 16,755,626 | 4,650 | |||||||||||||||
U.S. Treasury 5-Year Note | 86 | 03/28/13 | 10,699,609 | (14,515 | ) | ||||||||||||||
$ | 52,394,898 | $ | 145,635 | ||||||||||||||||
Short Contracts | |||||||||||||||||||
Euro-Bund | (9 | ) | 03/07/13 | $ | (1,730,148 | ) | $ | (4,174 | ) | ||||||||||
Medium Gilt | (19 | ) | 03/26/13 | (3,529,070 | ) | (213 | ) | ||||||||||||
U.S. Treasury 10-Year Note | (101 | ) | 03/19/13 | (13,410,906 | ) | 46,674 | |||||||||||||
U.S. Treasury Long Bond | (14 | ) | 03/19/13 | (2,065,000 | ) | 12,526 | |||||||||||||
U.S. Treasury Ultra Long Bond | (22 | ) | 03/19/13 | (3,577,062 | ) | 61,085 | |||||||||||||
$ | (24,312,186 | ) | $ | 115,898 |
ING Balanced Portfolio Over-the-Counter Credit Default Swap Agreements Outstanding on December 31, 2012:
Credit Default Swaps on Credit Indices — Buy Protection(1)
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | Fair Value(3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||
Barclays Bank PLC | CDX.NA.IG.19 Index | Buy | (1.000 | ) | 12/20/17 | USD | 4,844,000 | $ | (10,745 | ) | $ | (17,184 | ) | $ | 6,439 | ||||||||||||||||||||
$ | (10,745 | ) | $ | (17,184 | ) | $ | 6,439 |
Credit Default Swaps on Corporate and Sovereign Issues — Buy Protection(1)
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | Fair Value(3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||
Citigroup, Inc. | MBIA Inc. | Buy | (5.000 | ) | 09/20/13 | USD | 284,000 | $ | 21,326 | $ | 13,225 | $ | 8,101 | ||||||||||||||||||||||
Citigroup, Inc. | MBIA Inc. | Buy | (5.000 | ) | 09/20/13 | USD | 140,000 | 10,513 | 6,793 | 3,720 | |||||||||||||||||||||||||
JPMorgan | |||||||||||||||||||||||||||||||||||
Chase & Co. | MBIA Inc. | Buy | (5.000 | ) | 09/20/13 | USD | 959,000 | 72,013 | 24,302 | 47,711 | |||||||||||||||||||||||||
$ | 103,852 | $ | 44,320 | $ | 59,532 |
Credit Default Swaps on Corporate and Sovereign Issues — Sell Protection(4)
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Implied Credit Spread at 12/31/12 (%)(5) | Notional Amount(2) | Fair Value(3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||||
Citigroup, Inc. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 76.806 | USD | 284,000 | $ | (95,547 | ) | $ | (16,725 | ) | $ | (78,822 | ) | |||||||||||||||||||||||
Citigroup, Inc. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 76.806 | USD | 139,000 | (46,764 | ) | (7,504 | ) | (39,260 | ) | ||||||||||||||||||||||||||
Goldman Sachs & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 76.806 | USD | 241,000 | (81,081 | ) | (12,846 | ) | (68,235 | ) | ||||||||||||||||||||||||||
JPMorgan Chase & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 76.806 | USD | 480,000 | (161,489 | ) | (12,840 | ) | (148,649 | ) | ||||||||||||||||||||||||||
$ | (384,881 | ) | $ | (49,915 | ) | $ | (334,966 | ) |
(1) If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will either i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced
See Accompanying Notes to Financial Statements
64
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
obligation, other deliverable obligations or underlying securities comprising the referenced index or ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
(3) The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation's credit soundness and a greater likelihood or risk of default or other credit event occurring.
(4) If the Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will generally either i) Pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or ii) Pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
(5) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed in each Portfolio's Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting market values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
ING Balanced Portfolio Over-the-Counter Interest Rate Swap Agreements Outstanding on December 31, 2012:
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/(Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Receive a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized and pay a fixed rate equal to 10.360% Counterparty: Bank of America | 01/02/17 | BRL | 10,000,000 | $ | (318,811 | ) | $ | — | $ | (318,811 | ) | ||||||||||||
Receive a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized and pay a fixed rate equal to 10.365% Counterparty: Deutsche Bank AG | 01/02/17 | BRL | 6,000,000 | (191,704 | ) | — | (191,704 | ) | |||||||||||||||
Receive a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized and pay a fixed rate equal to 10.365% Counterparty: Goldman Sachs & Co. | 01/02/17 | BRL | 6,400,000 | (204,484 | ) | — | (204,484 | ) | |||||||||||||||
Receive a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized and pay a fixed rate equal to 10.360% Counterparty: Morgan Stanley | 01/02/17 | BRL | 6,000,000 | (191,286 | ) | — | (191,286 | ) | |||||||||||||||
Receive a fixed rate equal to 4.750% and pay a floating rate based on the 6-month CLP-CHIBNOM Counterparty: Bank of America | 02/01/17 | CLP | 950,000,000 | (42,884 | ) | — | (42,884 | ) | |||||||||||||||
Receive a fixed rate equal to 4.790% and pay a floating rate based on the 6-month CLP-CHIBNOM Counterparty: Bank of America | 02/02/17 | CLP | 950,000,000 | (39,643 | ) | — | (39,643 | ) | |||||||||||||||
Receive a fixed rate equal to 4.830% and pay a floating rate based on the 6-month CLP-CHIBNOM Counterparty: Bank of America | 02/03/17 | CLP | 950,000,000 | (36,401 | ) | — | (36,401 | ) | |||||||||||||||
Receive a floating rate based on the 3-month KRW-CD-KSDA-Bloomberg and pay a fixed rate equal to 3.665% Counterparty: Bank of America | 04/05/17 | KRW | 2,000,000,000 | (59,908 | ) | — | (59,908 | ) | |||||||||||||||
Receive a floating rate based on the 3-month KRW-CD-KSDA-Bloomberg and pay a fixed rate equal to 3.660% Counterparty: Credit Suisse Group AG | 03/26/17 | KRW | 2,250,000,000 | (66,766 | ) | — | (66,766 | ) | |||||||||||||||
Receive a fixed rate equal to 4.755% and pay a floating rate based on the 28-day MXN-TIIE-BANXICO Counterparty: Credit Suisse Group AG | 06/17/14 | MXN | 48,000,000 | (10,130 | ) | — | (10,130 | ) | |||||||||||||||
Receive a floating rate based on the 28-day MXN-TIIE-BANXICO and pay a fixed rate equal to 6.305% Counterparty: UBS Warburg LLC | 06/03/22 | MXN | 10,000,000 | (32,021 | ) | — | (32,021 | ) |
See Accompanying Notes to Financial Statements
65
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/(Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Receive a floating rate based on 6-month PLN-WIBOR-WIBO and pay a fixed rate equal to 5.095% Counterparty: Bank of America | 12/01/16 | PLN | 6,500,000 | $ | (133,697 | ) | $ | — | $ | (133,697 | ) | ||||||||||||
Receive a floating rate based on the 6-month PLN-WIBOR-WIBO and pay a fixed rate equal to 4.800% Counterparty: Deutsche Bank AG | 06/04/17 | PLN | 4,500,000 | (85,609 | ) | — | (85,609 | ) | |||||||||||||||
Receive a fixed rate equal to 3.240% and pay a floating rate based on the 6-month THFX Index Counterparty: Bank of America | 12/06/17 | THB | 28,000,000 | 1,877 | — | 1,877 | |||||||||||||||||
Receive a fixed rate equal to 3.230% and pay a floating rate based on the 6-month THFX Index Counterparty: Bank of America | 12/20/17 | THB | 28,000,000 | 1,979 | — | 1,979 | |||||||||||||||||
Receive a fixed rate equal to 3.230% and pay a floating rate based on the 6-month THFX Index Counterparty: HSBC | 12/20/17 | THB | 13,300,000 | 940 | — | 940 | |||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 0.792% Counterparty: JPMorgan Chase & Co. | 09/26/17 | USD | 5,150,000 | (1,941 | ) | — | (1,941 | ) | |||||||||||||||
$ | (1,410,489 | ) | $ | — | $ | (1,410,489 | ) |
ING Balanced Portfolio Written OTC Options on December 31, 2012:
Notional Amount | Counterparty | Description | Exercise Price | Expiration Date | Premiums Received | Fair Value | |||||||||||||||||||||
Options On Currencies | |||||||||||||||||||||||||||
4,300,000 | Barclays Bank PLC | EUR Put vs. USD Call Currency Option | 1.203 | USD | 01/04/13 | $ | 51,257 | $ | — | ||||||||||||||||||
1,100,000 | Deutsche Bank AG | MYR Put vs. USD Call Currency Option | 3.150 | USD | 01/16/13 | 5,479 | (82 | ) | |||||||||||||||||||
Total Written OTC Options | $ | 56,736 | $ | (82 | ) |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of December 31, 2012 was as follows:
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||||
Asset Derivatives | |||||||||||
Foreign exchange contracts | Investments in securities at value* | $ | 201 | ||||||||
Interest rate contracts | Investments in securities at value* | 280,352 | |||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 969,254 | |||||||||
Credit contracts | Upfront payments paid on swap agreements | 44,320 | |||||||||
Credit contracts | Unrealized appreciation on swap agreements | 65,971 | |||||||||
Interest rate contracts | Unrealized appreciation on swap agreements | 4,796 | |||||||||
Equity contracts | Net Assets — Unrealized appreciation** | 157,015 | |||||||||
Interest rate contracts | Net Assets — Unrealized appreciation** | 146,269 | |||||||||
Total Asset Derivatives | $ | 1,668,178 |
Liability Derivatives | |||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 1,053,422 | ||||||||
Credit contracts | Upfront payments received on swap agreements | 67,099 | |||||||||
Credit contracts | Unrealized depreciation on swap agreements | 334,966 | |||||||||
Interest rate contracts | Unrealized depreciation on swap agreements | 1,415,285 | |||||||||
Equity contracts | Net Assets — Unrealized depreciation** | 10,340 | |||||||||
Interest rate contracts | Net Assets — Unrealized depreciation** | 31,411 | |||||||||
Foreign exchange contracts | Written options, at fair value | 82 | |||||||||
Total Liability Derivatives | $ | 2,912,605 |
* Includes purchased options.
** Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments.
See Accompanying Notes to Financial Statements
66
SUMMARY PORTFOLIO OF INVESTMENTS
ING BALANCED PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
The effect of derivative instruments on the Portfolio's Statement of Operations for the year ended December 31, 2012 was as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | |||||||||||||||||||||
Credit contracts | $ | (251,342 | ) | $ | — | $ | — | $ | (204,116 | ) | $ | 69,390 | $ | (386,068 | ) | ||||||||||||
Equity contracts | — | — | 648,618 | — | — | 648,618 | |||||||||||||||||||||
Foreign exchange contracts | (555,615 | ) | (1,098,666 | ) | — | — | 133,665 | (1,520,616 | ) | ||||||||||||||||||
Interest rate contracts | (134,104 | ) | — | (4,945 | ) | (3,761,996 | ) | 114,688 | (3,786,357 | ) | |||||||||||||||||
Total | $ | (941,061 | ) | $ | (1,098,666 | ) | $ | 643,673 | $ | (3,966,112 | ) | $ | 317,743 | $ | (5,044,423 | ) | |||||||||||
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | (166,998 | ) | $ | — | $ | (166,998 | ) | |||||||||||||
Equity contracts | — | — | 156,595 | — | — | 156,595 | |||||||||||||||||||||
Foreign exchange contracts | (71,558 | ) | 69,458 | — | — | (98,785 | ) | (100,885 | ) | ||||||||||||||||||
Interest rate contracts | (77,596 | ) | — | (71,469 | ) | 1,018,585 | (241 | ) | 869,279 | ||||||||||||||||||
Total | $ | (149,154 | ) | $ | 69,458 | $ | 85,126 | $ | 851,587 | $ | (99,026 | ) | $ | 757,991 |
* Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments.
** Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions.
See Accompanying Notes to Financial Statements
67
ING BLACKROCK SCIENCE AND SUMMARY PORTFOLIO OF INVESTMENTS
TECHNOLOGY OPPORTUNITIES PORTFOLIO AS OF DECEMBER 31, 2012
Shares | Value | Percentage of Net Assets | |||||||||||||||||
COMMON STOCK: 97.3% | |||||||||||||||||||
Consumer Discretionary: 4.9% | |||||||||||||||||||
24,675 | @ | Amazon.com, Inc. | $ | 6,196,879 | 2.0 | ||||||||||||||
44,200 | Expedia, Inc. | 2,716,090 | 0.9 | ||||||||||||||||
9,810 | @ | Priceline.com, Inc. | 6,093,972 | 2.0 | |||||||||||||||
15,006,941 | 4.9 | ||||||||||||||||||
Health Care: 1.3% | |||||||||||||||||||
28,200 | @ | Celgene Corp. | 2,219,904 | 0.7 | |||||||||||||||
20,200 | Sanofi-Aventis SA | 1,915,574 | 0.6 | ||||||||||||||||
4,135,478 | 1.3 | ||||||||||||||||||
Information Technology: 91.1% | |||||||||||||||||||
88,200 | @ | Accenture PLC | 5,865,300 | 1.9 | |||||||||||||||
69,100 | @ | ACI Worldwide, Inc. | 3,018,979 | 1.0 | |||||||||||||||
40,500 | @ | Alliance Data Systems Corp. | 5,862,780 | 1.9 | |||||||||||||||
84,800 | Analog Devices, Inc. | 3,566,688 | 1.2 | ||||||||||||||||
48,178 | Apple, Inc. | 25,680,319 | 8.4 | ||||||||||||||||
51,660 | ASML Holding NV | 3,313,163 | 1.1 | ||||||||||||||||
58,068 | @ | Autodesk, Inc. | 2,052,704 | 0.7 | |||||||||||||||
136,350 | @ | Avago Technologies Ltd. | 4,316,841 | 1.4 | |||||||||||||||
55,510 | @ | BMC Software, Inc. | 2,201,527 | 0.7 | |||||||||||||||
207,800 | Broadcom Corp. | 6,901,038 | 2.3 | ||||||||||||||||
838,026 | Cisco Systems, Inc. | 16,467,211 | 5.4 | ||||||||||||||||
43,709 | @ | Citrix Systems, Inc. | 2,873,867 | 0.9 | |||||||||||||||
58,050 | @ | Cognizant Technology Solutions Corp. | 4,298,602 | 1.4 | |||||||||||||||
27,522 | @ | Commvault Systems, Inc. | 1,918,559 | 0.6 | |||||||||||||||
51,910 | @,L | Concur Technologies, Inc. | 3,504,963 | 1.1 | |||||||||||||||
181,300 | @ | eBay, Inc. | 9,249,926 | 3.0 | |||||||||||||||
124,301 | @ | EMC Corp. | 3,144,815 | 1.0 | |||||||||||||||
23,490 | @ | F5 Networks, Inc. | 2,282,053 | 0.7 | |||||||||||||||
363,953 | @ | Fairchild Semiconductor International, Inc. | 5,240,923 | 1.7 | |||||||||||||||
51,152 | Fidelity National Information Services, Inc. | 1,780,601 | 0.6 | ||||||||||||||||
24,047 | @ | Fiserv, Inc. | 1,900,434 | 0.6 | |||||||||||||||
22,210 | @ | Google, Inc. - Class A | 15,755,108 | 5.1 | |||||||||||||||
39,553 | International Business Machines Corp. | 7,576,377 | 2.5 | ||||||||||||||||
134,800 | Intel Corp. | 2,780,924 | 0.9 | ||||||||||||||||
113,200 | Intuit, Inc. | 6,735,400 | 2.2 | ||||||||||||||||
180,837 | Jabil Circuit, Inc. | 3,488,346 | 1.1 | ||||||||||||||||
173,059 | Linear Technology Corp. | 5,935,924 | 1.9 | ||||||||||||||||
9,500 | Mastercard, Inc. | 4,667,160 | 1.5 | ||||||||||||||||
235,700 | Maxim Integrated Products | 6,929,580 | 2.3 | ||||||||||||||||
208,000 | MediaTek, Inc. | 2,326,913 | 0.8 | ||||||||||||||||
72,500 | Microchip Technology, Inc. | 2,362,775 | 0.8 | ||||||||||||||||
70,356 | @ | Micros Systems, Inc. | 2,985,909 | 1.0 | |||||||||||||||
218,583 | Microsoft Corp. | 5,842,723 | 1.9 | ||||||||||||||||
152,770 | @ | NXP Semiconductor NV | 4,028,545 | 1.3 |
Shares | Value | Percentage of Net Assets | |||||||||||||||||
242,300 | Oracle Corp. | $ | 8,073,436 | 2.6 | |||||||||||||||
243,940 | Qualcomm, Inc. | 15,129,159 | 4.9 | ||||||||||||||||
225,185 | @ | Riverbed Technolgoy, Inc. | 4,440,648 | 1.5 | |||||||||||||||
62,600 | @ | Salesforce.com, Inc. | 10,523,060 | 3.4 | |||||||||||||||
1,825 | Samsung Electronics Co., Ltd. | 2,622,160 | 0.9 | ||||||||||||||||
22,300 | L | SAP AG ADR | 1,792,474 | 0.6 | |||||||||||||||
72,300 | Tencent Holdings Ltd. | 2,371,202 | 0.8 | ||||||||||||||||
51,074 | @ | Teradata Corp. | 3,160,970 | 1.0 | |||||||||||||||
138,900 | @ | Teradyne, Inc. | 2,346,021 | 0.8 | |||||||||||||||
78,000 | Visa, Inc. | 11,823,240 | 3.9 | ||||||||||||||||
203,700 | Xilinx, Inc. | 7,312,830 | 2.4 | ||||||||||||||||
716,595 | Other Securities (a) | 22,632,405 | 7.4 | ||||||||||||||||
279,084,582 | 91.1 | ||||||||||||||||||
Total Common Stock (Cost $281,647,021) | 298,227,001 | 97.3 | |||||||||||||||||
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
SHORT-TERM INVESTMENTS: 5.3% | |||||||||||||||||||
Securities Lending Collateralcc(1): 1.4% | |||||||||||||||||||
1,000,000 | Cantor Fitzgerald, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,000,016, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-7.500%, Market Value plus accrued interest $1,020,000, due 07/15/13-08/01/46) | $ | 1,000,000 | 0.4 | |||||||||||||||
1,000,000 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,000,011, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,020,000, due 10/01/16-12/20/42) | 1,000,000 | 0.3 |
See Accompanying Notes to Financial Statements
68
ING BLACKROCK SCIENCE AND SUMMARY PORTFOLIO OF INVESTMENTS
TECHNOLOGY OPPORTUNITIES PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
Securities Lending Collateralcc(1) (continued) | |||||||||||||||||||
153,870 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $153,872, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $156,948, due 10/31/17-08/15/22) | $ | 153,870 | 0.1 | |||||||||||||||
1,000,000 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $1,000,010, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $1,020,000, due 08/09/13-06/20/42) | 1,000,000 | 0.3 | ||||||||||||||||
1,000,000 | Royal Bank of Canada, Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $1,000,035, collateralized by various U.S. Government Agency Obligations, 2.000%-4.500%, Market Value plus accrued interest $1,020,000, due 10/01/32-01/01/43) | 1,000,000 | 0.3 | ||||||||||||||||
4,153,870 | 1.4 |
Shares | Value | Percentage of Net Assets | |||||||||||||||||
Mutual Funds: 3.9% | |||||||||||||||||||
11,946,394 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $11,946,394) | $ | 11,946,394 | 3.9 | |||||||||||||||
Total Short-Term Investments (Cost $16,100,264) | 16,100,264 | 5.3 | |||||||||||||||||
Total Investments in Securities (Cost $297,747,285) | $ | 314,327,265 | 102.6 | ||||||||||||||||
Liabilities in Excess of Other Assets | (8,091,954 | ) | (2.6 | ) | |||||||||||||||
Net Assets | $ | 306,235,311 | 100.0 |
"Other Securities" represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of December 31, 2012.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
† Unless otherwise indicated, principal amount is shown in USD.
@ Non-income producing security
ADR American Depositary Receipt
cc Securities purchased with cash collateral for securities loaned.
L Loaned security, a portion or all of the security is on loan at December 31, 2012.
(1) Collateral received from brokers for securities lending was invested into these short-term investments.
(a) This grouping contains securities on loan.
Cost for federal income tax purposes is $302,243,545.
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 23,700,071 | |||||
Gross Unrealized Depreciation | (11,616,351 | ) | |||||
Net Unrealized Appreciation | $ | 12,083,720 |
See Accompanying Notes to Financial Statements
69
ING BLACKROCK SCIENCE AND SUMMARY PORTFOLIO OF INVESTMENTS
TECHNOLOGY OPPORTUNITIES PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 12/31/12 | ||||||||||||||||
Asset Table | |||||||||||||||||||
Investments, at fair value | |||||||||||||||||||
Common Stock | |||||||||||||||||||
Consumer Discretionary | $ | 15,006,941 | $ | — | $ | — | $ | 15,006,941 | |||||||||||
Health Care | 2,219,904 | 1,915,574 | — | 4,135,478 | |||||||||||||||
Information Technology | 268,451,144 | 10,633,438 | — | 279,084,582 | |||||||||||||||
Total Common Stock | 285,677,989 | 12,549,012 | — | 298,227,001 | |||||||||||||||
Short-Term Investments | 11,946,394 | 4,153,870 | — | 16,100,264 | |||||||||||||||
Total Investments, at fair value | $ | 297,624,383 | $ | 16,702,882 | $ | — | $ | 314,327,265 | |||||||||||
Other Financial Instruments+ | |||||||||||||||||||
Forward Foreign Currency Contracts | — | 14,365 | — | 14,365 | |||||||||||||||
Total Assets | $ | 297,624,383 | $ | 16,717,247 | $ | — | $ | 314,341,630 | |||||||||||
Liabilities Table | |||||||||||||||||||
Other Financial Instruments+ | |||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (112,929 | ) | $ | — | $ | (112,929 | ) | |||||||||
Total Liabilities | $ | — | $ | (112,929 | ) | $ | — | $ | (112,929 | ) |
^ See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information.
+ Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument.
# The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio's investments are categorized as Level 2 investments.
At December 31, 2012, the following forward foreign currency contracts were outstanding for the ING BlackRock Science and Technology Opportunities Portfolio:
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 600,000 | Buy | 01/16/13 | $ | 784,820 | $ | 792,065 | $ | 7,245 | |||||||||||||||||||||
Citigroup, Inc. | EU Euro | 310,000 | Buy | 01/16/13 | 402,067 | 409,187 | 7,120 | ||||||||||||||||||||||||
$ | 14,365 | ||||||||||||||||||||||||||||||
Credit Suisse Group AG | Hong Kong Sar Dollar | 13,624,000 | Sell | 01/16/13 | 1,757,274 | 1,757,848 | (574 | ) | |||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 3,901,000 | Sell | 01/16/13 | 5,052,400 | 5,149,744 | (97,344 | ) | |||||||||||||||||||||||
UBS Warburg LLC | EU Euro | 900,000 | Sell | 01/16/13 | 1,173,087 | 1,188,098 | (15,011 | ) | |||||||||||||||||||||||
$ | (112,929 | ) |
See Accompanying Notes to Financial Statements
70
ING BLACKROCK SCIENCE AND SUMMARY PORTFOLIO OF INVESTMENTS
TECHNOLOGY OPPORTUNITIES PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of December 31, 2012 was as follows:
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||||
Asset Derivatives | |||||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 14,365 | ||||||||
Total Asset Derivatives | $ | 14,365 |
Liability Derivatives | |||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 112,929 | ||||||||
Total Liability Derivatives | $ | 112,929 |
The effect of derivative instruments on the Portfolio's Statement of Operations for the year ended December 31, 2012 was as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | ||||||
Foreign exchange contracts | $ | (188,682 | ) | ||||
Total | $ | (188,682 | ) | ||||
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | ||||||
Foreign exchange contracts | $ | (365,469 | ) | ||||
Total | $ | (365,469 | ) |
* Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions.
See Accompanying Notes to Financial Statements
71
SUMMARY PORTFOLIO OF INVESTMENTS
ING GROWTH AND INCOME PORTFOLIO AS OF DECEMBER 31, 2012
Shares | Value | Percentage of Net Assets | |||||||||||||||||
COMMON STOCK: 97.8% | |||||||||||||||||||
Consumer Discretionary: 10.8% | |||||||||||||||||||
2,560,771 | Comcast Corp. - Class A | $ | 95,721,620 | 2.5 | |||||||||||||||
1,130,698 | @ | Delphi Automotive PLC | 43,249,199 | 1.1 | |||||||||||||||
1,105,169 | GNC Holdings, Inc. | 36,780,024 | 0.9 | ||||||||||||||||
1,316,564 | �� | Macy's, Inc. | 51,372,327 | 1.3 | |||||||||||||||
737,642 | @ | Michael Kors Holdings Ltd. | 37,641,871 | 1.0 | |||||||||||||||
996,100 | @ | Penn National Gaming, Inc. | 48,918,471 | 1.3 | |||||||||||||||
1,286,407 | Starbucks Corp. | 68,977,143 | 1.8 | ||||||||||||||||
1,108,198 | Other Securities | 35,595,320 | 0.9 | ||||||||||||||||
418,255,975 | 10.8 | ||||||||||||||||||
Consumer Staples: 10.1% | |||||||||||||||||||
1,383,657 | Coca-Cola Enterprises, Inc. | 43,903,437 | 1.1 | ||||||||||||||||
614,162 | Costco Wholesale Corp. | 60,660,781 | 1.6 | ||||||||||||||||
1,211,122 | Kraft Foods Group, Inc. | 55,069,717 | 1.4 | ||||||||||||||||
1,613,073 | Mondelez International, Inc. | 41,084,969 | 1.1 | ||||||||||||||||
892,406 | Philip Morris International, Inc. | 74,640,838 | 1.9 | ||||||||||||||||
1,712,315 | Other Securities | 118,797,322 | 3.0 | ||||||||||||||||
394,157,064 | 10.1 | ||||||||||||||||||
Energy: 12.1% | |||||||||||||||||||
392,901 | EOG Resources, Inc. | 47,458,512 | 1.2 | ||||||||||||||||
2,198,413 | ExxonMobil Corp. | 190,272,645 | 4.9 | ||||||||||||||||
1,671,248 | Halliburton Co. | 57,975,593 | 1.5 | ||||||||||||||||
758,952 | Range Resources Corp. | 47,684,954 | 1.2 | ||||||||||||||||
585,423 | Royal Dutch Shell PLC - Class A ADR | 40,364,916 | 1.1 | ||||||||||||||||
1,812,075 | Other Securities | 85,614,891 | 2.2 | ||||||||||||||||
469,371,511 | 12.1 | ||||||||||||||||||
Financials: 14.4% | |||||||||||||||||||
1,451,149 | Citigroup, Inc. | 57,407,454 | 1.5 | ||||||||||||||||
3,836,930 | Fifth Third Bancorp. | 58,282,967 | 1.5 | ||||||||||||||||
1,972,323 | JPMorgan Chase & Co. | 86,723,042 | 2.2 | ||||||||||||||||
916,372 | Prudential Financial, Inc. | 48,870,119 | 1.2 | ||||||||||||||||
606,903 | Travelers Cos., Inc. | 43,587,774 | 1.1 | ||||||||||||||||
2,153,947 | US Bancorp. | 68,797,067 | 1.8 | ||||||||||||||||
3,232,810 | Wells Fargo & Co. | 110,497,446 | 2.8 | ||||||||||||||||
1,828,270 | @ | XL Group PLC | 45,816,446 | 1.2 | |||||||||||||||
1,478,583 | Other Securities | 41,917,529 | 1.1 | ||||||||||||||||
561,899,844 | 14.4 | ||||||||||||||||||
Health Care: 11.8% | |||||||||||||||||||
1,119,933 | Abbott Laboratories | 73,355,611 | 1.9 | ||||||||||||||||
747,692 | @ | Covidien PLC | 43,171,736 | 1.1 |
Shares | Value | Percentage of Net Assets | |||||||||||||||||
1,113,170 | Eli Lilly & Co. | $ | 54,901,544 | 1.4 | |||||||||||||||
902,516 | @ | Express Scripts Holding Co. | 48,735,864 | 1.3 | |||||||||||||||
813,448 | @ | Gilead Sciences, Inc. | 59,747,756 | 1.5 | |||||||||||||||
4,635,976 | Pfizer, Inc. | 116,270,278 | 3.0 | ||||||||||||||||
496,819 | @ | Watson Pharmaceuticals, Inc. | 42,726,434 | 1.1 | |||||||||||||||
693,916 | Other Securities | 19,068,812 | 0.5 | ||||||||||||||||
457,978,035 | 11.8 | ||||||||||||||||||
Industrials: 11.1% | |||||||||||||||||||
767,902 | Boeing Co. | 57,869,095 | 1.5 | ||||||||||||||||
713,909 | Fluor Corp. | 41,935,015 | 1.1 | ||||||||||||||||
708,435 | General Dynamics Corp. | 49,073,292 | 1.3 | ||||||||||||||||
1,808,281 | General Electric Co. | 37,955,818 | 1.0 | ||||||||||||||||
358,400 | Roper Industries, Inc. | 39,954,432 | 1.0 | ||||||||||||||||
283,244 | @ | TransDigm Group, Inc. | 38,623,152 | 1.0 | |||||||||||||||
571,283 | Union Pacific Corp. | 71,821,699 | 1.8 | ||||||||||||||||
1,799,130 | Other Securities | 92,440,286 | 2.4 | ||||||||||||||||
429,672,789 | 11.1 | ||||||||||||||||||
Information Technology: 19.1% | |||||||||||||||||||
398,377 | Apple, Inc. | 212,346,892 | 5.5 | ||||||||||||||||
762,333 | @ | Cognizant Technology Solutions Corp. | 56,450,759 | 1.5 | |||||||||||||||
2,744,742 | @ | EMC Corp. | 69,441,973 | 1.8 | |||||||||||||||
235,680 | @ | Google, Inc. - Class A | 167,184,322 | 4.3 | |||||||||||||||
2,292,372 | Jabil Circuit, Inc. | 44,219,856 | 1.1 | ||||||||||||||||
1,897,084 | @ | NetApp, Inc. | 63,647,168 | 1.6 | |||||||||||||||
3,080,463 | Oracle Corp. | 102,641,027 | 2.6 | ||||||||||||||||
863,468 | Other Securities (a) | 28,140,422 | 0.7 | ||||||||||||||||
744,072,419 | 19.1 | ||||||||||||||||||
Materials: 3.4% | |||||||||||||||||||
801,514 | Eastman Chemical Co. | 54,543,028 | 1.4 | ||||||||||||||||
1,342,388 | International Paper Co. | 53,480,738 | 1.4 | ||||||||||||||||
792,167 | Other Securities | 24,050,190 | 0.6 | ||||||||||||||||
132,073,956 | 3.4 | ||||||||||||||||||
Telecommunication Services: 3.4% | |||||||||||||||||||
989,264 | CenturyTel, Inc. | 38,700,008 | 1.0 | ||||||||||||||||
2,183,482 | Verizon Communications, Inc. | 94,479,266 | 2.4 | ||||||||||||||||
133,179,274 | 3.4 | ||||||||||||||||||
Utilities: 1.6% | |||||||||||||||||||
3,336,828 | Other Securities | 62,042,960 | 1.6 | ||||||||||||||||
Total Common Stock (Cost $3,178,732,778) | 3,802,703,827 | 97.8 |
See Accompanying Notes to Financial Statements
72
SUMMARY PORTFOLIO OF INVESTMENTS
ING GROWTH AND INCOME PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
CORPORATE BONDS/NOTES: —% | |||||||||||||||||||
Energy: —% | |||||||||||||||||||
10,000,000 | Other Securities | $ | — | — | |||||||||||||||
Utilities: —% | |||||||||||||||||||
20,000,000 | Other Securities | — | — | ||||||||||||||||
Total Corporate Bonds/Notes (Cost $—) | — | — | |||||||||||||||||
Total Long-Term Investments (Cost $3,178,732,778) | 3,802,703,827 | 97.8 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 2.3% | |||||||||||||||||||
Securities Lending Collateralcc(1): 0.1% | |||||||||||||||||||
1,000,000 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,000,011, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,020,000, due 10/01/16-12/20/42) | 1,000,000 | 0.1 | ||||||||||||||||
198,331 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $198,333, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $202,298, due 10/31/17-08/15/22) | 198,331 | 0.0 | ||||||||||||||||
1,000,000 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $1,000,010, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $1,020,000, due 08/09/13-06/20/42) | 1,000,000 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
1,000,000 | Royal Bank of Canada, Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $1,000,035, collateralized by various U.S. Government Agency Obligations, 2.000%-4.500%, Market Value plus accrued interest $1,020,000, due 10/01/32-01/01/43) | $ | 1,000,000 | 0.0 | |||||||||||||||
3,198,331 | 0.1 | ||||||||||||||||||
Shares | Value | Percentage of Net Assets | |||||||||||||||||
Mutual Funds: 2.2% | |||||||||||||||||||
87,384,000 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $87,384,000) | $ | 87,384,000 | 2.2 | |||||||||||||||
Total Short-Term Investments (Cost $90,582,331) | 90,582,331 | 2.3 | |||||||||||||||||
Total Investments in Securities (Cost $3,269,315,109) | $ | 3,893,286,158 | 100.1 | ||||||||||||||||
Liabilities in Excess of Other Assets | (2,841,828 | ) | (0.1 | ) | |||||||||||||||
Net Assets | $ | 3,890,444,330 | 100.0 |
"Other Securities" represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of December 31, 2012.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
† Unless otherwise indicated, principal amount is shown in USD.
@ Non-income producing security
ADR American Depositary Receipt
cc Securities purchased with cash collateral for securities loaned.
(1) Collateral received from brokers for securities lending was invested into these short-term investments.
(a) This grouping contains securities on loan.
Cost for federal income tax purposes is $3,308,848,795.
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 722,576,824 | |||||
Gross Unrealized Depreciation | (138,139,461 | ) | |||||
Net Unrealized Appreciation | $ | 584,437,363 |
See Accompanying Notes to Financial Statements
73
SUMMARY PORTFOLIO OF INVESTMENTS
ING GROWTH AND INCOME PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 12/31/12 | ||||||||||||||||
Asset Table | |||||||||||||||||||
Investments, at fair value | |||||||||||||||||||
Common Stock* | $ | 3,802,703,827 | $ | — | $ | — | $ | 3,802,703,827 | |||||||||||
Corporate Bonds/Notes | — | — | — | — | |||||||||||||||
Short-Term Investments | 87,384,000 | 3,198,331 | — | 90,582,331 | |||||||||||||||
Total Investments, at fair value | $ | 3,890,087,827 | $ | 3,198,331 | $ | — | $ | 3,893,286,158 |
^ See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information.
* For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments.
The effect of derivative instruments on the Portfolio's Statement of Operations for the year ended December 31, 2012 was as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||
Derivatives not accounted for as hedging instruments | Futures | ||||||
Equity contracts | $ | 1,188,416 | |||||
Total | $ | 1,188,416 |
See Accompanying Notes to Financial Statements
74
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
CORPORATE BONDS/NOTES: 31.0% | |||||||||||||||||||
Consumer Discretionary: 3.0% | |||||||||||||||||||
2,671,000 | # | ADT Corp., 2.250%, 07/15/17 | $ | 2,651,715 | 0.1 | ||||||||||||||
1,198,000 | # | ADT Corp., 3.500%, 07/15/22 | 1,166,192 | 0.1 | |||||||||||||||
1,505,000 | # | Carlson Wagonlit BV, 6.875%, 06/15/19 | 1,595,300 | 0.1 | |||||||||||||||
2,002,000 | # | CC Holdings GS V LLC, 2.381%, 12/15/17 | 2,013,378 | 0.1 | |||||||||||||||
9,384,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 2.400%-5.150%, 03/15/17-03/15/42 | 9,615,903 | 0.4 | ||||||||||||||||
2,007,000 | Discovery Communications LLC, 3.300%, 05/15/22 | 2,063,246 | 0.1 | ||||||||||||||||
6,837,000 | # | Hyatt Hotels Corp., 6.875%, 08/15/19 | 8,084,930 | 0.3 | |||||||||||||||
2,875,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 3,220,000 | 0.1 | |||||||||||||||
35,090,000 | Other Securities | 37,550,875 | 1.7 | ||||||||||||||||
67,961,539 | 3.0 | ||||||||||||||||||
Consumer Staples: 1.1% | |||||||||||||||||||
5,776,000 | # | Kraft Foods Group, Inc., 5.000%, 06/04/42 | 6,501,402 | 0.3 | |||||||||||||||
5,784,000 | Molson Coors Brewing Co., 5.000%, 05/01/42 | 6,488,173 | 0.3 | ||||||||||||||||
11,983,000 | Other Securities | 12,979,372 | 0.5 | ||||||||||||||||
25,968,947 | 1.1 | ||||||||||||||||||
Energy: 4.8% | |||||||||||||||||||
3,935,000 | # | BG Energy Capital PLC, 2.875%, 10/15/16 | 4,155,710 | 0.2 | |||||||||||||||
1,005,000 | # | Chesapeake Oilfield Operating LLC/Chesapeake Oilfield Finance, Inc., 6.625%, 11/15/19 | 952,238 | 0.0 | |||||||||||||||
1,599,000 | Enbridge Energy Partners L.P., 4.200%, 09/15/21 | 1,720,158 | 0.1 | ||||||||||||||||
4,483,000 | Enbridge Energy Partners, 9.875%, 03/01/19 | 6,073,483 | 0.2 | ||||||||||||||||
3,265,000 | Energy Transfer Equity L.P., 7.500%, 10/15/20 | 3,787,400 | 0.2 | ||||||||||||||||
3,875,000 | Energy Transfer Partners L.P., 4.650%, 06/01/21 | 4,260,869 | 0.2 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
3,770,000 | Energy Transfer Partners, 9.700%, 03/15/19 | $ | 5,081,029 | 0.2 | |||||||||||||||
8,805,000 | Phillips 66, 2.950%-4.300%, 05/01/17-04/01/22 | 9,585,988 | 0.4 | ||||||||||||||||
9,854,000 | Transocean, Inc., 2.500%-6.375%, 10/15/17-10/15/22 | 10,564,110 | 0.5 | ||||||||||||||||
6,670,000 | Weatherford International Ltd., 5.950%-6.750%, 09/15/40-04/15/42 | 7,394,548 | 0.3 | ||||||||||||||||
58,635,000 | Other Securities (a) | 55,404,106 | 2.5 | ||||||||||||||||
108,979,639 | 4.8 | ||||||||||||||||||
Financials: 11.9% | |||||||||||||||||||
7,219,000 | American International Group, Inc., 4.875%-8.175%, 01/16/18-05/15/58 | 8,815,052 | 0.4 | ||||||||||||||||
BRL | 9,142,000 | # | Banco Votorantim SA, 6.250%, 05/16/16 | 5,181,583 | 0.2 | ||||||||||||||
11,484,000 | Bank of America Corp., 3.750%-8.000%, 07/12/16-12/29/49 | 12,875,720 | 0.6 | ||||||||||||||||
3,915,000 | Barclays Bank PLC, 7.625%, 11/21/22 | 3,919,894 | 0.2 | ||||||||||||||||
3,181,000 | # | Charles Schwab Corp./The, 3.225%, 09/01/22 | 3,231,193 | 0.1 | |||||||||||||||
12,262,000 | Citigroup, Inc., 3.953%-5.875%, 06/15/16-01/30/42 | 13,692,771 | 0.6 | ||||||||||||||||
3,491,000 | # | Cooperatieve Centrale Raiffeisen- Boerenleenbank BA/Netherlands, 11.000%, 12/29/49 | 4,750,403 | 0.2 | |||||||||||||||
631,000 | Discover Bank/Greenwood DE, 8.700%, 11/18/19 | 821,600 | 0.0 | ||||||||||||||||
1,010,000 | Discover Financial Services, 6.450%, 06/12/17 | 1,181,856 | 0.1 | ||||||||||||||||
2,030,000 | # | Discover Financial Services, 3.850%, 11/21/22 | 2,096,594 | 0.1 | |||||||||||||||
4,060,000 | # | ERAC USA Finance LLC, 3.300%, 10/15/22 | 4,114,306 | 0.2 | |||||||||||||||
15,302,000 | General Electric Capital Corp., 3.150%-7.125%, 10/17/16-12/15/49 | 17,053,274 | 0.8 |
See Accompanying Notes to Financial Statements
75
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
Financials (continued) | |||||||||||||||||||
7,821,000 | Goldman Sachs Group, Inc., 3.300%-5.950%, 05/03/15-01/24/22 | $ | 8,924,625 | 0.4 | |||||||||||||||
2,489,000 | # | HBOS PLC, 6.750%, 05/21/18 | 2,691,231 | 0.1 | |||||||||||||||
2,534,000 |
| HSBC Finance Corp., 6.676%, 01/15/21 | 3,008,375 | 0.1 | |||||||||||||||
1,313,000 |
| HSBC Holdings PLC, 4.875%, 01/14/22 | 1,525,074 | 0.1 | |||||||||||||||
4,661,000 |
| HSBC USA, Inc., 1.625%-2.375%, 02/13/15-01/16/18 | 4,733,827 | 0.2 | |||||||||||||||
3,437,000 | # | International Lease Finance Corp., 7.125%, 09/01/18 | 4,004,105 | 0.2 | |||||||||||||||
14,264,000 |
| JPMorgan Chase & Co., 2.000%-5.400%, 08/15/17-01/06/42 | 15,200,852 | 0.7 | |||||||||||||||
11,502,000 |
| Morgan Stanley, 3.800%-5.500%, 04/29/16-07/28/21 | 12,477,028 | 0.5 | |||||||||||||||
6,022,000 |
| Murray Street Investment Trust I, 4.647%, 03/09/17 | 6,517,900 | 0.3 | |||||||||||||||
2,294,000 | # | RBS Citizens Financial Group, Inc., 4.150%, 09/28/22 | 2,342,963 | 0.1 | |||||||||||||||
2,390,000 | # | Simon Property Group L.P., 1.500%, 02/01/18 | 2,378,478 | 0.1 | |||||||||||||||
2,754,000 |
| Wells Fargo & Co., 2.100%, 05/08/17 | 2,849,294 | 0.1 | |||||||||||||||
122,702,000 |
| Other Securities | 124,881,400 | 5.5 | |||||||||||||||
269,269,398 | 11.9 | ||||||||||||||||||
Health Care: 2.1% | |||||||||||||||||||
2,219,000 | # | AbbVie, Inc., 2.900%, 11/06/22 | 2,261,907 | 0.1 | |||||||||||||||
3,240,000 | # | Aristotle Holding, Inc., 2.650%, 02/15/17 | 3,369,853 | 0.2 | |||||||||||||||
2,323,000 | # | Aristotle Holding, Inc., 3.500%, 11/15/16 | 2,485,203 | 0.1 | |||||||||||||||
6,610,000 |
| Celgene Corp., 3.250%, 08/15/22 | 6,744,229 | 0.3 | |||||||||||||||
2,890,000 | # | Valeant Pharmaceuticals International, 7.250%, 07/15/22 | 3,171,775 | 0.1 | |||||||||||||||
8,399,000 | WellPoint, Inc., 3.700%-4.625%, 08/15/21-05/15/42 | 8,773,770 | 0.4 | ||||||||||||||||
22,733,000 | Other Securities | 21,494,778 | 0.9 | ||||||||||||||||
48,301,515 | 2.1 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
Industrials: 0.7% | |||||||||||||||||||
2,106,000 | # | Turlock Corp., 2.750%, 11/02/22 | $ | 2,101,478 | 0.1 | ||||||||||||||
12,252,000 | Other Securities | 12,788,414 | 0.6 | ||||||||||||||||
14,889,892 | 0.7 | ||||||||||||||||||
Information Technology: 2.0% | |||||||||||||||||||
7,062,000 | Telefonaktiebolaget LM Ericsson, 4.125%, 05/15/22 | 7,345,765 | 0.3 | ||||||||||||||||
9,355,000 | Hewlett-Packard Co., 2.600%-5.400%, 09/15/16-09/15/17 | 9,468,800 | 0.4 | ||||||||||||||||
26,389,000 | Other Securities | 28,015,724 | 1.3 | ||||||||||||||||
44,830,289 | 2.0 | ||||||||||||||||||
Materials: 1.9% | |||||||||||||||||||
7,520,000 | # | Anglo American Capital PLC, 2.625%, 09/27/17 | 7,680,153 | 0.3 | |||||||||||||||
6,380,000 | Cabot Corp., 3.700%, 07/15/22 | 6,474,845 | 0.3 | ||||||||||||||||
1,585,000 | # | Georgia-Pacific LLC, 5.400%, 11/01/20 | 1,886,925 | 0.1 | |||||||||||||||
1,445,000 | # | Sealed Air Corp., 8.375%, 09/15/21 | 1,658,138 | 0.1 | |||||||||||||||
4,055,000 | # | Xstrata Finance Canada Ltd., 4.000%, 10/25/22 | 4,102,472 | 0.2 | |||||||||||||||
2,616,000 | # | Xstrata Finance Canada Ltd., 4.950%, 11/15/21 | 2,811,983 | 0.1 | |||||||||||||||
4,055,000 | # | Xstrata Finance Canada Ltd., 5.300%, 10/25/42 | 4,074,075 | 0.2 | |||||||||||||||
13,436,000 | Other Securities | 13,713,678 | 0.6 | ||||||||||||||||
42,402,269 | 1.9 | ||||||||||||||||||
Telecommunication Services: 1.5% | |||||||||||||||||||
2,350,000 | # | Sable International Finance Ltd., 8.750%, 02/01/20 | 2,702,500 | 0.1 | |||||||||||||||
1,224,000 | # | Telstra Corp. Ltd., 4.800%, 10/12/21 | 1,429,310 | 0.1 | |||||||||||||||
10,934,000 | Verizon Communications, Inc., 1.950%, 03/28/14 | 11,135,098 | 0.5 | ||||||||||||||||
17,049,000 | Other Securities | 18,399,665 | 0.8 | ||||||||||||||||
33,666,573 | 1.5 | ||||||||||||||||||
Utilities: 2.0% | |||||||||||||||||||
1,992,000 | # | Duquesne Light Holdings, Inc., 5.900%, 12/01/21 | 2,366,122 | 0.1 |
See Accompanying Notes to Financial Statements
76
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
Utilities (continued) | |||||||||||||||||||
3,957,000 | # | Duquesne Light Holdings, Inc., 6.400%, 09/15/20 | $ | 4,789,343 | 0.2 | ||||||||||||||
1,394,000 | # | Iberdrola Finance Ireland Ltd., 3.800%, 09/11/14 | 1,432,415 | 0.1 | |||||||||||||||
216,804 | # | Juniper Generation, LLC, 6.790%, 12/31/14 | 202,711 | 0.0 | |||||||||||||||
31,523,000 | Other Securities | 36,038,447 | 1.6 | ||||||||||||||||
44,829,038 | 2.0 | ||||||||||||||||||
Total Corporate Bonds/Notes (Cost $664,567,356) | 701,099,099 | 31.0 | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 16.6% | |||||||||||||||||||
3,315,000 | # | American General Mortgage Loan Trust, 5.650%, 03/25/58 | 3,519,398 | 0.2 | |||||||||||||||
8,665,000 | # | American General Mortgage Loan Trust, 5.750%, 09/25/48 | 9,035,208 | 0.4 | |||||||||||||||
2,700,000 | # | Arkle Master Issuer PLC, 2.011%, 05/17/60 | 2,777,250 | 0.1 | |||||||||||||||
1,650,000 | # | Banc of America Re-Remic Trust, 2.959%, 12/10/30 | 1,718,683 | 0.1 | |||||||||||||||
73,473,258 | #,^ | Banc of America Commercial Mortgage, Inc., 0.169%, 10/10/45 | 725,982 | 0.0 | |||||||||||||||
4,183,435 | Banc of America Funding Corp., 5.500%, 02/25/35 | 4,305,026 | 0.2 | ||||||||||||||||
2,186,152 | # | Banc of America Large Loan, Inc., 1.609%, 06/15/18 | 2,150,416 | 0.1 | |||||||||||||||
3,130,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.189%, 09/10/47 | 2,940,868 | 0.1 | ||||||||||||||||
2,550,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.189%, 09/10/47 | 2,508,473 | 0.1 | ||||||||||||||||
1,520,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.294%, 03/11/41 | 1,459,635 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
4,211,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.322%, 07/10/43 | $ | 4,323,882 | 0.2 | ||||||||||||||
1,590,000 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.338%, 07/10/43 | 1,622,621 | 0.1 | |||||||||||||||
1,068,052 | # | Banc of America Merrill Lynch Commercial Mortgage, Inc., 6.850%, 11/15/31 | 1,076,339 | 0.0 | |||||||||||||||
2,030,000 | # | Bank of America-First Union NB Commercial Mortgage, 6.250%, 04/11/37 | 1,976,541 | 0.1 | |||||||||||||||
4,550,000 | # | BB-UBS Trust, 2.892%, 06/05/30 | 4,658,292 | 0.2 | |||||||||||||||
728,641 | Bear Stearns Alternative-A Trust, 0.850%, 07/25/34 | 661,755 | 0.0 | ||||||||||||||||
2,340,000 | # | Bear Stearns Commercial Mortgage Securities, 5.573%, 04/12/38 | 2,380,940 | 0.1 | |||||||||||||||
1,080,000 | # | Bear Stearns Commercial Mortgage Securities, 5.640%, 02/14/31 | 1,093,013 | 0.1 | |||||||||||||||
750,000 | # | Bear Stearns Commercial Mortgage Securities, 5.640%, 02/14/31 | 748,054 | 0.0 | |||||||||||||||
420,995 | # | Bear Stearns Commercial Mortgage Securities, 6.500%, 02/15/32 | 421,106 | 0.0 | |||||||||||||||
4,104,800 | Bear Stearns Commercial Mortgage Securities, 5.134%-6.500%, 02/15/32-02/13/42 | 3,682,343 | 0.2 | ||||||||||||||||
6,727,130 | Citicorp Mortgage Securities, Inc., 6.000%, 06/25/36 | 6,887,333 | 0.3 | ||||||||||||||||
1,235,045 | Citicorp Mortgage Securities, Inc., 6.000%, 08/25/36 | 1,271,041 | 0.1 | ||||||||||||||||
14,590,723 | #,^ | Citigroup Commercial Mortgage Trust, 2.263%, 09/10/45 | 1,965,371 | 0.1 | |||||||||||||||
54,306,000 | #,^ | Commercial Mortgage Pass Through Certificates, 0.600%, 10/15/45 | 2,853,346 | 0.1 |
See Accompanying Notes to Financial Statements
77
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||||||||||||||||
1,949,288 | # | Commercial Mortgage Pass Through Certificates, 0.659%, 12/15/20 | $ | 1,919,747 | 0.1 | ||||||||||||||
1,570,260 | # | Commercial Mortgage Pass Through Certificates, 0.709%, 12/15/20 | 1,540,192 | 0.1 | |||||||||||||||
1,423,290 | # | Commercial Mortgage Pass Through Certificates, 0.809%, 12/15/20 | 1,220,471 | 0.0 | |||||||||||||||
46,664,276 | ^ | Commercial Mortgage Pass Through Certificates, 1.951%-5.800%, 05/15/45-12/10/49 | 6,244,652 | 0.3 | |||||||||||||||
4,875,867 | Countrywide Alternative Loan Trust, 5.500%, 12/25/35 | 4,314,359 | 0.2 | ||||||||||||||||
5,117,412 | Countrywide Home Loan Mortgage Pass Through Trust, 5.750%, 06/25/37 | 4,673,596 | 0.2 | ||||||||||||||||
7,846,468 | Countrywide Home Loan Mortgage Pass Through Trust, 6.000%, 01/25/38 | 7,166,556 | 0.3 | ||||||||||||||||
2,289,615 | Countrywide Home Loan Mortgage Pass-through Trust, 0.530%, 04/25/35 | 495,402 | 0.0 | ||||||||||||||||
410,000 | # | Credit Suisse First Boston Mortgage Securities Corp., 5.575%, 04/12/49 | 426,140 | 0.0 | |||||||||||||||
3,575,000 | # | Credit Suisse First Boston Mortgage Securities Corp., 7.269%, 12/15/35 | 3,691,618 | 0.2 | |||||||||||||||
3,510,000 | Credit Suisse First Boston Mortgage Securities Corp., 5.343%-7.475%, 08/15/36-12/15/39 | 3,712,650 | 0.2 | ||||||||||||||||
16,239,211 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, 0.330%-0.400%, 08/25/36-10/25/36 | 9,112,612 | 0.4 | ||||||||||||||||
15,332,970 | ^ | First Horizon Alternative Mortgage Securities, 0.510%-6.490%, 08/25/36-02/25/37 | 9,580,706 | 0.4 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
1,962,524 | # | First Union National Bank Commercial Mortgage, 6.000%, 12/12/33 | $ | 1,971,899 | 0.1 | ||||||||||||||
4,500,000 | # | Fosse Master PLC, 1.725%, 10/18/54 | 4,593,533 | 0.2 | |||||||||||||||
6,382,490 | Freddie Mac, 5.000%, 02/15/35 | 6,980,877 | 0.3 | ||||||||||||||||
6,555,667 | Freddie Mac, 5.500%, 07/15/37 | 7,544,845 | 0.3 | ||||||||||||||||
1,500,000 | # | Gracechurch Mortgage Financing PLC, 1.862%, 11/20/56 | 1,530,437 | 0.1 | |||||||||||||||
5,160,000 | # | GS Mortgage Securities Corp. II, 3.007%, 12/10/30 | 5,281,776 | 0.3 | |||||||||||||||
19,552,006 | ^ | GS Mortgage Securities Corp. II, 2.411%-5.479%, 11/10/39-11/10/45 | 5,207,147 | 0.2 | |||||||||||||||
3,500,000 | # | Holmes Master Issuer PLC, 1.890%, 10/21/54 | 3,566,241 | 0.2 | |||||||||||||||
1,856,828 | JP Morgan Alternative Loan Trust, 5.500%, 12/25/35 | 1,573,123 | 0.1 | ||||||||||||||||
18,320,000 | ^ | JP Morgan Chase Commercial Mortgage Securities Corp., 1.958%, 12/15/47 | 2,258,711 | 0.1 | |||||||||||||||
15,180,000 | #,^ | JP Morgan Chase Commercial Mortgage Securities Corp., 0.361%, 12/15/47 | 445,557 | 0.0 | |||||||||||||||
388,358 | JPMorgan Chase Commerical Mortgage Securities Corp., 5.198%, 12/15/44 | 390,912 | 0.0 | ||||||||||||||||
880,652 | # | JPMorgan Chase Commerical Mortgage Securities Corp., 6.135%, 07/12/37 | 882,840 | 0.0 | |||||||||||||||
2,343,091 | JPMorgan Mortgage Trust, 5.279%, 07/25/35 | 2,356,563 | 0.1 | ||||||||||||||||
4,489,698 | JP Morgan Mortgage Trust, 6.000%-6.500%, 01/25/36-08/25/36 | 4,098,576 | 0.2 | ||||||||||||||||
500,000 | # | Lanark Master Issuer PLC, 1.711%, 12/22/54 | 512,560 | 0.0 |
See Accompanying Notes to Financial Statements
78
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||||||||||||||||
113,035,305 | #,^ | LB-UBS Commercial Mortgage Trust, 0.240%, 09/15/39 | $ | 1,984,380 | 0.1 | ||||||||||||||
38,902,225 | #,^ | LB-UBS Commercial Mortgage Trust, 0.290%, 11/15/38 | 625,458 | 0.0 | |||||||||||||||
165,699,388 | #,^ | LB-UBS Commercial Mortgage Trust, 0.648%, 11/15/38 | 3,253,359 | 0.1 | |||||||||||||||
2,303,000 | # | LB-UBS Commercial Mortgage Trust, 5.032%, 10/15/36 | 2,287,305 | 0.1 | |||||||||||||||
2,000,000 | # | LB-UBS Commercial Mortgage Trust, 5.226%, 10/15/36 | 1,945,505 | 0.1 | |||||||||||||||
1,310,000 | # | LB-UBS Commercial Mortgage Trust, 5.246%, 02/15/40 | 1,151,610 | 0.0 | |||||||||||||||
2,120,000 | # | LB-UBS Commercial Mortgage Trust, 5.526%, 10/15/36 | 1,611,957 | 0.1 | |||||||||||||||
4,450,000 | # | LB-UBS Commercial Mortgage Trust, 5.980%, 09/15/39 | 4,492,260 | 0.2 | |||||||||||||||
4,210,000 | # | LB-UBS Commercial Mortgage Trust, 5.980%, 09/15/39 | 4,164,288 | 0.2 | |||||||||||||||
4,040,000 | # | LB-UBS Commercial Mortgage Trust, 6.890%, 07/15/32 | 3,819,297 | 0.2 | |||||||||||||||
27,353,198 | LB-UBS Commercial Mortgage Trust, 4.895%-5.885%, 02/15/31-11/15/40 | 26,483,493 | 1.2 | ||||||||||||||||
1,595,000 | # | Merrill Lynch Mortgage Investors, Inc., 6.000%, 12/15/30 | 1,673,354 | 0.1 | |||||||||||||||
27,974,679 | #,^ | Morgan Stanley Bank of America Merrill Lynch Trust, 1.937%, 08/15/45 | 3,167,274 | 0.1 | |||||||||||||||
2,490,000 | # | Morgan Stanley Capital I Trust 2007-TOP25, 5.614%, 11/12/49 | 1,241,767 | 0.1 | |||||||||||||||
3,170,000 | Morgan Stanley Capital I Trust 2008-TOP29, 6.275%, 01/11/43 | 3,797,105 | 0.2 | ||||||||||||||||
1,954,000 | Morgan Stanley Capital I, Inc., 5.395%, 06/15/38 | 2,025,260 | 0.1 | ||||||||||||||||
6,190,000 | Morgan Stanley Capital I, Inc., 5.575%, 04/12/49 | 6,566,080 | 0.3 | ||||||||||||||||
718,400 | # | Morgan Stanley Capital I, Inc., 5.910%, 11/15/31 | 691,925 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
4,490,000 | # | Morgan Stanley Capital I, 5.818%, 08/12/41 | $ | 4,092,550 | 0.2 | ||||||||||||||
901,000 | # | Morgan Stanley Capital I, 7.350%, 07/15/32 | 924,575 | 0.0 | |||||||||||||||
1,160,000 | # | Morgan Stanley Dean Witter Capital I, 7.373%, 07/15/33 | 1,179,385 | 0.1 | |||||||||||||||
23,577,000 | Morgan Stanley Capital I, 5.073%-5.793%, 06/15/40-07/12/44 | 23,673,731 | 1.0 | ||||||||||||||||
50,114,414 | #,^ | RBSCF Trust, 0.973%, 04/15/24 | 895,204 | 0.0 | |||||||||||||||
6,289,000 | # | RBSCF Trust, 5.305%, 01/16/49 | 6,466,343 | 0.3 | |||||||||||||||
13,256,831 | Residential Accredit Loans, Inc., 0.380%, 01/25/37 | 9,100,967 | 0.4 | ||||||||||||||||
16,185,996 | Residential Accredit Loans, Inc., 0.660%, 12/25/36 | 7,512,932 | 0.3 | ||||||||||||||||
4,000,000 | # | Silverstone Master Issuer PLC, 1.869%, 01/21/55 | 4,117,916 | 0.2 | |||||||||||||||
4,110,000 | # | Springleaf Mortgage Loan Trust, 4.440%, 12/25/59 | 4,130,550 | 0.2 | |||||||||||||||
20,086,202 | #,^ | UBS-Barclays Commercial Mortgage Trust, 1.827%, 05/10/63 | 2,078,353 | 0.1 | |||||||||||||||
676,000 | # | Wachovia Bank Commercial Mortgage Trust, 5.125%, 08/15/35 | 683,410 | 0.0 | |||||||||||||||
1,576,729 | WaMu Mortgage Pass Through Certificates, 2.472%, 10/25/35 | 1,558,154 | 0.0 | ||||||||||||||||
4,596,497 | Washington Mutual Alternative Mortgage Pass-Through Certificates, 6.000%, 11/25/35 | 3,882,723 | 0.2 | ||||||||||||||||
2,136,196 | Washington Mutual Mortgage Pass-through Certificates, 6.000%, 06/25/34 | 2,286,229 | 0.1 | ||||||||||||||||
28,246,088 | #,^ | Wells Fargo Mortgage Backed Securities Trust, 1.608%, 06/15/45 | 3,054,699 | 0.1 | |||||||||||||||
13,938,850 | #,^ | Wells Fargo Mortgage Backed Securities Trust, 2.255%, 08/15/45 | 1,844,624 | 0.1 |
See Accompanying Notes to Financial Statements
79
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS (continued) | |||||||||||||||||||
1,212,347 | Wells Fargo Mortgage-Backed Securities Trust, 5.000%, 12/25/33 | $ | 1,227,844 | 0.1 | |||||||||||||||
3,607,963 | # | Wells Fargo Mortgage-Backed Securities Trust, 5.233%, 06/26/35 | 3,304,142 | 0.1 | |||||||||||||||
14,922,814 | Wells Fargo Mortgage Backed Securities Trust, 5.000%-6.000%, 05/25/35-03/25/37 | 14,958,404 | 0.7 | ||||||||||||||||
40,129,898 | Other Securities | 36,882,039 | 1.6 | ||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $359,342,027) | 374,893,665 | 16.6 | |||||||||||||||||
ASSET-BACKED SECURITIES: 4.9% | |||||||||||||||||||
Automobile Asset-Backed Securities: 0.3% | |||||||||||||||||||
2,500,000 | # | Motor PLC, 1.286%, 02/25/20 | 2,509,582 | 0.1 | |||||||||||||||
4,250,000 | # | SMART Trust, 1.590%, 10/14/16 | 4,324,745 | 0.2 | |||||||||||||||
6,834,327 | 0.3 | ||||||||||||||||||
Credit Card Asset-Backed Securities: 0.8% | |||||||||||||||||||
4,200,000 | # | Cards II Trust, 0.659%, 09/15/17 | 4,221,474 | 0.2 | |||||||||||||||
5,400,000 | # | Gracechurch Card Funding PLC, 0.909%, 02/15/17 | 5,452,121 | 0.3 | |||||||||||||||
7,000,000 | # | Penarth Master Issuer PLC, 0.779%, 03/18/14 | 7,036,540 | 0.3 | |||||||||||||||
16,710,135 | 0.8 | ||||||||||||||||||
Home Equity Asset-Backed Securities: 0.4% | |||||||||||||||||||
15,576,410 | GSAA Trust, 0.270%-0.300%, 10/25/36-12/25/36 | 7,263,101 | 0.3 | ||||||||||||||||
1,338,018 | Other Securities | 1,304,564 | 0.1 | ||||||||||||||||
8,567,665 | 0.4 | ||||||||||||||||||
Other Asset-Backed Securities: 3.4% | |||||||||||||||||||
1,966,707 | # | Aimco CDO, 0.569%, 10/20/19 | 1,915,565 | 0.1 | |||||||||||||||
395,763 | # | ARES CLO Funds, 0.548%, 09/18/17 | 393,948 | 0.0 | |||||||||||||||
2,975,000 | # | ARES CLO Funds, 2.962%, 02/26/16 | 2,917,699 | 0.2 | |||||||||||||||
3,240,000 | # | ARES CLO Ltd., 1.662%, 02/26/16 | 3,195,337 | 0.1 | |||||||||||||||
1,600,000 | # | ARES CLO Ltd., 6.901%, 02/26/16 | 1,600,000 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
1,858,325 | # | Atrium CDO Corp., 0.642%, 10/27/16 | $ | 1,840,470 | 0.1 | ||||||||||||||
2,384,752 | # | Black Diamond CLO Ltd., 0.579%, 06/20/17 | 2,350,817 | 0.1 | |||||||||||||||
1,700,000 | # | Castle Garden Funding, 6.560%, 10/27/20 | 1,801,165 | 0.1 | |||||||||||||||
2,320,538 | # | Credit-Based Asset Servicing and Securitization, LLC, 5.746%, 12/25/37 | 2,352,014 | �� | 0.1 | ||||||||||||||
2,876,000 | # | Credit-Based Asset Servicing and Securitization, LLC, 6.020%, 12/25/37 | 2,871,807 | 0.1 | |||||||||||||||
5,200,000 | # | Dryden Leveraged Loan CDO 2002-II, 2.608%, 09/17/16 | 5,200,426 | 0.2 | |||||||||||||||
26,272,242 | Fieldstone Mortgage Investment Corp., 0.370%-0.450%, 11/25/36 | 10,209,755 | 0.5 | ||||||||||||||||
503,500 | # | First CLO Ltd., 0.620%, 12/14/16 | 502,917 | 0.0 | |||||||||||||||
2,500,000 | # | First CLO Ltd., 1.310%, 12/14/16 | 2,474,358 | 0.1 | |||||||||||||||
215,375 | # | Granite Ventures Ltd., 0.600%, 12/15/17 | 215,296 | 0.0 | |||||||||||||||
4,875,000 | # | Grayston CLO Ltd., 1.610%, 08/15/16 | 4,864,460 | 0.2 | |||||||||||||||
1,850,000 | # | Gulf Stream - Sextant CLO Ltd., 0.652%, 08/21/20 | 1,779,850 | 0.1 | |||||||||||||||
4,850,000 | # | Gulf Stream Compass CLO Ltd., 0.730%, 05/15/17 | 4,783,613 | 0.2 | |||||||||||||||
2,975,000 | # | Hewett's Island CDO Ltd., 1.508%, 12/15/16 | 2,859,002 | 0.1 | |||||||||||||||
384,644 | # | Katonah Ltd., 0.629%, 09/20/16 | 383,767 | 0.0 | |||||||||||||||
412,904 | # | Landmark CDO Ltd., 1.190%, 01/15/16 | 412,835 | 0.0 | |||||||||||||||
7,228,374 | # | Lightpoint CLO Ltd., 0.568%, 09/15/17 | 7,106,482 | 0.3 | |||||||||||||||
173,506 | # | Olympic CLO Ltd., 1.210%, 05/15/16 | 173,424 | 0.0 | |||||||||||||||
1,617,758 | # | Stanfield Modena CLO Ltd., 1.560%, 09/22/16 | 1,618,184 | 0.1 | |||||||||||||||
2,500,000 | # | Whitney CLO Ltd., 0.761%, 03/01/17 | 2,475,140 | 0.1 | |||||||||||||||
2,522,374 | # | Wind River CLO Ltd., 0.639%, 12/19/16 | 2,492,065 | 0.1 | |||||||||||||||
9,429,270 | Other Securities | 8,657,894 | 0.4 | ||||||||||||||||
77,448,290 | 3.4 | ||||||||||||||||||
Total Asset-Backed Securities (Cost $108,331,017) | 109,560,417 | 4.9 |
See Accompanying Notes to Financial Statements
80
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 29.2% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation##: 8.8% | |||||||||||||||||||
8,492,684 | 3.000%, due 02/01/27 | $ | 9,060,986 | 0.4 | |||||||||||||||
8,660,029 | 4.000%, due 10/01/41 | 9,261,310 | 0.4 | ||||||||||||||||
9,451,671 | 4.000%, due 12/01/41 | 10,107,917 | 0.5 | ||||||||||||||||
7,125,047 | 4.500%, due 10/01/41 | 7,690,362 | 0.3 | ||||||||||||||||
26,164,126 | 5.500%, due 02/15/36 | 29,145,920 | 1.3 | ||||||||||||||||
6,118,967 | 5.500%, due 08/15/36 | 7,150,589 | 0.3 | ||||||||||||||||
9,709,487 | 5.500%, due 06/15/37 | 10,766,715 | 0.5 | ||||||||||||||||
13,977,979 | 6.000%, due 10/15/37 | 15,898,288 | 0.7 | ||||||||||||||||
123,990,340 | ^,W | 2.435%-19.233%, due 08/15/16- 01/15/42 | 99,592,104 | 4.4 | |||||||||||||||
198,674,191 | 8.8 | ||||||||||||||||||
Federal National Mortgage Association##: 13.1% | |||||||||||||||||||
12,000,000 | W | 2.500%, due 01/15/28 | 12,551,250 | 0.5 | |||||||||||||||
21,109,000 | W | 3.000%, due 09/25/26 | 22,286,487 | 1.0 | |||||||||||||||
6,485,148 | 3.000%, due 10/01/27 | 6,850,140 | 0.3 | ||||||||||||||||
25,335,000 | W | 3.000%, due 11/25/42 | 26,439,448 | 1.2 | |||||||||||||||
32,308,000 | W | 3.500%, due 06/25/42 | 34,454,715 | 1.5 | |||||||||||||||
7,696,709 | 4.000%, due 02/01/42 | 8,263,832 | 0.4 | ||||||||||||||||
6,736,867 | 4.000%, due 03/01/42 | 7,313,265 | 0.3 | ||||||||||||||||
11,336,240 | 4.000%, due 07/01/42 | 12,306,154 | 0.5 | ||||||||||||||||
20,692,731 | 4.500%, due 09/01/41 | 22,469,763 | 1.0 | ||||||||||||||||
11,643,041 | 5.000%, due 07/01/37 | 12,686,890 | 0.6 | ||||||||||||||||
198,038,617 | ^ | 2.513%-32.402%, due 06/01/16- 07/01/42 | 131,237,436 | 5.8 | |||||||||||||||
296,859,380 | 13.1 | ||||||||||||||||||
Government National Mortgage Association: 7.3% | |||||||||||||||||||
34,218,000 | W | 3.000%, due 08/15/42 | 36,383,360 | 1.6 | |||||||||||||||
66,443,000 | W | 3.500%, due 05/15/41 | 72,199,661 | 3.2 | |||||||||||||||
7,266,132 | 4.500%, due 08/20/41 | 8,018,033 | 0.4 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
200,004,732 | ^ | 1.625%-24.534%, due 04/20/28- 10/20/60 | $ | 48,217,545 | 2.1 | ||||||||||||||
164,818,599 | 7.3 | ||||||||||||||||||
Total U.S. Government Agency Obligations (Cost $628,232,297) | 660,352,170 | 29.2 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS: 10.7% | |||||||||||||||||||
U.S. Treasury Bonds: 4.5% | |||||||||||||||||||
46,287,000 | 1.625%, due 11/15/22 | 45,730,121 | 2.1 | ||||||||||||||||
56,842,000 | 2.750%, due 08/15/42 | 54,692,691 | 2.4 | ||||||||||||||||
100,422,812 | 4.5 | ||||||||||||||||||
U.S. Treasury Notes: 6.2% | |||||||||||||||||||
64,917,000 | 0.250%, due 11/30/14 | 64,929,723 | 2.9 | ||||||||||||||||
30,825,000 | 0.250%, due 12/15/15 | 30,735,916 | 1.4 | ||||||||||||||||
17,893,200 | 0.750%, due 12/31/17 | 17,918,358 | 0.8 | ||||||||||||||||
19,041,000 | L | 1.000%, due 11/30/19 | 18,841,660 | 0.8 | |||||||||||||||
8,082,000 | 0.625%-1.125%, due 11/30/17- 12/31/19 | 8,052,953 | 0.3 | ||||||||||||||||
140,478,610 | 6.2 | ||||||||||||||||||
Total U.S. Treasury Obligations (Cost $242,204,246) | 240,901,422 | 10.7 | |||||||||||||||||
FOREIGN GOVERNMENT BONDS: 2.3% | |||||||||||||||||||
BRL | 102,780,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/23 | 52,771,952 | 2.3 | |||||||||||||||
Total Foreign Government Bonds (Cost $50,890,378) | 52,771,952 | 2.3 | |||||||||||||||||
Shares | Value | Percentage of Net Assets | |||||||||||||||||
PREFERRED STOCK: 1.0% | |||||||||||||||||||
Financials: 1.0% | |||||||||||||||||||
185,000 | @,L,P | Discover Financial Services | $ | 4,671,250 | 0.2 | ||||||||||||||
284,318 | @,P | US Bancorp | 8,025,502 | 0.4 | |||||||||||||||
367,542 | Other Securities (b) | 9,920,009 | 0.4 | ||||||||||||||||
Total Preferred Stock (Cost $21,127,650) | 22,616,761 | 1.0 |
See Accompanying Notes to Financial Statements
81
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Shares | Value | Percentage of Net Assets | |||||||||||||||||
INVESTMENT COMPANIES: 11.3% | |||||||||||||||||||
Affiliated Mutual Funds: 11.3% | |||||||||||||||||||
6,243,061 | ING Emerging Markets Corporate Debt Fund Class P | $ | 65,302,417 | 2.9 | |||||||||||||||
10,297,919 | ING Emerging Markets Hard Currency Sovereign Debt Fund Class P | 107,201,338 | 4.7 | ||||||||||||||||
8,000,000 | ING Emerging Markets Local Currency Debt Fund Class P | 83,280,000 | 3.7 | ||||||||||||||||
Total Investment Companies (Cost $246,663,414) | 255,783,755 | 11.3 | |||||||||||||||||
# of Contracts | Value | Percentage of Net Assets | |||||||||||||||||
PURCHASED OPTIONS: 0.2% | |||||||||||||||||||
Interest Rate Swaptions: 0.2% | |||||||||||||||||||
25,835,000 | @ | Call Swaption, Receive a floating rate based on 3-month-USD-LIBOR and pay a fixed rate equal to 2.828%, Exp. 10/25/13 Counterparty: Deutsche Bank AG | $ | 1,388,970 | 0.1 | ||||||||||||||
25,835,000 | @ | Put Swaption, Receive a fixed rate equal to 2.828% and pay a floating based on 3-month- USD-LIBOR, Exp. 10/25/13 Counterparty: Deutsche Bank AG | 1,620,130 | 0.1 | |||||||||||||||
3,009,100 | 0.2 | ||||||||||||||||||
Total Purchased Options (Cost $3,857,166) | 3,009,100 | 0.2 | |||||||||||||||||
Total Long-Term Investments (Cost $2,325,215,551) | 2,420,988,341 | 107.2 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
SHORT-TERM INVESTMENTS: 3.2% | |||||||||||||||||||
Commercial Paper: 1.5% | |||||||||||||||||||
15,000,000 | Kinder Morgan Energy Partners LP, 0.400%, 01/03/13 | $ | 14,999,488 | 0.6 | |||||||||||||||
14,750,000 | Pacific Gas & Electric Co., 0.200%, 01/04/13 | 14,749,673 | 0.7 | ||||||||||||||||
5,000,000 | Pacific Gas & Electric Co., 0.320%, 01/11/13 | 4,999,511 | 0.2 | ||||||||||||||||
34,748,672 | 1.5 | ||||||||||||||||||
Securities Lending Collateralcc(1): 0.4% | |||||||||||||||||||
1,972,435 | Cantor Fitzgerald, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,972,467, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-7.500%, Market Value plus accrued interest $2,011,884, due 07/15/13- 08/01/46) | 1,972,435 | 0.1 | ||||||||||||||||
1,972,435 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,972,457, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $2,011,884, due 10/01/16-12/20/42) | 1,972,435 | 0.1 |
See Accompanying Notes to Financial Statements
82
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
Securities Lending Collateralcc(1) (continued) | |||||||||||||||||||
415,088 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $415,092, collateralized by various U.S. Government Securities, 0.750%- 1.625%, Market Value plus accrued interest $423,391, due 10/31/17- 08/15/22) | $ | 415,088 | 0.0 | |||||||||||||||
1,972,435 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $1,972,455, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $2,011,884, due 08/09/13-06/20/42) | 1,972,435 | 0.1 | ||||||||||||||||
1,972,435 | Royal Bank of Canada, Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $1,972,503, collateralized by various U.S. Government Agency Obligations, 2.000%-4.500%, Market Value plus accrued interest $2,011,884, due 10/01/32-01/01/43) | 1,972,435 | 0.1 | ||||||||||||||||
8,304,828 | 0.4 |
Shares | Value | Percentage of Net Assets | |||||||||||||||||
Mutual Funds: 1.3% | |||||||||||||||||||
28,953,001 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $28,953,001) | $ | 28,953,001 | 1.3 | |||||||||||||||
Total Short-Term Investments (Cost $72,006,501) | 72,006,501 | 3.2 | |||||||||||||||||
Total Investments in Securities (Cost $2,397,222,052) | $ | 2,492,994,842 | 110.4 | ||||||||||||||||
Liabilities in Excess of Other Assets | (234,310,389 | ) | (10.4 | ) | |||||||||||||||
Net Assets | $ | 2,258,684,453 | 100.0 |
"Other Securities" represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of December 31, 2012.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
† Unless otherwise indicated, principal amount is shown in USD.
# Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.
## On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations.
@ Non-income producing security
P Preferred Stock may be called prior to convertible date.
cc Securities purchased with cash collateral for securities loaned.
W Settlement is on a when-issued or delayed-delivery basis.
L Loaned security, a portion or all of the security is on loan at December 31, 2012.
^ Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security.
(1) Collateral received from brokers for securities lending was invested into these short-term investments.
(a) The grouping contains securities in default.
(b) This grouping contains securities on loan.
BRL Brazilian Real
Cost for federal income tax purposes is $2,398,195,465.
Net unrealized appreciation consists of:
Gross Unrealized Appreciation | $ | 114,514,760 | |||||
Gross Unrealized Depreciation | (19,715,383 | ) | |||||
Net Unrealized Appreciation | $ | 94,799,377 |
See Accompanying Notes to Financial Statements
83
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 12/31/12 | ||||||||||||||||
Asset Table | |||||||||||||||||||
Investments, at fair value | |||||||||||||||||||
Preferred Stock | $ | 15,231,471 | $ | 7,385,290 | $ | — | $ | 22,616,761 | |||||||||||
Purchased Options | — | 3,009,100 | — | 3,009,100 | |||||||||||||||
Corporate Bonds/Notes | — | 701,099,099 | — | 701,099,099 | |||||||||||||||
Collateralized Mortgage Obligations | — | 365,481,339 | 9,412,326 | 374,893,665 | |||||||||||||||
Short-Term Investments | 28,953,001 | 43,053,500 | — | 72,006,501 | |||||||||||||||
Foreign Government Bonds — 52,771,952 — 52,771,952 U.S. Government Agency Obligations | — | 660,352,170 | — | 660,352,170 | |||||||||||||||
U.S. Treasury Obligations | — | 240,901,422 | — | 240,901,422 | |||||||||||||||
Asset-Backed Securities | — | 109,560,417 | — | 109,560,417 | |||||||||||||||
Investment Companies | 255,783,755 | — | — | 255,783,755 | |||||||||||||||
Total Investments, at fair value | $ | 299,968,227 | $ | 2,183,614,289 | $ | 9,412,326 | $ | 2,492,994,842 | |||||||||||
Other Financial Instruments+ | |||||||||||||||||||
Swaps | $ | — | $ | 1,420,815 | $ | — | $ | 1,420,815 | |||||||||||
Futures | 1,727,363 | — | — | 1,727,363 | |||||||||||||||
Forward Foreign Currency Contracts | — | 1,001,422 | — | 1,001,422 | |||||||||||||||
Total Assets | $ | 301,695,590 | $ | 2,186,036,526 | $ | 9,412,326 | $ | 2,497,144,442 | |||||||||||
Liabilities Table | |||||||||||||||||||
Other Financial Instruments+ | |||||||||||||||||||
Swaps | $ | — | $ | (10,238,522 | ) | $ | — | $ | (10,238,522 | ) | |||||||||
Futures | (565,405 | ) | — | — | (565,405 | ) | |||||||||||||
Forward Foreign Currency Contracts | — | (2,883,726 | ) | — | (2,883,726 | ) | |||||||||||||
Total Liabilities | $ | (565,405 | ) | $ | (13,122,248 | ) | $ | — | $ | (13,687,653 | ) |
^ See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information.
+ Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument.
At December 31, 2012, the following forward foreign currency contracts were outstanding for the ING Intermediate Bond Portfolio:
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Barclays Bank PLC | Indonesian Rupiah | 42,943,660,000 | Buy | 01/11/13 | $ | 4,409,000 | $ | 4,451,454 | $ | 42,454 | |||||||||||||||||||||
Barclays Bank PLC | Hungarian Forint | 1,775,096,670 | Buy | 01/11/13 | 8,149,000 | 8,033,456 | (115,544 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Mexican Peso | 65,833,151 | Buy | 03/08/13 | 5,031,000 | 5,063,087 | 32,087 | ||||||||||||||||||||||||
Barclays Bank PLC | Polish Zloty | 14,120,812 | Buy | 03/08/13 | 4,566,000 | 4,532,554 | (33,446 | ) | |||||||||||||||||||||||
Barclays Bank PLC | Thai Baht | 100,596,132 | Buy | 03/08/13 | 3,276,000 | 3,276,542 | 542 | ||||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 40,168,579 | Buy | 03/08/13 | 4,684,000 | 4,696,624 | 12,624 | ||||||||||||||||||||||||
Barclays Bank PLC | EU Euro | 18,782,007 | Buy | 03/08/13 | 24,301,757 | 24,805,186 | 503,429 | ||||||||||||||||||||||||
Barclays Bank PLC | Mexican Peso | 59,014,127 | Buy | 03/08/13 | 4,503,348 | 4,538,651 | 35,303 | ||||||||||||||||||||||||
Citigroup, Inc. | Colombian Peso | 10,029,315,000 | Buy | 03/08/13 | 5,650,000 | 5,643,335 | (6,665 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Indian Rupee | 625,706,400 | Buy | 03/08/13 | 11,415,917 | 11,281,343 | (134,574 | ) | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 628,820 | Buy | 03/08/13 | 811,257 | 830,475 | 19,218 | ||||||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 110,347,250 | Buy | 01/11/13 | 3,574,000 | 3,606,424 | 32,424 | ||||||||||||||||||||||||
Deutsche Bank AG | Russian Ruble | 73,444,000 | Buy | 01/11/13 | 2,294,587 | 2,400,333 | 105,746 | ||||||||||||||||||||||||
Deutsche Bank AG | Chinese Yuan | 31,258,308 | Buy | 08/09/13 | 4,964,000 | 4,950,335 | (13,665 | ) | |||||||||||||||||||||||
HSBC | Brazilian Real | 23,568,113 | Buy | 01/11/13 | 11,417,000 | 11,497,765 | 80,765 | ||||||||||||||||||||||||
HSBC | Brazilian Real | 34,198,338 | Buy | 01/11/13 | 16,687,000 | 16,683,747 | (3,253 | ) | |||||||||||||||||||||||
HSBC | South Korean Won | 6,072,588,000 | Buy | 03/08/13 | 5,640,000 | 5,650,488 | 10,488 | ||||||||||||||||||||||||
HSBC | Malaysian Ringgit | 28,832,664 | Buy | 03/08/13 | 9,404,000 | 9,386,452 | (17,548 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | Turkish Lira | 8,059,994 | Buy | 03/08/13 | 4,485,000 | 4,479,719 | (5,281 | ) | |||||||||||||||||||||||
$ | 545,104 |
See Accompanying Notes to Financial Statements
84
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Barclays Bank PLC | Russian Ruble | 172,046,341 | Sell | 01/11/13 | $ | 5,657,000 | $ | 5,622,905 | $ | 34,095 | |||||||||||||||||||||
Barclays Bank PLC | Colombian Peso | 7,053,940,000 | Sell | 03/08/13 | 3,908,000 | 3,969,139 | (61,139 | ) | |||||||||||||||||||||||
Barclays Bank PLC | EU Euro | 1,022,968 | Sell | 03/08/13 | 1,354,000 | 1,351,022 | 2,978 | ||||||||||||||||||||||||
Barclays Bank PLC | Hungarian Forint | 1,125,329,000 | Sell | 01/11/13 | 4,992,332 | 5,092,839 | (100,507 | ) | |||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 77,478,564 | Sell | 03/08/13 | 8,598,698 | 9,059,013 | (460,315 | ) | |||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 798,046 | Sell | 01/11/13 | 3,549 | 3,611 | (62 | ) | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 18,573,144 | Sell | 03/08/13 | 24,114,497 | 24,529,343 | (414,846 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Peruvian Nuevo Sol | 16,696,197 | Sell | 03/08/13 | 6,489,000 | 6,518,964 | (29,964 | ) | |||||||||||||||||||||||
Credit Suisse Group AG | Turkish Lira | 14,269,744 | Sell | 03/08/13 | 7,818,489 | 7,931,078 | (112,589 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 59,082,975 | Sell | 01/11/13 | 28,175,000 | 28,823,782 | (648,782 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Indian Rupee | 374,867,220 | Sell | 03/08/13 | 6,769,000 | 6,758,770 | 10,230 | ||||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 359 | Sell | 03/08/13 | 465 | 475 | (10 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Colombian Peso | 5,801,627,300 | Sell | 03/08/13 | 3,144,854 | 3,264,482 | (119,628 | ) | |||||||||||||||||||||||
Deutsche Bank AG | Polish Zloty | 26,141,400 | Sell | 03/08/13 | 7,907,496 | 8,390,969 | (483,473 | ) | |||||||||||||||||||||||
HSBC | Mexican Peso | 42,998,806 | Sell | 03/08/13 | 3,357,000 | 3,306,946 | 50,054 | ||||||||||||||||||||||||
HSBC | Indonesian Rupiah | 75,995,928,000 | Sell | 01/11/13 | 7,848,387 | 7,877,586 | (29,199 | ) | |||||||||||||||||||||||
HSBC | Brazilian Real | 121,783,075 | Sell | 01/11/13 | 59,441,173 | 59,412,188 | 28,985 | ||||||||||||||||||||||||
HSBC | Thai Baht | 181,382,400 | Sell | 03/08/13 | 5,860,119 | 5,907,852 | (47,733 | ) | |||||||||||||||||||||||
HSBC | Malaysian Ringgit | 24,838,337 | Sell | 03/08/13 | 8,048,977 | 8,086,102 | (37,125 | ) | |||||||||||||||||||||||
JPMorgan Chase & Co. | Czech Koruna | 94,458,765 | Sell | 03/08/13 | 4,964,000 | 4,972,378 | (8,378 | ) | |||||||||||||||||||||||
$ | (2,427,408 | ) |
ING Intermediate Bond Portfolio Open Futures Contracts on December 31, 2012:
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Long Contracts | |||||||||||||||||||
U.S. Treasury 2-Year Note | 829 | 03/28/13 | $ | 182,768,602 | $ | 49,748 | |||||||||||||
U.S. Treasury 5-Year Note | 128 | 03/28/13 | 15,925,000 | (21,576 | ) | ||||||||||||||
U.S. Treasury Ultra Long Bond | 148 | 03/19/13 | 24,063,875 | (518,370 | ) | ||||||||||||||
$ | 222,757,477 | $ | (490,198 | ) | |||||||||||||||
Short Contracts | |||||||||||||||||||
U.S. Treasury 10-Year Note | (146 | ) | 03/19/13 | $ | (19,386,063 | ) | $ | (25,459 | ) | ||||||||||
U.S. Treasury Long Bond | (681 | ) | 03/19/13 | (100,447,500 | ) | 1,677,615 | |||||||||||||
$ | (119,833,563 | ) | $ | 1,652,156 |
ING Intermediate Bond Portfolio Over-the-Counter Credit Default Swap Agreements Outstanding on December 31, 2012:
Credit Default Swaps on Credit Indices — Buy Protection(1)
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | Fair Value(3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||
Barclays Bank PLC | CDX.NA.IG.19 Index | Buy | (1.000 | ) | 12/20/17 | USD | 114,606,000 | $ | (254,231 | ) | $ | (406,569 | ) | $ | 152,338 | ||||||||||||||||||||
$ | (254,231 | ) | $ | (406,569 | ) | $ | 152,338 |
Credit Default Swaps on Corporate and Sovereign Issues — Buy Protection(1)
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | Fair Value(3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||
Citigroup, Inc. | MBIA Inc. | Buy | (5.000 | ) | 09/20/13 | USD | 3,460,000 | $ | 259,818 | $ | 161,117 | $ | 98,701 | ||||||||||||||||||||||
Citigroup, Inc. | MBIA Inc. | Buy | (5.000 | ) | 09/20/13 | USD | 1,710,000 | 128,407 | 82,966 | 45,441 | |||||||||||||||||||||||||
JPMorgan Chase & Co. | MBIA Inc. | Buy | (5.000 | ) | 09/20/13 | USD | 13,751,000 | 1,032,590 | 348,468 | 684,122 | |||||||||||||||||||||||||
$ | 1,420,815 | $ | 592,551 | $ | 828,264 |
See Accompanying Notes to Financial Statements
85
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Credit Default Swaps on Corporate and Sovereign Issues — Sell Protection(4)
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Implied Credit Spread at 12/31/12 (%)(5) | Notional Amount(2) | Fair Value(3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||||
Citigroup, Inc. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 76.806 | USD | 3,460,000 | $ | (1,164,062 | ) | $ | (203,766 | ) | $ | (960,296 | ) | |||||||||||||||||||||||
Citigroup, Inc. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 76.806 | USD | 1,710,000 | (575,302 | ) | (92,315 | ) | (482,987 | ) | ||||||||||||||||||||||||||
Goldman Sachs & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 76.806 | USD | 3,435,000 | (1,155,651 | ) | (183,092 | ) | (972,559 | ) | ||||||||||||||||||||||||||
JPMorgan Chase & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | 76.806 | USD | 6,874,000 | (2,312,648 | ) | (183,872 | ) | (2,128,776 | ) | ||||||||||||||||||||||||||
$ | (5,207,663 | ) | $ | (663,045 | ) | $ | (4,544,618 | ) |
(1) If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will either i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
(3) The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation's credit soundness and a greater likelihood or risk of default or other credit event occurring.
(4) If the Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will generally either i) Pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or ii) Pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.
(5) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed in each Portfolio's Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting market values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
ING Intermediate Bond Portfolio Over-the-Counter Interest Rate Swap Agreements Outstanding on December 31, 2012:
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/(Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Receive a floating rate based on the Brazil Cetip Interbank Deposit Rate Annualized and pay a fixed rate equal to 10.365% Counterparty: Goldman Sachs & Co. | 01/02/17 | BRL | 149,500,000 | $ | (4,776,628 | ) | $ | — | $ | (4,776,628 | ) | ||||||||||||
$ | (4,776,628 | ) | $ | — | $ | (4,776,628 | ) |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of December 31, 2012 was as follows:
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||||
Asset Derivatives | |||||||||||
Interest rate contracts | Investments in securities at value* | $ | 3,009,100 | ||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 1,001,422 | |||||||||
Credit contracts | Upfront payments paid on swap agreements | 592,551 | |||||||||
Credit contracts | Unrealized appreciation on swap agreements | 980,602 | |||||||||
Interest rate contracts | Net Assets — Unrealized appreciation** | 1,727,363 | |||||||||
Total Asset Derivatives | $ | 7,311,038 |
See Accompanying Notes to Financial Statements
86
SUMMARY PORTFOLIO OF INVESTMENTS
ING INTERMEDIATE BOND PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||||
Liability Derivatives | |||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 2,883,726 | ||||||||
Credit contracts | Upfront payments received on swap agreements | 1,069,614 | |||||||||
Credit contracts | Unrealized depreciation on swap agreements | 4,544,618 | |||||||||
Interest rate contracts | Unrealized depreciation on swap agreements | 4,776,628 | |||||||||
Interest rate contracts | Net Assets — Unrealized depreciation** | 565,405 | |||||||||
Total Liability Derivatives | $ | 13,839,991 |
* Includes purchased options.
** Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments.
The effect of derivative instruments on the Portfolio's Statement of Operations for the year ended December 31, 2012 was as follows:
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | |||||||||||||||||||||
Credit contracts | $ | (4,263,643 | ) | $ | — | $ | — | $ | (3,453,183 | ) | $ | 1,120,769 | $ | (6,596,057 | ) | ||||||||||||
Foreign exchange contracts | (2,222,676 | ) | (2,947,668 | ) | — | — | (451,762 | ) | (5,622,106 | ) | |||||||||||||||||
Interest rate contracts | (578,720 | ) | — | (17,402,583 | ) | (14,710,334 | ) | 274,227 | (32,417,410 | ) | |||||||||||||||||
Total | $ | (7,065,039 | ) | $ | (2,947,668 | ) | $ | (17,402,583 | ) | $ | (18,163,517 | ) | $ | 943,234 | $ | (44,635,573 | ) | ||||||||||
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | (2,183,384 | ) | $ | — | $ | 3,691,606 | ||||||||||||||
Foreign exchange contracts | (333,656 | ) | (1,794,029 | ) | — | — | (667,022 | ) | (2,794,707 | ) | |||||||||||||||||
Interest rate contracts | (848,066 | ) | — | 3,744,051 | 2,711,004 | — | (268,001 | ) | |||||||||||||||||||
Total | $ | (1,181,722 | ) | $ | (1,794,029 | ) | $ | 3,744,051 | $ | 527,620 | $ | (667,022 | ) | $ | 628,898 |
* Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments.
** Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions.
See Accompanying Notes to Financial Statements
87
PORTFOLIO OF INVESTMENTS
ING MONEY MARKET PORTFOLIO AS OF DECEMBER 31, 2012
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
ASSET BACKED COMMERCIAL PAPER: 29.6% | |||||||||||||||||||
29,500,000 | Barton Capital LLC, 0.187%,due 01/03/13 | $ | 29,499,681 | 3.0 | |||||||||||||||
2,250,000 | # | Concord Minutemen Capital Co., 0.451%, due 02/04/13 | 2,249,044 | 0.2 | |||||||||||||||
28,750,000 | Concord Minutemen Capital Co., 0.652%, due 04/02/13 | 28,702,762 | 2.9 | ||||||||||||||||
14,250,000 | Concord Minutemen Capital Co., 0.692%, due 01/02/13 | 14,249,727 | 1.5 | ||||||||||||||||
2,000,000 | Crown Point Capital Co., 0.652%, due 04/02/13 | 1,996,714 | 0.2 | ||||||||||||||||
22,250,000 | Crown Point Capital Co., 0.652%, due 04/03/13 | 22,213,040 | 2.3 | ||||||||||||||||
21,250,000 | Crown Point Capital Co., 0.692%, due 01/02/13 | 21,249,593 | 2.2 | ||||||||||||||||
16,500,000 | # | Jupiter Securitization Company LLC, 0.230%,due 03/06/13 | 16,493,253 | 1.7 | |||||||||||||||
20,250,000 | Jupiter Securitization Company LLC, 0.270%,due 04/15/13 | 20,234,205 | 2.1 | ||||||||||||||||
7,750,000 | # | Jupiter Securitization Company LLC, 0.331%,due 03/05/13 | 7,745,524 | 0.8 | |||||||||||||||
13,000,000 | Old Line Funding LLC, 0.300%,due 05/16/13 | 12,985,375 | 1.3 | ||||||||||||||||
30,250,000 | Old Line Funding LLC, 0.321%,due 04/22/13 | 30,220,153 | 3.1 | ||||||||||||||||
11,500,000 | Thunder Bay Funding LLC, 0.321%, due 02/28/13 | 11,494,071 | 1.2 | ||||||||||||||||
6,000,000 | Thunder Bay Funding LLC, 0.321%, due 04/01/13 | 5,995,200 | 0.6 | ||||||||||||||||
9,000,000 | Thunder Bay Funding LLC, 0.331%, due 01/03/13 | 8,999,835 | 0.9 | ||||||||||||||||
15,500,000 | Thunder Bay Funding LLC, 0.351%, due 01/18/13 | 15,497,438 | 1.6 | ||||||||||||||||
14,221,000 | Variable Funding Capital, 0.170%, due 01/02/13 | 14,220,933 | 1.5 | ||||||||||||||||
5,812,000 | Variable Funding Capital, 0.170%, due 01/28/13 | 5,811,259 | 0.6 | ||||||||||||||||
18,750,000 | Variable Funding Capital, 0.180%, due 01/14/13 | 18,748,781 | 1.9 | ||||||||||||||||
Total Asset Backed Commercial Paper (Cost $288,606,588) | 288,606,588 | 29.6 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
CERTIFICATE OF DEPOSIT: 5.6% | |||||||||||||||||||
3,500,000 | Deutsche Bank AG/New York NY, 0.975%,due 01/18/13 | $ | 3,501,147 | 0.4 | |||||||||||||||
13,000,000 | Rabobank Nederland NY, 0.410%, due 03/27/13 | 13,000,595 | 1.3 | ||||||||||||||||
600,000 | Rabobank Nederland NY, 0.425%, due 01/18/13 | 600,063 | 0.1 | ||||||||||||||||
1,745,000 | Royal Bank of Canada NY, 0.463%, due 01/28/13 | 1,745,371 | 0.2 | ||||||||||||||||
7,000,000 | Royal Bank of Canada NY, 0.688%, due 01/02/13 | 7,009,508 | 0.7 | ||||||||||||||||
2,100,000 | Svenska Handelsbanken/ New York NY, 0.758%, due 03/18/13 | 2,102,211 | 0.2 | ||||||||||||||||
500,000 | Svenska Handelsbanken/ New York NY, 0.775%, due 01/18/13 | 500,136 | 0.0 | ||||||||||||||||
21,000,000 | Toronto Dominion Bank NY, 0.290%, due 01/02/13 | 21,000,000 | 2.1 | ||||||||||||||||
5,500,000 | Westpac Banking Corp./NY, 0.353%, due 02/01/13 | 5,497,652 | 0.6 | ||||||||||||||||
Total Certificate of Deposit (Cost $54,956,683) | 54,956,683 | 5.6 | |||||||||||||||||
FINANCIAL COMPANY COMMERCIAL PAPER: 7.8% | |||||||||||||||||||
1,000,000 | # | ANZ National Int'l Ltd., 0.200%, due 01/30/13 | 999,839 | 0.1 | |||||||||||||||
450,000 | # | ANZ National Int'l Ltd., 0.300%,due 01/25/13 | 449,910 | 0.1 | |||||||||||||||
10,000,000 | ASB Finance Ltd. London, 0.562%, due 02/28/13 | 9,990,978 | 1.0 | ||||||||||||||||
500,000 | # | Australia & New Zealand Banking Group Ltd., 0.372%, due 08/16/13 | 500,128 | 0.1 | |||||||||||||||
5,500,000 | Commonwealth Bank of Australia, 0.280%,due 05/15/13 | 5,494,268 | 0.6 | ||||||||||||||||
6,250,000 | HSBC Bank PLC, 0.452%,due 08/05/13 | 6,233,125 | 0.6 | ||||||||||||||||
24,000,000 | JPMorgan Chase & Co., 0.365%,due 01/04/13 | 24,000,000 | 2.5 | ||||||||||||||||
16,000,000 | Toronto Dominion Holdings USA, 0.160%,due 01/07/13 | 15,999,573 | 1.6 | ||||||||||||||||
12,000,000 | # | Westpac Securities NZ Ltd., 0.501%, due 01/02/13 | 11,999,833 | 1.2 | |||||||||||||||
Total Financial Company Commercial Paper (Cost $75,667,654) | 75,667,654 | 7.8 |
See Accompanying Notes to Financial Statements
88
PORTFOLIO OF INVESTMENTS
ING MONEY MARKET PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
GOVERNMENT AGENCY DEBT: 2.7% | |||||||||||||||||||
20,000,000 | Federal Agricultural Mortgage Corp., 0.141%,due 03/10/13 | $ | 19,983,306 | 2.1 | |||||||||||||||
6,200,000 | Federal Home Loan Bank Discount Notes, 0.079%,due 02/01/13 | 6,199,600 | 0.6 | ||||||||||||||||
Total Government Agency Debt (Cost $26,182,906) | 26,182,906 | 2.7 | |||||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENT: 8.8% | |||||||||||||||||||
35,835,000 | Deutsche Bank Repurchase Agreement dated 12/31/12, 0.200%, due 01/02/13, $35,835,398 to be received upon repurchase (Collateralized by $26,212,263, FMNT and FNNT, 0.625%-6.090%, Market Value plus accrued interest $36,551,700 due 12/29/14-09/27/27) | 35,835,000 | 3.7 | ||||||||||||||||
50,000,000 | Goldman Sachs Repurchase Agreement dated 12/31/12, 0.200%, due 01/02/13, $50,000,556 to be received upon repurchase (Collateralized by $50,990,000, FHLB, 0.170%-0.300%, Market Value plus accrued interest $51,004,531 due 12/09/13-12/20/13) | 50,000,000 | 5.1 | ||||||||||||||||
Total Government Agency Repurchase Agreement (Cost $85,835,000) | 85,835,000 | 8.8 | |||||||||||||||||
OTHER COMMERCIAL PAPER: 0.7% | |||||||||||||||||||
6,500,000 | Cargill Global Fund PLC, 0.170%, due 01/07/13 | 6,499,816 | 0.7 | ||||||||||||||||
Total Other Commercial Paper (Cost $6,499,816) | 6,499,816 | 0.7 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
OTHER INSTRUMENT: 4.7% | |||||||||||||||||||
45,750,000 | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.144%,due 01/02/13 | $ | 45,750,000 | 4.7 | |||||||||||||||
Total Other Instrument (Cost $45,750,000) | 45,750,000 | 4.7 | |||||||||||||||||
OTHER NOTE: 27.0% | |||||||||||||||||||
10,000,000 | # | American Honda Finance, 0.331%, due 03/05/13 | 10,000,000 | 1.0 | |||||||||||||||
9,250,000 | # | American Honda Finance, 0.580%, due 01/17/13 | 9,250,000 | 0.9 | |||||||||||||||
750,000 | # | American Honda Finance, 0.913%, due 02/05/13 | 752,719 | 0.1 | |||||||||||||||
2,705,000 | # | ANZ New Zealand Int'l Ltd., 1.309%, due 03/20/13 | 2,728,802 | 0.3 | |||||||||||||||
500,000 | ANZ New Zealand Int'l Ltd., 6.200%, due 07/19/13 | 513,762 | 0.1 | ||||||||||||||||
5,970,000 | # | ANZ New Zealand Int'l Ltd., 6.200%, due 07/19/13 | 6,152,914 | 0.6 | |||||||||||||||
4,000,000 | Australia & New Zealand Banking Group Ltd., 1.514%, due 06/18/13 | 4,012,068 | 0.4 | ||||||||||||||||
5,520,000 | # | Australia & New Zealand Banking Group Ltd., 2.400%, due 01/11/13 | 5,522,818 | 0.6 | |||||||||||||||
3,250,000 | Bank of New York Mellon Corp./The, 5.125%,due 08/27/13 | 3,352,043 | 0.3 | ||||||||||||||||
5,750,000 | Bottling Group LLC, 5.000%,due 11/15/13 | 5,982,481 | 0.6 | ||||||||||||||||
4,750,000 | Caterpillar Financial Services Corp., 0.472%,due 02/22/13 | 4,751,887 | 0.5 | ||||||||||||||||
4,400,000 | # | Commonwealth Bank of Australia, 0.859%,due 03/19/13 | 4,405,906 | 0.4 | |||||||||||||||
3,500,000 | # | Fosse Master Issuer PLC, 0.389%,due 01/20/13 | 3,500,000 | 0.4 | |||||||||||||||
1,250,000 | General Electric Capital Corp., 0.336%, due 01/22/13 | 1,249,448 | 0.1 | ||||||||||||||||
912,000 | General Electric Capital Corp., 4.800%, due 05/01/13 | 924,378 | 0.1 | ||||||||||||||||
1,250,000 | General Electric Co., 5.000%,due 02/01/13 | 1,254,628 | 0.1 | ||||||||||||||||
4,000,000 | # | HSBC Bank PLC, 0.725%,due 01/18/13 | 4,000,798 | 0.4 | |||||||||||||||
4,750,000 | # | HSBC Bank PLC, 1.625%,due 08/12/13 | 4,785,385 | 0.5 | |||||||||||||||
5,500,000 | JPMorgan Chase & Co., 0.962%,due 02/26/13 | 5,505,919 | 0.6 |
See Accompanying Notes to Financial Statements
89
PORTFOLIO OF INVESTMENTS
ING MONEY MARKET PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
OTHER NOTE (continued) | |||||||||||||||||||
4,320,000 | JPMorgan Chase & Co., 4.750%,due 05/01/13 | $ | 4,382,509 | 0.4 | |||||||||||||||
700,000 | JPMorgan Chase Bank NA, 0.331%, due 01/21/13 | 699,736 | 0.1 | ||||||||||||||||
3,000,000 | JPMorgan Chase Bank NA, 0.331%, due 01/21/13 | 2,995,168 | 0.3 | ||||||||||||||||
7,592,308 | # | Motor PLC, 0.683%, due 09/25/13 | 7,592,308 | 0.8 | |||||||||||||||
1,500,000 | Pepsico, Inc., 0.875%, due 10/25/13 | 1,506,109 | 0.2 | ||||||||||||||||
8,500,000 | Pepsico, Inc., 4.650%, due 02/15/13 | 8,545,285 | 0.9 | ||||||||||||||||
10,200,000 | # | Rabobank Nederland, 0.459%,due 01/22/13 | 10,200,902 | 1.0 | |||||||||||||||
4,000,000 | Rabobank Nederland, 3.375%,due 02/19/13 | 4,015,200 | 0.4 | ||||||||||||||||
15,250,000 | # | Royal Bank of Canada, 0.408%,due 01/02/13 | 15,250,000 | 1.6 | |||||||||||||||
12,250,000 | Royal Bank of Canada, 0.461%,due 03/08/13 | 12,255,829 | 1.3 | ||||||||||||||||
20,500,000 | Svenska Handelsbanken AB, 0.386%, due 01/04/13 | 20,500,000 | 2.1 | ||||||||||||||||
2,000,000 | Toronto Dominion Bank, 0.763%, due 02/01/13 | 2,007,604 | 0.2 | ||||||||||||||||
8,750,000 | Toyota Motor Credit Corp., 0.395%, due 01/25/13 | 8,750,000 | 0.9 | ||||||||||||||||
300,000 | Toyota Motor Credit Corp., 0.410%, due 03/13/13 | 300,206 | 0.0 | ||||||||||||||||
500,000 | Toyota Motor Credit Corp., 0.540%, due 01/14/13 | 500,067 | 0.0 | ||||||||||||||||
11,750,000 | Toyota Motor Credit Corp., 0.547%, due 01/11/13 | 11,750,000 | 1.2 | ||||||||||||||||
9,500,000 | Toyota Motor Credit Corp., 0.551%, due 01/22/13 | 9,513,191 | 1.0 | ||||||||||||||||
3,000,000 | Toyota Motor Credit Corp., 0.567%, due 01/23/13 | 3,003,182 | 0.3 | ||||||||||||||||
2,118,000 | US Bancorp, 1.375%, due 09/13/13 | 2,131,556 | 0.2 | ||||||||||||||||
2,500,000 | US Bancorp, 2.000%, due 06/14/13 | 2,518,749 | 0.3 | ||||||||||||||||
3,000,000 | Wells Fargo & Co., 4.375%,due 01/31/13 | 3,009,907 | 0.3 | ||||||||||||||||
30,750,000 | Wells Fargo Bank NA, 0.380%,due 03/22/13 | 30,750,000 | 3.2 | ||||||||||||||||
18,500,000 | Westpac Banking Corp, 0.533%,due 01/28/13 | 18,500,000 | 1.9 | ||||||||||||||||
4,250,000 | Westpac Banking Corp, 0.533%,due 01/28/13 | 4,250,509 | 0.4 | ||||||||||||||||
Total Other Note (Cost $263,573,973) | 263,573,973 | 27.0 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
TREASURY DEBT: 14.1% | |||||||||||||||||||
49,000,000 | Treasury Bill, 0.030%, due 01/17/13 | $ | 48,999,329 | 5.0 | |||||||||||||||
38,000,000 | Treasury Bill, 0.050%, due 01/10/13 | 37,999,525 | 3.9 | ||||||||||||||||
33,250,000 | Treasury Bill, 0.060%, due 01/03/13 | 33,249,890 | 3.4 | ||||||||||||||||
17,750,000 | Treasury Bill, 0.111%, due 06/20/13 | 17,740,696 | 1.8 | ||||||||||||||||
Total Treasury Debt (Cost $137,989,440) | 137,989,440 | 14.1 | |||||||||||||||||
Total Investments in Securities (Cost $985,062,060) | $ | 985,062,060 | 101.0 | ||||||||||||||||
Liabilities in Excess of Other Assets | (9,458,480 | ) | (1.0 | ) | |||||||||||||||
Net Assets | $ | 975,603,580 | 100.0 |
† Unless otherwise indicated, principal amount is shown in USD.
# Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.
Cost for federal income tax purposes is the same as for financial statement purposes.
Net unrealized depreciation consists of:
Gross Unrealized Appreciation | $ | — | |||||
Gross Unrealized Depreciation | — | ||||||
Net Unrealized Depreciation | $ | — |
See Accompanying Notes to Financial Statements
90
PORTFOLIO OF INVESTMENTS
ING MONEY MARKET PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 12/31/12 | ||||||||||||||||
Asset Table | |||||||||||||||||||
Investments, at fair value | |||||||||||||||||||
Certificate of Deposit | $ | — | $ | 54,956,683 | $ | — | $ | 54,956,683 | |||||||||||
Government Agency Repurchase Agreement | — | 85,835,000 | — | 85,835,000 | |||||||||||||||
Government Agency Debt | — | 26,182,906 | — | 26,182,906 | |||||||||||||||
Treasury Debt | — | 137,989,440 | — | 137,989,440 | |||||||||||||||
Other Commercial Paper | — | 6,499,816 | — | 6,499,816 | |||||||||||||||
Financial Company Commercial Paper | — | 75,667,654 | — | 75,667,654 | |||||||||||||||
Other Note | — | 263,573,973 | — | 263,573,973 | |||||||||||||||
Other Instrument | 45,750,000 | — | — | 45,750,000 | |||||||||||||||
Asset Backed Commercial Paper | — | 288,606,588 | — | 288,606,588 | |||||||||||||||
Total Investments, at fair value | $ | 45,750,000 | $ | 939,312,060 | $ | — | $ | 985,062,060 |
^ See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information.
See Accompanying Notes to Financial Statements
91
SUMMARY PORTFOLIO OF INVESTMENTS
ING SMALL COMPANY PORTFOLIO AS OF DECEMBER 31, 2012
Shares | Value | Percentage of Net Assets | |||||||||||||||||
COMMON STOCK: 97.2% | |||||||||||||||||||
Consumer Discretionary: 13.9% | |||||||||||||||||||
104,600 | @ | Childrens Place Retail Stores, Inc. | $ | 4,632,734 | 0.8 | ||||||||||||||
201,800 | Cooper Tire & Rubber Co. | 5,117,648 | 0.9 | ||||||||||||||||
257,100 | Finish Line | 4,866,903 | 0.8 | ||||||||||||||||
165,200 | @ | Jack in the Box, Inc. | 4,724,720 | 0.8 | |||||||||||||||
320,839 | La-Z-Boy, Inc. | 4,539,872 | 0.8 | ||||||||||||||||
100,757 | @ | Life Time Fitness, Inc. | 4,958,252 | 0.9 | |||||||||||||||
2,313,501 | Other Securities (a) | 51,512,097 | 8.9 | ||||||||||||||||
80,352,226 | 13.9 | ||||||||||||||||||
Consumer Staples: 1.7% | |||||||||||||||||||
269,050 | Other Securities | 9,986,267 | 1.7 | ||||||||||||||||
Energy: 5.6% | |||||||||||||||||||
236,115 | @ | Carrizo Oil & Gas, Inc. | 4,939,526 | 0.9 | |||||||||||||||
71,900 | @ | Dril-Quip, Inc. | 5,252,295 | 0.9 | |||||||||||||||
124,600 | @ | Unit Corp. | 5,613,230 | 1.0 | |||||||||||||||
1,688,291 | Other Securities (a) | 16,462,091 | 2.8 | ||||||||||||||||
32,267,142 | 5.6 | ||||||||||||||||||
Financials: 23.0% | |||||||||||||||||||
40,800 | @ | Affiliated Managers Group, Inc. | 5,310,120 | 0.9 | |||||||||||||||
324,082 | CubeSmart | 4,721,875 | 0.8 | ||||||||||||||||
818,950 | DCT Industrial Trust, Inc. | 5,314,985 | 0.9 | ||||||||||||||||
205,579 | First American Financial Corp. | 4,952,398 | 0.9 | ||||||||||||||||
197,718 | LaSalle Hotel Properties | 5,020,060 | 0.9 | ||||||||||||||||
161,772 | Primerica, Inc. | 4,854,778 | 0.8 | ||||||||||||||||
111,836 | ProAssurance Corp. | 4,718,361 | 0.8 | ||||||||||||||||
129,018 | Prosperity Bancshares, Inc. | 5,418,756 | 0.9 | ||||||||||||||||
72,333 | @ | Signature Bank | 5,160,236 | 0.9 | |||||||||||||||
251,600 | Starwood Property Trust, Inc. | 5,776,736 | 1.0 | ||||||||||||||||
145,485 | @ | Stifel Financial Corp. | 4,651,155 | 0.8 | |||||||||||||||
501,300 | Susquehanna Bancshares, Inc. | 5,253,624 | 0.9 | ||||||||||||||||
134,555 | Wintrust Financial Corp. | 4,938,169 | 0.9 | ||||||||||||||||
2,577,645 | Other Securities (a) | 66,971,371 | 11.6 | ||||||||||||||||
133,062,624 | 23.0 | ||||||||||||||||||
Health Care: 10.8% | |||||||||||||||||||
167,445 | @ | Align Technology, Inc. | 4,646,599 | 0.8 | |||||||||||||||
232,737 | @ | Healthsouth Corp. | 4,913,078 | 0.8 | |||||||||||||||
1,850,066 | Other Securities (a) | 53,214,956 | 9.2 | ||||||||||||||||
62,774,633 | 10.8 | ||||||||||||||||||
Industrials: 18.1% | |||||||||||||||||||
203,285 | Actuant Corp. | 5,673,684 | 1.0 | ||||||||||||||||
104,495 | Acuity Brands, Inc. | 7,077,446 | 1.2 |
Shares | Value | Percentage of Net Assets | |||||||||||||||||
101,294 | @ | Atlas Air Worldwide Holdings, Inc. | $ | 4,488,337 | 0.8 | ||||||||||||||
215,000 | Barnes Group, Inc. | 4,828,900 | 0.8 | ||||||||||||||||
190,200 | Brady Corp. | 6,352,680 | 1.1 | ||||||||||||||||
375,500 | Heartland Express, Inc. | 4,907,785 | 0.8 | ||||||||||||||||
159,096 | @ | HUB Group, Inc. | 5,345,626 | 0.9 | |||||||||||||||
374,800 | @ | Orbital Sciences Corp. | 5,160,996 | 0.9 | |||||||||||||||
78,100 | @ | Teledyne Technologies, Inc. | 5,081,967 | 0.9 | |||||||||||||||
166,339 | Waste Connections, Inc. | 5,620,595 | 1.0 | ||||||||||||||||
136,613 | Watts Water Technologies, Inc. | 5,872,993 | 1.0 | ||||||||||||||||
140,452 | Woodward Governor Co. | 5,355,435 | 0.9 | ||||||||||||||||
1,587,652 | Other Securities | 39,338,923 | 6.8 | ||||||||||||||||
105,105,367 | 18.1 | ||||||||||||||||||
Information Technology: 15.5% | |||||||||||||||||||
242,000 | @ | Aruba Networks, Inc. | 5,021,500 | 0.9 | |||||||||||||||
209,800 | @ | Cardtronics, Inc. | 4,980,652 | 0.8 | |||||||||||||||
125,389 | @ | Micros Systems, Inc. | 5,321,509 | 0.9 | |||||||||||||||
253,140 | @ | Microsemi Corp. | 5,326,066 | 0.9 | |||||||||||||||
223,000 | @ | Parametric Technology Corp. | 5,019,730 | 0.9 | |||||||||||||||
145,400 | Power Integrations, Inc. | 4,886,894 | 0.8 | ||||||||||||||||
215,000 | @ | Progress Software Corp. | 4,512,850 | 0.8 | |||||||||||||||
3,508,788 | Other Securities (a) | 54,838,861 | 9.5 | ||||||||||||||||
89,908,062 | 15.5 | ||||||||||||||||||
Materials: 5.9% | |||||||||||||||||||
320,500 | Commercial Metals Co. | 4,762,630 | 0.8 | ||||||||||||||||
181,800 | HB Fuller Co. | 6,330,276 | 1.1 | ||||||||||||||||
119,864 | Minerals Technologies, Inc. | 4,784,971 | 0.8 | ||||||||||||||||
1,107,186 | @,L | Thompson Creek Metals Co., Inc. | 4,583,750 | 0.8 | |||||||||||||||
215,428 | Worthington Industries | 5,598,974 | 1.0 | ||||||||||||||||
423,047 | Other Securities | 8,153,975 | 1.4 | ||||||||||||||||
34,214,576 | 5.9 | ||||||||||||||||||
Utilities: 2.7% | |||||||||||||||||||
142,497 | El Paso Electric Co. | 4,547,079 | 0.8 | ||||||||||||||||
311,185 | Other Securities | 11,236,897 | 1.9 | ||||||||||||||||
15,783,976 | 2.7 | ||||||||||||||||||
Total Common Stock (Cost $502,348,323) | 563,454,873 | 97.2 | |||||||||||||||||
EXCHANGE-TRADED FUNDS: 1.2% | |||||||||||||||||||
83,200 | iShares Russell 2000 Index Fund | 7,012,928 | 1.2 | ||||||||||||||||
Total Exchange-Traded Funds (Cost $6,712,449) | 7,012,928 | 1.2 | |||||||||||||||||
Total Long-Term Investments (Cost $509,060,772) | 570,467,801 | 98.4 |
See Accompanying Notes to Financial Statements
92
SUMMARY PORTFOLIO OF INVESTMENTS
ING SMALL COMPANY PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
SHORT-TERM INVESTMENTS: 5.4% | |||||||||||||||||||
Securities Lending Collateralcc(1): 3.2% | |||||||||||||||||||
4,422,451 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $4,422,524, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $4,510,900, due 08/01/27-01/01/43) | $ | 4,422,451 | 0.7 | |||||||||||||||
4,422,451 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $4,422,499, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $4,510,900, due 10/01/16-12/20/42) | 4,422,451 | 0.8 | ||||||||||||||||
4,422,451 | Daiwa Capital Markets, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $4,422,524, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $4,510,900, due 06/14/13-12/01/42) | 4,422,451 | 0.8 | ||||||||||||||||
930,746 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $930,755, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $949,363, due 10/31/17-08/15/22) | 930,746 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | |||||||||||||||||
4,422,451 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $4,422,496, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $4,510,901, due 08/09/13-06/20/42) | $ | 4,422,451 | 0.8 | |||||||||||||||
18,620,550 | 3.2 | ||||||||||||||||||
Shares | Value | Percentage of Net Assets | |||||||||||||||||
Mutual Funds: 2.2% | |||||||||||||||||||
12,549,000 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $12,549,000) | $ | 12,549,000 | 2.2 | |||||||||||||||
Total Short-Term Investments (Cost $31,169,550) | 31,169,550 | 5.4 | |||||||||||||||||
Total Investments in Securities (Cost $540,230,322) | $ | 601,637,351 | 103.8 | ||||||||||||||||
Liabilities in Excess of Other Assets | (21,915,289 | ) | (3.8 | ) | |||||||||||||||
Net Assets | $ | 579,722,062 | 100.0 |
"Other Securities" represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of December 31, 2012.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
† Unless otherwise indicated, principal amount is shown in USD.
@ Non-income producing security
cc Securities purchased with cash collateral for securities loaned.
L Loaned security, a portion or all of the security is on loan at December 31, 2012.
(1) Collateral received from brokers for securities lending was invested into these short-term investments.
(a) This grouping contains securities on loan.
Cost for federal income tax purposes is $547,808,063.
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 87,252,483 | |||||
Gross Unrealized Depreciation | (33,423,195 | ) | |||||
Net Unrealized Appreciation | $ | 53,829,288 |
See Accompanying Notes to Financial Statements
93
SUMMARY PORTFOLIO OF INVESTMENTS
ING SMALL COMPANY PORTFOLIO AS OF DECEMBER 31, 2012 (CONTINUED)
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 12/31/12 | ||||||||||||||||
Asset Table | |||||||||||||||||||
Investments, at fair value | |||||||||||||||||||
Common Stock* | $ | 563,454,873 | $ | — | $ | — | $ | 563,454,873 | |||||||||||
Exchange-Traded Funds | 7,012,928 | — | — | 7,012,928 | |||||||||||||||
Short-Term Investments | 12,549,000 | 18,620,550 | — | 31,169,550 | |||||||||||||||
Total Investments, at fair value | $ | 583,016,801 | $ | 18,620,550 | $ | — | $ | 601,637,351 |
^ See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information.
* For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments.
See Accompanying Notes to Financial Statements
94
TAX INFORMATION (UNAUDITED)
Dividends and distributions paid during the year ended December 31, 2012 were as follows:
Portfolio Name | Type | Per Share Amount | |||||||||
ING Balanced Portfolio | |||||||||||
Class I | NII | $ | 0.3618 | ||||||||
Class S | NII | $ | 0.3268 | ||||||||
ING BlackRock Science and Technology Opportunities Portfolio | |||||||||||
Class ADV | NII | $ | — | ||||||||
Class I | NII | $ | 0.0101 | ||||||||
Class S | NII | $ | — | ||||||||
Class S2 | NII | $ | 0.0077 | ||||||||
All Classes | LTCG | $ | 0.3337 | ||||||||
ING Growth and Income Portfolio | |||||||||||
Class ADV | NII | $ | 0.3383 | ||||||||
Class I | NII | $ | 0.4527 | ||||||||
Class S | NII | $ | 0.3882 | ||||||||
Class S2 | NII | $ | 0.3954 |
Portfolio Name | Type | Per Share Amount | |||||||||
ING Intermediate Bond Portfolio | |||||||||||
Class ADV | NII | $ | 0.5494 | ||||||||
Class I | NII | $ | 0.6013 | ||||||||
Class S | NII | $ | 0.5675 | ||||||||
Class S2 | NII | $ | 0.5524 | ||||||||
ING Money Market Portfolio | |||||||||||
Class I | NII | $ | 0.0003 | ||||||||
Class S | NII | $ | 0.0000 | * | |||||||
ING Small Company Portfolio | |||||||||||
Class ADV | NII | $ | — | ||||||||
Class I | NII | $ | 0.0768 | ||||||||
Class S | NII | $ | 0.0268 | ||||||||
Class S2 | NII | $ | 0.0134 | ||||||||
All Classes | LTCG | $ | 0.6802 |
NII — Net investment income
LTCG — Long-term capital gain
* Rounds to $0.0000 per share
Of the ordinary distributions made during the year ended December 31, 2012, the following percentages qualify for the dividends received deduction (DRD) available to corporate shareholders:
ING Balanced Portfolio | 22.46 | % | |||||
ING BlackRock Science and Technology Opportunities Portfolio | 100.00 | % | |||||
ING Growth and Income Portfolio | 100.00 | % | |||||
ING Intermediate Bond Portfolio | 0.89 | % | |||||
ING Small Company Portfolio | 99.98 | % |
For the year ended December 31, 2012, 100% of ordinary income dividends paid by ING Growth and Income Portfolio are designated as qualified dividend income (QDI) subject to reduced income tax rates for individuals.
Above figures may differ from those cited elsewhere in this report due to differences in the calculation of income and gains under U.S. generally accepted accounting principles (book) purposes and Internal Revenue Service (tax) purposes.
Shareholders are strongly advised to consult their own tax advisers with respect to the tax consequences of their investments in the Portfolios. In January, shareholders, excluding corporate shareholders, receive an IRS 1099-DIV regarding the federal tax status of the dividends and distributions they received in the calendar year.
95
DIRECTOR/TRUSTEE AND OFFICER INFORMATION (UNAUDITED)
The business and affairs of the Company/Trust are managed under the direction of the Company's/Trust's Board. A Director/Trustee, who is not an interested person of the Company/Trust, as defined in the 1940 Act, is an independent director/trustee ("Independent Director/Trustee"). The Directors/Trustees and Officers of the Company/Trust are listed below. The Statement of Additional Information includes additional information about directors/trustees of the Company/Trust and is available, without charge, upon request at (800) 992-0180.
Name, Address and Age | Position(s) Held with the Company/Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years and Other Relevant Experience, Attributes, and Skills(1) | Number of Portfolios in Fund Complex Overseen by Director/Trustee(2) | Other Board Positions Held by Director/Trustee During the Past Five Years | ||||||||||||||||||
Independent Directors/Trustees: | |||||||||||||||||||||||
Dr. Albert E. DePrince, Jr. 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 71 | Chairman Director/ Trustee | June 1998 - Present | Professor of Economics and Finance, Middle Tennessee State University (August 1991 - Present) and various positions with Academy of Economics and Finance (2003 - 2012). Formerly, Director of Business and Economics Research Center, Middle Tennessee State University (1999 - 2002); Chief Economist, Marine Midland Bank (1987 - 1990); various positions, Marine Midland Bank (1978 - 1990); and Economist, Federal Reserve Bank of New York (1969 - 1978). Ph.D. in Economics. Director of Academy of Economics and Finance (February 2001 - February 2003). Published numerous scholarly papers and journal articles in the areas of financial markets, financial institutions and monetary policy. | 35 | None. | ||||||||||||||||||
Martin J. Gavin 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 62 | Director/ Trustee | January 2009 - June 2010 July 2011 - Present | President and Chief Executive Officer, Connecticut Children's Medical Center (May 2006 - Present). Formerly, Interim President, Connecticut Children's Medical Center (January 2006 - May 2006); various positions for the Phoenix Companies, Inc. (1984 - 2000); Assistant Vice President, CNA Insurance Company, Inc. (1980 - 1984); and various positions at CIGNA Corporation (1973 - 1980). | 35 | None. |
96
DIRECTOR/TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age | Position(s) Held with the Company/Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years and Other Relevant Experience, Attributes, and Skills(1) | Number of Portfolios in Fund Complex Overseen by Director/Trustee(2) | Other Board Positions Held by Director/Trustee During the Past Five Years | ||||||||||||||||||
Russell H. Jones 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 68 | Director/ Trustee | December 2007 - Present | Retired. Director, Hill — Stead Museum (non-profit) (2008 - Present). Formerly, Senior Vice President, Chief Investment Officer and Treasurer, and other various positions including Principal Investor Relations Officer, Principal Public Relations Officer, and Corporate Parent Treasurer, Kaman Corporation, an aerospace and industrial distribution manufacturer (April 1973 - March 2008); President, Hartford Area Business Economists (1986 - 1987); and Corporate Loan Officer and Credit Analyst, Hartford National Bank (July 1966 - April 1973). Certified AARP Tax Counselor (2011). | 35 | Independent Director, CIGNA Mutual Funds (8 funds), Chair of Contracts Committee (1995 - 2005). | ||||||||||||||||||
Sidney Koch 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 77 | Director/ Trustee | April 1994 - Present | Retired. Self-Employed Consultant (June 2000 - Present). Formerly, Senior Adviser, Hambro America, Inc. (1993 - 2000) and Executive Vice President of Investment Banking, Daiwa Securities America, Inc. (1986 - 1993). | 35 | None. | ||||||||||||||||||
Joseph E. Obermeyer 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 55 | Director/ Trustee | January 2003 - Present | President, Obermeyer & Associates, Inc., a provider of financial and economic consulting services (November 1999 - Present). Formerly, Senior Manager, Arthur Andersen LLP (1995 - 1999); Senior Manager, Coopers & Lybrand, LLP (1993 - 1995); Manager, Price Waterhouse (1988 - 1993); Second Vice President, Smith Barney (1985 - 1988); and Consultant, Arthur Andersen & Co. (1984 - 1985). | 35 | None. |
97
DIRECTOR/TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age | Position(s) Held with the Company/Trust | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years and Other Relevant Experience, Attributes, and Skills(1) | Number of Portfolios in Fund Complex Overseen by Director/Trustee(2) | Other Board Positions Held by Director/Trustee During the Past Five Years | ||||||||||||||||||
Director/Trustee who is an "Interested Person" | |||||||||||||||||||||||
Shaun P. Mathews(3) 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | Director/ Trustee | December 2007 - Present | President and Chief Executive Officer, ING Investments, LLC (November 2006 - Present). | 182 | ING Capital Corporation, LLC and ING Investments Distributor, LLC (December 2005 - Present); ING Funds Services, LLC, ING Investments, LLC and ING Investment Management, LLC (March 2006 - Present); and ING Investment Trust Co. (April 2009 - Present). |
(1) The information reported includes the principle occupation during the last five years for each Director/Trustee and other information relating to the professional experiences, attributes and skills relevant to each Director's/Trustee's qualifications to serve as a Director/Trustee.
(2) Except for Mr. Mathews and for the purposes of this table "Fund Complex" means the following investment companies: ING Balanced Portfolio, Inc.; ING Intermediate Bond Portfolio; ING Money Market Portfolio; ING Series Fund, Inc.; ING Strategic Allocation Portfolios, Inc.; ING Variable Funds; and ING Variable Portfolios, Inc. For Mr. Mathews, the ING Fund Complex also includes the following investment companies: ING Asia Pacific High Dividend Equity Income Fund; ING Emerging Markets High Dividend Equity Fund; ING Emerging Markets Local Bond Fund; ING Equity Trust; ING Funds Trust; ING Global Equity Dividend and Premium Opportunity Fund; ING Global Advantage and Premium Opportunity Fund; ING Global Strategic Income Fund; ING Infrastructure, Industrials and Materials Fund; ING International High Dividend Equity Income Fund; ING Investors Trust; ING Mayflower Trust; ING Mutual Funds; ING Partners, Inc.; ING Prime Rate Trust; ING Risk Managed Natural Resources Fund; ING Senior Income Fund; ING Separate Portfolios Trust; ING Short Duration High Income Fund; ING Variable Insurance Trust; and ING Variable Products Trust.Therefore, for the purposes of this table with reference to Mr. Mathews, "Fund Complex" includes these investment companies. The number of funds in the ING Fund Complex is as of January 31, 2013.
(3) "Interested Person," by virtue of this Director's/Trustee's current or prior affiliation with any of the Portfolios, ING or any of ING's affiliates.
98
DIRECTOR/TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age | Position(s) Held With the Company/Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) - During the Past 5 Years | ||||||||||||
Shaun P. Mathews 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | President and Chief Executive Officer | December 2006 - Present | President and Chief Executive Officer, ING Investments, LLC (November 2006 - Present). | ||||||||||||
Michael J. Roland 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Executive Vice President | April 2002 - Present | Managing Director and Chief Operating Officer, ING Investments, LLC and ING Funds Services, LLC (April 2012 - Present) and Chief Compliance Officer, Directed Services LLC and ING Investments, LLC (March 2011 - Present). Formerly, Executive Vice President and Chief Operating Officer, ING Investments, LLC and ING Funds Services, LLC (January 2007 - April 2012) and Chief Compliance Officer, ING Funds (March 2011 - February 2012). | ||||||||||||
Stanley D. Vyner 230 Park Avenue New York, New York 10169 Age: 62 | Executive Vice President | March 2002 - Present | Executive Vice President, ING Investments, LLC(July 2000 - Present) and Chief Investment Risk Officer, ING Investments, LLC (January 2003 - Present). | ||||||||||||
Kevin M. Gleason 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 46 | Chief Compliance Officer | February 2012 - Present | Senior Vice President, ING Investments, LLC (February 2012 - Present). Formerly, Assistant General Counsel and Assistant Secretary, The Northwestern Mutual Life Insurance Company (June 2004 - January 2012). | ||||||||||||
Kimberly A. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 48 | Senior Vice President | December 2003 - Present | Senior Vice President, ING Investments, LLC (October 2003 - Present). | ||||||||||||
Todd Modic 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | March 2005 - Present | Senior Vice President, ING Funds Services, LLC (March 2005 - Present). | ||||||||||||
Robert Terris 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 42 | Senior Vice President | June 2006 - Present | Senior Vice President, Head of Division Operations, ING Funds Services, LLC (January 2006 - Present). | ||||||||||||
Julius A. Drelick, III 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 46 | Senior Vice President | September 2012 - Present | Senior Vice President - Fund Compliance, ING Funds Services, LLC (June 2012 - Present). Formerly, Vice President — Platform Product Management & Project Management, ING Investments, LLC (April 2007 - June 2012). | ||||||||||||
Robyn L. Ichilov 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Vice President | March 2002 - Present | Vice President and Treasurer, ING Funds Services, LLC (November 1995 - Present) and ING Investments, LLC (August 1997 - Present). Formerly, Treasurer, ING Funds (November 1999 - February 2012). | ||||||||||||
Maria M. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Vice President | September 2004 - Present | Vice President, ING Funds Services, LLC (September 2004 - Present). | ||||||||||||
Lauren D. Bensinger 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 59 | Vice President | March 2003 - Present | Vice President, ING Investments, LLC and ING Funds Services, LLC(February 1996 - Present); Director of Compliance, ING Investments, LLC (October 2004 - Present); and Vice President and Money Laundering Reporting Officer, ING Investments Distributor, LLC (April 2010 - Present). Formerly, Chief Compliance Officer, ING Investments Distributor, LLC (August 1995 - April 2010). |
99
DIRECTOR/TRUSTEE AND OFFICER INFORMATION (UNAUDITED) (CONTINUED)
Name, Address and Age | Position(s) Held With the Company/Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) - During the Past 5 Years | ||||||||||||
Jason Kadavy 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 36 | Vice President | September 2012 - Present | Vice President, ING Funds Services, LLC (July 2007 - Present). | ||||||||||||
Fred Bedoya 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 40 | Vice President and Treasurer | September 2012 - Present | Vice President, ING Funds Services, LLC (March 2012 - Present). Formerly, Assistant Vice President — Director, ING Funds Services, LLC (March 2003 - March 2012). | ||||||||||||
Kimberly K. Springer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 55 | Vice President | March 2006 - Present | Vice President — Platform Product Management & Project Management, ING Investments, LLC (July 2012 - Present); Vice President, ING Investment Management — ING Funds (March 2010 - Present) and Vice President, ING Funds Services, LLC (March 2006 - Present). Formerly Managing Paralegal, Registration Statements (June 2003 - July 2012). | ||||||||||||
Craig Wheeler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 43 | Assistant Vice President | June 2008 - Present | Assistant Vice President — Director of Tax, ING Funds Services, LLC (March 2008 - Present). Formerly, Tax Manager, ING Funds Services, LLC (March 2005 - March 2008). | ||||||||||||
Theresa K. Kelety 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 50 | Secretary | September 2003 - Present | Vice President and Senior Counsel, ING Investment Management — ING Funds (March 2010 - Present). Formerly, Senior Counsel, ING Americas, U.S. Legal Services (April 2008 - March 2010) and Counsel, ING Americas, U.S. Legal Services (April 2003 - April 2008). | ||||||||||||
Huey P. Falgout, Jr. 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 49 | Assistant Secretary | September 2003 - Present | Senior Vice President and Chief Counsel, ING Investment Management — ING Funds (March 2010 - Present). Formerly, Chief Counsel, ING Americas, U.S. Legal Services (October 2003 - March 2010). | ||||||||||||
Paul A. Caldarelli 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 61 | Assistant Secretary | August 2010 - Present | Vice President and Senior Counsel, ING Investment Management — ING Funds (March 2010 - Present). Formerly, Senior Counsel, ING Americas, U.S. Legal Services (April 2008 - March 2010) and Counsel, ING Americas, U.S. Legal Services (May 2005 - April 2008). |
(1) The Officers hold office until the next annual meeting of the Board of Directors/Trustees and until their successors shall have been elected and qualified.
100
ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED)
BOARD CONSIDERATIONS IN APPROVING CONTINUATION OF THE CURRENT INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS
The Investment Company Act of 1940, as amended (the "1940 Act"), provides, in substance, that each investment advisory agreement and sub-advisory agreement for a mutual fund will terminate automatically after the initial term of the agreement (which term may not exceed two years), unless continuation of the agreement is approved annually by the Board of Trustees or Directors, as the case may be (the "Board") of the fund, including a majority of the Trustees/Directors who have no direct or indirect interest in the agreement and who are not "interested persons" of the fund (the "Independent Trustees"). Consistent with this requirement of the 1940 Act, the Board of ING Balanced Portfolio, Inc., ING Strategic Allocation Portfolios, Inc., ING Intermediate Bond Portfolio, ING Money Market Portfolio, ING Variable Funds, ING Variable Portfolios, Inc. and ING Series Fund, Inc., with respect to each portfolio series thereof (each, a "Fund" or a "Portfolio" and, collectively, the "Funds" or the "Portfolios") has established a process for considering on an annual basis approval of the continuation of the investment management agreement for each Fund (the "Advisory Agreement") with ING Investments, LLC (the "Adviser") and the sub-advisory agreement for each Fund (collectively, the "Sub-Advisory Agreements") with the sub-adviser of each Fund (the "Sub-Advisers"). Set forth below is a description of the process followed by the Board in considering approval of the continuation of each Advisory and Sub-Advisory Agreement (collectively, the "Agreements"), together with an explanation of many of the factors considered and related conclusions reached by the Board in voting to approve the continuation of each Agreement for an additional one-year period commencing January 1, 2013.
Overview of the Review Process
At a meeting of the Board held on December 12, 2012, the Board, including all of the Independent Trustees, voted to approve continuation of each of the existing Agreements for the Funds. Prior to voting such approvals, the Board received the affirmative recommendation of the Contracts Committee of the Board, which is a Committee of the Board comprised of all of the Independent Trustees and exclusively of the Independent Trustees. The Contracts Committee recommended approval of the Agreements after completing an extensive review of information requested by the Committee from the Adviser and
each Sub-Adviser, including the following: (1) comparative performance data for each Fund for various time periods; (2) comparative data regarding management fees, including data regarding the fees charged by the Adviser and Sub-Advisers for managing other mutual funds and institutional accounts using investment strategies and techniques similar to those used in managing the Funds; (3) comparative data regarding the total expenses of each Fund; (4) copies of each form of Advisory Agreement and Sub-Advisory Agreement; (5) copies of the codes of ethics of the Adviser and each Sub-Adviser, together with information relating to the manner in which each code is administered; (6) financial statements of the Adviser and each Sub-Adviser (or its parent company); (7) profitability analyses for the Adviser and each Sub-Adviser with respect to each Fund, and all Funds as a group; (8) descriptions of the qualifications of the investment personnel responsible for managing each Fund, the structure of their compensation and their responsibilities with respect to managing other accounts or mutual funds; (9) descriptions of the services provided to the Funds, including the investment strategies and techniques used by each Sub-Adviser in managing the Funds; (10) data relating to portfolio turnover and brokerage practices, including practices with respect to the acquisition of research through "soft dollar" benefits received in connection with the Funds' brokerage; (11) descriptions of the policies and procedures of the various service providers of the Funds for protecting the privacy of shareholder information; (12) information relating to projected sales and redemptions of Fund shares and business plans relating to the Adviser's mutual fund platform; (13) descriptions of the business continuity and disaster recovery plans of the Adviser and each Sub-Adviser; (14) descriptions of various compliance programs of the Adviser and Sub-Advisers, including the Adviser's programs for monitoring and enforcing compliance with the Funds' policies with respect to market-timing, late trading and selective portfolio disclosure; (15) independent reports analyzing the quality of the trade execution services performed by Sub-Advisers for the Funds; and (16) other information relevant to an evaluation of the nature, extent and quality of the services provided by the Adviser and each Sub-Adviser in response to a series of detailed questions posed by Goodwin Procter LLP, legal counsel for the Independent Trustees ("Independent Counsel") on behalf of the Independent Trustees. With respect to each Sub-Advisory Agreement, the Board also considered the Adviser's recommendation that the Agreement be renewed
101
ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
and the basis provided by the Adviser for such recommendation.
The Contracts Committee began the formal review process in August 2012 when it met separately with Independent Counsel to review the information to be requested from management and the methodology to be used in determining the selected peer groups for comparing performance and expenses (the "Peer Group Methodology"). Prior to the August meeting, the Contracts Committee had engaged an independent consultant (the "Independent Consultant") to evaluate, and make recommendations with respect to, the Peer Group Methodology. The Independent Consultant's findings were reported to the Contracts Committee at a meeting of the Committee held on August 1-2, 2012 and incorporated into the Peer Group Methodology approved by the Board on August 2, 2012. The Contracts Committee then held meetings on September 11-13, 2012, October 15-16, 2012, November 29, 2012 and December 10-12, 2012, during which the Independent Trustees, meeting separately with Independent Counsel, reviewed and evaluated information relating to the Agreements, including the information described above. As part of the review process, the Contracts Committee met with representatives from the Adviser and/or the Sub-Advisers to discuss the information provided to the Committee. The Contracts Committee also considered information that had been provided by the Adviser and Sub-Advisers throughout the year at other meetings of the Contracts Committee, the Audit Committee, the Compliance Committee and the full Board.
The Independent Trustees were assisted by Independent Counsel throughout the contract review process. The Independent Trustees relied upon the advice of Independent Counsel and their own business judgment in determining the material factors to be considered in evaluating each Advisory and Sub-Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Independent Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Independent Trustee may have afforded different weight to the various factors in reaching conclusions with respect to each Advisory and Sub-Advisory Agreement.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory and Sub-Advisory Agreements for the Funds for the year commencing January 1, 2013, the Board evaluated the nature, extent and quality of services provided to the
Funds by the Adviser and Sub-Advisers. The Board considered the investment management and related services provided by the Adviser and Sub-Advisers, including the quantity and quality of the resources available to provide such services. Among other things, the Board considered the qualifications of the individuals responsible for performing various investment related services. The Board also noted the Adviser has implemented a "manager-of-managers" structure for the Funds under which the investment portfolio of each Fund is managed by a Sub-Adviser, and considered the responsibilities that the Adviser has under the "manager-of-managers" structure, including with respect to the selection and ongoing monitoring of the Sub-Advisers.
The Board also considered the quality of the compliance programs of the Adviser and each Sub-Adviser, including the manner in which the Adviser and each Sub-Adviser monitor for compliance with the investment policies and restrictions of a Fund and with the Codes of Ethics of the Funds, the Adviser and the Sub-Advisers with respect to personal trading by employees with access to portfolio information. In this regard, the Board noted the Adviser's assistance to the Funds in identifying and hiring a new Chief Compliance Officer ("CCO") during 2012, and in approving enhancements to the staff of the office of the CCO. Additionally, the Board considered information related to the quality of the risk management program established by ING's Chief Risk Officer for the Funds, and received reports from other risk management personnel regarding the risk characteristics of the Funds. The Board also considered the actions taken by the Adviser and Sub-Advisers to establish and maintain effective disaster recovery and business continuity plans.
The Board considered the actions taken by the Adviser and its affiliated companies to administer the Funds' policies and procedures for voting proxies, valuing the Funds' assets, selective disclosure of portfolio holdings and preventing late-trading and frequent trading of Fund shares.
The Board also took into account the efforts of the Adviser and its affiliated companies to reduce the expenses of the Funds. With respect to those Funds that are sub-advised by an affiliate of the Adviser, the Board specifically noted that, in recent years, the Adviser and its affiliated companies have maintained reasonable brokerage costs on behalf of the Funds and have not materially increased the quantity of research acquired through the use of soft dollars from the Funds' brokerage. In this regard, the Independent
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ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
Trustees noted that the Adviser and its affiliated companies have established Commission Sharing Arrangements as an alternative means of maintaining access to desired research consistent with achieving best execution. The Board also noted the efforts of the Adviser to optimize the number of Funds in the ING complex of mutual funds and to standardize the asset management characteristics and policies across the ING mutual fund platform. The Board also considered the benefits that shareholders of the Funds realize because the Funds are part of the larger ING family of mutual funds, including, in most cases, the ability of shareholders to exchange or transfer investments within the same class of shares among a wide variety of mutual funds without incurring additional sales charges.
The Board considered information provided by management with respect to ING Groep's plans for divestiture of its insurance business, including its investment management business (the "Insurance Divestiture"). The Board considered the potential impact of the Insurance Divestiture on the services provided to the Funds by the Adviser and Sub-Advisers. The Board also considered the actions that have been taken by management to retain key investment management personnel in light of the Insurance Divestiture.
The Board also considered the Adviser's responsiveness and recommendations for Board action and other steps taken in response to the extraordinary dislocations experienced in the capital markets in recent years and related legislative and regulatory changes. In particular, the Board considered the Adviser's efforts and expertise with respect to each of the following matters as they relate to the Funds: (i) negotiating and maintaining the availability of bank loan facilities and other sources of credit used to satisfy liquidity needs; (ii) establishing the fair value of securities and other instruments held in investment portfolios during periods of market volatility; (iii) negotiating and maintaining credit support from the Funds' securities lending agent with respect to certain defaulted securities held indirectly by the Funds as collateral for securities on loan; and (iv) the ongoing monitoring of investment management processes and risk controls.
The Board's approval of the Advisory and Sub-Advisory Agreements was informed by certain information provided by the Adviser and the applicable Sub-Advisers with respect to actions previously taken and proposed to be taken to improve the performance of certain
Funds, including those funds that make use of quantitative investment strategies.
The Board concluded that the nature, extent and quality of advisory and related services provided by the Adviser and each of the Sub-Advisers, taken as a whole, are appropriate and consistent with the terms of the respective Advisory and Sub-Advisory Agreements.
Fund Performance
The Board reviewed each Fund's investment performance over various time periods on an absolute basis and relative to the performance of (i) one or more appropriate benchmark indexes (such as the S&P 500 Composite Stock Price Index), (ii) a group of similarly managed mutual funds identified by Morningstar, Inc. and/or, Lipper, Inc., and (iii) similarly managed mutual funds within a specified peer group based upon the Peer Group Methodology approved by the Contracts Committee (each, a "Selected Peer Group"). The Board reviewed comparative performance data for the most recent calendar quarter, year-to-date, one-, three-, five- and ten-year periods, where applicable, ending June 30, 2012 and the most recent calendar quarter, year-to-date, one-, three-, and five-year periods ending September 30, 2012.
With respect to each Fund that seeks investment results corresponding to the total return of an index (commonly referred to as an "index fund"), the Board focused on the reasonableness of the differences between the Fund's performance and the total return of such index during these time periods, rather than the performance of the Fund relative to the applicable Morningstar or Lipper category or Selected Peer Group. With respect to each index fund, the Board concluded that differences between the performance of the index fund and benchmark index during relevant time periods have been reasonable.
With respect to the ING BlackRock Science and Technology Opportunities Portfolio, management recommended and the Board approved (subject to obtaining shareholder approval) a merger of the Portfolio into another fund in the ING Complex. The Board concluded that it would be appropriate and consistent with the interests of the Portfolio and its shareholders to continue the existing Agreements for such Portfolio pending completion of the merger.
Subject to the foregoing, the Board concluded with respect to each Fund that (i) the performance of the Fund is satisfactory and/or (ii) that appropriate actions are being taken to improve the Fund's performance and that additional time is needed to evaluate the effectiveness of such actions.
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ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
Summaries of selected portions of the performance information reviewed by the Board, together with the Board's conclusions regarding the performance of each Fund covered by this report, are set forth below under "Fund-by-Fund Analysis."
Management Fees, Sub-Advisory Fees and Expenses
Consideration was given to the contractual investment advisory fee rates, inclusive of administrative fee rates, payable by the Funds to the Adviser and its affiliated companies (referred to collectively as "management fees") and the contractual sub-advisory fee rates payable by the Adviser to each Sub-Adviser for sub-advisory services. As part of its review, the Board considered each Fund's management fee and total expense ratio, as compared to its Selected Peer Group, both before and after giving effect to any undertaking by the Adviser to waive fees and/or limit the total expenses of a Fund. In this regard, the Board considered the Adviser's agreement to extend each such fee waiver and expense limitation agreement for an additional period of at least one-year and not to terminate such agreement in future years without prior approval of the Board. In addition, the Trustees received information regarding the fees charged by each Sub-Adviser to similarly-managed institutional accounts and other mutual funds, if any, and the comparability (or lack thereof) of the services provided by the Sub-Adviser in managing such accounts and other mutual funds to the services provided in managing the Funds. With respect to the Funds sub-advised by an affiliate of the Adviser, the Board evaluated the reasonableness of the total fees received by the Adviser and its affiliate in the aggregate under the Advisory and Sub-Advisory Agreements. With respect to any Fund sub-advised by a Sub-Adviser that is not affiliated with the Adviser, the Board considered the reasonableness of the fees payable to the Sub-Adviser by the Adviser in light of the ability of the Adviser to negotiate such fees on an arm's-length basis. After reviewing the foregoing information, and in light of the nature, extent and quality of the services provided by the Adviser and each Sub-Adviser, the Board concluded with respect to each Fund that the fees charged to the Fund for advisory, sub-advisory and related services is fair and reasonable.
Summaries of selected portions of the fee and expense information reviewed for the Funds covered by this report are set forth below under "Fund-by-Fund Analysis."
Profitability
The Board considered information relating to revenues, expenses, and profits realized by the Adviser and each Sub-Adviser attributable to performing advisory, sub-advisory and administrative services for the Funds. With respect to Funds sub-advised by an unaffiliated Sub-Adviser, the Board did not consider the profitability of the Sub-Adviser to be a material factor because the Board believes that the Adviser negotiates sub-advisory fees with the unaffiliated Sub-Adviser on an arm's-length basis. The Board reviewed profitability data for the Adviser and its affiliated companies, including the distributor of the Funds, relating to (i) each Fund separately, (ii) all Funds as a group, (iii) all "retail" Funds as a group, and (iv) all variable insurance product Funds as a group, in each case for the one-year periods ended December 31, 2011 and December 31, 2010 and the six-month period ended June 30, 2012. With respect to the Adviser and its affiliates, such information was prepared in accordance with a methodology approved by the Contracts Committee. The Board considered the profitability of the Adviser and its affiliated companies attributable to managing and operating each Fund both with and without the profitability of the distributor of the Funds and both before and after giving effect to any expenses incurred by the Adviser or any affiliated company in making revenue sharing or other payments to third parties, including affiliated insurance companies, for distribution and administrative services. With respect to Funds sub-advised by an affiliate of the Adviser, the Board considered the total profits derived by the Adviser and its affiliate in the aggregate attributable to managing and operating each Fund. The Board recognized that measuring profitability is not an exact science, that there is no uniform methodology for determining profitability for this purpose and that different methodologies can produce dramatically different profit and loss results. The Board also considered other direct or indirect benefits that the Adviser and Sub-Advisers, and any affiliated companies thereof, derive from their relationships with the Funds, including the receipt by certain affiliates of the Adviser, of fees relating to the offering of bundled financial products, such as annuity contracts, and the receipt by Sub-Advisers of "soft dollar" benefits from the Funds' brokerage. The Board concluded that, in light of the nature, extent and quality of the services provided, the profits realized by the Adviser and its affiliated companies, individually and taken as a whole, with respect to providing advisory, sub-advisory and administrative services for each Fund are reasonable.
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ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
Economies of Scale
In considering the reasonableness of the management fee of each Fund, the Board considered the extent to which economies of scale can be expected to be realized by a Fund's Adviser and its affiliated companies, on the one hand, and by the Fund, on the other hand, as the assets of the Fund grow. The Board noted that the advisory fee schedule for certain Funds include breakpoints such that, as the assets of the Fund grow, the Fund's management fee will decrease as a percentage of the Fund's total assets. The Board recognized the inherent difficulties in measuring precisely the impact of any economies of scale being realized by the Adviser and its affiliated companies with respect to their management of any one or more Funds. In an effort to determine the extent to which economies of scale, if any, will be realized by the Adviser and its affiliated companies as the assets of the Funds grow, the Board considered the profitability data described above relating to the Adviser and its affiliated companies in light of changes in the assets of the Funds over various time periods. The Board also reviewed information regarding the expense ratio of each Fund in light of changes in the assets of the Funds over various time periods, noting that, as the assets of a Fund increase, the fixed expenses of the Fund, as a percentage of the total assets of the Fund, can be expected to decrease. The Board considered such expense information in light of projections provided by the Adviser with respect to the future growth of assets of the Funds. The Board also considered the actions taken during 2012, consistent with prior undertakings provided by the Adviser to the Board, to implement new or additional breakpoints for the following Funds: ING WisdomTree Global High Yielding Equity Index Portfolio; ING Russell Mid Cap Growth Index Portfolio; ING Blackrock Science and Technology Opportunities Portfolio; ING Hang Seng Index Portfolio; ING Corporate Leaders 100 Fund; ING International Index Portfolio; ING Russell Large Cap Growth Index Portfolio; ING Russell Small Cap Index Portfolio; ING Russell Large Cap Index Portfolio; ING Russell Mid Cap Index Portfolio; and ING U.S. Bond Index Portfolio. Based upon the foregoing (and after giving effect to all new or additional breakpoints), the Board concluded that the economies of scale being realized by the Adviser and its affiliated companies do not require the implementation of new breakpoints or additional breakpoints, as the case may be, with respect to any other Fund at this time.
Fund-by-Fund Analysis
In deciding to approve the continuation of each Advisory and Sub-Advisory Agreement for an additional one-year period beginning January 1, 2013, the Board took into account the specific data and factors identified below relating to the performance, fees and expenses of each Fund and actions being taken by the Adviser or Sub-Adviser, as the case may be, with respect to these matters. Except as otherwise indicated, the performance data described below for each Fund is for periods ended September 30, 2012 and the management fees and expense data described below are as of June 30, 2012.
ING Balanced Portfolio
In evaluating the investment performance of ING Balanced Portfolio, the Board noted that: (1) the Portfolio outperformed its Morningstar category median for most recent calendar quarter, year-to-date, one-year and three-year periods and underperformed its Morningstar category median for five-year period; (2) the Portfolio outperformed its benchmark index for the most recent calendar quarter, year-to-date, one-year and three-year periods and underperformed its Morningstar category median for five-year period and underperformed its benchmark index for the five-year period; and (3) that the Portfolio is ranked in its Morningstar category in the first quintile for the most recent calendar quarter, in the second quintile for the year-to-date, one-year and three-year periods, and in the fourth quintile for the five-year period. The Board concluded that the performance of the Portfolio is satisfactory.
In assessing the reasonableness of the management fee of ING Balanced Portfolio, the Board noted that the management fee for the Portfolio is below the median and average management fees of the funds in its Selected Peer Group and that the expense ratio for the Portfolio is below the median and average expense ratio of the funds in its Selected Peer Group.
ING BlackRock Science and Technology Opportunities Portfolio
In evaluating the investment performance of ING BlackRock Science and Technology Opportunities Portfolio, the Board noted that: (1) the Portfolio underperformed its Morningstar category median for each period presented; (2) the Portfolio underperformed its benchmark index for the most recent calendar quarter, year-to-date, one-year and three-year periods and outperformed its benchmark index for the five-year period; and (3) the Portfolio is
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ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
ranked in its Morningstar category in the fourth quintile for the most recent calendar quarter, year-to-date, three-year and five-year periods and the fifth quintile for the one-year period. The Board further noted that, at the request of the Contracts Committee and consistent with representations made by the Adviser during the 2011 annual contract renewal process, the Adviser has amended the advisory fee schedule to add breakpoints that will result in a sharing of the benefits of economies of scale as assets in the Fund grow.
In assessing the reasonableness of the management fee for ING BlackRock Science and Technology Opportunities Portfolio, the Board noted that the management fee for the Portfolio is above the median and average management fees of the funds in its Selected Peer Group and that the expense ratio for the Portfolio is above the median and average expense ratios of the portfolios in its Selected Peer Group.
Additionally, the Board noted that management recommended and the Board approved (subject to obtaining shareholder approval) a merger of the Portfolio into another fund in the ING Complex. The Board concluded that it would be appropriate and consistent with the interests of the Portfolio and its shareholders to continue the existing Agreements for such Portfolio pending completion of the merger
ING Growth and Income Portfolio
In evaluating the investment performance of ING Growth and Income Portfolio, the Board noted that: (1) the Portfolio outperformed its Morningstar category median for each period presented; (2) outperformed its benchmark index for the most recent calendar quarter, year-to-date, one-year and five-year periods, and underperformed its benchmark index for the three-year period; and (3) the Portfolio is ranked in its Morningstar category in the first quintile for the most recent calendar quarter, year-to-date and one-year periods, and in the second quintile for the thee-year and five-year periods. The Board concluded that the performance of the Fund is satisfactory.
In assessing the reasonableness of the management fee for ING Growth and Income Portfolio, the Board noted that the management fee for the Portfolio is below the median and average management fees of the funds in its Selected Peer Group and that the expense ratio for the Portfolio is below the median and average expense ratios of the funds in its Selected Peer Group.
ING Small Company Portfolio
In evaluating the investment performance of ING Small Company Portfolio, the Board noted that: (1) the Portfolio outperformed its Morningstar category median for the year-to-date, one-year, three-year and five-year periods and underperformed for the most recent calendar quarter; (2) the Portfolio outperformed its benchmark index for the one-year and five-year periods, but underperformed the benchmark index for the most recent calendar quarter, year-to-date and three-year periods; and (3) the Portfolio is ranked in its Morningstar category in the fourth quintile for the most recent calendar quarter, in the third quintile for the year-to-date and three-year periods and in the second quintile for the one-year and five-year periods. The Board concluded that the performance of the Fund is satisfactory.
In assessing the reasonableness of the management fee for ING Small Company Portfolio, the Board noted that the management fee for the Portfolio is below the median and average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Portfolio is below the median and average expense ratios of the funds in its Selected Peer Group.
ING Intermediate Bond Portfolio
In evaluating the investment performance of ING Intermediate Bond Portfolio, the Board noted that: (1) the Portfolio outperformed its Morningstar category median for the most recent calendar quarter, year-to-date, one-year and three-year periods, and underperformed for the five-year period; (2) the Portfolio outperformed its benchmark index for the most recent calendar quarter, year-to-date, one-year and three-year periods, and underperformed for the five-year period and (3) the Portfolio is ranked in its Morningstar category in the first quintile for the most recent calendar quarter and three-year periods, the second quintile for the year-to-date and one-year periods and in the fourth quintile for the five-year period. The Board concluded that the performance of the Portfolio is satisfactory.
In assessing the reasonableness of the management fee for ING Intermediate Bond Portfolio, the Board noted that the management fee for the Portfolio is below the median and average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Portfolio is below the median and average expense ratios of the funds in its Selected Peer Group.
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ADVISORY CONTRACT APPROVAL DISCUSSION (UNAUDITED) (CONTINUED)
ING Money Market Portfolio
In evaluating the investment performance of ING Money Market Portfolio, the Board noted that: (1) the Portfolio outperformed its Morningstar category median for each period presented; (2) the Portfolio outperformed its benchmark index for each period presented; and (3) although the Portfolio is not ranked by Morningstar, the Portfolio is ranked in its Lipper category in the first quintile for each period presented. In assessing the performance of the Fund, the Board noted that throughout 2012 the Sub-Adviser continued to operate the Fund in a risk averse manner by investing primarily in highly liquid instruments of short duration of high quality issuers due to the continued high level of volatility in the money markets. The Board also recognized that since 2009 the Adviser and its affiliates have been waiving, and/or reimbursing fees in order for the Fund to maintain a net yield equal to, or greater than zero. The Board concluded that the performance of the Portfolio is satisfactory.
In assessing the reasonableness of the management fee for ING Money Market Portfolio, the Board noted that the management fee for the Portfolio is above the median and average management fees of the funds in its Selected Peer Group, and that the expense ratio for the Portfolio is above the median and average expense ratios of the funds in its Selected Peer Group. The Board noted that during 2011 the Adviser and its affiliates continued to voluntarily waive, and/or reimburse fees in order for the Fund to maintain a net yield equal to, or greater than zero.
107
Investment Adviser
ING Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Administrator
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Distributor
ING Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
Independent Registered Public Accounting Firm
KPMG LLP
Two Financial Center
60 South Street
Boston, Massachusetts 02111
Custodian
The Bank of New York Mellon
One Wall Street
New York, New York 10286
Legal Counsel
Goodwin Procter LLP
Exchange Place
53 State Street
Boston, Massachusetts 02109
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable universal life insurance policy or variable annuity contract and the underlying variable investment options. This and other information is contained in the prospectus for the variable universal life policy or variable annuity contract and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
VPAR-ACAPAPALL (1212-022013)
n | ING Australia Index Portfolio | |
n | ING Emerging Markets Index Portfolio | |
n | ING Euro STOXX 50® Index Portfolio | |
n | ING FTSE 100 Index® Portfolio | |
n | ING Hang Seng Index Portfolio | |
n | ING International Index Portfolio | |
n | ING Japan TOPIX Index Portfolio | |
n | ING RussellTM Large Cap Growth Index Portfolio | |
n | ING RussellTM Large Cap Index Portfolio | |
n | ING RussellTM Large Cap Value Index Portfolio | |
n | ING RussellTM Mid Cap Growth Index Portfolio | |
n | ING RussellTM Mid Cap Index Portfolio | |
n | ING RussellTM Small Cap Index Portfolio | |
n | ING U.S. Bond Index Portfolio | |
n | ING WisdomTreeSM Global High-Yielding Equity Index Portfolio |
This report is submitted for general information to shareholders of the ING Funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the funds’ investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
MUTUAL FUNDS | |
President’s Letter | 2 | |||||
Market Perspective | 3 | |||||
Portfolio Managers’ Reports | 6 | |||||
Shareholder Expense Examples | 36 | |||||
Report of Independent Registered Public Accounting Firm | 39 | |||||
Statements of Assets and Liabilities | 40 | |||||
Statements of Operations | 48 | |||||
Statements of Changes in Net Assets | 52 | |||||
Financial Highlights | 60 | |||||
Notes to Financial Statements | 68 | |||||
Summary Portfolios of Investments | 88 | |||||
Tax Information | 142 | |||||
Director and Officer Information | 144 | |||||
Advisory Contract Approval Discussion | 149 | |||||
Shareholder Meeting Information | 157 |
Looking Forward
President and Chief Executive Officer
ING Funds
January 4, 2013
The views expressed in the President’s Letter reflect those of the President as of the date of the letter. Any such views are subject to change at any time based upon market or other conditions and ING Funds disclaims any responsibility to update such views. These views may not be relied on as investment advice and because investment decisions for an ING Fund are based on numerous factors, may not be relied on as an indication of investment intent on behalf of any ING Fund. Reference to specific company securities should not be construed as recommendations or investment advice.
Index | Description | |||||
---|---|---|---|---|---|---|
Barclays Capital High Yield Bond — 2% Issuer Constrained Composite Index | An unmanaged index that includes all fixed-income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and at least one year to maturity. | |||||
Barclays Capital U.S. Aggregate Bond Index | An unmanaged index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities. | |||||
Barclays Capital U.S. Corporate Investment Grade Bond Index | An unmanaged index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. | |||||
Barclays Capital U.S. Treasury Index | An unmanaged index that includes public obligations of the U.S. Treasury. Treasury bills, certain special issues, such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS and STRIPS, are excluded. | |||||
EURO STOXX 50® Index | Covers 50 stocks from 12 euro zone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. | |||||
FTSE 100 Index® | A share index of the 100 most highly capitalized U.K. companies listed on the London Stock Exchange. | |||||
Hang Seng Index | A free float-adjusted market capitalization-weighted stock market index in Hong Kong. | |||||
MSCI EAFE® Index | An unmanaged index that measures the performance of securities listed on exchanges in Europe, Australasia and the Far East. It includes the reinvestment of dividends net of withholding taxes, but does not reflect fees, brokerage commissions or other expenses of investing. | |||||
MSCI Emerging Markets 50 Index | A tradable version of the MSCI Emerging Markets IndexSM. The index is highly correlated to the broad MSCI Emerging Markets IndexSM, but is composed of just 50 of its largest constituents. The index applies eligibility criteria to exclude some of the smallest Emerging Markets countries and uses depositary receipts in selected markets to increase accessibility. | |||||
MSCI Europe ex UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK. | |||||
MSCI Japan® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan. | |||||
MSCI UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. | |||||
MSCI World IndexSM | An unmanaged index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East. | |||||
Russell 2000® Index | An unmanaged index that measures the performance of securities of small U.S. companies. | |||||
Russell Midcap® Growth Index | An unmanaged index that measures the performance of those companies included in the Russell Midcap® Index with relatively higher price-to-book ratios and higher forecasted growth values. | |||||
Russell Midcap® Index | An unmanaged index that measures the performance of the 800 smallest companies in the Russell 1000® Index. | |||||
Russell Top 200® Index | An unmanaged index used to measure stock market performance composed of companies with a weighted average market value of approximately $630 million. | |||||
Russell Top 200® Growth Index | Measures the performance of the especially large cap segment of the U.S. equity universe represented by stocks in the largest 200 by market cap that exhibit growth characteristics. It includes Russell Top 200® Index companies with higher price-to-book ratios and higher forecasted growth values. |
Index | Description | |||||
---|---|---|---|---|---|---|
Russell Top 200® Value Index | Measures the performance of the especially large cap segment of the U.S. equity universe represented by stocks in the largest 200 by market cap that exhibit value characteristics. It includes Russell Top 200® Index companies with lower price-to-book ratios and lower forecasted growth values. | |||||
S&P 500® Index | An unmanaged index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. | |||||
S&P/Case-Shiller 20-City Composite Home Price Index | A composite index of the home price index for the top 20 Metropolitan Statistical Areas in the United States. The index is published monthly by Standard & Poor’s. | |||||
Standard & Poor’s ASX 200 Index | An investable benchmark for the Australian equity market and it addresses the needs of investment managers seeking to benchmark against a portfolio characterized by sufficient size and liquidity. The Index measures the performance of the 200 largest index-eligible stocks listed on the Australian Securities Exchange by float-adjusted market capitalization. Representative, liquid, and tradable, it is widely considered Australia’s preeminent benchmark index. The Index is float-adjusted, covering approximately 80% of Australian equity market capitalization. | |||||
Tokyo Stock Price Index® | A composite index for the Tokyo Stock Exchange tracking all domestic stocks from the first section of the exchange. | |||||
WisdomTreeSM Global High-Yielding Equity Index | A fundamentally weighted index that measures the performance of high dividend-yielding companies selected from the Wisdom Tree Global Dividend Index, which measures the performance of dividend-paying companies in the U.S., developed and emerging markets. |
ING AUSTRALIA INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Financials | 40.9 | % | ||||||
Materials | 21.4 | % | ||||||
Consumer Staples | 8.3 | % | ||||||
Industrials | 6.5 | % | ||||||
Energy | 6.1 | % | ||||||
Telecommunication Services | 5.0 | % | ||||||
Health Care | 4.3 | % | ||||||
Consumer Discretionary | 3.3 | % | ||||||
Utilities | 1.7 | % | ||||||
Information Technology | 0.6 | % | ||||||
Assets in Excess of Other Liabilities* | 1.9 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012 (as a percentage of net assets) | ||||||||
BHP Billiton Ltd. | 10.4 | % | ||||||
Commonwealth Bank of Australia | 8.7 | % | ||||||
Westpac Banking Corp. | 7.0 | % | ||||||
Australia & New Zealand Banking Group Ltd. | 6.0 | % | ||||||
National Australia Bank Ltd. | 5.1 | % | ||||||
Telstra Corp., Ltd. | 4.7 | % | ||||||
Wesfarmers Ltd. | 3.7 | % | ||||||
Woolworths Ltd. | 3.2 | % | ||||||
Rio Tinto Ltd. | 2.5 | % | ||||||
CSL Ltd. | 2.3 | % | ||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | The Portfolio’s net return may at times appear to diverge from the return of its benchmark index more than would be expected. These divergences may, in part, be the result of fair-value pricing adjustments to certain foreign securities as well as other pricing policies. In accordance with the Portfolio’s Valuation Policy, fair-value pricing adjustments may be used to address pricing discrepancies that arise due to time-zone differences. Foreign securities may trade on exchanges that close many hours before the Portfolio’s closing share price is calculated in the United States, generally at 4 p.m., Eastern Time. In the hours between the foreign close and the U.S. close, the value of these foreign securities may change — because of company specific announcements or marketwide developments. Such price changes are not immediately reflected in international index values. Fair-value pricing takes such changes into account in calculating the Portfolio’s daily net asset value (“NAV”), so that the NAV doesn’t include “stale” prices. The result can be a temporary divergence between the return of the Portfolio and that of its benchmark index. The Portfolio also translates local prices to U.S. dollars using foreign exchange rates at the time the NAV is calculated whereas the index does not. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
PORTFOLIO MANAGERS’ REPORT | ING AUSTRALIA INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV and I March 2, 2011 | |||||||||||
Class ADV | 22.26 | % | 3.56 | % | ||||||||
Class I | 22.91 | % | 4.13 | % | ||||||||
S&P ASX 200 Index | 21.78 | % | 4.09 | % |
ING EMERGING MARKETS INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Information Technology | 22.8 | % | ||||||
Financials | 22.8 | % | ||||||
Energy | 17.2 | % | ||||||
Telecommunication Services | 10.7 | % | ||||||
Materials | 9.2 | % | ||||||
Consumer Discretionary | 6.7 | % | ||||||
Consumer Staples | 4.2 | % | ||||||
Industrials | 0.6 | % | ||||||
Assets in Excess of Other Liabilities* | 5.8 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012* (as a percentage of net assets) | ||||||||
Samsung Electronics Co., Ltd. | 10.4 | % | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 5.4 | % | ||||||
China Mobile Ltd. | 4.6 | % | ||||||
China Construction Bank | 3.8 | % | ||||||
Gazprom OAO ADR | 3.3 | % | ||||||
Industrial and Commercial Bank of China Ltd. | 3.1 | % | ||||||
America Movil S.A.B de CV ADR | 2.9 | % | ||||||
Vale SA ADR | 2.7 | % | ||||||
Petroleo Brasileiro SA ADR | 2.6 | % | ||||||
CNOOC Ltd. | 2.6 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | The Portfolio’s net return may at times appear to diverge from the return of its benchmark index more than would be expected. These divergences may, in part, be the result of fair-value pricing adjustments to certain foreign securities as well as other pricing policies. In accordance with the Portfolio’s Valuation Policy, fair-value pricing adjustments may be used to address pricing discrepancies that arise due to time-zone differences. Foreign securities may trade on exchanges that close many hours before the Portfolio’s closing share price is calculated in the United States, generally at 4 p.m., Eastern Time. In the hours between the foreign close and the U.S. close, the value of these foreign securities may change — because of company specific announcements or marketwide developments. Such price changes are not immediately reflected in international index values. Fair-value pricing takes such changes into account in calculating the Portfolio’s daily net asset value (“NAV”), so that the NAV doesn’t include “stale” prices. The result can be a temporary divergence between the return of the Portfolio and that of its benchmark index. The Portfolio also translates local prices to U.S. dollars using foreign exchange rates at the time the NAV is calculated whereas the index does not. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
PORTFOLIO MANAGERS’ REPORT | ING EMERGING MARKETS INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV, I, S and S2 December 19, 2011 | |||||||||||
Class ADV | 16.01 | % | 18.94 | % | ||||||||
Class I | 16.38 | % | 19.42 | % | ||||||||
Class S | 16.20 | % | 19.13 | % | ||||||||
Class S2 | 16.10 | % | 19.03 | % | ||||||||
MSCI EM 50 Index | 15.80 | % | 19.63 | % |
ING EURO STOXX 50® INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Financials | 24.5 | % | ||||||
Health Care | 10.0 | % | ||||||
Consumer Staples | 9.8 | % | ||||||
Industrials | 9.3 | % | ||||||
Consumer Discretionary | 9.3 | % | ||||||
Energy | 9.2 | % | ||||||
Materials | 7.3 | % | ||||||
Utilities | 6.5 | % | ||||||
Telecommunication Services | 6.4 | % | ||||||
Information Technology | 5.3 | % | ||||||
Assets in Excess of Other Liabilities* | 2.4 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012 (as a percentage of net assets) | ||||||||
Total S.A. | 5.3 | % | ||||||
Sanofi-Aventis SA | 5.3 | % | ||||||
Siemens AG | 4.3 | % | ||||||
BASF AG | 4.1 | % | ||||||
Banco Santander Central Hispano S.A. | 3.9 | % | ||||||
Bayer AG | 3.7 | % | ||||||
SAP AG | 3.5 | % | ||||||
ENI S.p.A. | 3.1 | % | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 3.0 | % | ||||||
Allianz AG | 3.0 | % | ||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | The Portfolio’s net return may at times appear to diverge from the return of its benchmark index more than would be expected. These divergences may, in part, be the result of fair-value pricing adjustments to certain foreign securities as well as other pricing policies. In accordance with the Portfolio’s Valuation Policy, fair-value pricing adjustments may be used to address pricing discrepancies that arise due to time-zone differences. Foreign securities may trade on exchanges that close many hours before the Portfolio’s closing share price is calculated in the United States, generally at 4 p.m., Eastern Time. In the hours between the foreign close and the U.S. close, the value of these foreign securities may change — because of company specific announcements or marketwide developments. Such price changes are not immediately reflected in international index values. Fair-value pricing takes such changes into account in calculating the Portfolio’s daily net asset value (“NAV”), so that the NAV doesn’t include “stale” prices. The result can be a temporary divergence between the return of the Portfolio and that of its benchmark index. The Portfolio also translates local prices to U.S. dollars using foreign exchange rates at the time the NAV is calculated whereas the index does not. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
PORTFOLIO MANAGERS’ REPORT | ING EURO STOXX 50® INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV and I August 17, 2009 | |||||||||||
Class ADV | 21.83 | % | 1.89 | % | ||||||||
Class I | 22.42 | % | 2.38 | % | ||||||||
Euro STOXX 50® Index | 19.90 | % | (0.83 | )%(1) |
(1) | Since inception performance for the index is shown from September 1, 2009. |
ING FTSE 100 INDEX® PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Financials | 19.8 | % | ||||||
Energy | 17.9 | % | ||||||
Consumer Staples | 16.7 | % | ||||||
Materials | 12.2 | % | ||||||
Health Care | 7.7 | % | ||||||
Consumer Discretionary | 6.3 | % | ||||||
Telecommunication Services | 6.2 | % | ||||||
Industrials | 6.1 | % | ||||||
Utilities | 4.2 | % | ||||||
Information Technology | 0.9 | % | ||||||
Assets in Excess of Other Liabilities* | 2.0 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012 (as a percentage of net assets) | ||||||||
HSBC Holdings PLC | 7.8 | % | ||||||
BP PLC | 5.3 | % | ||||||
Royal Dutch Shell PLC — Class A | 5.2 | % | ||||||
Vodafone Group PLC | 5.0 | % | ||||||
GlaxoSmithKline PLC | 4.3 | % | ||||||
British American Tobacco PLC | 4.0 | % | ||||||
Royal Dutch Shell PLC — Class B | 3.8 | % | ||||||
BHP Billiton PLC | 3.0 | % | ||||||
Diageo PLC | 2.9 | % | ||||||
Rio Tinto PLC | 2.9 | % | ||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | The Portfolio’s net return may at times appear to diverge from the return of its benchmark index more than would be expected. These divergences may, in part, be the result of fair-value pricing adjustments to certain foreign securities as well as other pricing policies. In accordance with the Portfolio’s Valuation Policy, fair-value pricing adjustments may be used to address pricing discrepancies that arise due to time-zone differences. Foreign securities may trade on exchanges that close many hours before the Portfolio’s closing share price is calculated in the United States, generally at 4 p.m., Eastern Time. In the hours between the foreign close and the U.S. close, the value of these foreign securities may change — because of company specific announcements or marketwide developments. Such price changes are not immediately reflected in international index values. Fair-value pricing takes such changes into account in calculating the Portfolio’s daily net asset value (“NAV”), so that the NAV doesn’t include “stale” prices. The result can be a temporary divergence between the return of the Portfolio and that of its benchmark index. The Portfolio also translates local prices to U.S. dollars using foreign exchange rates at the time the NAV is calculated whereas the index does not. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
PORTFOLIO MANAGERS’ REPORT | ING FTSE 100 INDEX® PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV and I August 17, 2009 | |||||||||||
Class ADV | 15.24 | % | 10.38 | % | ||||||||
Class I | 15.74 | % | 10.90 | % | ||||||||
FTSE 100 Index® | 15.03 | % | 9.27 | %(1) |
(1) | Since inception performance for the index is shown from September 1, 2009. |
ING HANG SENG INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Financials | 56.4 | % | ||||||
Energy | 12.0 | % | ||||||
Telecommunication Services | 8.2 | % | ||||||
Utilities | 4.8 | % | ||||||
Industrials | 4.1 | % | ||||||
Information Technology | 3.8 | % | ||||||
Consumer Discretionary | 3.6 | % | ||||||
Consumer Staples | 2.8 | % | ||||||
Materials | 0.2 | % | ||||||
Assets in Excess of Other Liabilities* | 4.1 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012* (as a percentage of net assets) | ||||||||
HSBC Holdings PLC | 14.2 | % | ||||||
China Mobile Ltd. | 7.4 | % | ||||||
China Construction Bank | 7.1 | % | ||||||
Industrial and Commercial Bank of China Ltd. | 5.5 | % | ||||||
AIA Group Ltd. | 4.5 | % | ||||||
CNOOC Ltd. | 4.1 | % | ||||||
Tencent Holdings Ltd. | 3.8 | % | ||||||
Bank of China Ltd. | 3.7 | % | ||||||
PetroChina Co., Ltd. | 3.2 | % | ||||||
China Life Insurance Co., Ltd. | 2.6 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | The Portfolio’s net return may at times appear to diverge from the return of its benchmark index more than would be expected. These divergences may, in part, be the result of fair-value pricing adjustments to certain foreign securities as well as other pricing policies. In accordance with the Portfolio’s Valuation Policy, fair-value pricing adjustments may be used to address pricing discrepancies that arise due to time-zone differences. Foreign securities may trade on exchanges that close many hours before the Portfolio’s closing share price is calculated in the United States, generally at 4 p.m., Eastern Time. In the hours between the foreign close and the U.S. close, the value of these foreign securities may change — because of company specific announcements or marketwide developments. Such price changes are not immediately reflected in international index values. Fair-value pricing takes such changes into account in calculating the Portfolio’s daily net asset value (“NAV”), so that the NAV doesn’t include “stale” prices. The result can be a temporary divergence between the return of the Portfolio and that of its benchmark index. The Portfolio also translates local prices to U.S. dollars using foreign exchange rates at the time the NAV is calculated whereas the index does not. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
PORTFOLIO MANAGERS’ REPORT | ING HANG SENG INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV, I, S andS2 May 4, 2009 | |||||||||||
Class ADV | 28.14 | % | 10.93 | % | ||||||||
Class I | 28.70 | % | 11.47 | % | ||||||||
Class S | 28.41 | % | 11.20 | % | ||||||||
Hang Seng Index | 27.72 | % | 14.63 | %(1) |
(1) | Since inception performance for the index is shown from May 1, 2009. |
ING INTERNATIONAL INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Financials | 23.3 | % | ||||||
Industrials | 12.0 | % | ||||||
Consumer Staples | 11.0 | % | ||||||
Consumer Discretionary | 10.1 | % | ||||||
Health Care | 9.3 | % | ||||||
Materials | 9.3 | % | ||||||
Energy | 7.3 | % | ||||||
Telecommunication Services | 4.6 | % | ||||||
Information Technology | 4.1 | % | ||||||
Utilities | 3.5 | % | ||||||
Telecommunications | 0.0 | % | ||||||
Assets in Excess of Other Liabilities* | 5.5 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. |
Top Ten Holdings as of December 31, 2012* (as a percentage of net assets) | ||||||||
Nestle S.A. | 1.8 | % | ||||||
HSBC Holdings PLC | 1.7 | % | ||||||
Novartis AG | 1.3 | % | ||||||
Roche Holding AG — Genusschein | 1.2 | % | ||||||
BP PLC | 1.2 | % | ||||||
Royal Dutch Shell PLC — Class A | 1.1 | % | ||||||
Toyota Motor Corp. | 1.1 | % | ||||||
BHP Billiton Ltd. | 1.1 | % | ||||||
Vodafone Group PLC | 1.1 | % | ||||||
Sanofi-Aventis SA | 1.0 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | The Portfolio’s net return may at times appear to diverge from the return of its benchmark index more than would be expected. These divergences may, in part, be the result of fair-value pricing adjustments to certain foreign securities as well as other pricing policies. In accordance with the Portfolio’s Valuation Policy, fair-value pricing adjustments may be used to address pricing discrepancies that arise due to time-zone differences. Foreign securities may trade on exchanges that close many hours before the Portfolio’s closing share price is calculated in the United States, generally at 4 p.m., Eastern Time. In the hours between the foreign close and the U.S. close, the value of these foreign securities may change — because of company specific announcements or marketwide developments. Such price changes are not immediately reflected in international index values. Fair-value pricing takes such changes into account in calculating the Portfolio’s daily net asset value (“NAV”), so that the NAV doesn’t include “stale” prices. The result can be a temporary divergence between the return of the Portfolio and that of its benchmark index. The Portfolio also translates local prices to U.S. dollars using foreign exchange rates at the time the NAV is calculated whereas the index does not. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
PORTFOLIO MANAGERS’ REPORT | ING INTERNATIONAL INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV, I and S March 10, 2008 | Since Inception of Class S2 February 27, 2009 | ||||||||||||||
Class ADV | 18.12 | % | (1.79 | )% | — | |||||||||||
Class I | 18.72 | % | (1.28 | )% | — | |||||||||||
Class S | 18.50 | % | (1.54 | )% | — | |||||||||||
Class S2 | 18.29 | % | — | 16.58 | % | |||||||||||
MSCI EAFE® Index | 17.32 | % | (2.15 | )%(1) | 16.71 | %(2) |
(1) | Since inception performance for the index is shown from March 1, 2008. |
(2) | Since inception performance for the index is shown from March 1, 2009. |
ING JAPAN TOPIX INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Industrials | 21.6 | % | ||||||
Consumer Discretionary | 19.5 | % | ||||||
Financials | 19.2 | % | ||||||
Information Technology | 10.9 | % | ||||||
Materials | 7.5 | % | ||||||
Consumer Staples | 7.0 | % | ||||||
Health Care | 5.9 | % | ||||||
Telecommunication Services | 4.1 | % | ||||||
Utilities | 2.5 | % | ||||||
Energy | 1.4 | % | ||||||
Assets in Excess of Other Liabilities* | 0.4 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012* (as a percentage of net assets) | ||||||||
Toyota Motor Corp. | 4.3 | % | ||||||
Mitsubishi UFJ Financial Group, Inc. | 2.9 | % | ||||||
Honda Motor Co., Ltd. | 2.2 | % | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1.9 | % | ||||||
Canon, Inc. | 1.8 | % | ||||||
Mizuho Financial Group, Inc. | 1.7 | % | ||||||
Fanuc Ltd. | 1.4 | % | ||||||
Nippon Telegraph & Telephone Corp. | 1.3 | % | ||||||
Takeda Pharmaceutical Co., Ltd. | 1.3 | % | ||||||
Softbank Corp. | 1.2 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | The Portfolio’s net return may at times appear to diverge from the return of its benchmark index more than would be expected. These divergences may, in part, be the result of fair-value pricing adjustments to certain foreign securities as well as other pricing policies. In accordance with the Portfolio’s Valuation Policy, fair-value pricing adjustments may be used to address pricing discrepancies that arise due to time-zone differences. Foreign securities may trade on exchanges that close many hours before the Portfolio’s closing share price is calculated in the United States, generally at 4 p.m., Eastern Time. In the hours between the foreign close and the U.S. close, the value of these foreign securities may change — because of company specific announcements or marketwide developments. Such price changes are not immediately reflected in international index values. Fair-value pricing takes such changes into account in calculating the Portfolio’s daily net asset value (“NAV”), so that the NAV doesn’t include “stale” prices. The result can be a temporary divergence between the return of the Portfolio and that of its benchmark index. The Portfolio also translates local prices to U.S. dollars using foreign exchange rates at the time the NAV is calculated whereas the index does not. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
PORTFOLIO MANAGERS’ REPORT | ING JAPAN TOPIX INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV and I August 17, 2009 | |||||||||||
Class ADV | 7.60 | % | 0.99 | % | ||||||||
Class I | 8.19 | % | 1.50 | % | ||||||||
Tokyo Stock Price Index® (TOPIX) | 7.54 | % | 0.84 | %(1) |
(1) | Since inception performance for the index is shown from September 1, 2009. |
ING RUSSELLTM LARGE CAP GROWTH INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Information Technology | 36.1 | % | ||||||
Consumer Staples | 14.2 | % | ||||||
Consumer Discretionary | 13.3 | % | ||||||
Industrials | 11.6 | % | ||||||
Health Care | 11.5 | % | ||||||
Energy | 3.5 | % | ||||||
Financials | 3.4 | % | ||||||
Materials | 2.9 | % | ||||||
Telecommunication Services | 2.4 | % | ||||||
Assets in Excess of Other Liabilities* | 1.1 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012 (as a percentage of net assets) | ||||||||
Apple, Inc. | 9.7 | % | ||||||
International Business Machines Corp. | 4.1 | % | ||||||
Microsoft Corp. | 3.9 | % | ||||||
Google, Inc. — Class A | 3.6 | % | ||||||
Coca-Cola Co. | 2.7 | % | ||||||
Philip Morris International, Inc. | 2.5 | % | ||||||
Oracle Corp. | 2.5 | % | ||||||
Verizon Communications, Inc. | 2.4 | % | ||||||
PepsiCo, Inc. | 2.1 | % | ||||||
Qualcomm, Inc. | 2.1 | % | ||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | Returns presented for the Portfolio are net of expenses. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
20
PORTFOLIO MANAGERS’ REPORT | ING RUSSELLTM LARGE CAP GROWTH INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV, I, and S May 1, 2009 | |||||||||||
Class ADV | 13.90 | % | 15.53 | % | ||||||||
Class I | 14.50 | % | 16.10 | % | ||||||||
Class S | 14.26 | % | 15.80 | % | ||||||||
Russell Top 200® Growth Index | 15.06 | % | 16.84 | % |
ING RUSSELLTM LARGE CAP INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Information Technology | 19.7 | % | ||||||
Financials | 14.3 | % | ||||||
Health Care | 12.1 | % | ||||||
Energy | 11.1 | % | ||||||
Consumer Staples | 10.9 | % | ||||||
Consumer Discretionary | 10.3 | % | ||||||
Industrials | 9.4 | % | ||||||
Telecommunication Services | 3.3 | % | ||||||
Materials | 2.8 | % | ||||||
Utilities | 2.4 | % | ||||||
Assets in Excess of Other Liabilities* | 3.7 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012* (as a percentage of net assets) | ||||||||
Apple, Inc. | 4.7 | % | ||||||
ExxonMobil Corp. | 3.8 | % | ||||||
General Electric Co. | 2.1 | % | ||||||
Chevron Corp. | 2.0 | % | ||||||
International Business Machines Corp. | 2.0 | % | ||||||
Microsoft Corp. | 1.9 | % | ||||||
AT&T, Inc. | 1.9 | % | ||||||
Johnson & Johnson | 1.8 | % | ||||||
Pfizer, Inc. | 1.8 | % | ||||||
Procter & Gamble Co. | 1.8 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | Returns presented for the Portfolio are net of expenses. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
22
PORTFOLIO MANAGERS’ REPORT | ING RUSSELLTM LARGE CAP INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV, I and S March 10, 2008 | Since Inception of Class S2 February 27, 2009 | ||||||||||||||
Class ADV | 15.05 | % | 3.33 | % | — | |||||||||||
Class I | 15.56 | % | 3.87 | % | — | |||||||||||
Class S | 15.38 | % | 3.61 | % | — | |||||||||||
Class S2 | 15.17 | % | — | 19.12 | % | |||||||||||
Russell Top 200® Index | 16.04 | % | 3.31 | %(1) | 20.31 | %(2) |
(1) | Since inception performance for the index is shown from March 1, 2008. |
(2) | Since inception performance for the index is shown from March 1, 2009. |
ING RUSSELLTM LARGE CAP VALUE INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Financials | 25.5 | % | ||||||
Energy | 18.8 | % | ||||||
Health Care | 13.3 | % | ||||||
Consumer Staples | 8.0 | % | ||||||
Consumer Discretionary | 7.8 | % | ||||||
Industrials | 7.7 | % | ||||||
Utilities | 4.8 | % | ||||||
Information Technology | 4.6 | % | ||||||
Telecommunication Services | 4.2 | % | ||||||
Materials | 2.8 | % | ||||||
Assets in Excess of Other Liabilities* | 2.5 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012 (as a percentage of net assets) | ||||||||
ExxonMobil Corp. | 7.7 | % | ||||||
General Electric Co. | 4.2 | % | ||||||
Chevron Corp. | 4.0 | % | ||||||
AT&T, Inc. | 3.7 | % | ||||||
Pfizer, Inc. | 3.6 | % | ||||||
Procter & Gamble Co. | 3.3 | % | ||||||
Wells Fargo & Co. | 3.2 | % | ||||||
JPMorgan Chase & Co. | 3.2 | % | ||||||
Berkshire Hathaway, Inc. | 3.0 | % | ||||||
Johnson & Johnson | 2.8 | % | ||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | Returns presented for the Portfolio are net of expenses. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
24
PORTFOLIO MANAGERS’ REPORT | ING RUSSELLTM LARGE CAP VALUE INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV, I, and S May 1, 2009 | |||||||||||
Class ADV | 15.92 | % | 14.19 | % | ||||||||
Class I | 16.47 | % | 14.73 | % | ||||||||
Class S | 16.11 | % | 14.46 | % | ||||||||
Russell Top 200® Value Index | 17.01 | % | 15.40 | % |
ING RUSSELLTM MID CAP GROWTH INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Consumer Discretionary | 24.9 | % | ||||||
Information Technology | 16.8 | % | ||||||
Industrials | 15.1 | % | ||||||
Health Care | 12.8 | % | ||||||
Consumer Staples | 7.6 | % | ||||||
Financials | 7.4 | % | ||||||
Materials | 6.6 | % | ||||||
Energy | 5.2 | % | ||||||
Telecommunication Services | 1.9 | % | ||||||
Utilities | 0.7 | % | ||||||
Assets in Excess of Other Liabilities* | 1.0 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012* (as a percentage of net assets) | ||||||||
Crown Castle International Corp. | 1.0 | % | ||||||
PPG Industries, Inc. | 1.0 | % | ||||||
Alexion Pharmaceuticals, Inc. | 0.9 | % | ||||||
Intuit, Inc. | 0.9 | % | ||||||
Whole Foods Market, Inc. | 0.8 | % | ||||||
T. Rowe Price Group, Inc. | 0.8 | % | ||||||
Liberty Global, Inc. | 0.8 | % | ||||||
McGraw-Hill Cos., Inc. | 0.8 | % | ||||||
Lorillard, Inc. | 0.7 | % | ||||||
Discovery Communications, Inc. — Class A | 0.7 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | Returns presented for the Portfolio are net of expenses. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
26
PORTFOLIO MANAGERS’ REPORT | ING RUSSELLTM MID CAP GROWTH INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV, I, S and S2 May 1, 2009 | |||||||||||
Class ADV | 15.13 | % | 18.24 | % | ||||||||
Class I | 15.74 | % | 18.82 | % | ||||||||
Class S | 15.50 | % | 18.57 | % | ||||||||
Class S2 | 15.30 | % | 18.38 | % | ||||||||
Russell Midcap® Growth Index | 15.81 | % | 19.24 | % |
ING RUSSELLTM MID CAP INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Financials | 18.8 | % | ||||||
Consumer Discretionary | 15.9 | % | ||||||
Information Technology | 12.7 | % | ||||||
Industrials | 12.6 | % | ||||||
Health Care | 9.3 | % | ||||||
Energy | 6.9 | % | ||||||
Materials | 6.2 | % | ||||||
Consumer Staples | 5.9 | % | ||||||
Utilities | 5.6 | % | ||||||
Telecommunication Services | 1.6 | % | ||||||
Assets in Excess of Other Liabilities* | 4.5 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012* (as a percentage of net assets) | ||||||||
Eaton Corp. PLC | 0.5 | % | ||||||
Marathon Petroleum Corp. | 0.5 | % | ||||||
Crown Castle International Corp. | 0.5 | % | ||||||
PPG Industries, Inc. | 0.5 | % | ||||||
HCP, Inc. | 0.5 | % | ||||||
Valero Energy Corp. | 0.4 | % | ||||||
Ventas, Inc. | 0.4 | % | ||||||
HJ Heinz Co. | 0.4 | % | ||||||
Aon PLC | 0.4 | % | ||||||
Noble Energy, Inc. | 0.4 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | Returns presented for the Portfolio are net of expenses. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
28
PORTFOLIO MANAGERS’ REPORT | ING RUSSELLTM MID CAP INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV, I and S March 10, 2008 | Since Inception of Class S2 February 27, 2009 | ||||||||||||||
Class ADV | 16.42 | % | 6.01 | % | — | |||||||||||
Class I | 17.04 | % | 6.53 | % | — | |||||||||||
Class S | 16.69 | % | 6.24 | % | — | |||||||||||
Class S2 | 16.48 | % | — | 25.32 | % | |||||||||||
Russell Midcap® Index | 17.28 | % | 5.64 | %(1) | 26.17 | %(2) |
(1) | Since inception performance for the index is shown from March 1, 2008. |
(2) | Since inception performance for the index is shown from March 1, 2009. |
ING RUSSELLTM SMALL CAP INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Financials | 21.4 | % | ||||||
Information Technology | 15.6 | % | ||||||
Industrials | 15.4 | % | ||||||
Consumer Discretionary | 13.5 | % | ||||||
Health Care | 11.8 | % | ||||||
Energy | 5.6 | % | ||||||
Materials | 5.1 | % | ||||||
Consumer Staples | 3.5 | % | ||||||
Utilities | 3.3 | % | ||||||
Telecommunication Services | 0.7 | % | ||||||
Assets in Excess of Other Liabilities* | 4.1 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012* (as a percentage of net assets) | ||||||||
Ocwen Financial Corp. | 0.3 | % | ||||||
Pharmacyclics, Inc. | 0.3 | % | ||||||
Alaska Air Group, Inc. | 0.3 | % | ||||||
Genesee & Wyoming, Inc. | 0.3 | % | ||||||
Acuity Brands, Inc. | 0.3 | % | ||||||
Two Harbors Investment Corp. | 0.3 | % | ||||||
WEX, Inc. | 0.3 | % | ||||||
Commvault Systems, Inc. | 0.2 | % | ||||||
Hexcel Corp. | 0.2 | % | ||||||
Warnaco Group, Inc. | 0.2 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | Returns presented for the Portfolio are net of expenses. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
30
PORTFOLIO MANAGERS’ REPORT | ING RUSSELLTM SMALL CAP INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV, I and S March 10, 2008 | Since Inception of Class S2 February 27, 2009 | ||||||||||||||
Class ADV | 15.53 | % | 6.70 | % | — | |||||||||||
Class I | 16.04 | % | 7.21 | % | — | |||||||||||
Class S | 15.84 | % | 6.93 | % | — | |||||||||||
Class S2 | 15.67 | % | — | 23.50 | % | |||||||||||
Russell 2000® Index | 16.35 | % | 6.03 | %(1) | 24.29 | %(2) |
(1) | Since inception performance for the index is shown from March 1, 2008. |
(2) | Since inception performance for the index is shown from March 1, 2009. |
ING U.S. BOND INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation as of December 31, 2012 (as a percentage of net assets) | ||||||||
U.S. Treasury Obligations | 35.8 | % | ||||||
U.S. Government Agency Obligations | 33.1 | % | ||||||
Corporate Bonds/Notes | 25.0 | % | ||||||
Foreign Government Bonds | 2.0 | % | ||||||
Collateralized Mortgage Obligations | 1.9 | % | ||||||
Municipal Bonds | 0.9 | % | ||||||
Asset-Backed Securities | 0.2 | % | ||||||
Assets in Excess of Other Liabilities* | 1.1 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012 (as a percentage of net assets) | ||||||||
United States Treasury Note, 1.875%, 09/30/17 | 2.8 | % | ||||||
United States Treasury Note, 2.375%, 07/31/17 | 2.1 | % | ||||||
United States Treasury Note, 1.000%, 05/15/14 | 1.9 | % | ||||||
United States Treasury Note, 0.125%, 07/31/14 | 1.9 | % | ||||||
United States Treasury Note, 0.250%, 09/15/14 | 1.7 | % | ||||||
United States Treasury Note, 0.250%, 09/15/15 | 1.6 | % | ||||||
Ginnie Mae, 3.500%, 05/15/41 | 1.4 | % | ||||||
United States Treasury Note, 1.000%, 08/31/19 | 1.4 | % | ||||||
United States Treasury Bond, 4.375%, 05/15/40 | 1.4 | % | ||||||
United States Treasury Note, 0.250%, 12/15/15 | 1.3 | % | ||||||
Portfolio holdings are subject to change daily. |
* | Effective February 21, 2012, ING Investment Management Co. LLC replaced Neuberger Berman Fixed Income LLC as the Sub-Adviser. |
** | Returns presented for the Portfolio are net of expenses. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
PORTFOLIO MANAGERS’ REPORT | ING U.S. BOND INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Class I March 7, 2008 | Since Inception of Classes ADV and S March 10, 2008 | Since Inception of Class S2 February 27, 2009 | |||||||||||||||||
Class ADV | 3.35 | % | — | 5.04 | % | — | ||||||||||||||
Class I | 3.85 | % | 5.54 | % | — | — | ||||||||||||||
Class S | 3.59 | % | — | 5.26 | % | — | ||||||||||||||
Class S2 | 3.48 | % | — | — | 5.96 | % | ||||||||||||||
Barclays Capital U.S. Aggregate Bond Index | 4.21 | % | 5.76 | %(1) | 5.76 | %(1) | 6.74 | %(2) |
(1) | Since inception performance for the index is shown from March 1, 2008. |
(2) | Since inception performance for the index is shown from March 1, 2009. |
ING WISDOMTREESM GLOBAL HIGH-YIELDING EQUITY INDEX PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Financials | 27.1 | % | ||||||
Telecommunication Services | 15.5 | % | ||||||
Energy | 12.7 | % | ||||||
Utilities | 8.8 | % | ||||||
Health Care | 8.6 | % | ||||||
Materials | 7.8 | % | ||||||
Industrials | 6.8 | % | ||||||
Consumer Staples | 5.7 | % | ||||||
Consumer Discretionary | 3.5 | % | ||||||
Information Technology | 1.9 | % | ||||||
Assets in Excess of Other Liabilities* | 1.6 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012* (as a percentage of net assets) | ||||||||
AT&T, Inc. | 1.6 | % | ||||||
China Mobile Ltd. | 1.6 | % | ||||||
HSBC Holdings PLC | 1.6 | % | ||||||
China Construction Bank | 1.5 | % | ||||||
Commonwealth Bank of Australia | 1.5 | % | ||||||
Westpac Banking Corp. | 1.4 | % | ||||||
Total S.A. | 1.3 | % | ||||||
Novartis AG | 1.2 | % | ||||||
Vodafone Group PLC | 1.2 | % | ||||||
Pfizer, Inc. | 1.2 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, May Tong and Steve Sedmak were removed as portfolio managers to the Portfolio and Vincent Costa and Steve Wetter were added as portfolio managers to the Portfolio. |
** | The Portfolio’s net return may at times appear to diverge from the return of its benchmark index more than would be expected. These divergences may, in part, be the result of fair-value pricing adjustments to certain foreign securities as well as other pricing policies. In accordance with the Portfolio’s Valuation Policy, fair-value pricing adjustments may be used to address pricing discrepancies that arise due to time-zone differences. Foreign securities may trade on exchanges that close many hours before the Portfolio’s closing share price is calculated in the United States, generally at 4 p.m., Eastern Time. In the hours between the foreign close and the U.S. close, the value of these foreign securities may change — because of company specific announcements or marketwide developments. Such price changes are not immediately reflected in international index values. Fair-value pricing takes such changes into account in calculating the Portfolio’s daily net asset value (“NAV”), so that the NAV doesn’t include “stale” prices. The result can be a temporary divergence between the return of the Portfolio and that of its benchmark index. The Portfolio also translates local prices to U.S. dollars using foreign exchange rates at the time the NAV is calculated whereas the index does not. |
*** | Please note that this discussion refers to the Portfolio’s gross performance versus the benchmark. The benchmark does not incur expenses. An investor cannot invest directly in the benchmark. |
PORTFOLIO MANAGERS’ REPORT | ING WISDOMTREESM GLOBAL HIGH-YIELDING EQUITY INDEX PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | Since Inception of Classes ADV and S January 28, 2008 | |||||||||||
Class ADV | 14.74 | % | (1.48 | )% | ||||||||
Class S | 15.12 | % | (1.20 | )% | ||||||||
WisdomTreeSM Global High-Yielding Equity Index | 14.71 | % | (0.44 | )%(1) |
(1) | Since inception performance for the index is shown from February 1, 2008. |
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value July 1, 2012 | Ending Account Value December 31, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2012* | Beginning Account Value July 1, 2012 | Ending Account Value December 31, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2012* | ||||||||||||||||||||||||||||
ING Australia Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,177.80 | 0.92 | % | $ | 5.04 | $ | 1,000.00 | $ | 1,020.51 | 0.92 | % | $ | 4.67 | |||||||||||||||||||
Class I | 1,000.00 | 1,180.40 | 0.42 | 2.30 | 1,000.00 | 1,023.03 | 0.42 | 2.14 | |||||||||||||||||||||||||||
ING Emerging Markets Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,134.90 | 1.15 | 6.17 | 1,000.00 | 1,019.36 | 1.15 | 5.84 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,137.40 | 0.65 | 3.49 | 1,000.00 | 1,021.87 | 0.65 | 3.30 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,135.70 | 0.90 | 4.83 | 1,000.00 | 1,020.61 | 0.90 | 4.57 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,134.70 | 1.05 | 5.63 | 1,000.00 | 1,019.86 | 1.05 | 5.33 | |||||||||||||||||||||||||||
ING Euro STOXX 50® Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,225.20 | 0.96 | 5.37 | 1,000.00 | 1,020.31 | 0.96 | 4.88 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,227.20 | 0.46 | 2.58 | 1,000.00 | 1,022.82 | 0.46 | 2.34 | |||||||||||||||||||||||||||
ING FTSE 100 Index® Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,119.70 | 0.91 | 4.85 | 1,000.00 | 1,020.56 | 0.91 | 4.62 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,122.20 | 0.41 | 2.19 | 1,000.00 | 1,023.08 | 0.41 | 2.08 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/366 to reflect the most recent fiscal half-year. |
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value July 1, 2012 | Ending Account Value December 31, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2012* | Beginning Account Value July 1, 2012 | Ending Account Value December 31, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2012* | ||||||||||||||||||||||||||||
ING Hang Seng Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,175.70 | 1.24 | % | $ | 6.78 | $ | 1,000.00 | $ | 1,018.90 | 1.24 | % | $ | 6.29 | |||||||||||||||||||
Class I | 1,000.00 | 1,178.00 | 0.74 | 4.05 | 1,000.00 | 1,021.42 | 0.74 | 3.76 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,177.60 | 0.99 | 5.42 | 1,000.00 | 1,020.16 | 0.99 | 5.03 | |||||||||||||||||||||||||||
ING International Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,139.20 | 0.99 | 5.32 | 1,000.00 | 1,020.16 | 0.99 | 5.03 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,143.20 | 0.50 | 2.69 | 1,000.00 | 1,022.62 | 0.50 | 2.54 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,142.70 | 0.75 | 4.04 | 1,000.00 | 1,021.37 | 0.75 | 3.81 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,141.30 | 0.90 | 4.84 | 1,000.00 | 1,020.61 | 0.90 | 4.57 | |||||||||||||||||||||||||||
ING Japan TOPIX Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,038.90 | 0.90 | 4.61 | 1,000.00 | 1,020.61 | 0.90 | 4.57 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,040.90 | 0.40 | 2.05 | 1,000.00 | 1,023.13 | 0.40 | 2.03 | |||||||||||||||||||||||||||
ING RussellTM Large Cap Growth Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,032.90 | 0.99 | 5.06 | 1,000.00 | 1,020.16 | 0.99 | 5.03 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,035.80 | 0.49 | 2.51 | 1,000.00 | 1,022.67 | 0.49 | 2.49 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,034.70 | 0.74 | 3.78 | 1,000.00 | 1,021.42 | 0.74 | 3.76 | |||||||||||||||||||||||||||
ING RussellTM Large Cap Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,051.10 | 0.87 | 4.49 | 1,000.00 | 1,020.76 | 0.87 | 4.42 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,053.40 | 0.37 | 1.91 | 1,000.00 | 1,023.28 | 0.37 | 1.88 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,052.70 | 0.62 | 3.20 | 1,000.00 | 1,022.02 | 0.62 | 3.15 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,052.00 | 0.77 | 3.97 | 1,000.00 | 1,021.27 | 0.77 | 3.91 | |||||||||||||||||||||||||||
ING RussellTM Large Cap Value Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,069.30 | 1.00 | 5.20 | 1,000.00 | 1,020.11 | 1.00 | 5.08 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,072.00 | 0.50 | 2.60 | 1,000.00 | 1,022.62 | 0.50 | 2.54 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,069.90 | 0.75 | 3.90 | 1,000.00 | 1,021.37 | 0.75 | 3.81 | |||||||||||||||||||||||||||
ING RussellTM Mid Cap Growth Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,066.70 | 1.00 | 5.19 | 1,000.00 | 1,020.11 | 1.00 | 5.08 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,069.30 | 0.50 | 2.60 | 1,000.00 | 1,022.62 | 0.50 | 2.54 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,068.30 | 0.75 | 3.90 | 1,000.00 | 1,021.37 | 0.75 | 3.81 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,067.80 | 0.90 | 4.68 | 1,000.00 | 1,020.61 | 0.90 | 4.57 | |||||||||||||||||||||||||||
ING RussellTM Mid Cap Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,082.20 | 0.93 | 4.87 | 1,000.00 | 1,020.46 | 0.93 | 4.72 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,085.40 | 0.43 | 2.25 | 1,000.00 | 1,022.97 | 0.43 | 2.19 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,083.30 | 0.68 | 3.56 | 1,000.00 | 1,021.72 | 0.68 | 3.46 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,082.00 | 0.83 | 4.34 | 1,000.00 | 1,020.96 | 0.83 | 4.22 | |||||||||||||||||||||||||||
ING RussellTM Small Cap Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,070.30 | 0.95 | 4.94 | 1,000.00 | 1,020.36 | 0.95 | 4.82 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,072.60 | 0.45 | 2.34 | 1,000.00 | 1,022.87 | 0.45 | 2.29 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,071.20 | 0.70 | 3.64 | 1,000.00 | 1,021.62 | 0.70 | 3.56 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,070.30 | 0.85 | 4.42 | 1,000.00 | 1,020.86 | 0.85 | 4.32 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/366 to reflect the most recent fiscal half-year. |
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value July 1, 2012 | Ending Account Value December 31, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2012* | Beginning Account Value July 1, 2012 | Ending Account Value December 31, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2012* | ||||||||||||||||||||||||||||
ING U.S. Bond Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,013.20 | 0.91 | % | $ | 4.61 | $ | 1,000.00 | $ | 1,020.56 | 0.91 | % | $ | 4.62 | |||||||||||||||||||
Class I | 1,000.00 | 1,014.90 | 0.41 | 2.08 | 1,000.00 | 1,023.08 | 0.41 | 2.08 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,014.00 | 0.66 | 3.34 | 1,000.00 | 1,021.82 | 0.66 | 3.35 | |||||||||||||||||||||||||||
Class S2 | 1,000.00 | 1,013.30 | 0.81 | 4.10 | 1,000.00 | 1,021.06 | 0.81 | 4.12 | |||||||||||||||||||||||||||
ING WisdomTreeSM Global High-Yielding Equity Index Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | 1,000.00 | 1,110.40 | 1.34 | 7.11 | 1,000.00 | 1,018.40 | 1.34 | 6.80 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,112.20 | 1.09 | 5.79 | 1,000.00 | 1,019.66 | 1.09 | 5.53 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/366 to reflect the most recent fiscal half-year. |
ING Variable Portfolios, Inc.
February 21, 2013
ING Australia Index Portfolio | ING Emerging Markets Index Portfolio | ING Euro STOXX 50® Index Portfolio | ING FTSE 100 Index® Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||||||
Investments in securities at fair value+* | $ | 190,574,515 | $ | 105,752,315 | $ | 660,670,156 | $ | 535,301,952 | ||||||||||
Investments in affiliates** | — | — | 11,645,211 | — | ||||||||||||||
Short-term investments at fair value*** | 5,478,217 | 7,819,918 | 4,980,668 | 3,000,607 | ||||||||||||||
Total Investments at fair value | $ | 196,052,732 | $ | 113,572,233 | $ | 677,296,035 | $ | 538,302,559 | ||||||||||
Cash | 562 | 230 | 5,270,805 | — | ||||||||||||||
Cash collateral for futures | 388,891 | 372,240 | 1,439,519 | 225,231 | ||||||||||||||
Foreign currencies at value**** | 288,576 | 92,967 | 14,293,679 | 913,850 | ||||||||||||||
Foreign cash collateral for futures***** | 154,029 | — | 177,874 | 288,928 | ||||||||||||||
Receivables: | ||||||||||||||||||
Investment securities sold | 24,156,916 | — | 80,757,323 | 27,537,108 | ||||||||||||||
Fund shares sold | 11,653 | 47,182 | 46,235 | 33,389 | ||||||||||||||
Dividends | 346,132 | 162,508 | — | 1,512,815 | ||||||||||||||
Interest | — | — | — | 13 | ||||||||||||||
Foreign tax reclaims | — | — | 103,111 | 38,150 | ||||||||||||||
Unrealized appreciation on forward foreign currency contracts | 1,557 | — | 19,226 | 5,218 | ||||||||||||||
Prepaid expenses | 3,436 | 915 | 12,716 | 9,687 | ||||||||||||||
Total assets | 221,404,484 | 114,248,275 | 779,416,523 | 568,866,948 | ||||||||||||||
LIABILITIES: | ||||||||||||||||||
Payable for investment securities purchased | 11,061,622 | — | 42,817,027 | 9,752,160 | ||||||||||||||
Payable for fund shares redeemed | 10,963,518 | 619,441 | 41,834,978 | 9,405,878 | ||||||||||||||
Payable upon receipt of securities loaned | 4,913,217 | 1,289,918 | 4,980,668 | 3,000,607 | ||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 8,822 | — | — | 7,927 | ||||||||||||||
Payable for investment management fees | 60,038 | 36,560 | 213,210 | 163,328 | ||||||||||||||
Payable for distribution and shareholder service fees | 1 | 3 | 3,488 | 1,110 | ||||||||||||||
Payable to custodian due to bank overdraft | — | — | — | 69,974 | ||||||||||||||
Payable for directors fees | 988 | 317 | 3,454 | 2,764 | ||||||||||||||
Other accrued expenses and liabilities | 65,952 | 34,422 | 234,870 | 191,122 | ||||||||||||||
Total liabilities | 27,074,158 | 1,980,661 | 90,087,695 | 22,594,870 | ||||||||||||||
NET ASSETS | $ | 194,330,326 | $ | 112,267,614 | $ | 689,328,828 | $ | 546,272,078 | ||||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||||
Paid-in capital | $ | 179,994,385 | $ | 100,571,666 | $ | 694,491,480 | $ | 429,117,255 | ||||||||||
Undistributed net investment income | 10,351,220 | 764,622 | 22,896,474 | 21,546,333 | ||||||||||||||
Accumulated net realized gain (loss) | (6,671,192 | ) | 2,379,790 | (97,093,156 | ) | 7,987,191 | ||||||||||||
Net unrealized appreciation | 10,655,913 | 8,551,536 | 69,034,030 | 87,621,299 | ||||||||||||||
NET ASSETS | $ | 194,330,326 | $ | 112,267,614 | $ | 689,328,828 | $ | 546,272,078 | ||||||||||
____________ | ||||||||||||||||||
+ Including securities loaned at value | $ | 4,644,825 | $ | 1,260,930 | $ | 4,696,003 | $ | 2,856,706 | ||||||||||
* Cost of investments in securities | $ | 179,920,820 | $ | 97,398,732 | $ | 593,181,110 | $ | 447,675,695 | ||||||||||
** Cost of investments in affiliates | $ | — | $ | — | $ | 9,968,996 | $ | — | ||||||||||
*** Cost of short-term investments | $ | 5,478,217 | $ | 7,819,918 | $ | 4,980,668 | $ | 3,000,607 | ||||||||||
**** Cost of foreign currencies | $ | 287,933 | $ | 92,196 | $ | 14,294,679 | $ | 908,751 | ||||||||||
***** Cost of foreign cash collateral for futures | $ | 154,029 | $ | — | $ | 177,874 | $ | 288,928 |
ING Australia Index Portfolio | ING Emerging Markets Index Portfolio | ING Euro STOXX 50® Index Portfolio | ING FTSE 100 Index® Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class ADV | ||||||||||||||||||
Net assets | $ | 3,091 | $ | 3,596 | $ | 9,376,772 | $ | 2,642,290 | ||||||||||
Shares authorized | 100,000,000 | 100,000,000 | 100,000,000 | 100,000,000 | ||||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||||
Shares outstanding | 301 | 301 | 947,382 | 215,697 | ||||||||||||||
Net asset value and redemption price per share | $ | 10.27 | $ | 11.95 | $ | 9.90 | $ | 12.25 | ||||||||||
Class I | ||||||||||||||||||
Net assets | $ | 194,327,235 | $ | 112,256,814 | $ | 679,952,056 | $ | 543,629,788 | ||||||||||
Shares authorized | 100,000,000 | 100,000,000 | 200,000,000 | 100,000,000 | ||||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||||
Shares outstanding | 18,791,774 | 9,356,361 | 68,389,603 | 44,156,894 | ||||||||||||||
Net asset value and redemption price per share | $ | 10.34 | $ | 12.00 | $ | 9.94 | $ | 12.31 | ||||||||||
Class S | ||||||||||||||||||
Net assets | n/a | $ | 3,604 | n/a | n/a | |||||||||||||
Shares authorized | n/a | 100,000,000 | n/a | n/a | ||||||||||||||
Par value | n/a | $ | 0.001 | n/a | n/a | |||||||||||||
Shares outstanding | n/a | 301 | n/a | n/a | ||||||||||||||
Net asset value and redemption price per share | n/a | $ | 11.97 | n/a | n/a | |||||||||||||
Class S2 | ||||||||||||||||||
Net assets | n/a | $ | 3,600 | n/a | n/a | |||||||||||||
Shares authorized | n/a | 100,000,000 | n/a | n/a | ||||||||||||||
Par value | n/a | $ | 0.001 | n/a | n/a | |||||||||||||
Shares outstanding | n/a | 301 | n/a | n/a | ||||||||||||||
Net asset value and redemption price per share | n/a | $ | 11.96 | n/a | n/a | |||||||||||||
ING Hang Seng Index Portfolio | ING International Index Portfolio | ING Japan TOPIX Index Portfolio | ING RussellTM Large Cap Growth Index Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||||||
Investments in securities at fair value+* | $ | 147,702,449 | $ | 418,013,174 | $ | 429,698,627 | $ | 389,855,145 | ||||||||||
Investments in affiliates** | — | 1,388,005 | — | — | ||||||||||||||
Short-term investments at fair value*** | 7,299,623 | 28,653,011 | 22,710,981 | 2,198,000 | ||||||||||||||
Total Investments at fair value | $ | 155,002,072 | $ | 448,054,190 | $ | 452,409,608 | $ | 392,053,145 | ||||||||||
Cash | 105 | 222 | 609,606 | 535 | ||||||||||||||
Cash collateral for futures | 297,275 | 3,912,013 | 1,289,053 | 244,426 | ||||||||||||||
Foreign currencies at value**** | 25,854 | 189,004 | 423,171 | — | ||||||||||||||
Foreign cash collateral for futures***** | 166,128 | — | 410,178 | — | ||||||||||||||
Receivables: | ||||||||||||||||||
Investment securities sold | 15,951,061 | 23,316 | 11,373,875 | 98,472 | ||||||||||||||
Fund shares sold | 5,827 | 141,580 | 25,637 | 1,499,287 | ||||||||||||||
Dividends | 6,727 | 397,040 | 477,467 | 398,160 | ||||||||||||||
Interest | — | — | 7 | — | ||||||||||||||
Foreign tax reclaims | — | 279,824 | — | — | ||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 5,953 | — | ||||||||||||||
Prepaid expenses | 2,529 | 6,132 | 7,437 | 7,493 | ||||||||||||||
Reimbursement due from manager | — | 200,024 | — | — | ||||||||||||||
Total assets | 171,457,578 | 453,203,345 | 467,031,992 | 394,301,518 | ||||||||||||||
LIABILITIES: | ||||||||||||||||||
Payable for investment securities purchased | 7,956,115 | 23,506 | — | 18,402 | ||||||||||||||
Payable for fund shares redeemed | 7,814,713 | 2,740,575 | 12,736,370 | 5,259 | ||||||||||||||
Payable upon receipt of securities loaned | 1,432,623 | 6,206,011 | 22,710,981 | — | ||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 100,085 | — | ||||||||||||||
Payable for investment management fees | 65,767 | 135,400 | 128,277 | 119,965 | ||||||||||||||
Payable for administrative fees | 13,153 | 35,631 | — | 34,275 | ||||||||||||||
Payable for distribution and shareholder service fees | 11,446 | 20,713 | 2,317 | 36,968 | ||||||||||||||
Payable for directors fees | 746 | 1,766 | 2,148 | 2,074 | ||||||||||||||
Other accrued expenses and liabilities | 107,537 | 240,363 | 161,275 | 45,323 | ||||||||||||||
Total liabilities | 17,402,100 | 9,403,965 | 35,841,453 | 262,266 | ||||||||||||||
NET ASSETS | $ | 154,055,478 | $ | 443,799,380 | $ | 431,190,539 | $ | 394,039,252 | ||||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||||
Paid-in capital | $ | 133,255,480 | $ | 513,313,603 | $ | 438,309,384 | $ | 437,319,628 | ||||||||||
Undistributed net investment income | 5,318,851 | 10,768,742 | 8,264,486 | 5,792,179 | ||||||||||||||
Accumulated net realized loss | (7,545,991 | ) | (173,594,921 | ) | (3,401,488 | ) | (178,393,833 | ) | ||||||||||
Net unrealized appreciation (depreciation) | 23,027,138 | 93,311,956 | (11,981,843 | ) | 129,321,278 | |||||||||||||
NET ASSETS | $ | 154,055,478 | $ | 443,799,380 | �� | $ | 431,190,539 | $ | 394,039,252 | |||||||||
____________ | ||||||||||||||||||
+ Including securities loaned at value | $ | 1,348,545 | $ | 5,890,956 | $ | 21,573,204 | $ | — | ||||||||||
* Cost of investments in securities | $ | 124,649,593 | $ | 325,400,203 | $ | 441,802,730 | $ | 260,556,263 | ||||||||||
** Cost of investments in affiliates | $ | — | $ | 1,091,025 | $ | — | $ | — | ||||||||||
*** Cost of short-term investments | $ | 7,299,623 | $ | 28,653,011 | $ | 22,710,981 | $ | 2,198,000 | ||||||||||
**** Cost of foreign currencies | $ | 25,864 | $ | 184,661 | $ | 443,122 | $ | — | ||||||||||
***** Cost of foreign cash collateral for futures | $ | 166,128 | $ | — | $ | 410,178 | $ | — |
ING Hang Seng Index Portfolio | ING International Index Portfolio | ING Japan TOPIX Index Portfolio | ING RussellTM Large Cap Growth Index Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class ADV | ||||||||||||||||||
Net assets | $ | 1,606,829 | $ | 6,035,726 | $ | 5,739,251 | $ | 365,838 | ||||||||||
Shares authorized | 100,000,000 | 100,000,000 | 100,000,000 | 100,000,000 | ||||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||||
Shares outstanding | 113,782 | 722,514 | 613,850 | 22,007 | ||||||||||||||
Net asset value and redemption price per share | $ | 14.12 | $ | 8.35 | $ | 9.35 | $ | 16.62 | ||||||||||
Class I | ||||||||||||||||||
Net assets | $ | 97,820,079 | $ | 349,512,468 | $ | 425,451,288 | $ | 228,976,711 | ||||||||||
Shares authorized | 100,000,000 | 200,000,000 | 100,000,000 | 100,000,000 | ||||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||||
Shares outstanding | 6,872,052 | 41,312,598 | 45,171,895 | 13,644,433 | ||||||||||||||
Net asset value and redemption price per share | $ | 14.23 | $ | 8.46 | $ | 9.42 | $ | 16.78 | ||||||||||
Class S | ||||||||||||||||||
Net assets | $ | 54,628,570 | $ | 86,454,122 | n/a | $ | 164,696,703 | |||||||||||
Shares authorized | 100,000,000 | 100,000,000 | n/a | 100,000,000 | ||||||||||||||
Par value | $ | 0.001 | $ | 0.001 | n/a | $ | 0.001 | |||||||||||
Shares outstanding | 3,850,678 | 10,281,893 | n/a | 9,856,619 | ||||||||||||||
Net asset value and redemption price per share | $ | 14.19 | $ | 8.41 | n/a | $ | 16.71 | |||||||||||
Class S2 | ||||||||||||||||||
Net assets | n/a | $ | 1,797,064 | n/a | n/a | |||||||||||||
Shares authorized | n/a | 100,000,000 | n/a | n/a | ||||||||||||||
Par value | n/a | $ | 0.001 | n/a | n/a | |||||||||||||
Shares outstanding | n/a | 214,050 | n/a | n/a | ||||||||||||||
Net asset value and redemption price per share | n/a | $ | 8.40 | n/a | n/a | |||||||||||||
ING RussellTM Large Cap Index Portfolio | ING RussellTM Large Cap Value Index Portfolio | ING RussellTM Mid Cap Growth Index Portfolio | ING RussellTM Mid Cap Index Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||||||
Investments in securities at fair value+* | $ | 585,837,134 | $ | 117,162,718 | $ | 275,140,527 | $ | 1,624,229,038 | ||||||||||
Short-term investments at fair value** | 33,486,000 | 2,514,000 | 8,769,331 | 121,651,033 | ||||||||||||||
Total Investments at fair value | $ | 619,323,134 | $ | 119,676,718 | $ | 283,909,858 | $ | 1,745,880,071 | ||||||||||
Cash | 262,219 | 169,542 | 815 | 828 | ||||||||||||||
Cash collateral for futures | 2,753,295 | 217,505 | 210,124 | 5,916,313 | ||||||||||||||
Receivables: | ||||||||||||||||||
Investment securities sold | — | 69,159 | 1,352 | 6,578,148 | ||||||||||||||
Fund shares sold | 154,933 | 21,601 | 72,042 | 125,829 | ||||||||||||||
Dividends | 662,788 | 143,539 | 129,633 | 1,776,416 | ||||||||||||||
Foreign tax reclaims | — | — | 97 | 3,695 | ||||||||||||||
Prepaid expenses | 10,348 | 1,787 | 4,966 | 28,470 | ||||||||||||||
Reimbursement due from manager | — | 4,128 | — | 11,907 | ||||||||||||||
Total assets | 623,166,717 | 120,303,979 | 284,328,887 | 1,760,321,677 | ||||||||||||||
LIABILITIES: | ||||||||||||||||||
Payable for investment securities purchased | 165,738 | — | — | 6,595,576 | ||||||||||||||
Payable for fund shares redeemed | 14,529,665 | 46,251 | 220,421 | 15,707,795 | ||||||||||||||
Payable upon receipt of securities loaned | — | — | 6,108,331 | 35,186,846 | ||||||||||||||
Payable for investment management fees | 145,576 | 34,497 | 82,021 | 442,240 | ||||||||||||||
Payable for administrative fees | 51,414 | 9,856 | 23,434 | 142,657 | ||||||||||||||
Payable for distribution and shareholder service fees | 104,879 | 15,375 | 57,960 | 60,820 | ||||||||||||||
Payable for directors fees | 2,855 | 554 | 1,445 | 8,040 | ||||||||||||||
Other accrued expenses and liabilities | 62,607 | 55,943 | 54,119 | 145,224 | ||||||||||||||
Total liabilities | 15,062,734 | 162,476 | 6,547,731 | 58,289,198 | ||||||||||||||
NET ASSETS | $ | 608,103,983 | $ | 120,141,503 | $ | 277,781,156 | $ | 1,702,032,479 | ||||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||||||
Paid-in capital | $ | 604,109,851 | $ | 106,343,101 | $ | 324,217,236 | $ | 1,132,628,559 | ||||||||||
Undistributed net investment income | 9,985,007 | 2,132,366 | 2,297,797 | 24,097,713 | ||||||||||||||
Accumulated net realized gain (loss) | (233,734,619 | ) | (15,305,239 | ) | (139,991,162 | ) | 51,262,339 | |||||||||||
Net unrealized appreciation | 227,743,744 | 26,971,275 | 91,257,285 | 494,043,868 | ||||||||||||||
NET ASSETS | $ | 608,103,983 | $ | 120,141,503 | $ | 277,781,156 | $ | 1,702,032,479 | ||||||||||
____________ | ||||||||||||||||||
+ Including securities loaned at value | $ | — | $ | — | $ | 5,949,018 | $ | 34,092,071 | ||||||||||
* Cost of investments in securities | $ | 358,003,457 | $ | 90,213,185 | $ | 183,906,701 | $ | 1,131,483,154 | ||||||||||
** Cost of short-term investments | $ | 33,486,000 | $ | 2,514,000 | $ | 8,769,331 | $ | 121,651,033 |
ING RussellTM Large Cap Index Portfolio | ING RussellTM Large Cap Value Index Portfolio | ING RussellTM Mid Cap Growth Index Portfolio | ING RussellTM Mid Cap Index Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class ADV | ||||||||||||||||||
Net assets | $ | 17,492,426 | $ | 32,135 | $ | 5,471 | $ | 46,214,306 | ||||||||||
Shares authorized | 100,000,000 | 100,000,000 | 100,000,000 | 100,000,000 | ||||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||||
Shares outstanding | 1,605,169 | 2,265 | 300 | 3,774,089 | ||||||||||||||
Net asset value and redemption price per share | $ | 10.90 | $ | 14.19 | $ | 18.24 | $ | 12.25 | ||||||||||
Class I | ||||||||||||||||||
Net assets | $ | 128,779,162 | $ | 43,906,802 | $ | 3,904,871 | $ | 1,455,088,203 | ||||||||||
Shares authorized | 400,000,000 | 100,000,000 | 100,000,000 | 300,000,000 | ||||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||||
Shares outstanding | 11,661,012 | 3,070,555 | 212,537 | 116,919,629 | ||||||||||||||
Net asset value and redemption price per share | $ | 11.04 | $ | 14.30 | $ | 18.37 | $ | 12.45 | ||||||||||
Class S | ||||||||||||||||||
Net assets | $ | 461,214,110 | $ | 76,202,566 | $ | 272,386,622 | $ | 193,939,281 | ||||||||||
Shares authorized | 100,000,000 | 100,000,000 | 100,000,000 | 100,000,000 | ||||||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||||
Shares outstanding | 42,016,812 | 5,350,757 | 14,870,433 | 15,694,039 | ||||||||||||||
Net asset value and redemption price per share | $ | 10.98 | $ | 14.24 | $ | 18.32 | $ | 12.36 | ||||||||||
Class S2 | ||||||||||||||||||
Net assets | $ | 618,285 | n/a | $ | 1,484,192 | $ | 6,790,689 | |||||||||||
Shares authorized | 100,000,000 | n/a | 100,000,000 | 100,000,000 | ||||||||||||||
Par value | $ | 0.001 | n/a | $ | 0.001 | $ | 0.001 | |||||||||||
Shares outstanding | 55,550 | n/a | 81,189 | 553,305 | ||||||||||||||
Net asset value and redemption price per share | $ | 11.13 | n/a | $ | 18.28 | $ | 12.27 |
ING RussellTM Small Cap Index Portfolio | ING U.S. Bond Index Portfolio | ING WisdomTreeSM Global High-Yielding Equity Index Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in securities at fair value+* | $ | 760,430,821 | $ | 3,984,613,119 | $ | 178,681,819 | ||||||||
Short-term investments at fair value** | 82,075,380 | 65,269,351 | 2,988,000 | |||||||||||
Total Investments at fair value | $ | 842,506,201 | $ | 4,049,882,470 | $ | 181,669,819 | ||||||||
Short-term investments at amortized cost | — | 187,706,089 | — | |||||||||||
Cash | 1,191,625 | 13,253 | 21,327 | |||||||||||
Cash collateral for futures | 2,478,697 | 70 | 251,376 | |||||||||||
Foreign currencies at value*** | 5,208 | — | 163,846 | |||||||||||
Receivables: | ||||||||||||||
Investment securities sold | 286,960 | 2,439,819 | 314,422 | |||||||||||
Investment securities sold on a delayed-delivery or when-issued basis | — | 64,207,473 | — | |||||||||||
Fund shares sold | 5,804,377 | 3,820,774 | — | |||||||||||
Dividends | 1,229,001 | 2,666 | 311,000 | |||||||||||
Interest | — | 22,444,763 | — | |||||||||||
Foreign tax reclaims | — | — | 200,540 | |||||||||||
Upfront payments paid on OTC swap agreements | — | 13,689 | — | |||||||||||
Prepaid expenses | 13,576 | 67,966 | 3,138 | |||||||||||
Reimbursement due from manager | 13,380 | — | — | |||||||||||
Total assets | 853,529,025 | 4,330,599,032 | 182,935,468 | |||||||||||
LIABILITIES: | ||||||||||||||
Payable for investment securities purchased | 1,634,623 | 38,833,123 | 21,076 | |||||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | — | 256,828,723 | — | |||||||||||
Payable for fund shares redeemed | 7,272,168 | 4,787,214 | 940,590 | |||||||||||
Payable upon receipt of securities loaned | 51,279,572 | — | — | |||||||||||
Unrealized depreciation on OTC swap agreements | — | 2,597 | — | |||||||||||
Payable for investment management fees | 216,171 | 952,861 | 94,836 | |||||||||||
Payable for administrative fees | 65,505 | 344,083 | 15,227 | |||||||||||
Payable for distribution and shareholder service fees | 57,198 | 60,977 | 38,330 | |||||||||||
Payable for directors fees | 3,793 | 19,845 | 889 | |||||||||||
Other accrued expenses and liabilities | 104,416 | 280,590 | 130,827 | |||||||||||
Total liabilities | 60,633,446 | 302,110,013 | 1,241,775 | |||||||||||
NET ASSETS | $ | 792,895,579 | $ | 4,028,489,019 | $ | 181,693,693 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||
Paid-in capital | $ | 579,682,887 | $ | 3,823,347,749 | $ | 207,527,177 | ||||||||
Undistributed net investment income | 11,900,500 | 1,294,068 | 6,400,245 | |||||||||||
Accumulated net realized gain (loss) | 29,142,502 | 41,597,915 | (53,143,515 | ) | ||||||||||
Net unrealized appreciation | 172,169,690 | 162,249,287 | 20,909,786 | |||||||||||
NET ASSETS | $ | 792,895,579 | $ | 4,028,489,019 | $ | 181,693,693 | ||||||||
____________ | ||||||||||||||
+ Including securities loaned at value | $ | 49,600,688 | $ | — | $ | — | ||||||||
* Cost of investments in securities | $ | 589,199,257 | $ | 3,822,377,211 | $ | 157,796,109 | ||||||||
** Cost of short-term investments | $ | 82,075,380 | $ | 65,253,375 | $ | 2,988,000 | ||||||||
*** Cost of foreign currencies | $ | 5,208 | $ | — | $ | 164,304 |
ING RussellTM Small Cap Index Portfolio | ING U.S. Bond Index Portfolio | ING WisdomTreeSM Global High-Yielding Equity Index Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class ADV | ||||||||||||||
Net assets | $ | 33,776,983 | $ | 11,312,820 | $ | 1,485,310 | ||||||||
Shares authorized | 100,000,000 | 100,000,000 | 100,000,000 | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 2,672,547 | 1,034,236 | 182,141 | |||||||||||
Net asset value and redemption price per share | $ | 12.64 | $ | 10.94 | $ | 8.15 | ||||||||
Class I | ||||||||||||||
Net assets | $ | 553,728,000 | $ | 3,752,745,709 | n/a | |||||||||
Shares authorized | 100,000,000 | 500,000,000 | n/a | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | n/a | |||||||||
Shares outstanding | 43,043,116 | 342,084,424 | n/a | |||||||||||
Net asset value and redemption price per share | $ | 12.86 | $ | 10.97 | n/a | |||||||||
Class S | ||||||||||||||
Net assets | $ | 199,428,312 | $ | 263,815,858 | $ | 180,208,383 | ||||||||
Shares authorized | 100,000,000 | 100,000,000 | 100,000,000 | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 15,605,590 | 24,110,018 | 21,903,096 | |||||||||||
Net asset value and redemption price per share | $ | 12.78 | $ | 10.94 | $ | 8.23 | ||||||||
Class S2 | ||||||||||||||
Net assets | $ | 5,962,284 | $ | 614,632 | n/a | |||||||||
Shares authorized | 100,000,000 | 100,000,000 | n/a | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | n/a | |||||||||
Shares outstanding | 471,582 | 56,112 | n/a | |||||||||||
Net asset value and redemption price per share | $ | 12.64 | $ | 10.95 | n/a |
ING Australia Index Portfolio | ING Emerging Markets Index Portfolio | ING Euro STOXX 50® Index Portfolio | ING FTSE 100 Index® Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 9,474,758 | $ | 1,291,141 | $ | 23,050,177 | $ | 22,073,189 | ||||||||||
Interest | 7,211 | — | — | 1,143 | ||||||||||||||
Securities lending income, net | 79,190 | 3,897 | 2,454,412 | 276,666 | ||||||||||||||
Total investment income | 9,561,159 | 1,295,038 | 25,504,589 | 22,350,998 | ||||||||||||||
EXPENSES: | ||||||||||||||||||
Investment management fees | 1,185,539 | 348,829 | 4,144,954 | 3,316,780 | ||||||||||||||
Distribution and shareholder service fees: | ||||||||||||||||||
Class ADV | 15 | 15 | 28,862 | 13,872 | ||||||||||||||
Class S | — | 7 | — | — | ||||||||||||||
Class S2 | — | 15 | — | — | ||||||||||||||
Transfer agent fees | 365 | 512 | 736 | 248 | ||||||||||||||
Administrative service fees | 197,587 | 63,423 | 690,822 | 552,790 | ||||||||||||||
Shareholder reporting expense | 19,883 | 18,424 | 12,777 | 27,747 | ||||||||||||||
Professional fees | 19,250 | 20,863 | 71,276 | 61,129 | ||||||||||||||
Custody and accounting expense | 68,672 | 53,512 | 197,144 | 112,804 | ||||||||||||||
Directors fees | 5,928 | 1,903 | 20,725 | 16,584 | ||||||||||||||
Offering expense | 3,219 | 18,377 | — | — | ||||||||||||||
Miscellaneous expense | 9,116 | 7,468 | 43,533 | 35,333 | ||||||||||||||
Interest expense | 499 | 2,397 | 465 | 639 | ||||||||||||||
License fee | 14,970 | 35,019 | 440,037 | 74,713 | ||||||||||||||
Total expenses | 1,525,043 | 570,764 | 5,651,331 | 4,212,639 | ||||||||||||||
Net waived and reimbursed fees | (691,563 | ) | (158,562 | ) | (2,417,889 | ) | (1,934,785 | ) | ||||||||||
Net expenses | 833,480 | 412,202 | 3,233,442 | 2,277,854 | ||||||||||||||
Net investment income | 8,727,679 | 882,836 | 22,271,147 | 20,073,144 | ||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||
Investments | (3,809,165 | ) | 1,832,843 | (52,094,119 | ) | 6,544,477 | ||||||||||||
Foreign currency related transactions | 357,311 | (120,259 | ) | 670,451 | 1,376,244 | |||||||||||||
Futures | 716,853 | 647,906 | 4,212,218 | 3,344,023 | ||||||||||||||
Net realized gain (loss) | (2,735,001 | ) | 2,360,490 | (47,211,450 | ) | 11,264,744 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||
Investments | 36,798,518 | 6,366,436 | 185,333,325 | 53,554,487 | ||||||||||||||
Foreign currency related transactions | (61,835 | ) | (928 | ) | (44,449 | ) | 154,940 | |||||||||||
Futures | 188,828 | 96,224 | (389,759 | ) | (129,828 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) | 36,925,511 | 6,461,732 | 184,899,117 | 53,579,599 | ||||||||||||||
Net realized and unrealized gain | 34,190,510 | 8,822,222 | 137,687,667 | 64,844,343 | ||||||||||||||
Increase in net assets resulting from operations | $ | 42,918,189 | $ | 9,705,058 | $ | 159,958,814 | $ | 84,917,487 | ||||||||||
____________ | ||||||||||||||||||
* Foreign taxes withheld | $ | 82,244 | $ | 143,419 | $ | 3,786,529 | $ | 325,354 |
ING Hang Seng Index Portfolio | ING International Index Portfolio | ING Japan TOPIX Index Portfolio | ING RussellTM Large Cap Growth Index Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 4,819,239 | $ | 10,853,073 | $ | 9,670,941 | $ | 8,248,363 | ||||||||||
Interest, net of foreign taxes withheld* | 416 | — | 384 | — | ||||||||||||||
Securities lending income, net | 23,195 | 464,794 | 271,530 | 31,822 | ||||||||||||||
Total investment income | 4,842,850 | 11,317,867 | 9,942,855 | 8,280,185 | ||||||||||||||
EXPENSES: | ||||||||||||||||||
Investment management fees | 895,374 | 1,341,863 | 2,577,835 | 1,866,216 | ||||||||||||||
Distribution and shareholder service fees: | ||||||||||||||||||
Class ADV | 7,862 | 23,834 | 32,029 | 1,636 | ||||||||||||||
Class S | 122,462 | 200,614 | — | 442,900 | ||||||||||||||
Class S2 | — | 2,319 | — | — | ||||||||||||||
Transfer agent fees | 273 | 648 | 447 | 903 | ||||||||||||||
Administrative service fees | 149,227 | 353,117 | 429,634 | 414,708 | ||||||||||||||
Shareholder reporting expense | 7,806 | 21,816 | 3,004 | 33,264 | ||||||||||||||
Professional fees | 22,192 | 40,820 | 41,241 | 50,190 | ||||||||||||||
Custody and accounting expense | 96,804 | 117,428 | 105,596 | 45,300 | ||||||||||||||
Directors fees | 4,477 | 10,594 | 12,889 | 12,441 | ||||||||||||||
Miscellaneous expense | 14,995 | 29,400 | 24,571 | 29,704 | ||||||||||||||
Interest expense | 923 | 356 | 1,168 | 1,193 | ||||||||||||||
License fee | 59,692 | 175,071 | 42,960 | — | ||||||||||||||
Total expenses | 1,382,087 | 2,317,880 | 3,271,374 | 2,898,455 | ||||||||||||||
Net waived and reimbursed fees | (149,227 | ) | (332,091 | ) | (1,503,734 | ) | (414,708 | ) | ||||||||||
Net expenses | 1,232,860 | 1,985,789 | 1,767,640 | 2,483,747 | ||||||||||||||
Net investment income | 3,609,990 | 9,332,078 | 8,175,215 | 5,796,438 | ||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||
Investments | (916,897 | ) | (4,785,219 | ) | 815,995 | 12,104,089 | ||||||||||||
Foreign currency related transactions | 3,077 | 272,157 | (107,069 | ) | — | |||||||||||||
Futures | 656,093 | 3,926,647 | 488,129 | 759,586 | ||||||||||||||
Net realized gain (loss) | (257,727 | ) | (586,415 | ) | 1,197,055 | 12,863,675 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||
Investments | 35,046,842 | 55,449,568 | 27,225,186 | 34,980,653 | ||||||||||||||
Foreign currency related transactions | (1,489 | ) | (56,522 | ) | (392,893 | ) | — | |||||||||||
Futures | 3,834 | 223,189 | 339,121 | (152,770 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) | 35,049,187 | 55,616,235 | 27,171,414 | 34,827,883 | ||||||||||||||
Net realized and unrealized gain | 34,791,460 | 55,029,820 | 28,368,469 | 47,691,558 | ||||||||||||||
Increase in net assets resulting from operations | $ | 38,401,450 | $ | 64,361,898 | $ | 36,543,684 | $ | 53,487,996 | ||||||||||
____________ | ||||||||||||||||||
* Foreign taxes withheld | $ | 250,322 | $ | 853,724 | $ | 728,606 | $ | 2,563 |
ING RussellTM Large Cap Index Portfolio | ING RussellTM Large Cap Value Index Portfolio | ING RussellTM Mid Cap Growth Index Portfolio | ING RussellTM Mid Cap Index Portfolio | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 13,245,184 | $ | 2,793,835 | $ | 4,273,695 | $ | 30,771,808 | ||||||||||
Securities lending income, net | 36,834 | 5,334 | 206,384 | 958,737 | ||||||||||||||
Total investment income | 13,282,018 | 2,799,169 | 4,480,079 | 31,730,545 | ||||||||||||||
EXPENSES: | ||||||||||||||||||
Investment management fees | 1,427,398 | 464,242 | 1,300,109 | 4,984,549 | ||||||||||||||
Distribution and shareholder service fees: | ||||||||||||||||||
Class ADV | 56,790 | 154 | 28 | 172,357 | ||||||||||||||
Class S | 1,104,663 | 148,838 | 707,979 | 426,938 | ||||||||||||||
Class S2 | 2,150 | — | 7,733 | 20,319 | ||||||||||||||
Transfer agent fees | 1,012 | 473 | 514 | 2,105 | ||||||||||||||
Administrative service fees | 570,951 | 103,163 | 288,908 | 1,607,904 | ||||||||||||||
Shareholder reporting expense | 22,575 | 207 | 27,726 | 50,531 | ||||||||||||||
Professional fees | 60,677 | 29,727 | 41,393 | 135,048 | ||||||||||||||
Custody and accounting expense | 58,594 | 16,448 | 43,350 | 169,476 | ||||||||||||||
Directors fees | 17,129 | 3,323 | 8,667 | 48,238 | ||||||||||||||
Miscellaneous expense | 35,072 | 10,071 | 23,459 | 113,343 | ||||||||||||||
Interest expense | 63 | 1,347 | 203 | 1,152 | ||||||||||||||
Total expenses | 3,357,074 | 777,993 | 2,450,069 | 7,731,960 | ||||||||||||||
Net waived and reimbursed fees | (79,259 | ) | (112,217 | ) | (290,455 | ) | (193,905 | ) | ||||||||||
Net expenses | 3,277,815 | 665,776 | 2,159,614 | 7,538,055 | ||||||||||||||
Net investment income | 10,004,203 | 2,133,393 | 2,320,465 | 24,192,490 | ||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||
Investments | 2,992,044 | 4,541,571 | 7,228,360 | 52,235,205 | ||||||||||||||
Foreign currency related transactions | — | — | — | 66 | ||||||||||||||
Futures | 1,877,231 | 235,922 | 491,744 | 7,770,954 | ||||||||||||||
Net realized gain | 4,869,275 | 4,777,493 | 7,720,104 | 60,006,225 | ||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||
Investments | 63,229,144 | 8,879,400 | 30,282,384 | 163,484,850 | ||||||||||||||
Futures | (858,137 | ) | (24,503 | ) | 33,413 | 1,505,632 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 62,371,007 | 8,854,897 | 30,315,797 | 164,990,482 | ||||||||||||||
Net realized and unrealized gain | 67,240,282 | 13,632,390 | 38,035,901 | 224,996,707 | ||||||||||||||
Increase in net assets resulting from operations | $ | 77,244,485 | $ | 15,765,783 | $ | 40,356,366 | $ | 249,189,197 | ||||||||||
____________ | ||||||||||||||||||
* Foreign taxes withheld | $ | 16,532 | $ | 5,106 | $ | 806 | $ | 18,399 |
ING RussellTM Small Cap Index Portfolio | ING U.S. Bond Index Portfolio | ING WisdomTreeSM Global High-Yielding Equity Index Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 14,030,804 | $ | 30,037 | $ | 8,246,082 | ||||||||
Interest, net of foreign taxes withheld* | — | 86,929,567 | 1,125 | |||||||||||
Securities lending income, net | 1,959,070 | 3,729 | — | |||||||||||
Total investment income | 15,989,874 | 86,963,333 | 8,247,207 | |||||||||||
EXPENSES: | ||||||||||||||
Investment management fees | 2,503,162 | 11,188,702 | 818,803 | |||||||||||
Distribution and shareholder service fees: | ||||||||||||||
Class ADV | 136,444 | 51,687 | 5,353 | |||||||||||
Class S | 479,848 | 678,435 | 442,325 | |||||||||||
Class S2 | 20,440 | 1,628 | — | |||||||||||
Transfer agent fees | 1,561 | 5,241 | 221 | |||||||||||
Administrative service fees | 758,522 | 3,969,012 | 177,998 | |||||||||||
Shareholder reporting expense | 47,542 | 75,002 | 4,896 | |||||||||||
Professional fees | 84,538 | 329,511 | 24,796 | |||||||||||
Custody and accounting expense | 88,242 | 472,313 | 96,427 | |||||||||||
Directors fees | 22,756 | 119,072 | 5,339 | |||||||||||
Miscellaneous expense | 48,487 | 186,183 | 12,301 | |||||||||||
Interest expense | 288 | 1,363 | 411 | |||||||||||
License fee | — | — | 330,402 | |||||||||||
Total expenses | 4,191,830 | 17,078,149 | 1,919,272 | |||||||||||
Net recouped/waived and reimbursed fees | (141,981 | ) | (325 | ) | 24,788 | |||||||||
Net expenses | 4,049,849 | 17,077,824 | 1,944,060 | |||||||||||
Net investment income | 11,940,025 | 69,885,509 | 6,303,147 | |||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||
Net realized gain (loss) on: | ||||||||||||||
Investments | 27,580,051 | 61,486,569 | (5,254,964 | ) | ||||||||||
Foreign currency related transactions | (1,164 | ) | — | (39,182 | ) | |||||||||
Futures | 3,305,389 | 177,112 | 452,879 | |||||||||||
Swaps | — | 12,083 | — | |||||||||||
Net realized gain (loss) | 30,884,276 | 61,675,764 | (4,841,267 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||
Investments | 68,159,469 | 15,986,675 | 23,510,261 | |||||||||||
Foreign currency related transactions | 6,453 | — | 18,997 | |||||||||||
Futures | 916,483 | — | 21,962 | |||||||||||
Swaps | — | (2,597 | ) | — | ||||||||||
Net change in unrealized appreciation (depreciation) | 69,082,405 | 15,984,078 | 23,551,220 | |||||||||||
Net realized and unrealized gain | 99,966,681 | 77,659,842 | 18,709,953 | |||||||||||
Increase in net assets resulting from operations | $ | 111,906,706 | $ | 147,545,351 | $ | 25,013,100 | ||||||||
____________ | ||||||||||||||
* Foreign taxes withheld | $ | 13,556 | $ | 6 | $ | 643,818 |
ING Australia Index Portfolio | ING Emerging Markets Index Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended December 31, 2012 | March 2, 2011(1) to December 31, 2011 | Year Ended December 31, 2012 | December 19, 2011(1) to December 31, 2011 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 8,727,679 | $ | 6,232,527 | $ | 882,836 | $ | 6,886 | |||||||||||
Net realized gain (loss) | (2,735,001 | ) | (642,365 | ) | 2,360,490 | (272,252 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) | 36,925,511 | (26,269,598 | ) | 6,461,732 | 2,089,804 | ||||||||||||||
Increase (decrease) in net assets resulting from operations | 42,918,189 | (20,679,436 | ) | 9,705,058 | 1,824,438 | ||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | (97 | ) | — | — | — | ||||||||||||||
Class I | (7,171,688 | ) | — | — | — | ||||||||||||||
Net realized gains: | |||||||||||||||||||
Class ADV | (11 | ) | — | (3 | ) | — | |||||||||||||
Class I | (737,845 | ) | — | (60,877 | ) | — | |||||||||||||
Class S | — | — | (3 | ) | — | ||||||||||||||
Class S2 | — | — | (3 | ) | — | ||||||||||||||
Total distributions | (7,909,641 | ) | — | (60,886 | ) | — | |||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 20,220,938 | 266,269,038 | 100,512,177 | 60,528,422 | |||||||||||||||
Reinvestment of distributions | 7,909,534 | — | 60,878 | — | |||||||||||||||
28,130,472 | 266,269,038 | 100,573,055 | 60,528,422 | ||||||||||||||||
Cost of shares redeemed | (58,520,274 | ) | (55,878,022 | ) | (59,342,600 | ) | (959,873 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (30,389,802 | ) | 210,391,016 | 41,230,455 | 59,568,549 | ||||||||||||||
Net increase in net assets | 4,618,746 | 189,711,580 | 50,874,627 | 61,392,987 | |||||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 189,711,580 | — | 61,392,987 | — | |||||||||||||||
End of year or period | $ | 194,330,326 | $ | 189,711,580 | $ | 112,267,614 | $ | 61,392,987 | |||||||||||
Undistributed net investment income at end of year or period | $ | 10,351,220 | $ | 7,139,026 | $ | 764,622 | $ | — | |||||||||||
____________ | |||||||||||||||||||
(1) Commencement of operations |
ING Euro STOXX 50® Index Portfolio | ING FTSE 100 Index® Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | �� | $ | 22,271,147 | $ | 26,191,612 | $ | 20,073,144 | $ | 19,267,291 | ||||||||||
Net realized gain (loss) | (47,211,450 | ) | (34,858,827 | ) | 11,264,744 | 27,305,386 | |||||||||||||
Net change in unrealized appreciation (depreciation) | 184,899,117 | (103,278,769 | ) | 53,579,599 | (60,301,575 | ) | |||||||||||||
Increase (decrease) in net assets resulting from operations | 159,958,814 | (111,945,984 | ) | 84,917,487 | (13,728,898 | ) | |||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | (160,508 | ) | (582,821 | ) | (67,538 | ) | (150,823 | ) | |||||||||||
Class I | (28,413,701 | ) | (24,444,279 | ) | (18,501,001 | ) | (16,601,491 | ) | |||||||||||
Net realized gains: | |||||||||||||||||||
Class ADV | — | — | (138,360 | ) | (78,591 | ) | |||||||||||||
Class I | — | — | (27,532,191 | ) | (8,101,421 | ) | |||||||||||||
Total distributions | (28,574,209 | ) | (25,027,100 | ) | (46,239,090 | ) | (24,932,326 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 128,690,079 | 346,846,951 | 48,515,954 | 166,706,399 | |||||||||||||||
Reinvestment of distributions | 28,574,209 | 25,027,100 | 46,239,090 | 24,932,326 | |||||||||||||||
157,264,288 | 371,874,051 | 94,755,044 | 191,638,725 | ||||||||||||||||
Cost of shares redeemed | (275,140,003 | ) | (437,696,268 | ) | (124,671,379 | ) | (284,392,248 | ) | |||||||||||
Net decrease in net assets resulting from capital share transactions | (117,875,715 | ) | (65,822,217 | ) | (29,916,335 | ) | (92,753,523 | ) | |||||||||||
Net increase (decrease) in net assets | 13,508,890 | (202,795,301 | ) | 8,762,062 | (131,414,747 | ) | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 675,819,938 | 878,615,239 | 537,510,016 | 668,924,763 | |||||||||||||||
End of year or period | $ | 689,328,828 | $ | 675,819,938 | $ | 546,272,078 | $ | 537,510,016 | |||||||||||
Undistributed net investment income at end of year or period | $ | 22,896,474 | $ | 28,529,085 | $ | 21,546,333 | $ | 18,633,762 |
ING Hang Seng Index Portfolio | ING International Index Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 3,609,990 | $ | 3,506,695 | $ | 9,332,078 | $ | 9,355,044 | |||||||||||
Net realized gain (loss) | (257,727 | ) | (4,102,575 | ) | (586,415 | ) | 612,742 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 35,049,187 | (30,017,229 | ) | 55,616,235 | (52,090,215 | ) | |||||||||||||
Increase (decrease) in net assets resulting from operations | 38,401,450 | (30,613,109 | ) | 64,361,898 | (42,122,429 | ) | |||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | (10,796 | ) | (39,578 | ) | (131,826 | ) | (77,309 | ) | |||||||||||
Class I | (1,246,556 | ) | (2,606,668 | ) | (6,872,113 | ) | (6,107,079 | ) | |||||||||||
Class S | (521,718 | ) | (1,692,517 | ) | (2,066,057 | ) | (2,323,514 | ) | |||||||||||
Class S2 | — | — | (10,178 | ) | (109 | ) | |||||||||||||
Total distributions | (1,779,070 | ) | (4,338,763 | ) | (9,080,174 | ) | (8,508,011 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 23,075,320 | 41,965,403 | 161,073,623 | 151,844,251 | |||||||||||||||
Reinvestment of distributions | 1,779,070 | 4,338,763 | 9,080,174 | 8,507,901 | |||||||||||||||
24,854,390 | 46,304,166 | 170,153,797 | 160,352,152 | ||||||||||||||||
Cost of shares redeemed | (49,797,819 | ) | (91,952,358 | ) | (108,499,372 | ) | (149,518,925 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (24,943,429 | ) | (45,648,192 | ) | 61,654,425 | 10,833,227 | |||||||||||||
Net increase (decrease) in net assets | 11,678,951 | (80,600,064 | ) | 116,936,149 | (39,797,213 | ) | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 142,376,527 | 222,976,591 | 326,863,231 | 366,660,444 | |||||||||||||||
End of year or period | $ | 154,055,478 | $ | 142,376,527 | $ | 443,799,380 | $ | 326,863,231 | |||||||||||
Undistributed net investment income at end of year or period | $ | 5,318,851 | $ | 1,777,449 | $ | 10,768,742 | $ | 8,989,947 |
ING Japan TOPIX Index Portfolio | ING RussellTM Large Cap Growth Index Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 8,175,215 | $ | 6,889,364 | $ | 5,796,438 | $ | 4,487,148 | |||||||||||
Net realized gain | 1,197,055 | 25,220,322 | 12,863,675 | 10,090,698 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 27,171,414 | (89,507,304 | ) | 34,827,883 | 440,220 | ||||||||||||||
Increase (decrease) in net assets resulting from operations | 36,543,684 | (57,397,618 | ) | 53,487,996 | 15,018,066 | ||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | (57,013 | ) | (172,144 | ) | (2,473 | ) | (2,421 | ) | |||||||||||
Class I | (6,912,160 | ) | (8,220,669 | ) | (2,776,854 | ) | (2,891,487 | ) | |||||||||||
Class S | — | — | (1,709,063 | ) | (1,499,465 | ) | |||||||||||||
Net realized gains: | |||||||||||||||||||
Class ADV | (415,115 | ) | (84,785 | ) | — | — | |||||||||||||
Class I | (26,601,217 | ) | (3,588,027 | ) | — | — | |||||||||||||
Total distributions | (33,985,505 | ) | (12,065,625 | ) | (4,488,390 | ) | (4,393,373 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 50,646,985 | 341,093,830 | 54,345,446 | 54,197,206 | |||||||||||||||
Reinvestment of distributions | 33,985,505 | 12,065,625 | 4,488,390 | 4,393,373 | |||||||||||||||
84,632,490 | 353,159,455 | 58,833,836 | 58,590,579 | ||||||||||||||||
Cost of shares redeemed | (89,953,863 | ) | (263,026,364 | ) | (89,268,777 | ) | (81,164,792 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (5,321,373 | ) | 90,133,091 | (30,434,941 | ) | (22,574,213 | ) | ||||||||||||
Net increase (decrease) in net assets | (2,763,194 | ) | 20,669,848 | 18,564,665 | (11,949,520 | ) | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 433,953,733 | 413,283,885 | 375,474,587 | 387,424,107 | |||||||||||||||
End of year or period | $ | 431,190,539 | $ | 433,953,733 | $ | 394,039,252 | $ | 375,474,587 | |||||||||||
Undistributed net investment income at end of year or period | $ | 8,264,486 | $ | 6,769,272 | $ | 5,792,179 | $ | 4,485,017 |
ING RussellTM Large Cap Index Portfolio | ING RussellTM Large Cap Value Index Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 10,004,203 | $ | 12,308,775 | $ | 2,133,393 | $ | 1,712,708 | |||||||||||
Net realized gain | 4,869,275 | 66,954,291 | 4,777,493 | 3,834,146 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 62,371,007 | (61,630,560 | ) | 8,854,897 | (5,140,291 | ) | |||||||||||||
Increase in net assets resulting from operations | 77,244,485 | 17,632,506 | 15,765,783 | 406,563 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | (183,812 | ) | (135,734 | ) | (457 | ) | (355 | ) | |||||||||||
Class I | (2,699,230 | ) | (4,989,150 | ) | (839,456 | ) | (736,480 | ) | |||||||||||
Class S | (9,476,883 | ) | (6,025,330 | ) | (881,924 | ) | (665,917 | ) | |||||||||||
Class S2 | (6,412 | ) | (706 | ) | — | — | |||||||||||||
Total distributions | (12,366,337 | ) | (11,150,920 | ) | (1,721,837 | ) | (1,402,752 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 146,964,672 | 224,991,761 | 55,775,860 | 26,352,332 | |||||||||||||||
Reinvestment of distributions | 12,366,337 | 11,150,920 | 1,721,837 | 1,402,751 | |||||||||||||||
159,331,009 | 236,142,681 | 57,497,697 | 27,755,083 | ||||||||||||||||
Cost of shares redeemed | (121,582,435 | ) | (542,491,070 | ) | (42,011,375 | ) | (25,265,647 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 37,748,574 | (306,348,389 | ) | 15,486,322 | 2,489,436 | ||||||||||||||
Net increase (decrease) in net assets | 102,626,722 | (299,866,803 | ) | 29,530,268 | 1,493,247 | ||||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 505,477,261 | 805,344,064 | 90,611,235 | 89,117,988 | |||||||||||||||
End of year or period | $ | 608,103,983 | $ | 505,477,261 | $ | 120,141,503 | $ | 90,611,235 | |||||||||||
Undistributed net investment income at end of year or period | $ | 9,985,007 | $ | 12,340,679 | $ | 2,132,366 | $ | 1,720,068 |
ING RussellTM Mid Cap Growth Index Portfolio | ING RussellTM Mid Cap Index Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 2,320,465 | $ | 1,067,649 | $ | 24,192,490 | $ | 19,406,592 | |||||||||||
Net realized gain | 7,720,104 | 29,597,078 | 60,006,225 | 56,903,792 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 30,315,797 | (37,524,556 | ) | 164,990,482 | (100,993,313 | ) | |||||||||||||
Increase (decrease) in net assets resulting from operations | 40,356,366 | (6,859,829 | ) | 249,189,197 | (24,682,929 | ) | |||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | (6 | ) | (10 | ) | (261,842 | ) | (226,198 | ) | |||||||||||
Class I | (26,673 | ) | (30,780 | ) | (15,896,653 | ) | (17,390,855 | ) | |||||||||||
Class S | (960,548 | ) | (1,301,916 | ) | (1,568,684 | ) | (1,768,482 | ) | |||||||||||
Class S2 | (2,809 | ) | (4,462 | ) | (33,862 | ) | (13,211 | ) | |||||||||||
Net realized gains: | |||||||||||||||||||
Class ADV | — | — | (1,127,552 | ) | (162,503 | ) | |||||||||||||
Class I | — | — | (48,770,203 | ) | (10,866,334 | ) | |||||||||||||
Class S | — | — | (6,066,804 | ) | (1,306,152 | ) | |||||||||||||
Class S2 | — | — | (120,626 | ) | (8,438 | ) | |||||||||||||
Total distributions | (990,036 | ) | (1,337,168 | ) | (73,846,226 | ) | (31,742,173 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 17,939,157 | 33,177,007 | 217,237,946 | 345,851,041 | |||||||||||||||
Reinvestment of distributions | 990,031 | 1,337,157 | 73,846,226 | 31,742,173 | |||||||||||||||
18,929,188 | 34,514,164 | 291,084,172 | 377,593,214 | ||||||||||||||||
Cost of shares redeemed | (54,013,618 | ) | (92,967,808 | ) | (254,448,082 | ) | (397,569,468 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (35,084,430 | ) | (58,453,644 | ) | 36,636,090 | (19,976,254 | ) | ||||||||||||
Net increase (decrease) in net assets | 4,281,900 | (66,650,641 | ) | 211,979,061 | (76,401,356 | ) | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 273,499,256 | 340,149,897 | 1,490,053,418 | 1,566,454,774 | |||||||||||||||
End of year or period | $ | 277,781,156 | $ | 273,499,256 | $ | 1,702,032,479 | $ | 1,490,053,418 | |||||||||||
Undistributed net investment income at end of year or period | $ | 2,297,797 | $ | 975,617 | $ | 24,097,713 | $ | 17,742,544 |
ING RussellTM Small Cap Index Portfolio | ING U.S. Bond Index Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 11,940,025 | $ | 6,142,654 | $ | 69,885,509 | $ | 79,357,471 | |||||||||||
Net realized gain | 30,884,276 | 45,794,561 | 61,675,764 | 106,566,855 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 69,082,405 | (77,671,768 | ) | 15,984,078 | 83,787,835 | ||||||||||||||
Increase (decrease) in net assets resulting from operations | 111,906,706 | (25,734,553 | ) | 147,545,351 | 269,712,161 | ||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class ADV | (147,736 | ) | (123,045 | ) | (190,096 | ) | (108,100 | ) | |||||||||||
Class I | (4,807,912 | ) | (4,672,572 | ) | (85,371,071 | ) | (81,822,611 | ) | |||||||||||
Class S | (1,233,899 | ) | (1,481,746 | ) | (5,430,033 | ) | (5,499,053 | ) | |||||||||||
Class S2 | (28,185 | ) | (7,745 | ) | (6,506 | ) | (1,488 | ) | |||||||||||
Net realized gains: | |||||||||||||||||||
Class ADV | (1,299,828 | ) | — | (206,884 | ) | (66,375 | ) | ||||||||||||
Class I | (26,424,716 | ) | — | (88,919,303 | ) | (60,836,061 | ) | ||||||||||||
Class S | (9,554,036 | ) | — | (6,252,564 | ) | (3,766,271 | ) | ||||||||||||
Class S2 | (182,495 | ) | — | (2,089 | ) | (94 | ) | ||||||||||||
Total distributions | (43,678,807 | ) | (6,285,108 | ) | (186,378,546 | ) | (152,100,053 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 138,271,941 | 203,606,618 | 938,802,613 | 1,398,682,877 | |||||||||||||||
Reinvestment of distributions | 43,678,807 | 6,285,108 | 186,378,546 | 152,099,967 | |||||||||||||||
181,950,748 | 209,891,726 | 1,125,181,159 | 1,550,782,844 | ||||||||||||||||
Cost of shares redeemed | (157,229,418 | ) | (247,541,209 | ) | (864,538,333 | ) | (1,769,816,441 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 24,721,330 | (37,649,483 | ) | 260,642,826 | (219,033,597 | ) | |||||||||||||
Net increase (decrease) in net assets | 92,949,229 | (69,669,144 | ) | 221,809,631 | (101,421,489 | ) | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 699,946,350 | 769,615,494 | 3,806,679,388 | 3,908,100,877 | |||||||||||||||
End of year or period | $ | 792,895,579 | $ | 699,946,350 | $ | 4,028,489,019 | $ | 3,806,679,388 | |||||||||||
Undistributed net investment income at end of year or period | $ | 11,900,500 | $ | 6,208,264 | $ | 1,294,068 | $ | 2,836,039 |
ING WisdomTreeSM Global High-Yielding Equity Index Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||
FROM OPERATIONS: | |||||||||||
Net investment income | $ | 6,303,147 | $ | 7,369,477 | |||||||
Net realized gain (loss) | (4,841,267 | ) | 1,856,336 | ||||||||
Net change in unrealized appreciation (depreciation) | 23,551,220 | (16,097,324 | ) | ||||||||
Increase (decrease) in net assets resulting from operations | 25,013,100 | (6,871,511 | ) | ||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Net investment income: | |||||||||||
Class ADV | (39,120 | ) | (28,678 | ) | |||||||
Class S | (7,076,900 | ) | (6,079,537 | ) | |||||||
Total distributions | (7,116,020 | ) | (6,108,215 | ) | |||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||
Net proceeds from sale of shares | 7,159,670 | 14,503,452 | |||||||||
Reinvestment of distributions | 7,116,020 | 6,108,215 | |||||||||
14,275,690 | 20,611,667 | ||||||||||
Cost of shares redeemed | (24,866,837 | ) | (40,155,756 | ) | |||||||
Net decrease in net assets resulting from capital share transactions | (10,591,147 | ) | (19,544,089 | ) | |||||||
Net increase (decrease) in net assets | 7,305,933 | (32,523,815 | ) | ||||||||
NET ASSETS: | |||||||||||
Beginning of year or period | 174,387,760 | 206,911,575 | |||||||||
End of year or period | $ | 181,693,693 | $ | 174,387,760 | |||||||
Undistributed net investment income at end of year or period | $ | 6,400,245 | $ | 7,110,423 |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return (1) | | Expenses before reductions/ additions (2)(3)(4) | | Expenses net of fee waivers and/ or recoupments if any (2)(3)(4) | | Expense net of all reductions/ additions (2)(3)(4) | | Net investment income (loss) (2)(4) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||||
ING Australia Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 8.72 | 0.37 | • | 1.54 | 1.91 | 0.32 | 0.04 | — | 0.36 | — | 10.27 | 22.26 | 1.27 | 0.92 | 0.92 | 3.93 | 3 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
03-02-11(5)– 12-31-11 | 10.00 | 0.27 | (1.55 | ) | (1.28 | ) | — | — | — | — | — | 8.72 | (12.80 | ) | 1.32 | 0.97 | 0.97 | 3.40 | 3 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 8.76 | 0.41 | • | 1.56 | 1.97 | 0.35 | 0.04 | — | 0.39 | — | 10.34 | 22.91 | 0.77 | 0.42 | 0.42 | 4.42 | 194,327 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
03-02-11(5)– 12-31-11 | 10.00 | 0.31 | • | (1.55 | ) | (1.24 | ) | — | — | — | — | — | 8.76 | (12.40 | ) | 0.82 | 0.47 | 0.47 | 3.83 | 189,709 | 22 | |||||||||||||||||||||||||||||||||||||||||||||||||
ING Emerging Markets Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.31 | 0.17 | 1.48 | 1.65 | — | 0.01 | — | 0.01 | — | 11.95 | 16.01 | 1.40 | 1.15 | 1.15 | 1.55 | 4 | 61 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-19-11(5)– 12-31-11 | 10.00 | (0.00 | )* | 0.31 | 0.31 | — | — | — | — | — | 10.31 | 3.10 | 1.47 | 1.22 | 1.22 | (0.08 | ) | 3 | — | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.32 | 0.16 | • | 1.53 | 1.69 | — | 0.01 | — | 0.01 | — | 12.00 | 16.38 | 0.90 | 0.65 | 0.65 | 1.39 | 112,257 | 61 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-19-11(5)– 12-31-11 | 10.00 | 0.00 | * | 0.32 | 0.32 | — | — | — | — | — | 10.32 | 3.20 | 0.97 | 0.72 | 0.72 | 0.35 | 61,384 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.31 | 0.20 | 1.47 | 1.67 | — | 0.01 | — | 0.01 | — | 11.97 | 16.20 | 1.15 | 0.90 | 0.90 | 1.80 | 4 | 61 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-19-11(5)– 12-31-11 | 10.00 | 0.00 | * | 0.31 | 0.31 | — | — | — | — | — | 10.31 | 3.10 | 1.22 | 0.97 | 0.97 | 0.11 | 3 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.31 | 0.18 | 1.48 | 1.66 | — | 0.01 | — | 0.01 | — | 11.96 | 16.10 | 1.40 | 1.05 | 1.05 | 1.65 | 4 | 61 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-19-11(5)– 12-31-11 | 10.00 | 0.00 | * | 0.31 | 0.31 | — | — | — | — | — | 10.31 | 3.10 | 1.47 | 1.12 | 1.12 | 0.03 | 3 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
ING Euro STOXX 50® Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 8.41 | 0.21 | • | 1.58 | 1.79 | 0.30 | — | — | 0.30 | — | 9.90 | 21.83 | 1.31 | 0.96 | 0.96 | 2.33 | 9,377 | 20 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 10.49 | 0.47 | • | (2.16 | ) | (1.69 | ) | 0.39 | — | — | 0.39 | — | 8.41 | (17.27 | ) | 1.27 | 0.92 | 0.92 | 4.54 | 3,241 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.63 | 0.18 | • | (1.25 | ) | (1.07 | ) | 0.05 | 0.02 | — | 0.07 | — | 10.49 | (9.13 | ) | 1.25 | 0.90 | 0.90 | 1.79 | 4,937 | 27 | |||||||||||||||||||||||||||||||||||||||||||||||||
08-17-09(5)– 12-31-09 | 10.00 | 0.06 | • | 1.57 | 1.63 | — | — | — | — | — | 11.63 | 16.30 | 1.32 | 0.97 | 0.97 | 1.29 | 665 | 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 8.50 | 0.28 | • | 1.56 | 1.84 | 0.40 | — | — | 0.40 | — | 9.94 | 22.42 | 0.81 | 0.46 | 0.46 | 3.23 | 679,952 | 20 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 10.57 | 0.38 | • | (2.05 | ) | (1.67 | ) | 0.40 | — | — | 0.40 | — | 8.50 | (16.99 | ) | 0.77 | 0.42 | 0.42 | 3.68 | 672,579 | 34 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.66 | 0.31 | • | (1.32 | ) | (1.01 | ) | 0.06 | 0.02 | — | 0.08 | — | 10.57 | (8.64 | ) | 0.75 | 0.40 | 0.40 | 3.00 | 873,679 | 27 | |||||||||||||||||||||||||||||||||||||||||||||||||
08-17-09(5)– 12-31-09 | 10.00 | 0.07 | • | 1.59 | 1.66 | — | — | — | — | — | 11.66 | 16.60 | 0.82 | 0.47 | 0.47 | 1.42 | 824,138 | 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
ING FTSE 100 Index® Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.48 | 0.37 | • | 1.34 | 1.71 | 0.31 | 0.63 | — | 0.94 | — | 12.25 | 15.24 | 1.26 | 0.91 | 0.91 | 3.15 | 2,642 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 12.46 | 0.36 | • | (0.81 | ) | (0.45 | ) | 0.35 | 0.18 | — | 0.53 | — | 11.48 | (4.13 | ) | 1.26 | 0.91 | 0.91 | 2.90 | 2,562 | 12 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.60 | 0.22 | • | 0.79 | 1.01 | 0.07 | 0.08 | — | 0.15 | — | 12.46 | 8.87 | 1.24 | 0.89 | 0.89 | 1.88 | 3,734 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
08-17-09(5)– 12-31-09 | 10.00 | 0.06 | • | 1.54 | 1.60 | — | — | — | — | 0.00 | * | 11.60 | 16.00 | (a) | 1.33 | 0.98 | 0.98 | 1.25 | 759 | 8 |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return (1) | | Expenses before reductions/ additions (2)(3)(4) | | Expenses net of fee waivers and/ or recoupments if any (2)(3)(4) | | Expense net of all reductions/ additions (2)(3)(4) | | Net investment income (loss) (2)(4) | | Net assets, end of year or period | | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||||
ING FTSE 100 Index® Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.59 | 0.43 | • | 1.34 | 1.77 | 0.42 | 0.63 | — | 1.05 | — | 12.31 | 15.74 | 0.76 | 0.41 | 0.41 | 3.63 | 543,630 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 12.53 | 0.41 | • | (0.80 | ) | (0.39 | ) | 0.37 | 0.18 | — | 0.55 | — | 11.59 | (3.61 | ) | 0.76 | 0.41 | 0.41 | 3.35 | 534,948 | 12 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.61 | 0.31 | • | 0.77 | 1.08 | 0.08 | 0.08 | — | 0.16 | — | 12.53 | 9.43 | 0.74 | 0.39 | 0.39 | 2.74 | 665,191 | 14 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
08-17-09(5)– 12-31-09 | 10.00 | 0.11 | • | 1.45 | 1.56 | — | — | — | — | 0.05 | 11.61 | 16.10 | (a) | 0.83 | 0.48 | 0.48 | 2.38 | 619,886 | 8 | |||||||||||||||||||||||||||||||||||||||||||||||||||
ING Hang Seng Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.10 | 0.21 | • | 2.90 | 3.11 | 0.09 | — | — | 0.09 | — | 14.12 | 28.14 | 1.34 | 1.24 | 1.24 | 1.69 | 1,607 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 13.98 | 0.23 | • | (2.77 | ) | (2.54 | ) | 0.34 | — | — | 0.34 | — | 11.10 | (18.71 | ) | 1.37 | 1.27 | 1.27 | 1.85 | 1,874 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 13.04 | 0.16 | • | 0.79 | 0.95 | 0.01 | — | — | 0.01 | — | 13.98 | 7.30 | 1.34 | 1.24 | † | 1.24 | † | 1.22 | † | 1,147 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||
05-04-09(5)– 12-31-09 | 10.00 | 0.13 | • | 2.94 | 3.07 | 0.02 | — | 0.01 | 0.03 | — | 13.04 | 30.72 | 1.39 | 1.28 | † | 1.28 | † | 1.58 | † | 4 | 3 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.20 | 0.31 | • | 2.89 | 3.20 | 0.17 | — | — | 0.17 | — | 14.23 | 28.70 | 0.84 | 0.74 | 0.74 | 2.49 | 97,820 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 14.04 | 0.27 | • | (2.76 | ) | (2.49 | ) | 0.35 | — | — | 0.35 | — | 11.20 | (18.23 | ) | 0.87 | 0.77 | 0.77 | 2.11 | 94,207 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 13.04 | 0.25 | • | 0.76 | 1.01 | 0.01 | — | — | 0.01 | — | 14.04 | 7.76 | 0.84 | 0.74 | † | 0.74 | † | 1.92 | † | 137,227 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||
05-04-09(5)– 12-31-09 | 10.00 | 0.04 | • | 3.07 | 3.11 | 0.06 | — | 0.01 | 0.07 | — | 13.04 | 31.14 | 0.89 | 0.78 | † | 0.78 | † | 0.48 | † | 101,683 | 3 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.16 | 0.29 | • | 2.87 | 3.16 | 0.13 | — | — | 0.13 | — | 14.19 | 28.41 | 1.09 | 0.99 | 0.99 | 2.29 | 54,629 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 14.00 | 0.26 | • | (2.77 | ) | (2.51 | ) | 0.33 | — | — | 0.33 | — | 11.16 | (18.45 | ) | 1.12 | 1.02 | 1.02 | 1.97 | 46,295 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 13.03 | 0.21 | • | 0.77 | 0.98 | 0.01 | — | — | 0.01 | — | 14.00 | 7.53 | 1.09 | 0.99 | † | 0.99 | † | 1.63 | † | 84,603 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||
05-01-09(5)– 12-31-09 | 10.00 | 0.06 | • | 3.03 | 3.09 | 0.05 | — | 0.01 | 0.06 | — | 13.03 | 30.93 | 1.14 | 1.03 | † | 1.03 | † | 0.71 | † | 43,353 | 3 | |||||||||||||||||||||||||||||||||||||||||||||||||
ING International Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 7.25 | 0.17 | • | 1.13 | 1.30 | 0.20 | — | — | 0.20 | — | 8.35 | 18.12 | 1.09 | 0.99 | 0.99 | 2.28 | 6,036 | 6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 8.47 | 0.19 | • | (1.22 | ) | (1.03 | ) | 0.19 | — | — | 0.19 | — | 7.25 | (12.63 | ) | 1.07 | 1.00 | 1.00 | 2.31 | 3,036 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 8.17 | 0.13 | • | 0.44 | 0.57 | 0.27 | — | — | 0.27 | — | 8.47 | 7.32 | 1.07 | 0.99 | † | 0.99 | † | 1.71 | † | 2,904 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.43 | 0.09 | • | 1.65 | 1.74 | — | — | — | — | — | 8.17 | 27.06 | 1.08 | 0.99 | † | 0.99 | † | 1.13 | † | 1,641 | 92 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.20 | • | (3.69 | ) | (3.49 | ) | 0.08 | — | — | 0.08 | — | 6.43 | (34.85 | ) | 1.17 | 1.00 | † | 1.00 | † | 2.87 | † | 2 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 7.33 | 0.20 | 1.15 | 1.35 | 0.22 | — | — | 0.22 | — | 8.46 | 18.72 | 0.59 | 0.50 | 0.50 | 2.69 | 349,512 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 8.54 | 0.22 | • | (1.22 | ) | (1.00 | ) | 0.21 | — | — | 0.21 | — | 7.33 | (12.17 | ) | 0.57 | 0.51 | 0.51 | 2.73 | 249,268 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 8.21 | 0.18 | • | 0.44 | 0.62 | 0.29 | — | — | 0.29 | — | 8.54 | 7.84 | 0.57 | 0.50 | † | 0.50 | † | 2.31 | † | 256,723 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.41 | 0.18 | • | 1.62 | 1.80 | — | — | — | — | — | 8.21 | 28.08 | 0.58 | 0.50 | † | 0.50 | † | 2.54 | † | 216,453 | 92 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.17 | • | (3.65 | ) | (3.48 | ) | 0.11 | — | — | 0.11 | — | 6.41 | (34.73 | ) | 0.67 | 0.50 | † | 0.50 | † | 2.56 | † | 237,777 | 22 |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return (1) | | Expenses before reductions/ additions (2)(3)(4) | | Expenses net of fee waivers and/ or recoupments if any (2)(3)(4) | | Expense net of all reductions/ additions (2)(3)(4) | | Net investment income (loss) (2)(4) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||||
ING International Index Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 7.28 | 0.19 | 1.14 | 1.33 | 0.20 | — | — | 0.20 | — | 8.41 | 18.50 | 0.84 | 0.75 | 0.75 | 2.50 | 86,454 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 8.49 | 0.21 | • | (1.23 | ) | (1.02 | ) | 0.19 | — | — | 0.19 | — | 7.28 | (12.44 | ) | 0.82 | 0.76 | 0.76 | 2.55 | 74,367 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 8.17 | 0.16 | • | 0.44 | 0.60 | 0.28 | — | — | 0.28 | — | 8.49 | 7.63 | 0.82 | 0.75 | † | 0.75 | † | 2.09 | † | 107,028 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.41 | 0.11 | • | 1.65 | 1.76 | — | — | — | — | — | 8.17 | 27.46 | 0.83 | 0.75 | † | 0.75 | † | 1.51 | † | 112,086 | 92 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.12 | • | (3.60 | ) | (3.48 | ) | 0.11 | — | — | 0.11 | — | 6.41 | (34.79 | ) | 0.92 | 0.75 | † | 0.75 | † | 1.93 | † | 6,983 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 7.30 | 0.15 | • | 1.17 | 1.32 | 0.22 | — | — | 0.22 | — | 8.40 | 18.29 | 1.09 | 0.90 | 0.90 | 1.93 | 1,797 | 6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 8.52 | 0.12 | • | (1.16 | ) | (1.04 | ) | 0.18 | — | — | 0.18 | — | 7.30 | (12.60 | ) | 1.07 | 0.91 | 0.91 | 1.60 | 192 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 8.19 | 0.15 | • | 0.44 | 0.59 | 0.26 | — | — | 0.26 | — | 8.52 | 7.44 | 1.07 | 0.90 | † | 0.90 | † | 1.91 | † | 5 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||
02-27-09(5)– 12-31-09 | 5.05 | 0.10 | • | 3.04 | 3.14 | — | — | — | — | — | 8.19 | 62.18 | 1.08 | 0.90 | † | 0.90 | † | 1.69 | † | 5 | 92 | |||||||||||||||||||||||||||||||||||||||||||||||||
ING Japan TOPIX Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 9.38 | 0.16 | • | 0.54 | 0.70 | 0.09 | 0.64 | — | 0.73 | — | 9.35 | 7.60 | 1.25 | 0.90 | 0.90 | 1.68 | 5,739 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 11.12 | 0.10 | • | (1.60 | ) | (1.50 | ) | 0.16 | 0.08 | — | 0.24 | — | 9.38 | (13.72 | ) | 1.32 | 0.97 | 0.97 | 0.97 | 10,069 | 45 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.80 | 0.09 | • | 1.25 | 1.34 | 0.01 | 0.01 | — | 0.02 | — | 11.12 | 13.63 | 1.27 | 0.92 | 0.92 | 0.94 | 8,580 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
08-17-09(5)– 12-31-09 | 10.00 | (0.04 | )• | (0.16 | ) | (0.20 | ) | — | — | — | — | — | 9.80 | (2.00 | ) | 1.29 | 0.94 | 0.94 | (1.02 | ) | 327 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 9.47 | 0.19 | 0.57 | 0.76 | 0.17 | 0.64 | — | 0.81 | — | 9.42 | 8.19 | 0.75 | 0.40 | 0.40 | 1.91 | 425,451 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 11.19 | 0.16 | • | (1.62 | ) | (1.46 | ) | 0.18 | 0.08 | — | 0.26 | — | 9.47 | (13.29 | ) | 0.82 | 0.47 | 0.47 | 1.54 | 423,885 | 45 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.82 | 0.14 | • | 1.25 | 1.39 | 0.01 | 0.01 | — | 0.02 | — | 11.19 | 14.13 | 0.77 | 0.42 | 0.42 | 1.39 | 404,703 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
08-17-09(5)– 12-31-09 | 10.00 | 0.01 | (0.19 | ) | (0.18 | ) | — | — | — | — | — | 9.82 | (1.80 | ) | 0.79 | 0.44 | 0.44 | 0.31 | 504,443 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||||||
ING RussellTM Large Cap Growth Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 14.70 | 0.17 | • | 1.87 | 2.04 | 0.12 | — | — | 0.12 | — | 16.62 | 13.90 | 1.09 | 0.99 | 0.99 | 1.02 | 366 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 14.30 | 0.10 | 0.43 | 0.53 | 0.13 | — | — | 0.13 | — | 14.70 | 3.70 | 1.09 | 0.99 | 0.99 | 0.76 | 263 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.81 | 0.10 | • | 1.46 | 1.56 | 0.07 | — | — | 0.07 | — | 14.30 | 12.18 | 1.08 | 0.98 | † | 0.98 | † | 0.81 | † | 242 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||
05-01-09(5)– 12-31-09 | 10.00 | 0.07 | • | 2.74 | 2.81 | — | — | — | — | — | 12.81 | 28.10 | 1.12 | 1.02 | † | 0.98 | † | 0.87 | † | 151 | 5 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 14.82 | 0.25 | • | 1.90 | 2.15 | 0.19 | — | — | 0.19 | — | 16.78 | 14.50 | 0.59 | 0.49 | 0.49 | 1.50 | 228,977 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 14.39 | 0.19 | • | 0.42 | 0.61 | 0.18 | — | — | 0.18 | — | 14.82 | 4.21 | 0.59 | 0.49 | 0.49 | 1.27 | 221,400 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.84 | 0.17 | • | 1.47 | 1.64 | 0.09 | — | — | 0.09 | — | 14.39 | 12.80 | 0.58 | 0.48 | † | 0.48 | † | 1.30 | † | 239,910 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||
05-01-09(5)– 12-31-09 | 10.00 | 0.08 | 2.76 | 2.84 | — | — | — | — | — | 12.84 | 28.40 | 0.62 | 0.52 | † | 0.48 | † | 1.45 | † | 241,608 | 5 |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return (1) | | Expenses before reductions/ additions (2)(3)(4) | | Expenses net of fee waivers and/ or recoupments if any (2)(3)(4) | | Expense net of all reductions/ additions (2)(3)(4) | | Net investment income (loss) (2)(4) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||||
ING RussellTM Large Cap Growth Index Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 14.76 | 0.21 | • | 1.89 | 2.10 | 0.15 | — | — | 0.15 | — | 16.71 | 14.26 | 0.84 | 0.74 | 0.74 | 1.26 | 164,697 | 17 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 14.34 | 0.15 | 0.42 | 0.57 | 0.15 | — | — | 0.15 | — | 14.76 | 3.92 | 0.84 | 0.74 | 0.74 | 1.03 | 153,812 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.82 | 0.13 | • | 1.46 | 1.59 | 0.07 | — | — | 0.07 | — | 14.34 | 12.47 | 0.83 | 0.73 | † | 0.73 | † | 1.05 | † | 147,272 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||
05-01-09(5)– 12-31-09 | 10.00 | 0.07 | 2.75 | 2.82 | — | — | — | — | — | 12.82 | 28.20 | 0.87 | 0.77 | † | 0.73 | † | 1.19 | † | 144,502 | 5 | ||||||||||||||||||||||||||||||||||||||||||||||||||
ING RussellTM Large Cap Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 9.65 | 0.16 | • | 1.29 | 1.45 | 0.20 | — | — | 0.20 | — | 10.90 | 15.05 | 0.88 | 0.87 | 0.87 | 1.50 | 17,492 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 9.58 | 0.12 | • | 0.07 | 0.19 | 0.12 | — | — | 0.12 | — | 9.65 | 1.92 | 0.88 | 0.87 | 0.87 | 1.26 | 8,964 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 8.85 | 0.10 | • | 0.93 | 1.03 | 0.30 | — | — | 0.30 | — | 9.58 | 11.74 | 0.89 | 0.87 | † | 0.87 | † | 1.15 | † | 10,161 | 11 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.19 | 0.10 | • | 1.56 | 1.66 | — | — | — | — | — | 8.85 | 23.09 | 0.90 | 0.87 | † | 0.87 | † | 1.31 | † | 6,835 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.13 | • | (2.87 | ) | (2.74 | ) | 0.07 | — | — | 0.07 | — | 7.19 | (27.42 | ) | 0.89 | 0.87 | † | 0.87 | † | 1.98 | † | 1,135 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 9.78 | 0.19 | 1.33 | 1.52 | 0.26 | — | — | 0.26 | — | 11.04 | 15.56 | 0.38 | 0.37 | 0.37 | 1.96 | 128,779 | 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 9.68 | 0.17 | • | 0.09 | 0.26 | 0.16 | — | — | 0.16 | — | 9.78 | 2.57 | 0.38 | 0.37 | 0.37 | 1.76 | 98,853 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 8.92 | 0.15 | • | 0.92 | 1.07 | 0.31 | — | — | 0.31 | — | 9.68 | 12.19 | 0.39 | 0.37 | † | 0.37 | † | 1.64 | † | 340,889 | 11 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.21 | 0.15 | • | 1.56 | 1.71 | 0.00 | * | — | — | 0.00 | * | — | 8.92 | 23.73 | 0.40 | 0.37 | † | 0.37 | † | 2.02 | † | 251,504 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.17 | • | (2.88 | ) | (2.71 | ) | 0.08 | — | — | 0.08 | — | 7.21 | (27.06 | ) | 0.39 | 0.37 | † | 0.37 | † | 2.31 | † | 1,057,974 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 9.72 | 0.18 | 1.31 | 1.49 | 0.23 | — | — | 0.23 | — | 10.98 | 15.38 | 0.63 | 0.62 | 0.62 | 1.70 | 461,214 | 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 9.64 | 0.15 | • | 0.06 | 0.21 | 0.13 | — | — | 0.13 | — | 9.72 | 2.13 | 0.63 | 0.62 | 0.62 | 1.50 | 397,371 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 8.89 | 0.12 | • | 0.93 | 1.05 | 0.30 | — | — | 0.30 | — | 9.64 | 12.00 | 0.64 | 0.62 | † | 0.62 | † | 1.39 | † | 454,246 | 11 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.20 | 0.12 | • | 1.57 | 1.69 | — | — | — | — | — | 8.89 | 23.47 | 0.65 | 0.62 | † | 0.62 | † | 1.51 | † | 440,738 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.14 | • | (2.87 | ) | (2.73 | ) | 0.07 | — | — | 0.07 | — | 7.20 | (27.23 | ) | 0.64 | 0.62 | † | 0.62 | † | 2.19 | † | 28,529 | 8 | ||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 9.87 | 0.17 | • | 1.32 | 1.49 | 0.23 | — | — | 0.23 | — | 11.13 | 15.17 | 0.88 | 0.77 | 0.77 | 1.59 | 618 | 3 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 9.81 | 0.14 | • | 0.07 | 0.21 | 0.15 | — | — | 0.15 | — | 9.87 | 2.01 | 0.88 | 0.77 | 0.77 | 1.47 | 289 | 9 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 8.79 | 0.11 | • | 0.91 | 1.02 | — | — | — | — | — | 9.81 | 11.60 | 0.89 | 0.77 | † | 0.77 | † | 1.17 | † | 48 | 11 | |||||||||||||||||||||||||||||||||||||||||||||||||
02-27-09(5)– 12-31-09 | 5.89 | 0.00 | *• | 2.90 | 2.90 | 0.00 | * | — | — | 0.00 | * | — | 8.79 | 49.26 | 0.90 | 0.77 | † | 0.77 | † | (0.06 | )† | 4 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||
ING RussellTM Large Cap Value Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 12.42 | 0.21 | 1.76 | 1.97 | 0.20 | — | — | 0.20 | — | 14.19 | 15.92 | 1.11 | 1.00 | 1.00 | 1.70 | 32 | 28 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 12.52 | 0.19 | (0.13 | ) | 0.06 | 0.16 | — | — | 0.16 | — | 12.42 | 0.35 | 1.09 | 0.99 | 0.99 | 1.54 | 26 | 20 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.61 | 0.16 | • | 1.18 | 1.34 | 0.17 | 1.26 | — | 1.43 | — | 12.52 | 10.86 | 1.11 | 1.01 | † | 1.01 | † | 1.30 | † | 27 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||||
05-01-09(5)– 12-31-09 | 10.00 | 0.10 | • | 2.51 | 2.61 | — | — | — | — | — | 12.61 | 26.10 | 1.17 | 1.06 | † | 1.06 | † | 1.30 | † | 26 | 87 |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return (1) | | Expenses before reductions/ additions (2)(3)(4) | | Expenses net of fee waivers and/ or recoupments if any (2)(3)(4) | | Expense net of all reductions/ additions (2)(3)(4) | | Net investment income (loss) (2)(4) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||||
ING RussellTM Large Cap Value Index Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 12.51 | 0.30 | • | 1.75 | 2.05 | 0.26 | — | — | 0.26 | — | 14.30 | 16.47 | 0.61 | 0.50 | 0.50 | 2.21 | 43,907 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 12.60 | 0.26 | • | (0.14 | ) | 0.12 | 0.21 | — | — | 0.21 | — | 12.51 | 0.83 | 0.59 | 0.49 | 0.49 | 2.04 | 41,335 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.65 | 0.22 | • | 1.19 | 1.41 | 0.20 | 1.26 | — | 1.46 | — | 12.60 | 11.38 | 0.61 | 0.51 | † | 0.51 | † | 1.81 | † | 45,590 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||||
05-01-09(5)– 12-31-09 | 10.00 | 0.15 | • | 2.50 | 2.65 | — | — | — | — | — | 12.65 | 26.50 | 0.67 | 0.56 | † | 0.56 | † | 1.89 | † | 48,211 | 87 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 12.47 | 0.27 | • | 1.73 | 2.00 | 0.23 | — | — | 0.23 | — | 14.24 | 16.11 | 0.86 | 0.75 | 0.75 | 1.97 | 76,203 | 28 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 12.57 | 0.22 | • | (0.14 | ) | 0.08 | 0.18 | — | — | 0.18 | — | 12.47 | 0.56 | 0.84 | 0.74 | 0.74 | 1.79 | 49,250 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.64 | 0.19 | • | 1.19 | 1.38 | 0.19 | 1.26 | — | 1.45 | — | 12.57 | 11.13 | 0.86 | 0.76 | † | 0.76 | † | 1.58 | † | 43,502 | 30 | |||||||||||||||||||||||||||||||||||||||||||||||||
05-01-09(5)– 12-31-09 | 10.00 | 0.12 | • | 2.52 | 2.64 | — | — | — | — | — | 12.64 | 26.40 | 0.92 | 0.81 | † | 0.81 | † | 1.51 | † | 30,119 | 87 | |||||||||||||||||||||||||||||||||||||||||||||||||
ING RussellTM Mid Cap Growth Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 15.86 | 0.10 | 2.30 | 2.40 | 0.02 | — | — | 0.02 | — | 18.24 | 15.13 | 1.10 | 1.00 | 1.00 | 0.58 | 5 | 20 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 16.29 | 0.01 | • | (0.11 | ) | (0.10 | ) | 0.33 | — | — | 0.33 | — | 15.86 | (2.46 | ) | 1.09 | 0.99 | 0.99 | 0.08 | 5 | 24 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 13.11 | 0.03 | 3.30 | 3.33 | 0.02 | 0.13 | — | 0.15 | — | 16.29 | 25.52 | 1.09 | 0.99 | † | 0.99 | † | 0.23 | † | 5 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||||
05-01-09(5)– 12-31-09 | 10.00 | 0.02 | 3.09 | 3.11 | — | — | — | — | — | 13.11 | 31.10 | 1.14 | 1.04 | † | 1.04 | † | 0.30 | † | 4 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 15.96 | 0.18 | • | 2.33 | 2.51 | 0.10 | — | — | 0.10 | — | 18.37 | 15.74 | 0.60 | 0.50 | 0.50 | 1.03 | 3,905 | 20 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 16.38 | 0.09 | • | (0.40 | ) | (0.31 | ) | 0.11 | — | — | 0.11 | — | 15.96 | (2.00 | ) | 0.59 | 0.49 | 0.49 | 0.53 | 4,020 | 24 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 13.14 | 0.10 | 3.32 | 3.42 | 0.05 | 0.13 | — | 0.18 | — | 16.38 | 26.22 | 0.59 | 0.49 | † | 0.49 | † | 0.73 | † | 12,615 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||||
05-01-09(5)– 12-31-09 | 10.00 | 0.05 | • | 3.09 | 3.14 | — | — | — | — | — | 13.14 | 31.40 | 0.64 | 0.54 | † | 0.54 | † | 0.72 | † | 9,644 | 42 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 15.91 | 0.14 | • | 2.33 | 2.47 | 0.06 | — | — | 0.06 | — | 18.32 | 15.50 | 0.85 | 0.75 | 0.75 | 0.80 | 272,387 | 20 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 16.33 | 0.06 | (0.41 | ) | (0.35 | ) | 0.07 | — | — | 0.07 | — | 15.91 | (2.20 | ) | 0.84 | 0.74 | 0.74 | 0.34 | 267,999 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 13.13 | 0.07 | 3.30 | 3.37 | 0.04 | 0.13 | — | 0.17 | — | 16.33 | 25.85 | 0.84 | 0.74 | † | 0.74 | † | 0.48 | † | 325,749 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||||
05-01-09(5)– 12-31-09 | 10.00 | 0.06 | • | 3.07 | 3.13 | — | — | — | — | — | 13.13 | 31.30 | 0.89 | 0.79 | † | 0.79 | † | 0.67 | † | 271,776 | 42 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 15.88 | 0.11 | • | 2.32 | 2.43 | 0.03 | — | — | 0.03 | — | 18.28 | 15.30 | 1.10 | 0.90 | 0.90 | 0.64 | 1,484 | 20 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 16.30 | 0.04 | (0.42 | ) | (0.38 | ) | 0.04 | — | — | 0.04 | — | 15.88 | (2.34 | ) | 1.09 | 0.89 | 0.89 | 0.18 | 1,476 | 24 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 13.11 | 0.05 | 3.30 | 3.35 | 0.03 | 0.13 | — | 0.16 | — | 16.30 | 25.71 | 1.09 | 0.89 | † | 0.89 | † | 0.32 | † | 1,781 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||||
05-01-09(5)– 12-31-09 | 10.00 | 0.02 | 3.09 | 3.11 | — | — | — | — | — | 13.11 | 31.10 | 1.14 | 0.94 | † | 0.94 | † | 0.47 | † | 1,619 | 42 |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return (1) | | Expenses before reductions/ additions (2)(3)(4) | | Expenses net of fee waivers and/ or recoupments if any (2)(3)(4) | | Expense net of all reductions/ additions (2)(3)(4) | | Net investment income (loss) (2)(4) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||||
ING RussellTM Mid Cap Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.99 | 0.13 | • | 1.66 | 1.79 | 0.10 | 0.43 | — | 0.53 | — | 12.25 | 16.42 | 0.94 | 0.93 | 0.93 | 1.12 | 46,214 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 11.45 | 0.09 | • | (0.33 | ) | (0.24 | ) | 0.13 | 0.09 | — | 0.22 | — | 10.99 | (2.31 | ) | 0.95 | 0.93 | 0.93 | 0.81 | 25,606 | 12 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.24 | 0.11 | • | 2.15 | 2.26 | 0.05 | — | — | 0.05 | — | 11.45 | 24.48 | 0.95 | 0.93 | † | 0.93 | † | 1.08 | † | 13,988 | 8 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.63 | 0.10 | • | 2.51 | 2.61 | — | — | — | — | — | 9.24 | 39.37 | 0.93 | 0.93 | † | 0.93 | † | 1.18 | † | 2,856 | 7 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.08 | • | (3.37 | ) | (3.29 | ) | 0.07 | — | 0.01 | 0.08 | — | 6.63 | (32.92 | ) | 1.01 | 0.93 | † | 0.93 | † | 1.00 | † | 61 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.14 | 0.18 | • | 1.70 | 1.88 | 0.14 | 0.43 | — | 0.57 | — | 12.45 | 17.04 | 0.44 | 0.43 | 0.43 | 1.54 | 1,455,088 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 11.57 | 0.15 | (0.34 | ) | (0.19 | ) | 0.15 | 0.09 | — | 0.24 | — | 11.14 | (1.88 | ) | 0.45 | 0.43 | 0.43 | 1.26 | 1,311,921 | 12 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.29 | 0.15 | • | 2.19 | 2.34 | 0.06 | — | — | 0.06 | — | 11.57 | 25.22 | 0.45 | 0.43 | † | 0.43 | † | 1.46 | † | 1,389,676 | 8 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.63 | 0.13 | • | 2.53 | 2.66 | — | — | — | — | — | 9.29 | 40.12 | 0.43 | 0.43 | † | 0.43 | † | 1.59 | † | 1,285,223 | 7 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.13 | • | (3.41 | ) | (3.28 | ) | 0.08 | — | 0.01 | 0.09 | — | 6.63 | (32.74 | ) | 0.51 | 0.43 | † | 0.43 | † | 1.74 | † | 117,525 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.07 | 0.16 | • | 1.67 | 1.83 | 0.11 | 0.43 | — | 0.54 | — | 12.36 | 16.69 | 0.69 | 0.68 | 0.68 | 1.31 | 193,939 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 11.50 | 0.12 | (0.34 | ) | (0.22 | ) | 0.12 | 0.09 | — | 0.21 | — | 11.07 | (2.07 | ) | 0.70 | 0.68 | 0.68 | 1.01 | 149,956 | 12 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.25 | 0.12 | • | 2.18 | 2.30 | 0.05 | — | — | 0.05 | — | 11.50 | 24.88 | 0.70 | 0.68 | † | 0.68 | † | 1.22 | † | 162,362 | 8 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 6.62 | 0.10 | • | 2.53 | 2.63 | — | — | — | — | — | 9.25 | 39.73 | 0.68 | 0.68 | † | 0.68 | † | 1.33 | † | 103,065 | 7 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.12 | • | (3.41 | ) | (3.29 | ) | 0.08 | — | 0.01 | 0.09 | — | 6.62 | (32.90 | ) | 0.76 | 0.68 | † | 0.68 | † | 1.85 | † | 25,303 | 30 | ||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.02 | 0.15 | • | 1.65 | 1.80 | 0.12 | 0.43 | — | 0.55 | — | 12.27 | 16.48 | 0.94 | 0.83 | 0.83 | 1.29 | 6,791 | 10 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 11.48 | 0.11 | • | (0.34 | ) | (0.23 | ) | 0.14 | 0.09 | — | 0.23 | — | 11.02 | (2.18 | ) | 0.95 | 0.83 | 0.83 | 1.01 | 2,570 | 12 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.25 | 0.16 | • | 2.10 | 2.26 | 0.03 | — | — | 0.03 | — | 11.48 | 24.49 | 0.95 | 0.83 | † | 0.83 | † | 1.49 | † | 428 | 8 | |||||||||||||||||||||||||||||||||||||||||||||||||
02-27-09(5)– 12-31-09 | 5.52 | 0.08 | • | 3.65 | 3.73 | — | — | — | — | — | 9.25 | 67.57 | 0.93 | 0.83 | † | 0.83 | † | 1.19 | † | 5 | 7 | |||||||||||||||||||||||||||||||||||||||||||||||||
ING RussellTM Small Cap Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.58 | 0.15 | • | 1.61 | 1.76 | 0.07 | 0.63 | — | 0.70 | — | 12.64 | 15.53 | 0.97 | 0.95 | 0.95 | 1.23 | 33,777 | 15 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 12.20 | 0.05 | • | (0.58 | ) | (0.53 | ) | 0.09 | — | — | 0.09 | — | 11.58 | (4.45 | ) | 0.97 | 0.95 | 0.95 | 0.46 | 21,501 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.74 | 0.08 | • | 2.43 | 2.51 | 0.05 | — | — | 0.05 | — | 12.20 | 25.77 | 0.97 | 0.95 | † | 0.95 | † | 0.73 | † | 13,051 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.72 | 0.06 | • | 1.96 | 2.02 | — | — | — | — | — | 9.74 | 26.17 | 0.97 | 0.95 | † | 0.95 | † | 0.74 | † | 1,972 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.11 | • | (2.32 | ) | (2.21 | ) | 0.06 | — | 0.01 | 0.07 | — | 7.72 | (22.02 | ) | 1.27 | 1.17 | † | 1.17 | † | 1.74 | † | 571 | 35 | ||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.76 | 0.21 | 1.64 | 1.85 | 0.12 | 0.63 | — | 0.75 | — | 12.86 | 16.04 | 0.47 | 0.45 | 0.45 | 1.65 | 553,728 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 12.34 | 0.11 | (0.58 | ) | (0.47 | ) | 0.11 | — | — | 0.11 | — | 11.76 | (3.92 | ) | 0.47 | 0.45 | 0.45 | 0.90 | 504,085 | 15 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.81 | 0.11 | • | 2.48 | 2.59 | 0.06 | — | — | 0.06 | — | 12.34 | 26.43 | 0.47 | 0.45 | † | 0.45 | † | 1.08 | † | 550,465 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.75 | 0.10 | • | 1.96 | 2.06 | — | — | — | — | — | 9.81 | 26.58 | 0.47 | 0.45 | † | 0.45 | † | 1.23 | † | 514,616 | 16 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.12 | • | (2.29 | ) | (2.17 | ) | 0.07 | — | 0.01 | 0.08 | — | 7.75 | (21.68 | ) | 0.53 | 0.45 | † | 0.45 | † | 1.49 | † | 132,762 | 35 |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return (1) | | Expenses before reductions/ additions (2)(3)(4) | | Expenses net of fee waivers and/ or recoupments if any (2)(3)(4) | | Expense net of all reductions/ additions (2)(3)(4) | | Net investment income (loss) (2)(4) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||||
ING RussellTM Small Cap Index Portfolio (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.68 | 0.17 | 1.64 | 1.81 | 0.08 | 0.63 | — | 0.71 | — | 12.78 | 15.84 | 0.72 | 0.70 | 0.70 | 1.41 | 199,428 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 12.27 | 0.08 | (0.58 | ) | (0.50 | ) | 0.09 | — | — | 0.09 | — | 11.68 | (4.19 | ) | 0.72 | 0.70 | 0.70 | 0.62 | 172,182 | 15 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.77 | 0.09 | • | 2.45 | 2.54 | 0.04 | — | — | 0.04 | — | 12.27 | 26.07 | 0.72 | 0.70 | † | 0.70 | † | 0.85 | † | 205,956 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 7.73 | 0.07 | 1.97 | 2.04 | — | — | — | — | — | 9.77 | 26.39 | 0.72 | 0.70 | † | 0.70 | † | 0.95 | † | 136,697 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.12 | • | (2.32 | ) | (2.20 | ) | 0.06 | — | 0.01 | 0.07 | — | 7.73 | (21.95 | ) | 0.78 | 0.70 | † | 0.70 | † | 1.71 | † | 74,707 | 35 | ||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.59 | 0.17 | • | 1.61 | 1.78 | 0.10 | 0.63 | — | 0.73 | — | 12.64 | 15.67 | 0.97 | 0.85 | 0.85 | 1.40 | 5,962 | 15 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 12.22 | 0.08 | • | (0.60 | ) | (0.52 | ) | 0.11 | — | — | 0.11 | — | 11.59 | (4.38 | ) | 0.97 | 0.85 | 0.85 | 0.64 | 2,178 | 15 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 9.74 | 0.12 | • | 2.39 | 2.51 | 0.03 | — | — | 0.03 | — | 12.22 | 25.81 | 0.97 | 0.85 | † | 0.85 | † | 1.07 | † | 143 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||||
02-27-09(5)– 12-31-09 | 6.03 | 0.06 | 3.65 | 3.71 | — | — | — | — | — | 9.74 | 61.53 | 0.97 | 0.85 | † | 0.85 | † | 0.83 | † | 5 | 16 | ||||||||||||||||||||||||||||||||||||||||||||||||||
ING U.S. Bond Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.04 | 0.14 | 0.22 | 0.36 | 0.20 | 0.26 | — | 0.46 | — | 10.94 | 3.35 | 0.91 | 0.91 | 0.91 | 1.27 | 11,313 | 145 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 10.71 | 0.17 | • | 0.54 | 0.71 | 0.20 | 0.18 | — | 0.38 | — | 11.04 | 6.75 | 0.94 | 0.94 | 0.94 | 1.54 | 9,397 | 284 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.37 | 0.20 | • | 0.38 | 0.58 | 0.24 | — | — | 0.24 | — | 10.71 | 5.58 | 0.96 | 0.95 | † | 0.95 | † | 1.82 | † | 3,714 | 279 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 10.12 | 0.23 | • | 0.30 | 0.53 | 0.20 | 0.08 | — | 0.28 | — | 10.37 | 5.29 | 0.94 | 0.94 | † | 0.94 | † | 2.27 | † | 1,432 | 380 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.25 | 0.07 | 0.32 | 0.18 | 0.02 | — | 0.20 | — | 10.12 | 3.26 | 1.01 | 0.95 | † | 0.95 | † | 2.95 | † | 143 | 360 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.07 | 0.20 | 0.21 | 0.41 | 0.25 | 0.26 | — | 0.51 | — | 10.97 | 3.85 | 0.41 | 0.41 | 0.41 | 1.78 | 3,752,746 | 145 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 10.74 | 0.23 | 0.53 | 0.76 | 0.25 | 0.18 | — | 0.43 | — | 11.07 | 7.20 | 0.44 | 0.44 | 0.44 | 2.05 | 3,479,437 | 284 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.39 | 0.25 | • | 0.38 | 0.63 | 0.28 | — | — | 0.28 | — | 10.74 | 6.14 | 0.46 | 0.45 | † | 0.45 | † | 2.36 | † | 3,655,181 | 279 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 10.12 | 0.28 | • | 0.31 | 0.59 | 0.24 | 0.08 | — | 0.32 | — | 10.39 | 5.88 | 0.44 | 0.44 | † | 0.44 | † | 2.66 | † | 3,501,280 | 380 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-07-08(5)– 12-31-08 | 10.00 | 0.28 | • | 0.08 | 0.36 | 0.22 | 0.02 | — | 0.24 | — | 10.12 | 3.61 | 0.51 | 0.45 | † | 0.45 | † | 3.42 | † | 107,276 | 360 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.04 | 0.17 | 0.22 | 0.39 | 0.23 | 0.26 | — | 0.49 | — | 10.94 | 3.59 | 0.66 | 0.66 | 0.66 | 1.53 | 263,816 | 145 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 10.71 | 0.19 | 0.54 | 0.73 | 0.22 | 0.18 | — | 0.40 | — | 11.04 | 6.96 | 0.69 | 0.69 | 0.69 | 1.79 | 317,638 | 284 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.36 | 0.23 | • | 0.38 | 0.61 | 0.26 | — | — | 0.26 | — | 10.71 | 5.89 | 0.71 | 0.70 | † | 0.70 | † | 2.10 | † | 249,203 | 279 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 10.10 | 0.26 | 0.29 | 0.55 | 0.21 | 0.08 | — | 0.29 | — | 10.36 | 5.54 | 0.69 | 0.69 | † | 0.69 | † | 2.59 | † | 265,749 | 380 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-10-08(5)– 12-31-08 | 10.00 | 0.27 | • | 0.06 | 0.33 | 0.21 | 0.02 | — | 0.23 | — | 10.10 | 3.29 | 0.76 | 0.70 | † | 0.70 | † | 3.42 | † | 180,622 | 360 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 11.05 | 0.14 | • | 0.23 | 0.37 | 0.21 | 0.26 | — | 0.47 | — | 10.95 | 3.48 | 0.91 | 0.81 | 0.81 | 1.31 | 615 | 145 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 10.72 | 0.17 | • | 0.56 | 0.73 | 0.22 | 0.18 | — | 0.40 | — | 11.05 | 6.87 | 0.94 | 0.84 | 0.84 | 1.59 | 207 | 284 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.37 | 0.21 | • | 0.39 | 0.60 | 0.25 | — | — | 0.25 | — | 10.72 | 5.78 | 0.96 | 0.85 | † | 0.85 | † | 1.97 | † | 3 | 279 | |||||||||||||||||||||||||||||||||||||||||||||||||
02-27-09(5)– 12-31-09 | 9.99 | 0.20 | 0.47 | 0.67 | 0.21 | 0.08 | — | 0.29 | — | 10.37 | 6.74 | 0.94 | 0.84 | † | 0.84 | † | 2.42 | † | 3 | 380 |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return (1) | | Expenses before reductions/ additions (2)(3)(4) | | Expenses net of fee waivers and/ or recoupments if any (2)(3)(4) | | Expense net of all reductions/ additions (2)(3)(4) | | Net investment income (loss) (2)(4) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||||
ING WisdomTreeSM Global High-Yielding Equity Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 7.38 | 0.25 | • | 0.81 | 1.06 | 0.29 | — | — | 0.29 | — | 8.15 | 14.74 | 1.33 | 1.34 | 1.34 | 3.25 | 1,485 | 23 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 7.93 | 0.27 | • | (0.56 | ) | (0.29 | ) | 0.26 | — | — | 0.26 | — | 7.38 | (4.18 | ) | 1.34 | 1.34 | 1.34 | 3.48 | 812 | 25 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 7.76 | 0.20 | • | 0.24 | 0.44 | 0.27 | — | — | 0.27 | — | 7.93 | 5.80 | 1.37 | 1.34 | † | 1.34 | † | 2.67 | † | 695 | 47 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 5.99 | 0.22 | 1.55 | 1.77 | — | — | — | — | — | 7.76 | 29.55 | 1.31 | 1.29 | † | 1.29 | † | 3.40 | † | 1 | 66 | ||||||||||||||||||||||||||||||||||||||||||||||||||
01-28-08(5)– 12-31-08 | 10.00 | 0.34 | • | (4.18 | ) | (3.84 | ) | 0.17 | — | — | 0.17 | — | 5.99 | (38.33 | ) | 1.66 | 1.20 | † | 1.20 | † | 4.28 | † | 1 | 128 | ||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 7.44 | 0.27 | • | 0.83 | 1.10 | 0.31 | — | — | 0.31 | — | 8.23 | 15.12 | 1.08 | 1.09 | 1.09 | 3.54 | 180,208 | 23 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 7.96 | 0.30 | • | (0.57 | ) | (0.27 | ) | 0.25 | — | — | 0.25 | — | 7.44 | (3.87 | ) | 1.09 | 1.09 | 1.09 | 3.76 | 173,576 | 25 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 7.77 | 0.24 | • | 0.20 | 0.44 | 0.25 | — | — | 0.25 | — | 7.96 | 5.86 | 1.12 | 1.09 | † | 1.09 | † | 3.23 | † | 206,216 | 47 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 5.98 | 0.23 | 1.56 | 1.79 | — | — | — | — | — | 7.77 | 29.93 | 1.06 | 1.04 | † | 1.04 | † | 3.74 | † | 219,257 | 66 | ||||||||||||||||||||||||||||||||||||||||||||||||||
01-28-08(5)– 12-31-08 | 10.00 | 0.31 | • | (4.13 | ) | (3.82 | ) | 0.20 | — | — | 0.20 | — | 5.98 | (38.10 | ) | 1.41 | 0.89 | † | 0.89 | † | 4.23 | † | 148,745 | 128 |
(1) | Total return is calculated assuming reinvestment of all dividends, capital gain distributions and return of capital distributions, if any, at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized. |
(2) | Annualized for periods less than one year. |
(3) | Expense ratios do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. |
(4) | Expense ratios reflect operating expenses of a Portfolio. Expenses before reductions/additions do not reflect amounts reimbursed by an Investment Adviser and/or Distributor or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by a Portfolio during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by an Investment Adviser and/or Distributor but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Portfolio. Net investment income (loss) is net of all such additions or reductions. |
(5) | Commencement of operations. |
(a) | Excluding a payment by affiliate in the period ended December 31, 2009, FTSE 100 Index® total return would have been 15.08% and 15.18% on classes ADV and I, respectively. |
• | Calculated using average number of shares outstanding throughout the period. |
* | Amount is less than $0.005 or 0.005% or more than $(0.005) or (0.005)%. |
† | Impact of waiving the advisory fee for the ING Institutional Prime Money Market Fund holding has less than 0.005% impact on the expense ratio and net investment income or loss ratio. |
Directors (“Board”), in accordance with methods that are specifically authorized by the Board. Securities traded on exchanges, including foreign exchanges, which close earlier than the time that a Portfolio calculates its net asset value (“NAV”) may also be valued at their fair values, as defined by the 1940 Act, and as determined in good faith by or under the supervision of the Board, in accordance with methods that are specifically authorized by the Board. All such fair valuations are made in accordance with the valuation procedures of the Portfolios (the “Valuation Procedures”) which have been approved by the Board. The valuation techniques applied in any specific instance are set forth in the Valuation Procedures and may vary from case to case. With respect to a restricted security, for example, consideration is generally given to the cost of the investment, the market value of any unrestricted securities of the same class at the time of valuation, the potential expiration of restrictions on the security, the existence of any registration rights, the costs to the Portfolios related to registration of the security, as well as factors relevant to the issuer itself. Consideration may also be given to the price and extent of any public trading in similar securities of the issuer or comparable companies’ securities. The value of a foreign security traded on an exchange outside the United States is generally based on its price on the principal foreign exchange where it trades as of the time a Portfolio determines its NAV or if the foreign exchange closes prior to the time a Portfolio determines its NAV, the most recent closing price of the foreign security on its principal exchange. Trading in certain non-U.S. securities may not take place on all days on which the New York Stock Exchange (“NYSE”) is open. Further, trading takes place in various foreign markets on days on which the NYSE is not open. Consequently, the calculation of a Portfolio’s NAV may not take place contemporaneously with the determination of the prices of securities held by a Portfolio in foreign securities markets. Further, the value of a Portfolio’s assets may be significantly affected by foreign trading on days when a shareholder cannot purchase or redeem shares of a Portfolio. In calculating a Portfolio’s NAV, foreign securities denominated in foreign currency are converted to U.S. dollar equivalents. If an event occurs after the time at which the market for foreign securities held by a Portfolio closes but before the time that a Portfolio’s NAV is calculated, such event may cause the closing price on the foreign exchange to not represent a readily available reliable market value quotation for such securities at the time a Portfolio determines its NAV. In such a case, a Portfolio will use the fair value of such securities as determined under a Portfolio’s valuation procedures. Events after the close of trading on a foreign market that could require a Portfolio to fair value some or all of its foreign securities include, among others, securities trading in the U.S. and other markets, corporate announcements, natural and other disasters, and political and other events. Among other elements of analysis in the determination of a security’s fair value, the Board has authorized the use of one or more independent research services to assist with such determinations. An independent research service may use statistical analyses and quantitative models to help determine fair value as of the time a Portfolio calculates its NAV.
liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Short-term securities of sufficient credit quality which are valued at amortized cost, which approximates fair value, are generally considered to be Level 2 securities under applicable accounting rules. A table summarizing the Portfolios’ investments under these levels of classification is included following the Summary Portfolios of Investments.
(1) | Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at the end of the day. |
(2) | Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions. |
the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities at fiscal year end, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and U.S. government securities. These risks include, but are not limited to, revaluation of currencies and future adverse political and economic developments, which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities.
risk factors for securities held by a Portfolio, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.
features. If a contingent feature would have been triggered as of December 31, 2012, the Portfolios could have been required to pay this amount in cash to its counterparties. As of December 31, 2012, there was no collateral posted by any Portfolio for open OTC derivative transactions with their respective counterparties.
Buy | Sell | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Australia Index | $ | 2,583,572 | $ | 103,613 | ||||||
Euro STOXX 50® Index | 10,432,262 | 804,842 | ||||||||
FTSE 100 Index® | 10,905,025 | 2,829,032 | ||||||||
International Index | 13,588,295 | — | ||||||||
Japan TOPIX Index | 8,358,373 | 1,786,254 |
market. Australia Index also uses futures contracts as a substitute for purchasing additional securities in the index to increase market exposure. Additional associated risks of entering into futures contracts include the possibility that there may be an illiquid market where the Portfolios are unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Portfolios’ securities. With futures, there is minimal counterparty credit risk to the Portfolios since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
Australia Index | $ | 6,409,670 | ||||
Emerging Markets Index | 4,319,550 | |||||
Euro STOXX 50® Index | 15,011,737 | |||||
FTSE 100 Index® | 14,881,921 | |||||
Hang Seng Index | 3,831,509 | |||||
International Index | 21,708,848 | |||||
Japan TOPIX Index | 8,996,195 | |||||
RussellTM Large Cap Growth Index | 7,063,484 | |||||
RussellTM Large Cap Index | 24,550,511 | |||||
RussellTM Large Cap Value Index | 2,670,829 | |||||
RussellTM Mid Cap Growth Index | 4,507,766 | |||||
RussellTM Mid Cap Index | 54,031,618 | |||||
RussellTM Small Cap Index | 29,089,388 | |||||
Wisdom Tree SM Global High-Yielding Equity Index | 2,016,293 |
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Australia Index | $ | 19,649,167 | $ | 43,891,296 | ||||||
Emerging Markets Index | 77,795,725 | 37,807,749 | ||||||||
Euro STOXX 50® Index | 132,095,789 | 242,087,039 | ||||||||
FTSE 100 Index® | 36,084,755 | 76,289,227 | ||||||||
Hang Seng Index | 13,334,976 | 38,818,064 | ||||||||
International Index | 80,154,601 | 20,670,088 | ||||||||
Japan TOPIX Index | 39,008,287 | 52,020,193 | ||||||||
Russell Large Cap Growth Index | 68,245,662 | 90,854,231 | ||||||||
Russell Large Cap Index | $ | 52,769,400 | $ | 15,696,444 | ||||||
Russell Large Cap Value Index | 46,217,118 | 28,519,551 | ||||||||
Russell Mid Cap Growth Index | 56,922,051 | 86,564,347 | ||||||||
Russell Mid Cap Index | 154,530,230 | 187,743,852 | ||||||||
Russell Small Cap Index | 107,875,773 | 140,432,088 | ||||||||
U.S. Bond Index | 407,330,101 | 333,855,265 | ||||||||
WisdomTreeSM Global High-Yielding Equity Index | 41,108,187 | 52,529,413 |
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. Bond Index | $ | 5,483,436,102 | $ | 5,359,362,243 |
Australia Index(1) | 0.60% | |||||
Emerging Markets Index(2) | 0.55% | |||||
Euro STOXX 50® Index(3) | 0.60% | |||||
FTSE 100 Index®(3) | 0.60% | |||||
Hang Seng Index(4)(5) | 0.60% on the first $250 million; 0.50% on the next $250 million; and 0.45% thereafter | |||||
International Index(6) | 0.38% on the first $500 million; 0.36% on the next $500 million; and 0.34% thereafter | |||||
Japan TOPIX Index(3) | 0.60% | |||||
RussellTM Large Cap Growth Index(4)(6) | 0.45% on the first $500 million; 0.43% on the next $500 million; and 0.41% thereafter | |||||
RussellTM Large Cap Index(6) | 0.25% on the first $1 billion; 0.23% on the next $1 billion; and 0.21% thereafter | |||||
RussellTM Large Cap Value Index(4)(5) | 0.45% on the first $250 million; 0.35% on the next $250 million; and 0.30% thereafter | |||||
RussellTM Mid Cap Growth Index(4)(5) | 0.45% on the first $500 million; 0.43% on the next $500 million; and 0.41% thereafter | |||||
RussellTM Mid Cap Index(6) | 0.31% on the first $2 billion; 0.24% on the next $2 billion; and 0.18% thereafter | |||||
RussellTM Small Cap Index(6) | 0.33% on the first $1 billion; 0.31% on the next $1 billion; and 0.29% thereafter | |||||
U.S. Bond Index(7) | 0.32% on the first $500 million; 0.30% on the next $500 million; 0.28% on the next $1 billion; 0.26% on the next $2 billion; and 0.24% thereafter | |||||
WisdomTreeSM Global High-Yielding Equity Index | 0.46% on the first $500 million; 0.43% on the next $500 million; and 0.41% thereafter |
(1) | Pursuant to a side agreement, ING Investments has agreed to waive 0.25% of the Portfolio’s advisory fee. This side agreement will only renew if ING Investments elects to renew it. Any fees waived or reimbursed are not eligible for recoupment. |
(2) | Pursuant to a side agreement, ING Investments has agreed to waive 0.15% of the Portfolio’s advisory fee. This side agreement will only renew if ING Investments elects to renew it. Any fees waived or reimbursed are not eligible for recoupment. |
(3) | Pursuant to a side agreement, ING Investments has agreed to waive 0.25% of each Portfolio’s advisory fee. This side agreement will only renew if ING Investments elects to renew it. Any fees waived or reimbursed are not eligible for recoupment. |
(4) | Pursuant to a side agreement, ING Investments has agreed to waive 0.10% of each Portfolio’s advisory fee. Any fees waived or reimbursed are not eligible for recoupment. |
(5) | Effective April 30, 2012, advisory fee breakpoints were incorporated. |
(6) | Effective July 1, 2012, advisory fee breakpoints were incorporated. |
(7) | Effective March 1, 2012, the advisory fee breakpoints were modified. |
Affiliated Investment Company/Subsidiary | Portfolios | Percentage | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
ING Index Solution 2015 | ||||||||||
Portfolio | Emerging Markets Index | 10.27 | % | |||||||
International Index | 6.23 | % | ||||||||
ING Index Solution 2025 | ||||||||||
Portfolio | Emerging Markets Index | 18.00 | % | |||||||
International Index | 13.18 | % | ||||||||
ING Index Solution 2035 | ||||||||||
Portfolio | Emerging Markets Index | 16.21 | % | |||||||
International Index | 13.27 | % | ||||||||
ING Index Solution 2045 | ||||||||||
Portfolio | Emerging Markets Index | 13.97 | % | |||||||
International Index | 8.42 | % | ||||||||
ING Life Insurance and | ||||||||||
Annuity Company | International Index | 15.00 | % | |||||||
RussellTM Large Cap Growth Index | 10.17 | % | ||||||||
RussellTM Large Cap Index | 27.43 | % | ||||||||
RussellTM Large Cap Value Index | 11.23 | % | ||||||||
RussellTM Mid Cap Index | 11.25 | % | ||||||||
RussellTM Small Cap Index | 16.70 | % | ||||||||
ING National Trust | RussellTM Large Cap Index | 8.16 | % | |||||||
RussellTM Large Cap Value Index | 5.20 | % | ||||||||
ING Retirement | ||||||||||
Conservative Portfolio | U.S. Bond Index | 7.88 | % | |||||||
ING Retirement Growth | ||||||||||
Portfolio | Australia Index | 52.44 | % | |||||||
Euro STOXX 50® Index | 51.72 | % | ||||||||
FTSE 100 Index® | 52.18 | % | ||||||||
Hang Seng Index | 33.22 | % | ||||||||
Japan TOPIX Index | 51.73 | % | ||||||||
RussellTM Mid Cap Index | 36.35 | % | ||||||||
RussellTM Small Cap Index | 33.38 | % | ||||||||
U.S. Bond Index | 27.05 | % | ||||||||
ING Retirement Moderate | ||||||||||
Growth Portfolio | Australia Index | 29.68 | % | |||||||
Euro STOXX 50® Index | 29.27 | % | ||||||||
FTSE 100 Index® | 29.54 | % | ||||||||
Hang Seng Index | 18.80 | % | ||||||||
Japan TOPIX Index | 29.28 | % | ||||||||
RussellTM Mid Cap Index | 21.35 | % | ||||||||
RussellTM Small Cap Index | 15.25 | % | ||||||||
U.S. Bond Index | 25.95 | % | ||||||||
ING Retirement | ||||||||||
Moderate Portfolio | Australia Index | 15.06 | % | |||||||
Euro STOXX 50® Index | 14.85 | % | ||||||||
FTSE 100 Index® | 14.98 | % | ||||||||
Hang Seng Index | 9.54 | % | ||||||||
Japan TOPIX Index | 14.85 | % | ||||||||
RussellTM Mid Cap Index | 8.57 | % | ||||||||
U.S. Bond Index | 16.53 | % | ||||||||
ING Strategic Allocation | ||||||||||
Growth Portfolio | Emerging Markets Index | 7.92 | % | |||||||
International Index | 5.88 | % | ||||||||
ING Strategic Allocation | ||||||||||
Moderate Portfolio | Emerging Markets Index | 6.60 | % | |||||||
ING USA Annuity and | ||||||||||
Life Insurance Company | Hang Seng Index | 34.37 | % | |||||||
International Index | 10.25 | % | ||||||||
ING USA Annuity and | ||||||||||
Life Insurance Company | ||||||||||
(continued) | RussellTM Large Cap Growth Index | 39.67 | % | |||||||
RussellTM Large Cap Index | 60.70 | % | ||||||||
RussellTM Large Cap Value Index | 52.03 | % | ||||||||
RussellTM Mid Cap Growth Index | 93.38 | % | ||||||||
RussellTM Mid Cap Index | 7.62 | % | ||||||||
RussellTM Small Cap Index | 19.76 | % | ||||||||
U.S. Bond Index | 6.00 | % | ||||||||
WisdomTreeSM Global High-Yielding Equity Index | 97.04 | % | ||||||||
ReliaStar Life Insurance | ||||||||||
Company | RussellTM Large Cap Growth Index | 36.02 | % | |||||||
RussellTM Large Cap Value Index | 23.42 | % | ||||||||
Security Life of Denver | ||||||||||
Insurance Company | RussellTM Large Cap Growth Index | 11.06 | % | |||||||
RussellTM Large Cap Value Index | 5.35 | % |
(1) | Effective December 18, 2012 |
Portfolio | Accrued Expenses | Amount | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
RussellTM Large Cap Growth | Postage | $ | 16,636 | |||||||
RussellTM Large Cap Value | Audit | 15,869 | ||||||||
Postage | 25,902 | |||||||||
Wisdom TreeSM Global High-Yielding Equity Index | License | 82,448 |
Portfolio | Class ADV | Class I | Class S | Class S2 | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
International Index | 1.00% | 0.50% | 0.75% | 0.90% | ||||||||||||||
RussellTM Large Cap Growth Index(1) | N/A | N/A | N/A | N/A | ||||||||||||||
RussellTM Large Cap Index | 0.87% | 0.37% | 0.62% | 0.77% | ||||||||||||||
RussellTM Large Cap Value Index(1) | N/A | N/A | N/A | N/A | ||||||||||||||
RussellTM Mid Cap Index | 0.93% | 0.43% | 0.68% | 0.83% | ||||||||||||||
RussellTM Small Cap Index | 0.95% | 0.45% | 0.70% | 0.85% | ||||||||||||||
U.S. Bond Index | 0.95% | 0.45% | 0.70% | 0.85% | ||||||||||||||
WisdomTreeSM Global High-Yielding Equity Index | 1.34% | N/A | 1.09% | N/A |
(1) | Pursuant to a side agreement, the Investment Adviser has agreed to waive all or a portion of the advisory fee so that the expense limits are 1.00%, 0.50%, and 0.75% for Class ADV, Class I, and Class S, respectively. The amounts waived are not eligible for recoupment. |
December 31, | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2013 | 2014 | 2015 | Total | |||||||||||||||
International Index | $ | 225,189 | $ | 203,421 | $ | 331,151 | $ | 759,761 | ||||||||||
RussellTM Large Cap Index | 142,366 | 50,067 | 78,829 | 271,262 | ||||||||||||||
RussellTM Mid Cap Index | 255,442 | 235,653 | 189,841 | 680,936 | ||||||||||||||
RussellTM Small Cap Index | 107,834 | 147,228 | 137,893 | 392,955 | ||||||||||||||
Wisdom TreeSM Global High-Yielding Equity Index | $ | — | $ | 17,538 | $ | — | $ | 17,538 |
Portfolio | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Australia Index | 10 | $ | 740,000 | 1.26 | % | |||||||
Emerging Markets Index | 8 | 2,531,250 | 1.28 | % | ||||||||
Euro STOXX 50® Index | 7 | 960,000 | 1.31 | % | ||||||||
FTSE 100 Index® | 12 | 780,000 | 1.30 | % | ||||||||
Hang Seng Index | 5 | 3,372,000 | 1.31 | % | ||||||||
International Index | 1 | 5,160,000 | 1.31 | % | ||||||||
Japan TOPIX Index | 15 | 1,515,333 | 1.28 | % | ||||||||
RussellTM Large Cap Growth Index | 5 | 6,772,000 | 1.18 | % | ||||||||
RussellTM Large Cap Value Index | 5 | 7,005,000 | 1.28 | % | ||||||||
RussellTM Mid Cap Growth Index | 2 | 1,090,000 | 1.23 | % | ||||||||
RussellTM Mid Cap Index | 8 | 3,709,375 | 1.32 | % | ||||||||
RussellTM Small Cap Index | 3 | 1,895,000 | 1.27 | % | ||||||||
U.S. Bond Index | 13 | 2,048,077 | 1.26 | % |
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||||
Australia Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | — | — | —* | — | — | — | — | 1 | — | 1 | ||||||||||||||||||||||||||||||||
3/2/2011(1)– 12/31/2011 | 301 | — | — | — | 301 | 3,010 | — | — | — | 3,010 | ||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 2,411,691 | — | 837,874 | (6,112,901 | ) | (2,863,336 | ) | 20,220,938 | — | 7,909,533 | (58,520,274 | ) | (30,389,803 | ) | ||||||||||||||||||||||||||||
3/2/2011(1)– 12/31/2011 | 27,398,092 | — | — | (5,742,983 | ) | 21,655,109 | 266,266,028 | — | — | (55,878,022 | ) | 210,388,006 | ||||||||||||||||||||||||||||||
Emerging Markets Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | — | — | —* | — | — | — | — | —* | — | — | ||||||||||||||||||||||||||||||||
12/19/2011(1)– 12/31/2011 | 301 | — | — | — | 301 | 3,010 | — | — | — | 3,010 | ||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 8,880,439 | — | 5,280 | (5,480,110 | ) | 3,405,609 | 100,512,177 | — | 60,878 | (59,342,600 | ) | 41,230,455 | ||||||||||||||||||||||||||||||
12/19/2011(1)– 12/31/2011 | 6,043,822 | — | — | (93,072 | ) | 5,950,750 | 60,519,392 | — | — | (959,873 | ) | 59,559,519 | ||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | — | — | —* | — | — | — | — | —* | — | — | ||||||||||||||||||||||||||||||||
12/19/2011(1)– 12/31/2011 | 301 | — | — | — | 301 | 3,010 | — | — | — | 3,010 | ||||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | — | — | —* | — | — | — | — | —* | — | — | ||||||||||||||||||||||||||||||||
12/19/2011(1)– 12/31/2011 | 301 | — | — | — | 301 | 3,010 | — | — | — | 3,010 | ||||||||||||||||||||||||||||||||
Euro STOXX 50® Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 1,465,062 | — | 18,995 | (922,273 | ) | 561,784 | 13,432,326 | — | 160,508 | (8,189,694 | ) | 5,403,140 | ||||||||||||||||||||||||||||||
12/31/2011 | 1,590,936 | — | 47,850 | (1,723,602 | ) | (84,816 | ) | 18,118,835 | — | 582,821 | (16,577,216 | ) | 2,124,440 | |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 15,593,591 | — | 3,362,568 | (29,700,392 | ) | (10,744,233 | ) | 115,257,753 | — | 28,413,701 | (266,950,309 | ) | (123,278,855 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 34,299,222 | — | 1,990,577 | (39,826,392 | ) | (3,536,593 | ) | 328,728,116 | — | 24,444,279 | (421,119,052 | ) | (67,946,657 | ) | ||||||||||||||||||||||||||||
FTSE 100 Index® | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 298,578 | — | 17,628 | (323,691 | ) | (7,485 | ) | 3,570,414 | — | 205,898 | (3,881,891 | ) | (105,579 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 1,679,213 | — | 17,419 | (1,773,233 | ) | (76,601 | ) | 21,337,043 | — | 229,414 | (20,997,343 | ) | 569,114 | |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 4,301,819 | — | 3,934,461 | (10,246,373 | ) | (2,010,093 | ) | 44,945,540 | — | 46,033,192 | (120,789,488 | ) | (29,810,756 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 12,066,381 | — | 1,862,965 | (20,844,998 | ) | (6,915,652 | ) | 145,369,356 | — | 24,702,912 | (263,394,905 | ) | (93,322,637 | ) | ||||||||||||||||||||||||||||
Hang Seng Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 114,549 | — | 851 | (170,387 | ) | (54,987 | ) | 1,452,559 | — | 10,796 | (2,154,767 | ) | (691,412 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 144,550 | — | 2,805 | (60,611 | ) | 86,744 | 1,826,624 | — | 39,578 | (721,253 | ) | 1,144,949 | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 772,849 | — | 97,846 | (2,411,332 | ) | (1,540,637 | ) | 8,819,866 | — | 1,246,557 | (31,354,007 | ) | (21,287,584 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 2,412,283 | — | 183,827 | (3,955,495 | ) | (1,359,385 | ) | 29,269,635 | — | 2,606,668 | (54,250,705 | ) | (22,374,402 | ) | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 972,075 | — | 41,016 | (1,312,346 | ) | (299,255 | ) | 12,802,895 | — | 521,717 | (16,289,045 | ) | (2,964,433 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 809,083 | — | 119,612 | (2,823,559 | ) | (1,894,864 | ) | 10,869,144 | — | 1,692,517 | (36,980,400 | ) | (24,418,739 | ) |
* | Share amount is less than 0.500 or $0.50. |
(1) | Commencement of operations. |
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||||
International Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 522,290 | — | 17,120 | (235,657 | ) | 303,753 | 4,088,849 | — | 131,826 | (1,766,379 | ) | 2,454,296 | ||||||||||||||||||||||||||||||
12/31/2011 | 351,640 | — | 8,486 | (284,318 | ) | 75,808 | 2,876,631 | — | 77,309 | (2,264,029 | ) | 689,911 | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 17,811,322 | — | 883,305 | (11,402,281 | ) | 7,292,346 | 140,023,550 | — | 6,872,113 | (89,854,952 | ) | 57,040,711 | ||||||||||||||||||||||||||||||
12/31/2011 | 16,962,159 | — | 665,985 | (13,673,552 | ) | 3,954,592 | 135,975,770 | — | 6,107,079 | (112,989,141 | ) | 29,093,708 | ||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 1,983,549 | — | 266,932 | (2,184,320 | ) | 66,161 | 15,377,542 | — | 2,066,057 | (16,783,513 | ) | 660,086 | ||||||||||||||||||||||||||||||
12/31/2011 | 1,575,567 | — | 254,492 | (4,224,545 | ) | (2,394,486 | ) | 12,752,507 | — | 2,323,513 | (34,235,672 | ) | (19,159,652 | ) | ||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 198,980 | — | 1,315 | (12,510 | ) | 187,785 | 1,583,682 | — | 10,178 | (94,528 | ) | 1,499,332 | ||||||||||||||||||||||||||||||
12/31/2011 | 29,798 | — | — | (4,127 | ) | 25,671 | 239,343 | — | — | (30,083 | ) | 209,260 | ||||||||||||||||||||||||||||||
Japan TOPIX Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 555,946 | — | 51,543 | (1,067,025 | ) | (459,536 | ) | 5,357,998 | — | 472,128 | (10,044,277 | ) | (4,214,151 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 1,527,640 | — | 24,469 | (1,250,365 | ) | 301,744 | 16,057,619 | — | 256,930 | (12,624,063 | ) | 3,690,486 | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 5,268,857 | — | 3,642,759 | (8,479,991 | ) | 431,625 | 45,288,987 | — | 33,513,377 | (79,909,586 | ) | (1,107,222 | ) | |||||||||||||||||||||||||||||
12/31/2011 | 30,143,153 | — | 1,117,190 | (22,673,176 | ) | 8,587,167 | 325,036,211 | — | 11,808,695 | (250,402,301 | ) | 86,442,605 | ||||||||||||||||||||||||||||||
RussellTM Large Cap Growth Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 4,251 | — | 148 | (264 | ) | 4,135 | 69,311 | — | 2,473 | (4,406 | ) | 67,378 | ||||||||||||||||||||||||||||||
12/31/2011 | 4,526 | — | 158 | (3,718 | ) | 966 | 66,211 | — | 2,422 | (52,843 | ) | 15,790 | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 597,977 | — | 165,387 | (2,058,631 | ) | (1,295,267 | ) | 9,786,351 | — | 2,776,854 | (33,893,675 | ) | (21,330,470 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 349,839 | — | 187,516 | (2,270,229 | ) | (1,732,874 | ) | 5,010,777 | — | 2,891,487 | (33,472,231 | ) | (25,569,967 | ) | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 2,680,713 | — | 102,095 | (3,345,010 | ) | (562,202 | ) | 44,489,784 | — | 1,709,063 | (55,370,696 | ) | (9,171,849 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 3,358,755 | — | 97,494 | (3,308,221 | ) | 148,028 | 49,120,218 | — | 1,499,464 | (47,639,718 | ) | 2,979,964 | ||||||||||||||||||||||||||||||
RussellTM Large Cap Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 996,928 | — | 17,275 | (338,134 | ) | 676,069 | 10,665,647 | — | 183,812 | (3,561,853 | ) | 7,287,606 | ||||||||||||||||||||||||||||||
12/31/2011 | 313,160 | — | 13,229 | (458,088 | ) | (131,699 | ) | 3,026,660 | — | 135,734 | (4,417,362 | ) | (1,254,968 | ) | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 2,697,459 | — | 251,091 | (1,399,160 | ) | 1,549,390 | 28,834,788 | — | 2,699,231 | (14,987,805 | ) | 16,546,214 | ||||||||||||||||||||||||||||||
12/31/2011 | 16,723,885 | — | 482,043 | (42,316,632 | ) | (25,110,704 | ) | 161,443,843 | — | 4,989,150 | (413,582,504 | ) | (247,149,511 | ) | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 9,916,481 | — | 885,690 | (9,669,972 | ) | 1,132,199 | 107,111,380 | — | 9,476,882 | (102,960,907 | ) | 13,627,355 | ||||||||||||||||||||||||||||||
12/31/2011 | 6,190,258 | — | 583,850 | (13,029,827 | ) | (6,255,719 | ) | 60,260,801 | — | 6,025,330 | (124,468,786 | ) | (58,182,655 | ) | ||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 32,344 | — | 591 | (6,707 | ) | 26,228 | 352,857 | — | 6,412 | (71,870 | ) | 287,399 | ||||||||||||||||||||||||||||||
12/31/2011 | 26,586 | — | 67 | (2,211 | ) | 24,442 | 260,457 | — | 706 | (22,418 | ) | 238,745 | ||||||||||||||||||||||||||||||
RussellTM Large Cap Value Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 430 | — | 34 | (311 | ) | 153 | 5,720 | — | 457 | (4,431 | ) | 1,746 | ||||||||||||||||||||||||||||||
12/31/2011 | 326 | — | 26 | (364 | ) | (12 | ) | 4,090 | — | 355 | (4,184 | ) | 261 | |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 335,388 | — | 61,907 | (631,223 | ) | (233,928 | ) | 4,501,429 | — | 839,456 | (8,525,855 | ) | (3,184,970 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 128,218 | — | 54,635 | (496,882 | ) | (314,029 | ) | 1,617,063 | — | 736,479 | (6,255,316 | ) | (3,901,774 | ) | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 3,797,000 | — | 65,183 | (2,461,105 | ) | 1,401,078 | 51,268,711 | — | 881,924 | (33,481,089 | ) | 18,669,546 | ||||||||||||||||||||||||||||||
12/31/2011 | 1,959,086 | — | 49,474 | (1,520,275 | ) | 488,285 | 24,731,179 | — | 665,917 | (19,006,147 | ) | 6,390,949 |
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||||
RussellTM Mid Cap Growth Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
12/31/2011 | — | — | —* | (1 | ) | (1 | ) | — | — | —* | (18 | ) | (18 | ) | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 78,854 | — | 1,458 | (119,604 | ) | (39,292 | ) | 1,387,041 | — | 26,673 | (2,075,868 | ) | (662,154 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 197,372 | — | 1,698 | (717,623 | ) | (518,553 | ) | 3,342,147 | — | 30,780 | (12,155,583 | ) | (8,782,656 | ) | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 916,072 | — | 52,602 | (2,937,804 | ) | (1,969,130 | ) | 16,371,126 | — | 960,549 | (51,548,641 | ) | (34,216,966 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 1,749,316 | — | 71,889 | (4,923,441 | ) | (3,102,236 | ) | 29,834,703 | — | 1,301,915 | (80,537,655 | ) | (49,401,037 | ) | ||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 9,946 | — | 154 | (21,814 | ) | (11,714 | ) | 180,990 | — | 2,809 | (389,109 | ) | (205,310 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 10 | — | 246 | (16,592 | ) | (16,336 | ) | 157 | — | 4,462 | (274,552 | ) | (269,933 | ) | ||||||||||||||||||||||||||||
RussellTM Mid Cap Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 1,661,710 | — | 116,952 | (334,683 | ) | 1,443,979 | 19,551,333 | — | 1,389,394 | (3,939,462 | ) | 17,001,265 | ||||||||||||||||||||||||||||||
12/31/2011 | 1,377,272 | — | 31,322 | (300,276 | ) | 1,108,318 | 15,823,280 | — | 388,701 | (3,379,862 | ) | 12,832,119 | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 11,438,480 | — | 5,375,466 | (17,634,676 | ) | (820,730 | ) | 136,186,898 | — | 64,666,855 | (211,357,132 | ) | (10,503,379 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 22,728,740 | — | 2,253,364 | (27,392,902 | ) | (2,410,798 | ) | 257,912,901 | — | 28,257,189 | (316,043,577 | ) | (29,873,487 | ) | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 4,725,288 | — | 637,886 | (3,216,732 | ) | 2,146,442 | 56,988,171 | — | 7,635,489 | (38,297,247 | ) | 26,326,413 | ||||||||||||||||||||||||||||||
12/31/2011 | 5,956,580 | — | 246,365 | (6,775,695 | ) | (572,750 | ) | 69,546,731 | — | 3,074,634 | (77,778,636 | ) | (5,157,271 | ) | ||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 380,076 | — | 12,982 | (73,009 | ) | 320,049 | 4,511,544 | — | 154,488 | (854,241 | ) | 3,811,791 | ||||||||||||||||||||||||||||||
12/31/2011 | 227,740 | — | 1,740 | (33,528 | ) | 195,952 | 2,568,129 | — | 21,649 | (367,393 | ) | 2,222,385 | ||||||||||||||||||||||||||||||
RussellTM Small Cap Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 1,029,034 | — | 120,030 | (333,833 | ) | 815,231 | 12,459,830 | — | 1,447,563 | (4,036,371 | ) | 9,871,022 | ||||||||||||||||||||||||||||||
12/31/2011 | 1,061,370 | — | 9,286 | (283,209 | ) | 787,447 | 12,828,952 | — | 123,046 | (3,381,042 | ) | 9,570,956 | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 4,145,288 | — | 2,553,772 | (6,537,740 | ) | 161,320 | 50,788,920 | — | 31,232,628 | (81,080,609 | ) | 940,939 | ||||||||||||||||||||||||||||||
12/31/2011 | 9,991,620 | — | 348,439 | (12,054,809 | ) | (1,714,750 | ) | 117,104,549 | — | 4,672,570 | (148,279,672 | ) | (26,502,553 | ) | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 5,736,888 | — | 886,437 | (5,759,435 | ) | 863,890 | 70,745,151 | — | 10,787,936 | (71,008,726 | ) | 10,524,361 | ||||||||||||||||||||||||||||||
12/31/2011 | 5,788,110 | — | 110,992 | (7,938,223 | ) | (2,039,121 | ) | 71,160,875 | — | 1,481,747 | (95,516,332 | ) | (22,873,710 | ) | ||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 356,502 | — | 17,484 | (90,263 | ) | 283,723 | 4,278,040 | — | 210,680 | (1,103,712 | ) | 3,385,008 | ||||||||||||||||||||||||||||||
12/31/2011 | 206,354 | — | 584 | (30,798 | ) | 176,140 | 2,512,242 | — | 7,745 | (364,163 | ) | 2,155,824 | ||||||||||||||||||||||||||||||
U.S. Bond Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 807,463 | — | 36,395 | (660,838 | ) | 183,020 | 8,858,010 | — | 396,980 | (7,288,012 | ) | 1,966,978 | ||||||||||||||||||||||||||||||
12/31/2011 | 637,639 | — | 16,176 | (149,273 | ) | 504,542 | 6,965,109 | — | 174,475 | (1,612,857 | ) | 5,526,727 | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 79,940,334 | — | 15,928,482 | (68,132,208 | ) | 27,736,608 | 887,062,375 | — | 174,290,373 | (751,408,079 | ) | 309,944,669 | ||||||||||||||||||||||||||||||
12/31/2011 | 112,909,089 | — | 13,246,250 | (152,298,656 | ) | (26,143,317 | ) | 1,236,352,825 | — | 142,658,672 | (1,664,855,345 | ) | (285,843,848 | ) | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 3,847,908 | — | 1,070,953 | (9,577,477 | ) | (4,658,616 | ) | 42,266,111 | — | 11,682,597 | (105,626,942 | ) | (51,678,234 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 14,187,986 | — | 860,734 | (9,547,809 | ) | 5,500,911 | 155,089,578 | — | 9,265,323 | (103,271,311 | ) | 61,083,590 | ||||||||||||||||||||||||||||||
Class S2 | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 56,045 | — | 784 | (19,479 | ) | 37,350 | 616,117 | — | 8,596 | (215,300 | ) | 409,413 | ||||||||||||||||||||||||||||||
12/31/2011 | 25,289 | — | 136 | (6,963 | ) | 18,462 | 275,365 | — | 1,497 | (76,928 | ) | 199,934 |
* | Share amount is less than 0.500 or $0.50. |
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||||||||
WisdomTreeSM Global High-Yielding Equity Index | ||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 151,205 | — | 5,181 | (84,270 | ) | 72,116 | 1,174,896 | — | 39,120 | (654,593 | ) | 559,423 | ||||||||||||||||||||||||||||||
12/31/2011 | 116,396 | — | 3,296 | (97,356 | ) | 22,336 | 899,154 | — | 28,678 | (719,611 | ) | 208,221 | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | — | — | — | (1 | ) | (1 | ) | — | — | — | (9 | ) | (9 | ) | ||||||||||||||||||||||||||||
12/31/2011 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
12/31/2012 | 772,233 | — | 931,171 | (3,128,222 | ) | (1,424,818 | ) | 5,984,774 | — | 7,076,900 | (24,212,235 | ) | (11,150,561 | ) | ||||||||||||||||||||||||||||
12/31/2011 | 1,691,047 | — | 694,011 | (4,950,228 | ) | (2,565,170 | ) | 13,604,298 | — | 6,079,537 | (39,436,145 | ) | (19,752,310 | ) |
Portfolio | Value of Securities Loaned | Cash Collateral Received | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Australia Index | $ | 4,644,825 | $ | 4,913,217 | ||||||
Emerging Markets Index | 1,260,930 | 1,289,918 | ||||||||
Euro STOXX 50® Index | 4,696,003 | 4,980,668 | ||||||||
FTSE 100 Index® | 2,856,706 | 3,000,607 | ||||||||
Hang Seng Index | 1,348,545 | 1,432,623 | ||||||||
International Index | 5,890,956 | 6,206,011 | ||||||||
Japan TOPIX Index | 21,573,204 | 22,710,981 | ||||||||
RussellTM Mid Cap Growth Index | 5,949,018 | 6,108,331 | ||||||||
RussellTM Mid Cap Index | 34,092,071 | 35,186,846 | ||||||||
RussellTM Small Cap Index | 49,600,688 | 51,279,572 |
Paid-in Capital | Undistributed Net Investment Income | Accumulated Net Realized Gains/(Losses) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Australia Index | $ | — | $ | 1,656,300 | $ | (1,656,300 | ) | |||||||
Emerging Markets Index | (2,045 | ) | (118,214 | ) | 120,259 | |||||||||
Euro STOXX 50® Index | — | 670,451 | (670,451 | ) | ||||||||||
FTSE 100 Index® | — | 1,407,966 | (1,407,966 | ) | ||||||||||
Hang Seng Index | — | 1,710,482 | (1,710,482 | ) | ||||||||||
International Index | — | 1,526,891 | (1,526,891 | ) | ||||||||||
Japan TOPIX Index | — | 289,172 | (289,172 | ) | ||||||||||
RussellTM Large Cap Growth Index | — | (886 | ) | 886 | ||||||||||
RussellTM Large Cap Index | — | 6,462 | (6,462 | ) |
Paid-in Capital | Undistributed Net Investment Income | Accumulated Net Realized Gains/(Losses) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
RussellTM Large Cap Value Index | $ | — | $ | 742 | $ | (742 | ) | |||||||
RussellTM Mid Cap Growth Index | — | (8,249 | ) | 8,249 | ||||||||||
RussellTM Mid Cap Index | — | (76,280 | ) | 76,280 | ||||||||||
RussellTM Small Cap Index | — | (30,057 | ) | 30,057 | ||||||||||
U.S. Bond Index | — | 19,570,226 | (19,570,226 | ) | ||||||||||
WisdomTreeSM Global High-Yielding Equity Index | — | 102,695 | (102,695 | ) |
Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Long-term Capital Gains | Ordinary Income | Long-term Capital Gains | ||||||||||||||||
Australia Index | $ | 7,909,583 | $ | 58 | $ | — | $ | — | |||||||||||
Emerging Markets Index | — | 60,886 | — | — | |||||||||||||||
Euro STOXX 50® Index | 28,574,209 | — | 25,027,100 | — | |||||||||||||||
FTSE 100 Index® | 18,568,539 | 27,670,551 | 20,446,513 | 4,485,813 | |||||||||||||||
Hang Seng Index | 1,779,070 | — | 4,338,763 | — | |||||||||||||||
International Index | 9,080,174 | — | 8,508,011 | — | |||||||||||||||
Japan TOPIX Index | 6,969,173 | 27,016,332 | 8,392,813 | 3,672,812 | |||||||||||||||
RussellTM Large Cap Growth Index | 4,488,390 | — | 4,393,373 | — | |||||||||||||||
RussellTM Large Cap Index | 12,366,337 | — | 11,150,920 | — | |||||||||||||||
RussellTM Large Cap Value Index | 1,721,837 | — | 1,402,752 | — | |||||||||||||||
RussellTM Mid Cap Growth Index | 990,036 | — | 1,337,168 | — | |||||||||||||||
RussellTM Mid Cap Index | 22,377,052 | 51,469,174 | 31,742,173 | — | |||||||||||||||
RussellTM Small Cap Index | 6,186,454 | 37,492,353 | 6,285,108 | — | |||||||||||||||
U.S. Bond Index | 151,529,254 | 34,849,292 | 139,335,989 | 12,764,064 | |||||||||||||||
WisdomTreeSM Global High-Yielding Equity Index | 7,116,020 | — | 6,108,215 | — |
Capital Loss Carryforwards | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed Ordinary Income | Undistributed Long-Term Gain/Loss | Unrealized Appreciation/ (Depreciation) | Amount | Character | Expiration | ||||||||||||||||||||||
Australia Index | $ | 10,344,217 | $ | — | $ | 7,140,328 | $ | (103,334 | ) | Short-term | None | ||||||||||||||||
(3,043,986 | ) | Long-term | None | ||||||||||||||||||||||||
$ | (3,147,320 | ) | |||||||||||||||||||||||||
Emerging Markets Index | 3,046,572 | 446,529 | 8,203,177 | — | — | — | |||||||||||||||||||||
Euro STOXX 50® Index | 22,888,466 | — | 28,060,614 | (805,470 | ) | Short-term | 2018 | ||||||||||||||||||||
(55,298,607 | ) | Long-term | None | ||||||||||||||||||||||||
$ | (56,104,077 | ) | |||||||||||||||||||||||||
FTSE 100 Index® | 22,482,243 | 8,893,869 | 85,784,584 | — | — | — | |||||||||||||||||||||
Hang Seng Index | 5,320,428 | — | 18,997,495 | (348,360 | ) | Short-term | 2016 | ||||||||||||||||||||
(211,429 | ) | Short-term | 2017 | ||||||||||||||||||||||||
(1,659,922 | ) | Short-term | None | ||||||||||||||||||||||||
(1,296,637 | ) | Long-term | None | ||||||||||||||||||||||||
$ | (3,516,348 | ) | |||||||||||||||||||||||||
International Index | 10,778,765 | — | 82,931,191 | (54,386,053 | ) | Short-term | 2015 | ||||||||||||||||||||
(14,301,357 | ) | Short-term | 2016 | ||||||||||||||||||||||||
(91,978,946 | ) | Short-term | 2017 | ||||||||||||||||||||||||
(1,826,920 | ) | Short-term | 2018 | ||||||||||||||||||||||||
(720,690 | ) | Long-term | None | ||||||||||||||||||||||||
$ | (163,213,966 | )* |
Capital Loss Carryforwards | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed Ordinary Income | Undistributed Long-Term Gain/Loss | Unrealized Appreciation/ (Depreciation) | Amount | Character | Expiration | ||||||||||||||||||||||
Japan TOPIX Index | $ | 8,560,802 | $ | 1,424,993 | $ | (17,099,912 | ) | $ | — | — | — | ||||||||||||||||
RussellTM Large Cap Growth Index | 5,796,786 | — | 129,252,550 | (13,930,136 | ) | Short-term | 2014 | ||||||||||||||||||||
(20,625,387 | ) | Short-term | 2015 | ||||||||||||||||||||||||
(143,769,582 | ) | Short-term | 2016 | ||||||||||||||||||||||||
$ | (178,325,105 | ) | |||||||||||||||||||||||||
RussellTM Large Cap Index | 10,011,432 | — | 222,142,998 | (28,544,244 | ) | Short-term | 2015 | ||||||||||||||||||||
(65,341,389 | ) | Short-term | 2016 | ||||||||||||||||||||||||
(125,559,316 | ) | Short-term | 2017 | ||||||||||||||||||||||||
(8,688,924 | ) | Short-term | 2018 | ||||||||||||||||||||||||
$ | (228,133,873 | )* | |||||||||||||||||||||||||
RussellTM Large Cap Value Index | 2,133,702 | 958,172 | 23,110,646 | (9,303,419 | ) | Short-term | 2015 | ||||||||||||||||||||
(3,099,362 | ) | Short-term | 2016 | ||||||||||||||||||||||||
�� | $ | (12,402,782 | )* | ||||||||||||||||||||||||
RussellTM Mid Cap Growth Index | 2,301,227 | — | 90,481,135 | (139,215,012 | ) | Short-term | 2016 | ||||||||||||||||||||
RussellTM Mid Cap Index | 35,698,624 | 48,939,289 | 484,785,284 | — | — | — | |||||||||||||||||||||
RussellTM Small Cap Index | 12,731,244 | 30,920,425 | 169,572,521 | — | — | — | |||||||||||||||||||||
U.S. Bond Index | 10,485,106 | 33,655,601 | 161,047,872 | — | — | — | |||||||||||||||||||||
WisdomTreeSM Global High-Yielding Equity Index | 6,405,308 | — | 18,524,608 | (8,006,052 | ) | Short-term | 2016 | ||||||||||||||||||||
(30,688,288 | ) | Short-term | 2017 | ||||||||||||||||||||||||
(6,695,973 | ) | Short-term | 2018 | ||||||||||||||||||||||||
(1,822,596 | ) | Short-term | None | ||||||||||||||||||||||||
(3,545,415 | ) | Long-term | None | ||||||||||||||||||||||||
$ | (50,758,324 | ) |
* | Utilization of these capital losses is subject to annual limitations under Section 382 of the Internal Revenue Code. Amounts and years of expiration may be adjusted to reflect future gain/loss activity to comply with the limitation rules. |
possible that ING Groep’s divestment of ING U.S. may take place by means of a sale to a single buyer or group of buyers.
automatic terminations of the existing investment advisory and sub-advisory agreements for the Portfolios. At a meeting held on January 9, 2013, the Board approved new advisory and sub-advisory agreements for the Portfolios that will take effect upon shareholder approval or the close of the IPO, whichever is later. Information regarding the basis for the Board’s approval of the investment advisory and investment sub-advisory relationships will be disclosed in the Portfolios’ semi-annual shareholder report to be dated June 30, 2013. A proxy statement, including disclosures regarding the Board’s considerations, is expected to be sent to shareholders of the Portfolios included in this report, as well as shareholders of other ING Funds, seeking approval of the new investment advisory and sub-advisory agreements.
ING AUSTRALIA INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 98.1% | |||||||||||||||||||
Consumer Discretionary: 3.3% | |||||||||||||||||||
60,895 | Crown Ltd. | $ | 680,563 | 0.3 | |||||||||||||||
49,127 | News Corp., Inc. | 1,280,261 | 0.7 | ||||||||||||||||
219,119 | Tattersall’s Ltd. | 690,177 | 0.4 | ||||||||||||||||
1,733,237 | Other Securities(a) | 3,768,005 | 1.9 | ||||||||||||||||
6,419,006 | 3.3 | ||||||||||||||||||
Consumer Staples: 8.3% | |||||||||||||||||||
84,926 | Coca-Cola Amatil Ltd. | 1,193,498 | 0.6 | ||||||||||||||||
186,190 | Wesfarmers Ltd. | 7,183,452 | 3.7 | ||||||||||||||||
199,566 | Woolworths Ltd. | 6,122,379 | 3.2 | ||||||||||||||||
548,346 | Other Securities(a) | 1,640,259 | 0.8 | ||||||||||||||||
16,139,588 | 8.3 | ||||||||||||||||||
Energy: 6.1% | |||||||||||||||||||
175,637 | Oil Search Ltd. | 1,298,852 | 0.7 | ||||||||||||||||
174,439 | Origin Energy Ltd. | 2,144,336 | 1.1 | ||||||||||||||||
153,181 | Santos Ltd. | 1,794,774 | 0.9 | ||||||||||||||||
100,314 | Woodside Petroleum Ltd. | 3,574,706 | 1.8 | ||||||||||||||||
33,171 | WorleyParsons Ltd. | 817,103 | 0.4 | ||||||||||||||||
1,021,430 | Other Securities(a) | 2,239,047 | 1.2 | ||||||||||||||||
11,868,818 | 6.1 | ||||||||||||||||||
Financials: 40.9% | |||||||||||||||||||
473,009 | AMP Ltd. | 2,399,287 | 1.2 | ||||||||||||||||
28,158 | ASX Ltd. | 918,919 | 0.5 | ||||||||||||||||
440,357 | Australia & New Zealand Banking Group Ltd. | 11,597,508 | 6.0 | ||||||||||||||||
377,508 | CFS Retail Property Trust | 755,196 | 0.4 | ||||||||||||||||
258,711 | Commonwealth Bank of Australia | 16,848,987 | 8.7 | ||||||||||||||||
777,978 | Dexus Property Group | 826,298 | 0.4 | ||||||||||||||||
243,164 | Goodman Group | 1,107,993 | 0.6 | ||||||||||||||||
261,950 | GPT Group | 1,008,298 | 0.5 | ||||||||||||||||
333,025 | Insurance Australia Group | 1,640,269 | 0.8 | ||||||||||||||||
83,616 | Lend Lease Corp., Ltd. | 816,579 | 0.4 | ||||||||||||||||
54,804 | Macquarie Group Ltd. | 2,053,022 | 1.1 | ||||||||||||||||
549,086 | Mirvac Group | 854,514 | 0.4 | ||||||||||||||||
372,851 | National Australia Bank Ltd. | 9,807,172 | 5.1 | ||||||||||||||||
192,040 | QBE Insurance Group Ltd. | 2,200,387 | 1.1 | ||||||||||||||||
356,894 | Stockland | 1,319,627 | 0.7 | ||||||||||||||||
206,849 | Suncorp-Metway Ltd. | 2,208,916 | 1.1 | ||||||||||||||||
332,733 | Westfield Group | 3,674,671 | 1.9 | ||||||||||||||||
451,693 | Westfield Retail Trust | 1,425,079 | 0.7 | ||||||||||||||||
495,002 | Westpac Banking Corp. | 13,563,006 | 7.0 | ||||||||||||||||
1,604,324 | Other Securities(a) | 4,479,829 | 2.3 | ||||||||||||||||
79,505,557 | 40.9 | ||||||||||||||||||
Health Care: 4.3% | |||||||||||||||||||
9,090 | Cochlear Ltd. | 753,560 | 0.4 | ||||||||||||||||
80,647 | CSL Ltd. | 4,553,131 | 2.3 | ||||||||||||||||
62,449 | Sonic Healthcare Ltd. | 871,706 | 0.4 | ||||||||||||||||
488,931 | Other Securities(a) | 2,247,240 | 1.2 | ||||||||||||||||
8,425,637 | 4.3 | ||||||||||||||||||
Industrials: 6.5% | |||||||||||||||||||
156,812 | Asciano Group | 767,126 | 0.4 | ||||||||||||||||
283,680 | Aurizon Holdings Ltd. | 1,115,544 | 0.6 | ||||||||||||||||
249,601 | Brambles Ltd. | 1,979,166 | 1.0 | ||||||||||||||||
232,100 | Sydney Airport | 817,587 | 0.4 | ||||||||||||||||
234,457 | Transurban Group | 1,490,355 | 0.8 | ||||||||||||||||
2,160,398 | Other Securities(a) | 6,378,799 | 3.3 | ||||||||||||||||
12,548,577 | 6.5 | ||||||||||||||||||
Information Technology: 0.6% | |||||||||||||||||||
81,866 | Computershare Ltd. | 772,294 | 0.4 | ||||||||||||||||
60,995 | Other Securities(a) | 454,351 | 0.2 | ||||||||||||||||
1,226,645 | 0.6 | ||||||||||||||||||
Materials: 21.4% | |||||||||||||||||||
194,001 | Amcor Ltd. | 1,639,654 | 0.8 | ||||||||||||||||
515,946 | BHP Billiton Ltd. | 20,142,835 | 10.4 | ||||||||||||||||
273,530 | Fortescue Metals Group Ltd. | 1,363,125 | 0.7 | ||||||||||||||||
67,280 | L | Iluka Resources Ltd. | 650,194 | 0.3 | |||||||||||||||
261,854 | Incitec Pivot Ltd. | 892,763 | 0.5 | ||||||||||||||||
69,607 | James Hardie Industries SE | 673,927 | 0.4 | ||||||||||||||||
122,724 | Newcrest Mining Ltd. | 2,870,855 | 1.5 | ||||||||||||||||
58,397 | Orica Ltd. | 1,536,207 | 0.8 | ||||||||||||||||
70,058 | Rio Tinto Ltd. | 4,925,730 | 2.5 | ||||||||||||||||
3,610,702 | Other Securities(a) | 6,800,970 | 3.5 | ||||||||||||||||
41,496,260 | 21.4 | ||||||||||||||||||
Telecommunication Services: 5.0% | |||||||||||||||||||
2,000,493 | Telstra Corp., Ltd. | 9,115,739 | 4.7 | ||||||||||||||||
165,830 | Other Securities | 476,073 | 0.3 | ||||||||||||||||
9,591,812 | 5.0 | ||||||||||||||||||
Utilities: 1.7% | |||||||||||||||||||
87,759 | AGL Energy Ltd. | 1,410,826 | 0.7 | ||||||||||||||||
131,212 | APA Group | 757,493 | 0.4 | ||||||||||||||||
865,965 | Other Securities(a) | 1,167,682 | 0.6 | ||||||||||||||||
3,336,001 | 1.7 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $179,884,955) | 190,557,901 | 98.1 | |||||||||||||||||
RIGHTS: 0.0% | |||||||||||||||||||
Consumer Discretionary: 0.0% | |||||||||||||||||||
125,974 | Other Securities | 11,813 | 0.0 | ||||||||||||||||
Industrials: 0.0% | |||||||||||||||||||
70,907 | Other Securities | 4,801 | 0.0 | ||||||||||||||||
Total Rights | |||||||||||||||||||
(Cost $35,865) | 16,614 | 0.0 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $179,920,820) | 190,574,515 | 98.1 |
ING AUSTRALIA INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 2.8% | |||||||||||||||||||
Securities Lending Collateralcc(1): 2.5% | |||||||||||||||||||
1,166,910 | Cantor Fitzgerald, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,166,929, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%–7.500%, Market Value plus accrued interest $1,190,248, due 07/15/13–08/01/46) | $ | 1,166,910 | 0.6 | |||||||||||||||
1,166,910 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,166,923, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $1,190,248, due 10/01/16–12/20/42) | 1,166,910 | 0.6 | ||||||||||||||||
245,577 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $245,579, collateralized by various U.S. Government Securities, 0.750%–1.625%, Market Value plus accrued interest $250,489, due 10/31/17–08/15/22) | 245,577 | 0.1 | ||||||||||||||||
1,166,910 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%–0.19%, due 01/02/13 (Repurchase Amount $1,166,922, collateralized by various U.S. Government Agency Obligations, 0.500%–6.000%, Market Value plus accrued interest $1,190,248, due 08/09/13–06/20/42) | 1,166,910 | 0.6 | ||||||||||||||||
1,166,910 | Royal Bank of Canada, Repurchase Agreement dated 12/26/12, 0.18%, due 01/02/13 (Repurchase Amount $1,166,950, collateralized by various U.S. Government Agency Obligations, 2.000%–4.500%, Market Value plus accrued interest $1,190,248, due 10/01/32–01/01/43) | 1,166,910 | 0.6 | ||||||||||||||||
4,913,217 | 2.5 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 0.3% | ||||||||||||||||||
565,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||||||||||||||
(Cost $565,000) | 565,000 | 0.3 | ||||||||||||||||
Total Short-Term Investments | ||||||||||||||||||
(Cost $5,478,217) | 5,478,217 | 2.8 | ||||||||||||||||
Total Investments in Securities | ||||||||||||||||||
(Cost $185,399,037) | $ | 196,052,732 | 100.9 | |||||||||||||||
Liabilities in Excess of Other Assets | (1,722,406 | ) | (0.9 | ) | ||||||||||||||
Net Assets | $ | 194,330,326 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
cc | Securities purchased with cash collateral for securities loaned. | |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. | |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. | |
(a) | This grouping contains securities on loan. | |
Cost for federal income tax purposes is $188,922,909. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 22,471,062 | ||||
Gross Unrealized Depreciation | (15,341,239 | ) | ||||
Net Unrealized Appreciation | $ | 7,129,823 |
ING AUSTRALIA INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | — | $ | 6,419,006 | $ | — | $ | 6,419,006 | ||||||||||
Consumer Staples | — | 16,139,588 | — | 16,139,588 | ||||||||||||||
Energy | — | 11,868,818 | — | 11,868,818 | ||||||||||||||
Financials | 267,961 | 79,237,596 | — | 79,505,557 | ||||||||||||||
Health Care | 98,267 | 8,327,370 | — | 8,425,637 | ||||||||||||||
Industrials | 319,403 | 12,229,174 | — | 12,548,577 | ||||||||||||||
Information Technology | — | 1,226,645 | — | 1,226,645 | ||||||||||||||
Materials | — | 41,496,260 | — | 41,496,260 | ||||||||||||||
Telecommunication Services | — | 9,591,812 | — | 9,591,812 | ||||||||||||||
Utilities | — | 3,336,001 | — | 3,336,001 | ||||||||||||||
Total Common Stock | 685,631 | 189,872,270 | — | 190,557,901 | ||||||||||||||
Rights | — | 16,614 | — | 16,614 | ||||||||||||||
Short-Term Investments | 565,000 | 4,913,217 | — | 5,478,217 | ||||||||||||||
Total Investments, at fair value | $ | 1,250,631 | $ | 194,802,101 | $ | — | $ | 196,052,732 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 9,715 | — | — | 9,715 | ||||||||||||||
Forward Foreign Currency Contracts | — | 1,557 | — | 1,557 | ||||||||||||||
Total Assets | $ | 1,260,346 | $ | 194,803,658 | $ | — | $ | 196,064,004 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (8,822 | ) | $ | — | $ | (8,822 | ) | ||||||||
Total Liabilities | $ | — | $ | (8,822 | ) | $ | — | $ | (8,822 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio’s investments are categorized as Level 2 investments. |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Brown Brothers Harriman & Co. | Australian Dollar | 620,000 | Buy | 03/20/13 | $ | 638,692 | $ | 640,249 | $ | 1,557 | ||||||||||||||||||||
JPMorgan Chase & Co. | Australian Dollar | 600,000 | Buy | 03/20/13 | 628,418 | 619,596 | (8,822 | ) | ||||||||||||||||||||||
$ | (7,265 | ) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
ASX SPI 200® Index | 31 | 03/21/13 | $ | 3,714,965 | $ | 9,715 | ||||||||||||
$ | 3,714,965 | $ | 9,715 |
ING AUSTRALIA INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 1,557 | ||||||
Equity contracts | Net Assets — Unrealized appreciation* | 9,715 | |||||||
Total Asset Derivatives | $ | 11,272 | |||||||
Liability Derivatives | |||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 8,822 | ||||||
Total Liability Derivatives | $ | 8,822 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Total | ||||||||||||
Foreign exchange contracts | $ | 465,107 | $ | — | $ | 465,107 | |||||||||
Equity contracts | — | 716,853 | 716,853 | ||||||||||||
Total | $ | 465,107 | $ | 716,853 | $ | 1,181,960 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Total | ||||||||||||
Foreign exchange contracts | $ | (39,310 | ) | $ | — | $ | (39,310 | ) | |||||||
Equity contracts | — | 188,828 | 188,828 | ||||||||||||
Total | $ | (39,310 | ) | $ | 188,828 | $ | 149,518 |
* | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
ING EMERGING MARKETS INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 94.2% | |||||||||||||||||||
Consumer Discretionary: 6.7% | |||||||||||||||||||
37,707 | Grupo Televisa SAB ADR | $ | 1,002,252 | 0.9 | |||||||||||||||
4,992 | @ | Hyundai Mobis | 1,354,375 | 1.2 | |||||||||||||||
11,295 | Hyundai Motor Co. | 2,328,399 | 2.1 | ||||||||||||||||
19,300 | Kia Motors Corp. | 1,026,250 | 0.9 | ||||||||||||||||
28,649 | Naspers Ltd. | 1,850,462 | 1.6 | ||||||||||||||||
7,561,738 | 6.7 | ||||||||||||||||||
Consumer Staples: 4.2% | |||||||||||||||||||
47,930 | BRF — Brasil Foods SA ADR | 1,011,802 | 0.9 | ||||||||||||||||
55,113 | Cia de Bebidas das Americas ADR | 2,314,195 | 2.0 | ||||||||||||||||
14,248 | Fomento Economico Mexicano SAB de CV ADR | 1,434,774 | 1.3 | ||||||||||||||||
4,760,771 | 4.2 | ||||||||||||||||||
Energy: 17.2% | |||||||||||||||||||
1,230,000 | China Petroleum & Chemical Corp. | 1,416,068 | 1.3 | ||||||||||||||||
249,000 | China Shenhua Energy Co., Ltd. | 1,115,350 | 1.0 | ||||||||||||||||
1,308,000 | CNOOC Ltd. | 2,881,541 | 2.6 | ||||||||||||||||
390,155 | Gazprom OAO ADR | 3,690,866 | 3.3 | ||||||||||||||||
37,381 | Lukoil OAO ADR | 2,472,753 | 2.2 | ||||||||||||||||
6,673 | NovaTek OAO GDR | 815,225 | 0.7 | ||||||||||||||||
1,546,000 | PetroChina Co., Ltd. | 2,230,363 | 2.0 | ||||||||||||||||
153,876 | Petroleo Brasileiro SA ADR | 2,969,807 | 2.6 | ||||||||||||||||
40,131 | Sasol Ltd. | 1,730,575 | 1.5 | ||||||||||||||||
19,322,548 | 17.2 | ||||||||||||||||||
Financials: 22.8% | |||||||||||||||||||
140,078 | Banco Bradesco SA ADR | 2,433,155 | 2.2 | ||||||||||||||||
5,513,000 | Bank of China Ltd. | 2,496,742 | 2.2 | ||||||||||||||||
5,283,000 | China Construction Bank | 4,317,331 | 3.8 | ||||||||||||||||
545,000 | China Life Insurance Co., Ltd. | 1,805,074 | 1.6 | ||||||||||||||||
31,243 | ICICI Bank Ltd. ADR | 1,362,507 | 1.2 | ||||||||||||||||
4,768,000 | Industrial and Commercial Bank of China Ltd. | 3,441,432 | 3.1 | ||||||||||||||||
167,125 | Itau Unibanco Holding S.A. ADR | 2,750,877 | 2.5 | ||||||||||||||||
26,890 | @ | KB Financial Group, Inc. | 960,481 | 0.9 | |||||||||||||||
137,500 | Ping An Insurance Group Co. of China Ltd. | 1,172,835 | 1.0 | ||||||||||||||||
198,126 | Sberbank of Russia ADR | 2,436,950 | 2.2 | ||||||||||||||||
31,260 | @ | Shinhan Financial Group Co., Ltd. | 1,144,039 | 1.0 | |||||||||||||||
87,477 | Standard Bank Group Ltd. | 1,233,860 | 1.1 | ||||||||||||||||
25,555,283 | 22.8 | ||||||||||||||||||
Industrials: 0.6% | |||||||||||||||||||
3,062 | @ | Hyundai Heavy Industries | 696,675 | 0.6 | |||||||||||||||
Information Technology: 22.8% | |||||||||||||||||||
732,100 | Hon Hai Precision Industry Co., Ltd. | 2,266,084 | 2.0 | ||||||||||||||||
38,130 | @ | SK Hynix, Inc. | 927,314 | 0.8 | |||||||||||||||
31,546 | L | Infosys Ltd. ADR | 1,334,396 | 1.2 | |||||||||||||||
84,000 | MediaTek, Inc. | 939,715 | 0.8 | ||||||||||||||||
8,092 | Samsung Electronics Co., Ltd. | 11,626,584 | 10.4 | ||||||||||||||||
1,803,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 6,030,693 | 5.4 | ||||||||||||||||
74,300 | Tencent Holdings Ltd. | 2,436,795 | 2.2 | ||||||||||||||||
25,561,581 | 22.8 | ||||||||||||||||||
Materials: 9.2% | |||||||||||||||||||
28,032 | AngloGold Ashanti Ltd. | 876,730 | 0.8 | ||||||||||||||||
838,855 | China Steel Corp. | 792,137 | 0.7 | ||||||||||||||||
291,000 | Formosa Plastics Corp. | 791,271 | 0.7 | ||||||||||||||||
53,072 | Gold Fields Ltd. | 658,804 | 0.6 | ||||||||||||||||
39,331 | Impala Platinum Holdings Ltd. | 786,586 | 0.7 | ||||||||||||||||
3,398 | LG Chem Ltd. | 1,062,051 | 0.9 | ||||||||||||||||
4,790 | Posco | 1,569,158 | 1.4 | ||||||||||||||||
19,355 | Uralkali GDR | 750,035 | 0.7 | ||||||||||||||||
146,726 | Vale SA ADR | 2,978,538 | 2.7 | ||||||||||||||||
10,265,310 | 9.2 | ||||||||||||||||||
Telecommunication Services: 10.7% | |||||||||||||||||||
143,122 | America Movil S.A.B de CV ADR | 3,311,843 | 2.9 | ||||||||||||||||
441,500 | China Mobile Ltd. | 5,195,441 | 4.6 | ||||||||||||||||
278,000 | Chunghwa Telecom Co., Ltd. | 905,611 | 0.8 | ||||||||||||||||
124,260 | MTN Group Ltd. | 2,615,514 | 2.4 | ||||||||||||||||
12,028,409 | 10.7 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $97,398,732) | 105,752,315 | 94.2 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 7.0% | |||||||||||||||||||
Securities Lending Collateralcc(1): 1.2% | |||||||||||||||||||
289,918 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%–0.16%, due 01/02/13 (Repurchase Amount $289,920, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.375%–6.00%, Market Value plus accrued interest $295,716, due 06/30/13–04/18/36) | 289,918 | 0.3 |
ING EMERGING MARKETS INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Securities Lending Collateralcc(1): (continued) | |||||||||||||||||||
1,000,000 | Nomura Securities, Repurchase Agreement dated 12/31/12, 0.35%, due 01/02/13 (Repurchase Amount $1,000,019, collateralized by various U.S. Government Agency Obligations, 0.000%–6.101%, Market Value plus accrued interest $1,020,000, due 03/10/14–12/20/42) | $ | 1,000,000 | 0.9 | |||||||||||||||
1,289,918 | 1.2 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 5.8% | ||||||||||||||||||
6,530,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||||||||||||||
(Cost $6,530,000) | 6,530,000 | 5.8 | ||||||||||||||||
Total Short-Term Investments | ||||||||||||||||||
(Cost $7,819,918) | 7,819,918 | 7.0 | ||||||||||||||||
Total Investments in Securities (Cost $105,218,650) | $ | 113,572,233 | 101.2 | |||||||||||||||
Liabilities in Excess of Other Assets | (1,304,619 | ) | (1.2 | ) | ||||||||||||||
Net Assets | $ | 112,267,614 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
@ | Non-income producing security | |
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
cc | Securities purchased with cash collateral for securities loaned. | |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. | |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. | |
Cost for federal income tax purposes is $105,369,828. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 10,165,910 | ||||
Gross Unrealized Depreciation | (1,963,505 | ) | ||||
Net Unrealized Appreciation | $ | 8,202,405 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | 1,002,252 | $ | 6,559,486 | $ | — | $ | 7,561,738 | ||||||||||
Consumer Staples | 4,760,771 | — | — | 4,760,771 | ||||||||||||||
Energy | 9,133,426 | 10,189,122 | — | 19,322,548 | ||||||||||||||
Financials | 6,232,612 | 19,322,671 | — | 25,555,283 | ||||||||||||||
Industrials | — | 696,675 | — | 696,675 | ||||||||||||||
Information Technology | 1,334,396 | 24,227,185 | — | 25,561,581 | ||||||||||||||
Materials | 2,978,538 | 7,286,772 | — | 10,265,310 | ||||||||||||||
Telecommunication Services | 3,311,843 | 8,716,566 | — | 12,028,409 | ||||||||||||||
Total Common Stock | 28,753,838 | 76,998,477 | — | 105,752,315 | ||||||||||||||
Short-Term Investments | 6,530,000 | 1,289,918 | — | 7,819,918 | ||||||||||||||
Total Investments, at fair value | $ | 35,283,838 | $ | 78,288,395 | $ | — | $ | 113,572,233 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 197,181 | — | — | 197,181 | ||||||||||||||
Total Assets | $ | 35,481,019 | $ | 78,288,395 | $ | — | $ | 113,769,414 |
ING EMERGING MARKETS INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
(1) | For the year ended December 31, 2012, as a result of the fair value pricing procedures for international equities utilized by the Portfolio, certain securities have transferred in and out of Level 1 and Level 2 measurements during the year. The Portfolio’s policy is to recognize transfers between levels at the end of the reporting period. At December 31, 2012, securities valued at $1,012,014 were transferred from Level 1 to Level 2 within the fair value hierarchy. | |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio’s investments are categorized as Level 2 investments. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
Mini MSCI Emerging Markets Index | 132 | 03/15/13 | $ | 7,085,100 | $ | 197,181 | ||||||||||||
$ | 7,085,100 | $ | 197,181 |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Equity contracts | Net Assets — Unrealized appreciation* | $ | 197,181 | ||||||
Total Asset Derivatives | $ | 197,181 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 647,906 | ||||
Total | $ | 647,906 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 96,224 | ||||
Total | $ | 96,224 |
ING EURO STOXX 50® INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 96.0% | |||||||||||||||||||
Consumer Discretionary: 7.7% | |||||||||||||||||||
104,507 | Bayerische Motoren Werke AG | $ | 10,169,736 | 1.5 | |||||||||||||||
319,528 | DaimlerChrysler AG | 17,591,886 | 2.5 | ||||||||||||||||
67,306 | Inditex S.A. | 9,456,970 | 1.4 | ||||||||||||||||
84,840 | LVMH Moet Hennessy Louis Vuitton S.A. | 15,657,918 | 2.3 | ||||||||||||||||
52,876,510 | 7.7 | ||||||||||||||||||
Consumer Staples: 9.8% | |||||||||||||||||||
236,136 | Anheuser-Busch InBev Worldwide, Inc. | 20,563,919 | 3.0 | ||||||||||||||||
188,800 | Carrefour S.A. | 4,861,123 | 0.7 | ||||||||||||||||
192,119 | Groupe Danone | 12,655,357 | 1.8 | ||||||||||||||||
75,681 | L’Oreal S.A. | 10,530,501 | 1.5 | ||||||||||||||||
499,428 | Unilever NV | 19,110,021 | 2.8 | ||||||||||||||||
67,720,921 | 9.8 | ||||||||||||||||||
Energy: 9.2% | |||||||||||||||||||
869,899 | ENI S.p.A. | 21,310,482 | 3.1 | ||||||||||||||||
247,385 | Repsol YPF S.A. | 5,049,831 | 0.8 | ||||||||||||||||
704,998 | Total S.A. | 36,683,296 | 5.3 | ||||||||||||||||
63,043,609 | 9.2 | ||||||||||||||||||
Financials: 24.5% | |||||||||||||||||||
147,057 | Allianz AG | 20,499,407 | 3.0 | ||||||||||||||||
434,350 | Assicurazioni Generali S.p.A. | 7,937,662 | 1.1 | ||||||||||||||||
639,554 | AXA S.A. | 11,483,756 | 1.7 | ||||||||||||||||
3,276,778 | Banco Santander Central Hispano S.A. | 26,630,560 | 3.9 | ||||||||||||||||
1,729,906 | Banco Bilbao Vizcaya Argentaria S.A. | 16,072,359 | 2.3 | ||||||||||||||||
335,943 | BNP Paribas | 19,125,352 | 2.8 | ||||||||||||||||
302,756 | Deutsche Bank AG | 13,319,761 | 1.9 | ||||||||||||||||
1,226,065 | **, @ | ING Groep NV | 11,645,211 | 1.7 | |||||||||||||||
4,541,463 | Intesa Sanpaolo S.p.A. | 7,853,650 | 1.1 | ||||||||||||||||
52,333 | Muenchener Rueckversicherungs AG | 9,447,609 | 1.4 | ||||||||||||||||
246,392 | @ | Societe Generale | 9,368,481 | 1.4 | |||||||||||||||
29,284 | Unibail | 7,101,498 | 1.0 | ||||||||||||||||
1,756,958 | @ | UniCredit SpA | 8,652,109 | 1.2 | |||||||||||||||
169,137,415 | 24.5 | ||||||||||||||||||
Health Care: 10.0% | |||||||||||||||||||
268,835 | Bayer AG | 25,636,733 | 3.7 | ||||||||||||||||
67,623 | Cie Generale D’Optique Essilor International S.A. | 6,820,309 | 1.0 | ||||||||||||||||
382,597 | Sanofi-Aventis SA | 36,281,827 | 5.3 | ||||||||||||||||
68,738,869 | 10.0 | ||||||||||||||||||
Industrials: 9.3% | |||||||||||||||||||
141,127 | Cie de Saint-Gobain | 6,060,570 | 0.9 | ||||||||||||||||
303,873 | Koninklijke Philips Electronics NV | 8,046,661 | 1.2 | ||||||||||||||||
174,229 | Schneider Electric S.A. | 12,760,732 | 1.8 | ||||||||||||||||
270,426 | Siemens AG | 29,571,403 | 4.3 | ||||||||||||||||
160,749 | Vinci S.A. | 7,739,645 | 1.1 | ||||||||||||||||
64,179,011 | 9.3 | ||||||||||||||||||
Information Technology: 5.3% | |||||||||||||||||||
113,302 | ASML Holding NV | 7,266,511 | 1.1 | ||||||||||||||||
1,217,455 | L | Nokia OYJ | 4,811,054 | 0.7 | |||||||||||||||
300,499 | SAP AG | 24,164,055 | 3.5 | ||||||||||||||||
36,241,620 | 5.3 | ||||||||||||||||||
Materials: 7.3% | |||||||||||||||||||
99,262 | Air Liquide | 12,540,603 | 1.8 | ||||||||||||||||
293,274 | ArcelorMittal | 5,113,391 | 0.7 | ||||||||||||||||
298,800 | BASF AG | 28,254,658 | 4.1 | ||||||||||||||||
230,321 | @ | CRH PLC | 4,683,858 | 0.7 | |||||||||||||||
50,592,510 | 7.3 | ||||||||||||||||||
Telecommunication Services: 6.4% | |||||||||||||||||||
968,523 | Deutsche Telekom AG | 11,024,668 | 1.6 | ||||||||||||||||
614,352 | France Telecom S.A. | 6,815,544 | 1.0 | ||||||||||||||||
1,263,513 | Telefonica S.A. | 17,106,864 | 2.5 | ||||||||||||||||
399,190 | Vivendi | 9,028,108 | 1.3 | ||||||||||||||||
43,975,184 | 6.4 | ||||||||||||||||||
Utilities: 6.5% | |||||||||||||||||||
650,511 | E.ON AG | 12,201,070 | 1.8 | ||||||||||||||||
2,071,777 | Enel S.p.A. | 8,617,564 | 1.2 | ||||||||||||||||
451,779 | �� | Gaz de France | 9,304,923 | 1.3 | |||||||||||||||
1,467,000 | Iberdrola S.A. | 8,192,806 | 1.2 | ||||||||||||||||
159,096 | RWE AG | 6,598,936 | 1.0 | ||||||||||||||||
44,915,299 | 6.5 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $595,649,731) | 661,420,948 | 96.0 | |||||||||||||||||
PREFERRED STOCK: 1.6% | |||||||||||||||||||
Consumer Discretionary: 1.6% | |||||||||||||||||||
46,766 | Volkswagen AG | 10,730,472 | 1.6 | ||||||||||||||||
Total Preferred Stock | |||||||||||||||||||
(Cost $7,500,375) | 10,730,472 | 1.6 | |||||||||||||||||
RIGHTS: 0.0% | |||||||||||||||||||
Energy: 0.0% | |||||||||||||||||||
268,844 | Other Securities | 163,947 | 0.0 | ||||||||||||||||
Total Rights | |||||||||||||||||||
(Cost $—) | 163,947 | 0.0 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $603,150,106) | 672,315,367 | 97.6 |
ING EURO STOXX 50® INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 0.7% | |||||||||||||||||||
Securities Lending Collateralcc(1): 0.7% | |||||||||||||||||||
1,182,928 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,182,947, collateralized by various U.S. Government Agency Obligations, 3.500%–5.500%, Market Value plus accrued interest $1,206,587, due 08/01/27–01/01/43) | $ | 1,182,928 | 0.2 | |||||||||||||||
1,109,306 | BNP Paribas Bank, Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,109,318, collateralized by various U.S. Government Agency Obligations, 3.000%–3.500%, Market Value plus accrued interest $1,131,492, due 09/15/42–11/15/42) | 1,109,306 | 0.1 | ||||||||||||||||
1,182,928 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,182,941, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $1,206,587, due 10/01/16–12/20/42) | 1,182,928 | 0.2 | ||||||||||||||||
322,578 | Daiwa Capital Markets, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $322,583, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $329,030, due 06/14/13–12/01/42) | 322,578 | 0.0 | ||||||||||||||||
1,182,928 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%–0.19%, due 01/02/13 (Repurchase Amount $1,182,940, collateralized by various U.S. Government Agency Obligations, 0.500%–6.000%, Market Value plus accrued interest $1,206,587, due 08/09/13–06/20/42) | 1,182,928 | 0.2 | ||||||||||||||||
4,980,668 | 0.7 | ||||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $4,980,668) | 4,980,668 | 0.7 | |||||||||||||||||
Total Investments in Securities (Cost $608,130,774) | $ | 677,296,035 | 98.3 | ||||||||||||||||
Assets in Excess of Other Liabilities | 12,032,793 | 1.7 | |||||||||||||||||
Net Assets | $ | 689,328,828 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
@ | Non-income producing security | |
cc | Securities purchased with cash collateral for securities loaned. | |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. | |
** | Investment in affiliate | |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. | |
Cost for federal income tax purposes is $649,119,853. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 101,149,270 | ||||
Gross Unrealized Depreciation | (72,973,088 | ) | ||||
Net Unrealized Appreciation | $ | 28,176,182 |
ING EURO STOXX 50® INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | — | $ | 52,876,510 | $ | — | $ | 52,876,510 | ||||||||||
Consumer Staples | 12,655,357 | 55,065,564 | — | 67,720,921 | ||||||||||||||
Energy | — | 63,043,609 | — | 63,043,609 | ||||||||||||||
Financials | — | 169,137,415 | — | 169,137,415 | ||||||||||||||
Health Care | — | 68,738,869 | — | 68,738,869 | ||||||||||||||
Industrials | — | 64,179,011 | — | 64,179,011 | ||||||||||||||
Information Technology | — | 36,241,620 | — | 36,241,620 | ||||||||||||||
Materials | — | 50,592,510 | — | 50,592,510 | ||||||||||||||
Telecommunication Services | — | 43,975,184 | — | 43,975,184 | ||||||||||||||
Utilities | — | 44,915,299 | — | 44,915,299 | ||||||||||||||
Total Common Stock | 12,655,357 | 648,765,591 | — | 661,420,948 | ||||||||||||||
Preferred Stock | — | 10,730,472 | — | 10,730,472 | ||||||||||||||
Rights | 163,947 | — | — | 163,947 | ||||||||||||||
Short-Term Investments | — | 4,980,668 | — | 4,980,668 | ||||||||||||||
Total Investments, at fair value | $ | 12,819,304 | $ | 664,476,731 | $ | — | $ | 677,296,035 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | — | 19,226 | — | 19,226 | ||||||||||||||
Total Assets | $ | 12,819,304 | $ | 664,495,957 | $ | — | $ | 677,315,261 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | $ | (105,288 | ) | $ | — | $ | — | $ | (105,288 | ) | ||||||||
Total Liabilities | $ | (105,288 | ) | $ | — | $ | — | $ | (105,288 | ) |
(1) | For the year ended December 31, 2012, as a result of the fair value pricing procedures for international equities utilized by the Portfolio, certain securities have transferred in and out of Level 1 and Level 2 measurements during the year. The Portfolio’s policy is to recognize transfers between levels at the end of the reporting period. At December 31, 2012, securities valued at $14,489,287 were transferred from Level 2 to Level 1 within the fair value hierarchy. | |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio’s investments are categorized as Level 2 investments. |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup, Inc. | EU Euro | 1,650,000 | Buy | 03/20/13 | $ | 2,173,012 | $ | 2,179,390 | $ | 6,378 | ||||||||||||||||||||
UBS Warburg LLC | EU Euro | 4,495,000 | Buy | 03/20/13 | 5,924,338 | 5,937,186 | 12,848 | |||||||||||||||||||||||
$ | 19,226 |
ING EURO STOXX 50® INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
Euro STOXX 50® | 265 | 03/15/13 | $ | 9,146,977 | $ | (105,288 | ) | |||||||||||
$ | 9,146,977 | $ | (105,288 | ) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 19,226 | ||||||
Total Asset Derivatives | $ | 19,226 | |||||||
Liability Derivatives | |||||||||
Equity contracts | Net Assets — Unrealized depreciation* | $ | 105,288 | ||||||
Total Liability Derivatives | $ | 105,288 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Total | ||||||||||||
Foreign exchange contracts | $ | 1,739,992 | $ | — | $ | 1,739,992 | |||||||||
Equity contracts | — | 4,212,218 | 4,212,218 | ||||||||||||
Total | $ | 1,739,992 | $ | 4,212,218 | $ | 5,952,210 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Total | ||||||||||||
Foreign exchange contracts | $ | (27,730 | ) | $ | — | $ | (27,730 | ) | |||||||
Equity contracts | — | (389,759 | ) | (389,759 | ) | ||||||||||
Total | $ | (27,730 | ) | $ | (389,759 | ) | $ | (417,489 | ) |
* | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
ING FTSE 100 INDEX® PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 98.0% | |||||||||||||||||||
Consumer Discretionary: 6.3% | |||||||||||||||||||
217,694 | British Sky Broadcasting PLC | $ | 2,745,659 | 0.5 | |||||||||||||||
401,765 | Compass Group PLC | 4,769,279 | 0.9 | ||||||||||||||||
516,975 | Kingfisher PLC | 2,415,616 | 0.5 | ||||||||||||||||
350,694 | Marks & Spencer Group PLC | 2,202,939 | 0.4 | ||||||||||||||||
177,454 | Pearson PLC | 3,458,871 | 0.6 | ||||||||||||||||
262,051 | Reed Elsevier PLC | 2,766,656 | 0.5 | ||||||||||||||||
274,659 | WPP PLC | 4,012,563 | 0.7 | ||||||||||||||||
1,521,797 | Other Securities | 11,957,109 | 2.2 | ||||||||||||||||
34,328,692 | 6.3 | ||||||||||||||||||
Consumer Staples: 16.7% | |||||||||||||||||||
424,205 | British American Tobacco PLC | 21,564,554 | 4.0 | ||||||||||||||||
549,693 | Diageo PLC | 16,010,780 | 2.9 | ||||||||||||||||
215,378 | Imperial Tobacco Group PLC | 8,350,584 | 1.5 | ||||||||||||||||
140,794 | Reckitt Benckiser PLC | 8,937,589 | 1.6 | ||||||||||||||||
204,275 | SABMiller PLC | 9,480,679 | 1.7 | ||||||||||||||||
1,753,473 | Tesco PLC | 9,659,190 | 1.8 | ||||||||||||||||
263,301 | Unilever PLC | 10,234,801 | 1.9 | ||||||||||||||||
479,066 | WM Morrison Supermarkets PLC | 2,056,956 | 0.4 | ||||||||||||||||
482,559 | Other Securities | 4,925,782 | 0.9 | ||||||||||||||||
91,220,915 | 16.7 | ||||||||||||||||||
Energy: 17.9% | |||||||||||||||||||
735,311 | BG Group PLC | 12,264,907 | 2.2 | ||||||||||||||||
4,154,538 | BP PLC | 28,886,285 | 5.3 | ||||||||||||||||
815,824 | Royal Dutch Shell PLC — Class A | 28,317,547 | 5.2 | ||||||||||||||||
577,716 | Royal Dutch Shell PLC — Class B | 20,610,885 | 3.8 | ||||||||||||||||
197,259 | Tullow Oil PLC | 4,112,361 | 0.8 | ||||||||||||||||
200,933 | Other Securities | 3,539,761 | 0.6 | ||||||||||||||||
97,731,746 | 17.9 | ||||||||||||||||||
Financials: 19.8% | |||||||||||||||||||
642,749 | Aviva PLC | 3,977,315 | 0.7 | ||||||||||||||||
2,658,273 | Barclays PLC | 11,547,542 | 2.1 | ||||||||||||||||
4,016,195 | HSBC Holdings PLC | 42,558,912 | 7.8 | ||||||||||||||||
169,931 | Land Securities Group PLC | 2,267,064 | 0.4 | ||||||||||||||||
1,279,233 | Legal & General Group PLC | 3,067,447 | 0.6 | ||||||||||||||||
9,057,596 | @ | Lloyds TSB Group PLC | 7,217,988 | 1.3 | |||||||||||||||
1,066,600 | Old Mutual PLC | 3,132,657 | 0.6 | ||||||||||||||||
556,887 | Prudential PLC | 7,945,340 | 1.5 | ||||||||||||||||
446,474 | @ | Royal Bank of Scotland Group PLC | 2,386,386 | 0.4 | |||||||||||||||
431,473 | Standard Chartered PLC | 11,166,466 | 2.1 | ||||||||||||||||
513,657 | Standard Life PLC | 2,807,896 | 0.5 | ||||||||||||||||
1,870,502 | Other Securities | 9,808,617 | 1.8 | ||||||||||||||||
107,883,630 | 19.8 | ||||||||||||||||||
Health Care: 7.7% | |||||||||||||||||||
272,249 | AstraZeneca PLC | 12,901,868 | 2.3 | ||||||||||||||||
1,074,986 | GlaxoSmithKline PLC | 23,405,038 | 4.3 | ||||||||||||||||
122,073 | Shire PLC | 3,755,120 | 0.7 | ||||||||||||||||
195,691 | Smith & Nephew PLC | 2,163,159 | 0.4 | ||||||||||||||||
42,225,185 | 7.7 | ||||||||||||||||||
Industrials: 6.1% | |||||||||||||||||||
708,008 | BAE Systems PLC | 3,935,261 | 0.7 | ||||||||||||||||
220,426 | Experian Group Ltd. | 3,552,607 | 0.6 | ||||||||||||||||
408,499 | @ | Rolls-Royce Holdings PLC | 5,859,289 | 1.1 | |||||||||||||||
59,584 | Wolseley PLC | 2,849,245 | 0.5 | ||||||||||||||||
1,804,449 | Other Securities | 17,323,333 | 3.2 | ||||||||||||||||
33,519,735 | 6.1 | ||||||||||||||||||
Information Technology: 0.9% | |||||||||||||||||||
300,320 | ARM Holdings PLC | 3,792,682 | 0.7 | ||||||||||||||||
264,319 | Other Securities | 1,270,985 | 0.2 | ||||||||||||||||
5,063,667 | 0.9 | ||||||||||||||||||
Materials: 12.2% | |||||||||||||||||||
285,174 | Anglo American PLC | 8,989,620 | 1.7 | ||||||||||||||||
460,946 | BHP Billiton PLC | 16,259,253 | 3.0 | ||||||||||||||||
156,919 | CRH PLC | 3,241,802 | 0.6 | ||||||||||||||||
790,199 | L | Glencore International PLC | 4,564,867 | 0.8 | |||||||||||||||
272,288 | Rio Tinto PLC | 15,881,454 | 2.9 | ||||||||||||||||
353,872 | Xstrata PLC | 6,177,151 | 1.1 | ||||||||||||||||
635,281 | Other Securities | 11,463,389 | 2.1 | ||||||||||||||||
66,577,536 | 12.2 | ||||||||||||||||||
Telecommunication Services: 6.2% | |||||||||||||||||||
1,718,418 | BT Group PLC | 6,556,145 | 1.2 | ||||||||||||||||
10,769,868 | Vodafone Group PLC | 27,110,749 | 5.0 | ||||||||||||||||
33,666,894 | 6.2 | ||||||||||||||||||
Utilities: 4.2% | |||||||||||||||||||
1,124,397 | Centrica PLC | 6,136,648 | 1.1 | ||||||||||||||||
793,961 | National Grid PLC | 9,106,314 | 1.7 | ||||||||||||||||
209,158 | Scottish & Southern Energy PLC | 4,865,900 | 0.9 | ||||||||||||||||
200,757 | Other Securities | 2,975,090 | 0.5 | ||||||||||||||||
23,083,952 | 4.2 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $447,675,695) | 535,301,952 | 98.0 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 0.5% | |||||||||||||||||||
Securities Lending Collateralcc(1): 0.5% | |||||||||||||||||||
1,000,000 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,000,011, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $1,020,000, due 10/01/16–12/20/42) | 1,000,000 | 0.1 |
ING FTSE 100 INDEX® PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Securities Lending Collateralcc(1): (continued) | |||||||||||||||||||
607 | Credit Suisse Securities, Repurchase Agreement dated 12/31/12, 0.00%, due 01/02/13 (Repurchase Amount $607, collateralized by various U.S. Government Securities, 0.250%–4.500%, Market Value plus accrued interest $619, due 07/31/13–04/30/19) | $ | 607 | 0.0 | |||||||||||||||
1,000,000 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%–0.19%, due 01/02/13 (Repurchase Amount $1,000,010, collateralized by various U.S. Government Agency Obligations, 0.500%–6.000%, Market Value plus accrued interest $1,020,000, due 08/09/13–06/20/42) | 1,000,000 | 0.2 | ||||||||||||||||
1,000,000 | Royal Bank of Canada, Repurchase Agreement dated 12/26/12, 0.18%, due 01/02/13 (Repurchase Amount $1,000,035, collateralized by various U.S. Government Agency Obligations, 2.000%–4.500%, Market Value plus accrued interest $1,020,000, due 10/01/32–01/01/43) | 1,000,000 | 0.2 | ||||||||||||||||
3,000,607 | 0.5 | ||||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $3,000,607) | 3,000,607 | 0.5 | |||||||||||||||||
Total Investments in Securities (Cost $450,676,302) | $ | 538,302,559 | 98.5 | ||||||||||||||||
Assets in Excess of Other Liabilities | 7,969,519 | 1.5 | |||||||||||||||||
Net Assets | $ | 546,272,078 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
@ | Non-income producing security | |
cc | Securities purchased with cash collateral for securities loaned. | |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. | |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. | |
Cost for federal income tax purposes is $452,548,638. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 99,255,368 | ||||
Gross Unrealized Depreciation | (13,501,447 | ) | ||||
Net Unrealized Appreciation | $ | 85,753,921 |
ING FTSE 100 INDEX® PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | — | $ | 34,328,692 | $ | — | $ | 34,328,692 | ||||||||||
Consumer Staples | — | 91,220,915 | — | 91,220,915 | ||||||||||||||
Energy | — | 97,731,746 | — | 97,731,746 | ||||||||||||||
Financials | — | 107,883,630 | — | 107,883,630 | ||||||||||||||
Health Care | — | 42,225,185 | — | 42,225,185 | ||||||||||||||
Industrials | — | 33,519,735 | — | 33,519,735 | ||||||||||||||
Information Technology | — | 5,063,667 | — | 5,063,667 | ||||||||||||||
Materials | — | 66,577,536 | — | 66,577,536 | ||||||||||||||
Telecommunication Services | — | 33,666,894 | — | 33,666,894 | ||||||||||||||
Utilities | — | 23,083,952 | — | 23,083,952 | ||||||||||||||
Total Common Stock | — | 535,301,952 | — | 535,301,952 | ||||||||||||||
Short-Term Investments | — | 3,000,607 | — | 3,000,607 | ||||||||||||||
Total Investments, at fair value | $ | — | $ | 538,302,559 | $ | — | $ | 538,302,559 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | — | 5,218 | — | 5,218 | ||||||||||||||
Total Assets | $ | — | $ | 538,307,777 | $ | — | $ | 538,307,777 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | $ | (28,153 | ) | $ | — | $ | — | $ | (28,153 | ) | ||||||||
Forward Foreign Currency Contracts | — | (7,927 | ) | — | (7,927 | ) | ||||||||||||
Total Liabilities | $ | (28,153 | ) | $ | (7,927 | ) | $ | — | $ | (36,080 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio’s investments are categorized as Level 2 investments. |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Chase & Co. | British Pound | 1,200,000 | Buy | 03/20/13 | $ | 1,943,665 | $ | 1,948,883 | $ | 5,218 | ||||||||||||||||||||
$ | 5,218 | |||||||||||||||||||||||||||||
Barclays Bank PLC | British Pound | 610,000 | Sell | 03/20/13 | $ | 982,755 | $ | 990,682 | $ | (7,927 | ) | |||||||||||||||||||
$ | (7,927 | ) |
ING FTSE 100 INDEX® PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
FTSE 100 Index | 85 | 03/15/13 | $ | 8,074,855 | $ | (28,153 | ) | |||||||||||
$ | 8,074,855 | $ | (28,153 | ) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 5,218 | ||||||
Total Asset Derivatives | $ | 5,218 | |||||||
Liability Derivatives | |||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 7,927 | ||||||
Equity contracts | Net Assets — Unrealized depreciation* | 28,153 | |||||||
Total Liability Derivatives | $ | 36,080 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Total | ||||||||||||
Foreign exchange contracts | $ | 1,450,416 | $ | — | $ | 1,450,416 | |||||||||
Equity contracts | — | 3,344,023 | 3,344,023 | ||||||||||||
Total | $ | 1,450,416 | $ | 3,344,023 | $ | 4,794,439 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Total | |||||||||||||||
Foreign exchange contracts | $ | 66,203 | $ | — | $ | 66,203 | ||||||||||||
Equity contracts | — | (129,828 | ) | (129,828 | ) | |||||||||||||
Total | $ | 66,203 | $ | (129,828 | ) | $ | (63,625 | ) |
* | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
ING HANG SENG INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 95.9% | |||||||||||||||||||
Consumer Discretionary: 3.6% | |||||||||||||||||||
743,000 | Belle International Holdings | $ | 1,643,200 | 1.1 | |||||||||||||||
310,618 | Esprit Holdings Ltd. | 440,433 | 0.3 | ||||||||||||||||
937,028 | Li & Fung Ltd. | 1,690,854 | 1.1 | ||||||||||||||||
385,600 | Sands China Ltd. | 1,723,888 | 1.1 | ||||||||||||||||
5,498,375 | 3.6 | ||||||||||||||||||
Consumer Staples: 2.8% | |||||||||||||||||||
191,286 | China Resources Enterprise | 700,060 | 0.4 | ||||||||||||||||
128,500 | Hengan International Group Co., Ltd. | 1,173,564 | 0.8 | ||||||||||||||||
314,000 | Tingyi Cayman Islands Holding Corp. | 883,428 | 0.6 | ||||||||||||||||
1,167,000 | Want Want China Holdings Ltd. | 1,635,441 | 1.0 | ||||||||||||||||
4,392,493 | 2.8 | ||||||||||||||||||
Energy: 12.0% | |||||||||||||||||||
622,000 | China Coal Energy Co. — Class H | 691,272 | 0.4 | ||||||||||||||||
2,692,337 | China Petroleum & Chemical Corp. | 3,099,619 | 2.0 | ||||||||||||||||
543,841 | China Shenhua Energy Co., Ltd. | 2,436,037 | 1.6 | ||||||||||||||||
2,859,714 | CNOOC Ltd. | 6,299,987 | 4.1 | ||||||||||||||||
512,000 | Kunlun Energy Co. Ltd. | 1,082,543 | 0.7 | ||||||||||||||||
3,372,604 | PetroChina Co., Ltd. | 4,865,544 | 3.2 | ||||||||||||||||
18,475,002 | 12.0 | ||||||||||||||||||
Financials: 56.4% | |||||||||||||||||||
1,735,200 | AIA Group Ltd. | 6,882,385 | 4.5 | ||||||||||||||||
12,704,746 | Bank of China Ltd. | 5,753,760 | 3.7 | ||||||||||||||||
1,408,451 | Bank of Communications Co., Ltd. | 1,077,108 | 0.7 | ||||||||||||||||
236,384 | L | Bank of East Asia Ltd. | 917,952 | 0.6 | |||||||||||||||
592,629 | BOC Hong Kong Holdings Ltd. | 1,864,282 | 1.2 | ||||||||||||||||
221,739 | Cheung Kong Holdings Ltd. | 3,450,127 | 2.2 | ||||||||||||||||
13,470,107 | China Construction Bank | 11,007,934 | 7.1 | ||||||||||||||||
1,192,911 | China Life Insurance Co., Ltd. | 3,950,996 | 2.6 | ||||||||||||||||
650,991 | China Overseas Land & Investment Ltd. | 1,979,292 | 1.3 | ||||||||||||||||
328,000 | China Resources Land Ltd. | 908,788 | 0.6 | ||||||||||||||||
357,706 | Hang Lung Properties Ltd. | 1,439,559 | 0.9 | ||||||||||||||||
122,543 | Hang Seng Bank Ltd. | 1,891,691 | 1.2 | ||||||||||||||||
153,024 | Henderson Land Development Co., Ltd. | 1,095,531 | 0.7 | ||||||||||||||||
164,941 | Hong Kong Exchanges and Clearing Ltd. | 2,854,497 | 1.9 | ||||||||||||||||
2,068,927 | HSBC Holdings PLC | 21,929,154 | 14.2 | ||||||||||||||||
11,812,340 | Industrial and Commercial Bank of China Ltd. | 8,525,873 | 5.5 | ||||||||||||||||
594,782 | New World Development Ltd. | 941,644 | 0.6 | ||||||||||||||||
325,216 | Ping An Insurance Group Co. of China Ltd. | 2,773,998 | 1.8 | ||||||||||||||||
475,265 | Sino Land Co. | 870,279 | 0.6 | ||||||||||||||||
230,555 | Sun Hung Kai Properties Ltd. | 3,496,422 | 2.3 | ||||||||||||||||
109,091 | L | Swire Pacific Ltd. | 1,364,612 | 0.9 | |||||||||||||||
243,637 | Wharf Holdings Ltd. | 1,941,720 | 1.3 | ||||||||||||||||
86,917,604 | 56.4 | ||||||||||||||||||
Industrials: 4.1% | |||||||||||||||||||
188,818 | Cathay Pacific Airways Ltd. | 350,710 | 0.2 | ||||||||||||||||
198,285 | China Merchants Holdings International Co., Ltd. | 647,548 | 0.4 | ||||||||||||||||
259,811 | L | Citic Pacific Ltd. | 393,080 | 0.3 | |||||||||||||||
258,697 | Cosco Pacific Ltd. | 375,101 | 0.2 | ||||||||||||||||
341,464 | Hutchison Whampoa Ltd. | 3,618,477 | 2.4 | ||||||||||||||||
232,143 | MTR Corp. | 919,877 | 0.6 | ||||||||||||||||
6,304,793 | 4.1 | ||||||||||||||||||
Information Technology: 3.8% | |||||||||||||||||||
177,375 | Tencent Holdings Ltd. | 5,817,316 | 3.8 | ||||||||||||||||
Materials: 0.2% | |||||||||||||||||||
635,728 | @, L | Aluminum Corp. of China Ltd. | 298,947 | 0.2 | |||||||||||||||
Telecommunication Services: 8.2% | |||||||||||||||||||
965,601 | China Mobile Ltd. | 11,362,905 | 7.4 | ||||||||||||||||
755,110 | China Unicom Ltd. | 1,227,754 | 0.8 | ||||||||||||||||
12,590,659 | 8.2 | ||||||||||||||||||
Utilities: 4.8% | |||||||||||||||||||
305,654 | China Resources Power Holdings Co. | 787,499 | 0.5 | ||||||||||||||||
287,931 | CLP Holdings Ltd. | 2,419,149 | 1.6 | ||||||||||||||||
836,203 | Hong Kong & China Gas | 2,297,476 | 1.5 | ||||||||||||||||
221,822 | Power Assets Holdings Ltd. | 1,903,136 | 1.2 | ||||||||||||||||
7,407,260 | 4.8 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $124,649,593) | 147,702,449 | 95.9 |
ING HANG SENG INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 4.7% | |||||||||||||||||||
Securities Lending Collateralcc(1): 0.9% | |||||||||||||||||||
417,258 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $417,263, collateralized by various U.S. Government Securities, 0.000%–3.375%, Market Value plus accrued interest $425,603, due 07/31/13–11/15/39) | $ | 417,258 | 0.3 | |||||||||||||||
1,000,000 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,000,011, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $1,020,000, due 10/01/16–12/20/42) | 1,000,000 | 0.6 | ||||||||||||||||
15,365 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.14%, due 01/02/13 (Repurchase Amount $15,365, collateralized by various U.S. Government Agency Obligations, 0.500%–6.000%, Market Value plus accrued interest $15,672, due 08/09/13–04/18/36) | 15,365 | 0.0 | ||||||||||||||||
1,432,623 | 0.9 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 3.8% | ||||||||||||||||||
5,867,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||||||||||||||
(Cost $5,867,000) | 5,867,000 | 3.8 | ||||||||||||||||
Total Short-Term Investments | ||||||||||||||||||
(Cost $7,299,623) | 7,299,623 | 4.7 | ||||||||||||||||
Total Investments in Securities (Cost $131,949,216) | $ | 155,002,072 | 100.6 | |||||||||||||||
Liabilities in Excess of Other Assets | (946,594 | ) | (0.6 | ) | ||||||||||||||
Net Assets | $ | 154,055,478 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
@ | Non-income producing security | |
cc | Securities purchased with cash collateral for securities loaned. | |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. | |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. | |
Cost for federal income tax purposes is $135,978,859. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 23,838,547 | ||||
Gross Unrealized Depreciation | (4,815,334 | ) | ||||
Net Unrealized Appreciation | $ | 19,023,213 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | — | $ | 5,498,375 | $ | — | $ | 5,498,375 | ||||||||||
Consumer Staples | — | 4,392,493 | — | 4,392,493 | ||||||||||||||
Energy | — | 18,475,002 | — | 18,475,002 | ||||||||||||||
Financials | — | 86,917,604 | — | 86,917,604 | ||||||||||||||
Industrials | — | 6,304,793 | — | 6,304,793 | ||||||||||||||
Information Technology | — | 5,817,316 | — | 5,817,316 | ||||||||||||||
Materials | — | 298,947 | — | 298,947 | ||||||||||||||
Telecommunication Services | — | 12,590,659 | — | 12,590,659 | ||||||||||||||
Utilities | — | 7,407,260 | — | 7,407,260 | ||||||||||||||
Total Common Stock | — | 147,702,449 | — | 147,702,449 | ||||||||||||||
Short-Term Investments | 5,867,000 | 1,432,623 | — | 7,299,623 | ||||||||||||||
Total Investments, at fair value | $ | 5,867,000 | $ | 149,135,072 | $ | — | $ | 155,002,072 |
ING HANG SENG INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | $ | (25,530 | ) | $ | — | $ | — | $ | (25,530 | ) | ||||||||
Total Liabilities | $ | (25,530 | ) | $ | — | $ | — | $ | (25,530 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio’s investments are categorized as Level 2 investments. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
Hang Seng Index | 44 | 01/30/13 | $ | 6,435,784 | $ | (25,530 | ) | |||||||||||
$ | 6,435,784 | $ | (25,530 | ) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Liability Derivatives | |||||||||
Equity Contracts | Net Assets — Unrealized depreciation* | $ | 25,530 | ||||||
Total Liability Derivatives | $ | 25,530 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 656,093 | ||||
Total | $ | 656,093 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 3,834 | ||||
Total | $ | 3,834 |
ING INTERNATIONAL INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 94.1% | |||||||||||||||||||
Consumer Discretionary: 9.7% | |||||||||||||||||||
34,907 | DaimlerChrysler AG | $ | 1,921,835 | 0.5 | |||||||||||||||
62,300 | Honda Motor Co., Ltd. | 2,307,258 | 0.5 | ||||||||||||||||
9,696 | LVMH Moet Hennessy Louis Vuitton S.A. | 1,789,476 | 0.4 | ||||||||||||||||
107,089 | Toyota Motor Corp. | 5,000,643 | 1.1 | ||||||||||||||||
1,371 | Volkswagen AG | 297,423 | 0.1 | ||||||||||||||||
2,824,033 | Other Securities(a) | 31,520,729 | 7.1 | ||||||||||||||||
42,837,364 | 9.7 | ||||||||||||||||||
Consumer Staples: 11.0% | |||||||||||||||||||
30,929 | Anheuser-Busch InBev Worldwide, Inc. | 2,693,454 | 0.6 | ||||||||||||||||
74,610 | British American Tobacco PLC | 3,792,816 | 0.9 | ||||||||||||||||
98,345 | Diageo PLC | 2,864,472 | 0.6 | ||||||||||||||||
123,168 | Nestle S.A. | 8,035,908 | 1.8 | ||||||||||||||||
36,453 | SABMiller PLC | 1,691,833 | 0.4 | ||||||||||||||||
309,477 | Tesco PLC | 1,704,786 | 0.4 | ||||||||||||||||
64,481 | Unilever NV | 2,467,289 | 0.6 | ||||||||||||||||
51,238 | Unilever PLC | 1,991,678 | 0.4 | ||||||||||||||||
1,239,349 | Other Securities(a) | 23,361,500 | 5.3 | ||||||||||||||||
48,603,736 | 11.0 | ||||||||||||||||||
Energy: 7.3% | |||||||||||||||||||
129,982 | BG Group PLC | 2,168,086 | 0.5 | ||||||||||||||||
729,034 | BP PLC | 5,068,935 | 1.2 | ||||||||||||||||
92,527 | ENI S.p.A. | 2,266,694 | 0.5 | ||||||||||||||||
144,467 | Royal Dutch Shell PLC — Class A | 5,014,502 | 1.1 | ||||||||||||||||
102,817 | Royal Dutch Shell PLC — Class B | 3,668,151 | 0.8 | ||||||||||||||||
81,574 | Total S.A. | 4,244,555 | 1.0 | ||||||||||||||||
461,728 | Other Securities | 9,784,344 | 2.2 | ||||||||||||||||
32,215,267 | 7.3 | ||||||||||||||||||
Financials: 23.3% | |||||||||||||||||||
17,987 | Allianz AG | 2,507,346 | 0.6 | ||||||||||||||||
103,277 | Australia & New Zealand Banking Group Ltd. | 2,719,965 | 0.6 | ||||||||||||||||
396,861 | Banco Santander Central Hispano S.A. | 3,225,312 | 0.7 | ||||||||||||||||
442,239 | Barclays PLC | 1,921,087 | 0.4 | ||||||||||||||||
208,307 | Banco Bilbao Vizcaya Argentaria S.A. | 1,935,357 | 0.4 | ||||||||||||||||
38,547 | BNP Paribas | 2,194,494 | 0.5 | ||||||||||||||||
60,610 | Commonwealth Bank of Australia | 3,947,328 | 0.9 | ||||||||||||||||
690,698 | HSBC Holdings PLC | 7,319,205 | 1.7 | ||||||||||||||||
503,121 | Mitsubishi UFJ Financial Group, Inc. | 2,722,445 | 0.6 | ||||||||||||||||
880,172 | Mizuho Financial Group, Inc. | 1,613,783 | 0.4 | ||||||||||||||||
86,167 | National Australia Bank Ltd. | 2,266,467 | 0.5 | ||||||||||||||||
92,150 | Standard Chartered PLC | 2,384,830 | 0.5 | ||||||||||||||||
51,800 | Sumitomo Mitsui Financial Group, Inc. | 1,882,506 | 0.4 | ||||||||||||||||
139,020 | UBS AG — Reg | 2,175,508 | 0.5 | ||||||||||||||||
119,752 | Westpac Banking Corp. | 3,281,193 | 0.7 | ||||||||||||||||
10,437,221 | Other Securities(a) | 61,514,674 | 13.9 | ||||||||||||||||
103,611,500 | 23.3 | ||||||||||||||||||
Health Care: 9.3% | |||||||||||||||||||
48,931 | AstraZeneca PLC | 2,318,838 | 0.5 | ||||||||||||||||
31,656 | Bayer AG | 3,018,790 | 0.7 | ||||||||||||||||
193,961 | GlaxoSmithKline PLC | 4,222,999 | 0.9 | ||||||||||||||||
88,362 | Novartis AG | 5,582,118 | 1.3 | ||||||||||||||||
15,672 | Novo-Nordisk A/S | 2,551,976 | 0.6 | ||||||||||||||||
26,992 | Roche Holding AG — Genusschein | 5,457,275 | 1.2 | ||||||||||||||||
45,570 | Sanofi-Aventis SA | 4,321,421 | 1.0 | ||||||||||||||||
414,415 | Other Securities | 13,835,664 | 3.1 | ||||||||||||||||
41,309,081 | 9.3 | ||||||||||||||||||
Industrials: 12.0% | |||||||||||||||||||
83,938 | ABB Ltd. | 1,740,667 | 0.4 | ||||||||||||||||
31,640 | Siemens AG | 3,459,871 | 0.8 | ||||||||||||||||
4,255,406 | Other Securities(a) | 48,210,214 | 10.8 | ||||||||||||||||
53,410,752 | 12.0 | ||||||||||||||||||
Information Technology: 4.1% | |||||||||||||||||||
44,400 | L | Canon, Inc. | 1,720,933 | 0.4 | |||||||||||||||
35,410 | SAP AG | 2,847,428 | 0.7 | ||||||||||||||||
1,230,613 | Other Securities(a) | 13,395,429 | 3.0 | ||||||||||||||||
17,963,790 | 4.1 | ||||||||||||||||||
Materials: 9.3% | |||||||||||||||||||
35,325 | BASF AG | 3,340,347 | 0.7 | ||||||||||||||||
125,254 | BHP Billiton Ltd. | 4,889,990 | 1.1 | ||||||||||||||||
82,657 | BHP Billiton PLC | 2,915,615 | 0.7 | ||||||||||||||||
51,500 | Rio Tinto PLC | 3,003,786 | 0.7 | ||||||||||||||||
2,063,245 | Other Securities(a) | 27,126,478 | 6.1 | ||||||||||||||||
41,276,216 | 9.3 | ||||||||||||||||||
Telecommunication Services: 4.6% | |||||||||||||||||||
162,345 | Telefonica S.A. | 2,198,010 | 0.5 | ||||||||||||||||
1,913,918 | Vodafone Group PLC | 4,817,863 | 1.1 | ||||||||||||||||
2,149,951 | Other Securities | 13,319,142 | 3.0 | ||||||||||||||||
20,335,015 | 4.6 | ||||||||||||||||||
Telecommunications: 0.0% | |||||||||||||||||||
2,332 | Other Securities | 202,420 | 0.0 | ||||||||||||||||
Utilities: 3.5% | |||||||||||||||||||
2,000,752 | Other Securities(a) | 15,717,460 | 3.5 | ||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $325,498,698) | 417,482,601 | 94.1 |
ING INTERNATIONAL INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PREFERRED STOCK: 0.4% | |||||||||||||||||||
Consumer Discretionary: 0.4% | |||||||||||||||||||
5,822 | Volkswagen AG | $ | 1,335,860 | 0.3 | |||||||||||||||
8,895 | Other Securities | 562,626 | 0.1 | ||||||||||||||||
Total Preferred Stock | |||||||||||||||||||
(Cost $992,530) | 1,898,486 | 0.4 | |||||||||||||||||
RIGHTS: 0.0% | |||||||||||||||||||
Consumer Staples: 0.0% | |||||||||||||||||||
16,987 | Other Securities | 417 | 0.0 | ||||||||||||||||
Energy: 0.0% | |||||||||||||||||||
32,263 | Other Securities | 19,675 | 0.0 | ||||||||||||||||
Financials: —% | |||||||||||||||||||
15,860 | Other Securities | — | — | ||||||||||||||||
Total Rights | |||||||||||||||||||
(Cost $—) | 20,092 | 0.0 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $326,491,228) | 419,401,179 | 94.5 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 6.5% | |||||||||||||||||||
Securities Lending Collateralcc(1): 1.4% | |||||||||||||||||||
1,473,951 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,473,975, collateralized by various U.S. Government Agency Obligations, 3.500%–5.500%, Market Value plus accrued interest $1,503,430, due 08/01/27–01/01/43) | 1,473,951 | 0.4 | ||||||||||||||||
1,473,951 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,473,967, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $1,503,430, due 10/01/16–12/20/42) | 1,473,951 | 0.3 | ||||||||||||||||
1,473,951 | Daiwa Capital Markets, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,473,975, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $1,503,430, due 06/14/13–12/01/42) | 1,473,951 | 0.3 | ||||||||||||||||
310,207 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $310,210, collateralized by various U.S. Government Securities, 0.750%–1.625%, Market Value plus accrued interest $316,412, due 10/31/17–08/15/22) | 310,207 | 0.1 | ||||||||||||||||
1,473,951 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%–0.19%, due 01/02/13 (Repurchase Amount $1,473,966, collateralized by various U.S. Government Agency Obligations, 0.500%–6.000%, Market Value plus accrued interest $1,503,430, due 08/09/13–06/20/42) | 1,473,951 | 0.3 | ||||||||||||||||
6,206,011 | 1.4 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 5.1% | ||||||||||||||||||
22,447,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||||||||||||||
(Cost $22,447,000) | 22,447,000 | 5.1 | ||||||||||||||||
Total Short-Term Investments | ||||||||||||||||||
(Cost $28,653,011) | 28,653,011 | 6.5 | ||||||||||||||||
Total Investments in Securities (Cost $355,144,239) | $ | 448,054,190 | 101.0 | |||||||||||||||
Liabilities in Excess of Other Assets | (4,254,810 | ) | (1.0 | ) | ||||||||||||||
Net Assets | $ | 443,799,380 | 100.0 |
ING INTERNATIONAL INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
† | Unless otherwise indicated, principal amount is shown in USD. | |
cc | Securities purchased with cash collateral for securities loaned. | |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. | |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. | |
(a) | This grouping contains securities on loan. | |
Cost for federal income tax purposes is $365,134,293. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 107,091,654 | ||||
Gross Unrealized Depreciation | (24,171,757 | ) | ||||
Net Unrealized Appreciation | $ | 82,919,897 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | 355,994 | $ | 42,481,370 | $ | — | $ | 42,837,364 | ||||||||||
Consumer Staples | 1,864,062 | 46,739,674 | — | 48,603,736 | ||||||||||||||
Energy | 135,948 | 32,079,319 | — | 32,215,267 | ||||||||||||||
Financials | 163,861 | 103,447,639 | — | 103,611,500 | ||||||||||||||
Health Care | 369,201 | 40,939,880 | — | 41,309,081 | ||||||||||||||
Industrials | 297,862 | 53,112,890 | — | 53,410,752 | ||||||||||||||
Information Technology | — | 17,963,790 | — | 17,963,790 | ||||||||||||||
Materials | — | 41,276,216 | — | 41,276,216 | ||||||||||||||
Telecommunication Services | 186,710 | 20,148,305 | — | 20,335,015 | ||||||||||||||
Telecommunications | — | 202,420 | — | 202,420 | ||||||||||||||
Utilities | — | 15,717,460 | — | 15,717,460 | ||||||||||||||
Total Common Stock | 3,373,638 | 414,108,963 | — | 417,482,601 | ||||||||||||||
Preferred Stock | — | 1,898,486 | — | 1,898,486 | ||||||||||||||
Rights | 19,675 | 417 | — | 20,092 | ||||||||||||||
Short-Term Investments | 22,447,000 | 6,206,011 | — | 28,653,011 | ||||||||||||||
Total Investments, at fair value | $ | 25,840,313 | $ | 422,213,877 | $ | — | $ | 448,054,190 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 390,901 | — | — | 390,901 | ||||||||||||||
Total Assets | $ | 26,231,214 | $ | 422,213,877 | $ | — | $ | 448,445,091 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio’s investments are categorized as Level 2 investments. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
Mini MSCI EAFE Index | 332 | 03/15/13 | $ | 26,896,980 | $ | 390,901 | ||||||||||||
$ | 26,896,980 | $ | 390,901 |
ING INTERNATIONAL INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Equity contracts | Net Assets — Unrealized appreciation* | 390,901 | |||||||
Total Asset Derivatives | $ | 390,901 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Total | ||||||||||||
Foreign exchange contracts | $ | 203,564 | $ | — | $ | 203,564 | |||||||||
Equity contracts | — | 3,926,647 | 3,926,647 | ||||||||||||
Total | $ | 203,564 | $ | 3,926,647 | $ | 4,130,211 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Total | ||||||||||||
Foreign exchange contracts | $ | (79,073 | ) | $ | — | $ | (79,073 | ) | |||||||
Equity contracts | — | 223,189 | 223,189 | ||||||||||||
Total | $ | (79,073 | ) | $ | 223,189 | $ | 144,116 |
* | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
ING JAPAN TOPIX INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 99.6% | |||||||||||||||||||
Consumer Discretionary: 19.5% | |||||||||||||||||||
100,600 | Bridgestone Corp. | $ | 2,618,775 | 0.6 | |||||||||||||||
76,500 | Denso Corp. | 2,664,052 | 0.6 | ||||||||||||||||
261,200 | Honda Motor Co., Ltd. | 9,673,447 | 2.2 | ||||||||||||||||
389,000 | Nissan Motor Co., Ltd. | 3,691,174 | 0.9 | ||||||||||||||||
351,200 | L | Panasonic Corp. | 2,146,332 | 0.5 | |||||||||||||||
194,012 | Sony Corp. | 2,175,934 | 0.5 | ||||||||||||||||
399,860 | Toyota Motor Corp. | 18,671,921 | 4.3 | ||||||||||||||||
5,912,362 | Other Securities(a) | 42,550,868 | 9.9 | ||||||||||||||||
84,192,503 | 19.5 | ||||||||||||||||||
Consumer Staples: 7.0% | |||||||||||||||||||
152,600 | Japan Tobacco, Inc. | 4,310,855 | 1.0 | ||||||||||||||||
85,800 | Kao Corp. | 2,235,738 | 0.5 | ||||||||||||||||
128,000 | Seven & I Holdings Co., Ltd. | 3,608,418 | 0.8 | ||||||||||||||||
1,726,530 | Other Securities(a) | 20,222,470 | 4.7 | ||||||||||||||||
30,377,481 | 7.0 | ||||||||||||||||||
Energy: 1.4% | |||||||||||||||||||
428 | Inpex Holdings, Inc. | 2,289,098 | 0.5 | ||||||||||||||||
351,010 | JX Holdings, Inc. | 1,981,722 | 0.5 | ||||||||||||||||
239,200 | Other Securities(a) | 1,816,009 | 0.4 | ||||||||||||||||
6,086,829 | 1.4 | ||||||||||||||||||
Financials: 19.2% | |||||||||||||||||||
611,440 | Sumitomo Mitsui Trust Holdings, Inc. | 2,154,292 | 0.5 | ||||||||||||||||
1,634 | Dai-ichi Life Insurance Co., Ltd. | 2,299,134 | 0.5 | ||||||||||||||||
211,000 | Mitsubishi Estate Co., Ltd. | 5,051,488 | 1.2 | ||||||||||||||||
2,331,900 | Mitsubishi UFJ Financial Group, Inc. | 12,618,176 | 2.9 | ||||||||||||||||
140,000 | Mitsui Fudosan Co., Ltd. | 3,424,831 | 0.8 | ||||||||||||||||
3,909,900 | Mizuho Financial Group, Inc. | 7,168,746 | 1.7 | ||||||||||||||||
645,300 | Nomura Holdings, Inc. | 3,819,718 | 0.9 | ||||||||||||||||
231,352 | Sumitomo Mitsui Financial Group, Inc. | 8,407,753 | 1.9 | ||||||||||||||||
72,000 | Sumitomo Realty & Development Co., Ltd. | 2,398,598 | 0.6 | ||||||||||||||||
115,400 | Tokio Marine Holdings, Inc. | 3,214,960 | 0.7 | ||||||||||||||||
4,994,500 | Other Securities(a) | 32,391,117 | 7.5 | ||||||||||||||||
82,948,813 | 19.2 | ||||||||||||||||||
Health Care: 5.9% | |||||||||||||||||||
70,500 | Astellas Pharma, Inc. | 3,169,792 | 0.7 | ||||||||||||||||
63,600 | Otsuka Holdings Co. Ltd. | 1,791,694 | 0.4 | ||||||||||||||||
120,800 | Takeda Pharmaceutical Co., Ltd. | 5,399,156 | 1.3 | ||||||||||||||||
723,217 | Other Securities(a) | 15,272,896 | 3.5 | ||||||||||||||||
25,633,538 | 5.9 | ||||||||||||||||||
Industrials: 21.6% | |||||||||||||||||||
26,000 | Central Japan Railway Co. | $ | 2,110,147 | 0.5 | |||||||||||||||
56,600 | East Japan Railway Co. | 3,659,991 | 0.9 | ||||||||||||||||
32,000 | Fanuc Ltd. | 5,953,587 | 1.4 | ||||||||||||||||
244,100 | Itochu Corp. | 2,579,918 | 0.6 | ||||||||||||||||
152,500 | Komatsu Ltd. | 3,913,211 | 0.9 | ||||||||||||||||
165,000 | Kubota Corp. | 1,897,070 | 0.4 | ||||||||||||||||
263,000 | Marubeni Corp. | 1,887,089 | 0.4 | ||||||||||||||||
233,900 | Mitsubishi Corp. | 4,503,268 | 1.1 | ||||||||||||||||
306,000 | Mitsubishi Electric Corp. | 2,605,393 | 0.6 | ||||||||||||||||
518,000 | Mitsubishi Heavy Industries Ltd. | 2,505,685 | 0.6 | ||||||||||||||||
263,100 | Mitsui & Co., Ltd. | 3,943,570 | 0.9 | ||||||||||||||||
177,600 | Sumitomo Corp. | 2,278,573 | 0.5 | ||||||||||||||||
9,380,447 | Other Securities(a) | 55,144,881 | 12.8 | ||||||||||||||||
92,982,383 | 21.6 | ||||||||||||||||||
Information Technology: 10.9% | |||||||||||||||||||
193,366 | L | Canon, Inc. | 7,494,819 | 1.8 | |||||||||||||||
709,146 | Hitachi Ltd. | 4,172,975 | 1.0 | ||||||||||||||||
7,700 | Keyence Corp. | 2,135,400 | 0.5 | ||||||||||||||||
25,400 | Kyocera Corp. | 2,302,899 | 0.5 | ||||||||||||||||
31,900 | Murata Manufacturing Co., Ltd. | 1,881,826 | 0.4 | ||||||||||||||||
17,600 | Nintendo Co., Ltd. | 1,879,280 | 0.4 | ||||||||||||||||
614,000 | Toshiba Corp. | 2,430,349 | 0.6 | ||||||||||||||||
2,561,796 | Other Securities(a) | 24,617,151 | 5.7 | ||||||||||||||||
46,914,699 | 10.9 | ||||||||||||||||||
Materials: 7.5% | |||||||||||||||||||
1,333,605 | Nippon Steel Corp. | 3,283,567 | 0.8 | ||||||||||||||||
58,200 | Shin-Etsu Chemical Co., Ltd. | 3,551,950 | 0.8 | ||||||||||||||||
5,386,678 | Other Securities(a) | 25,662,649 | 5.9 | ||||||||||||||||
32,498,166 | 7.5 | ||||||||||||||||||
Telecommunication Services: 4.1% | |||||||||||||||||||
44,100 | KDDI Corp. | 3,117,751 | 0.7 | ||||||||||||||||
130,300 | Nippon Telegraph & Telephone Corp. | 5,486,017 | 1.3 | ||||||||||||||||
2,489 | NTT DoCoMo, Inc. | 3,587,944 | 0.9 | ||||||||||||||||
144,950 | Softbank Corp. | 5,311,155 | 1.2 | ||||||||||||||||
17,502,867 | 4.1 | ||||||||||||||||||
Utilities: 2.5% | |||||||||||||||||||
1,567,000 | Other Securities(a) | 10,561,348 | 2.5 | ||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $441,802,730) | 429,698,627 | 99.6 |
ING JAPAN TOPIX INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 5.3% | |||||||||||||||||||
Securities Lending Collateralcc(1): 5.3% | |||||||||||||||||||
5,393,944 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $5,394,033, collateralized by various U.S. Government Agency Obligations, 3.500%–5.500%, Market Value plus accrued interest $5,501,823, due 08/01/27–01/01/43) | $ | 5,393,944 | 1.2 | |||||||||||||||
5,393,944 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $5,394,003, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $5,501,823, due 10/01/16–12/20/42) | 5,393,944 | 1.2 | ||||||||||||||||
5,393,944 | Daiwa Capital Markets, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $5,394,033, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $5,501,823, due 06/14/13–12/01/42) | 5,393,944 | 1.3 | ||||||||||||||||
1,135,205 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $1,135,216, collateralized by various U.S. Government Securities, 0.750%–1.625%, Market Value plus accrued interest $1,157,911, due 10/31/17–08/15/22) | 1,135,205 | 0.3 | ||||||||||||||||
5,393,944 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%–0.19%, due 01/02/13 (Repurchase Amount $5,393,999, collateralized by various U.S. Government Agency Obligations, 0.500%–6.000%, Market Value plus accrued interest $5,501,824, due 08/09/13–06/20/42) | 5,393,944 | 1.3 | ||||||||||||||||
22,710,981 | 5.3 | ||||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $22,710,981) | 22,710,981 | 5.3 | |||||||||||||||||
Total Investments in Securities (Cost $464,513,711) | $ | 452,409,608 | 104.9 | ||||||||||||||||
Liabilities in Excess of Other Assets | (21,219,069 | ) | (4.9 | ) | |||||||||||||||
Net Assets | $ | 431,190,539 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
cc | Securities purchased with cash collateral for securities loaned. | |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. | |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. | |
(a) | This grouping contains securities on loan. | |
Cost for federal income tax purposes is $469,710,638. |
Net unrealized depreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 38,038,502 | ||||
Gross Unrealized Depreciation | (55,339,532 | ) | ||||
Net Unrealized Depreciation | $ | (17,301,030 | ) |
ING JAPAN TOPIX INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | 1,523,442 | $ | 82,669,061 | $ | — | $ | 84,192,503 | ||||||||||
Consumer Staples | 134,833 | 30,242,648 | — | 30,377,481 | ||||||||||||||
Energy | — | 6,086,829 | — | 6,086,829 | ||||||||||||||
Financials | 21,989 | 82,926,824 | — | 82,948,813 | ||||||||||||||
Health Care | 220,035 | 25,413,503 | — | 25,633,538 | ||||||||||||||
Industrials | 227,960 | 92,754,423 | — | 92,982,383 | ||||||||||||||
Information Technology | 64,031 | 46,850,668 | — | 46,914,699 | ||||||||||||||
Materials | 117,413 | 32,380,753 | — | 32,498,166 | ||||||||||||||
Telecommunication Services | — | 17,502,867 | — | 17,502,867 | ||||||||||||||
Utilities | — | 10,561,348 | — | 10,561,348 | ||||||||||||||
Total Common Stock | 2,309,703 | 427,388,924 | — | 429,698,627 | ||||||||||||||
Short-Term Investments | — | 22,710,981 | — | 22,710,981 | ||||||||||||||
Total Investments, at fair value | $ | 2,309,703 | $ | 450,099,905 | $ | — | $ | 452,409,608 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 300,696 | — | — | 300,696 | ||||||||||||||
Forward Foreign Currency Contracts | — | 5,953 | — | 5,953 | ||||||||||||||
Total Assets | $ | 2,610,399 | $ | 450,105,858 | $ | — | $ | 452,716,257 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | (100,085 | ) | $ | — | $ | (100,085 | ) | ||||||||
Total Liabilities | $ | — | $ | (100,085 | ) | $ | — | $ | (100,085 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio’s investments are categorized as Level 2 investments. |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Chase & Co. | Japanese Yen | 260,000,000 | Buy | 03/21/13 | $ | 3,103,055 | $ | 3,002,970 | $ | (100,085 | ) | |||||||||||||||||||
$ | (100,085 | ) | ||||||||||||||||||||||||||||
The Bank of New York Mellon Corp. | Japanese Yen | 130,000,000 | Sell | 03/21/13 | $ | 1,503,184 | $ | 1,501,485 | $ | 1,699 | ||||||||||||||||||||
JPMorgan Chase & Co. | Japanese Yen | 48,000,000 | Sell | 03/21/13 | 558,648 | 554,394 | 4,254 | |||||||||||||||||||||||
$ | 5,953 |
ING JAPAN TOPIX INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
Tokyo Price Index (TOPIX) | 36 | 03/07/13 | $ | 3,579,846 | $ | 300,696 | ||||||||||||
$ | 3,579,846 | $ | 300,696 |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 5,953 | ||||||
Equity contracts | Net Assets — Unrealized appreciation* | 300,696 | |||||||
Total Asset Derivatives | $ | 306,649 | |||||||
Liability Derivatives | |||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 100,085 | ||||||
Total Liability Derivatives | $ | 100,085 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Total | ||||||||||||
Foreign exchange contracts | $ | (71,820 | ) | $ | — | $ | (71,820 | ) | |||||||
Equity contracts | — | 488,129 | 488,129 | ||||||||||||
Total | $ | (71,820 | ) | $ | 488,129 | $ | 416,309 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Total | ||||||||||||
Foreign exchange contracts | $ | (289,650 | ) | $ | — | $ | (289,650 | ) | |||||||
Equity contracts | — | 339,121 | $ | 339,121 | |||||||||||
Total | $ | (289,650 | ) | $ | 339,121 | $ | 49,471 |
* | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
ING RUSSELLTM LARGE CAP GROWTH INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 98.9% | |||||||||||||||||||
Consumer Discretionary: 13.3% | |||||||||||||||||||
27,836 | @ | Amazon.com, Inc. | $ | 6,990,733 | 1.8 | ||||||||||||||
98,346 | Comcast Corp. — Class A | 3,676,174 | 0.9 | ||||||||||||||||
117,771 | Home Depot, Inc. | 7,284,136 | 1.9 | ||||||||||||||||
78,191 | McDonald’s Corp. | 6,897,228 | 1.8 | ||||||||||||||||
55,650 | Nike, Inc. | 2,871,540 | 0.7 | ||||||||||||||||
58,362 | Starbucks Corp. | 3,129,371 | 0.8 | ||||||||||||||||
50,605 | Walt Disney Co. | 2,519,623 | 0.6 | ||||||||||||||||
338,553 | Other Securities | 18,927,477 | 4.8 | ||||||||||||||||
52,296,282 | 13.3 | ||||||||||||||||||
Consumer Staples: 14.2% | |||||||||||||||||||
121,494 | Altria Group, Inc. | 3,817,342 | 1.0 | ||||||||||||||||
298,893 | Coca-Cola Co. | 10,834,871 | 2.7 | ||||||||||||||||
33,673 | Colgate-Palmolive Co. | 3,520,175 | 0.9 | ||||||||||||||||
33,335 | Costco Wholesale Corp. | 3,292,498 | 0.8 | ||||||||||||||||
120,331 | PepsiCo, Inc. | 8,234,250 | 2.1 | ||||||||||||||||
120,596 | Philip Morris International, Inc. | 10,086,650 | 2.5 | ||||||||||||||||
102,603 | Wal-Mart Stores, Inc. | 7,000,603 | 1.8 | ||||||||||||||||
178,841 | Other Securities | 9,315,452 | 2.4 | ||||||||||||||||
56,101,841 | 14.2 | ||||||||||||||||||
Energy: 3.5% | |||||||||||||||||||
102,606 | Schlumberger Ltd. | 7,109,570 | 1.8 | ||||||||||||||||
140,566 | Other Securities | 6,844,671 | 1.7 | ||||||||||||||||
13,954,241 | 3.5 | ||||||||||||||||||
Financials: 3.4% | |||||||||||||||||||
49,539 | American Express Co. | 2,847,502 | 0.7 | ||||||||||||||||
19,620 | Simon Property Group, Inc. | 3,101,726 | 0.8 | ||||||||||||||||
97,307 | Other Securities | 7,530,310 | 1.9 | ||||||||||||||||
13,479,538 | 3.4 | ||||||||||||||||||
Health Care: 11.5% | |||||||||||||||||||
114,760 | Abbott Laboratories | 7,516,780 | 1.9 | ||||||||||||||||
59,838 | Amgen, Inc. | 5,165,216 | 1.3 | ||||||||||||||||
38,763 | Baxter International, Inc. | 2,583,942 | 0.7 | ||||||||||||||||
18,433 | @ | Biogen Idec, Inc. | 2,703,568 | 0.7 | |||||||||||||||
118,007 | Bristol-Myers Squibb Co. | 3,845,848 | 1.0 | ||||||||||||||||
33,891 | @ | Celgene Corp. | 2,667,900 | 0.7 | |||||||||||||||
61,974 | @ | Express Scripts Holding Co. | 3,346,596 | 0.8 | |||||||||||||||
58,269 | @ | Gilead Sciences, Inc. | 4,279,858 | 1.1 | |||||||||||||||
47,545 | Johnson & Johnson | 3,332,904 | 0.8 | ||||||||||||||||
128,261 | Other Securities | 9,919,386 | 2.5 | ||||||||||||||||
45,361,998 | 11.5 | ||||||||||||||||||
Industrials: 11.6% | |||||||||||||||||||
47,995 | 3M Co. | 4,456,336 | 1.1 | ||||||||||||||||
52,042 | Boeing Co. | 3,921,885 | 1.0 | ||||||||||||||||
50,203 | Caterpillar, Inc. | 4,497,185 | 1.1 | ||||||||||||||||
30,604 | Deere & Co. | 2,644,798 | 0.7 | ||||||||||||||||
59,952 | Honeywell International, Inc. | 3,805,153 | 1.0 | ||||||||||||||||
36,641 | Union Pacific Corp. | 4,606,506 | 1.2 | ||||||||||||||||
55,738 | United Parcel Service, Inc. — Class B | 4,109,563 | 1.0 | ||||||||||||||||
70,121 | United Technologies Corp. | 5,750,623 | 1.5 | ||||||||||||||||
193,174 | Other Securities | 11,828,303 | 3.0 | ||||||||||||||||
45,620,352 | 11.6 | ||||||||||||||||||
Information Technology: 36.1% | |||||||||||||||||||
49,542 | @ | Accenture PLC | 3,294,543 | 0.8 | |||||||||||||||
71,981 | Apple, Inc. | 38,368,033 | 9.7 | ||||||||||||||||
89,117 | @ | eBay, Inc. | 4,546,749 | 1.2 | |||||||||||||||
161,549 | @ | EMC Corp. | 4,087,190 | 1.0 | |||||||||||||||
19,917 | @ | Google, Inc. — Class A | 14,128,522 | 3.6 | |||||||||||||||
83,869 | International Business Machines Corp. | 16,065,107 | 4.1 | ||||||||||||||||
287,613 | Intel Corp. | 5,933,456 | 1.5 | ||||||||||||||||
8,344 | Mastercard, Inc. | 4,099,240 | 1.1 | ||||||||||||||||
579,141 | Microsoft Corp. | 15,480,439 | 3.9 | ||||||||||||||||
293,984 | Oracle Corp. | 9,795,547 | 2.5 | ||||||||||||||||
131,895 | Qualcomm, Inc. | 8,180,128 | 2.1 | ||||||||||||||||
40,207 | Visa, Inc. | 6,094,577 | 1.6 | ||||||||||||||||
240,746 | Other Securities | 11,957,238 | 3.0 | ||||||||||||||||
142,030,769 | 36.1 | ||||||||||||||||||
Materials: 2.9% | |||||||||||||||||||
72,101 | EI Du Pont de Nemours & Co. | 3,242,382 | 0.8 | ||||||||||||||||
41,044 | Monsanto Co. | 3,884,815 | 1.0 | ||||||||||||||||
22,983 | Praxair, Inc. | 2,515,489 | 0.6 | ||||||||||||||||
31,494 | Other Securities | 1,909,179 | 0.5 | ||||||||||||||||
11,551,865 | 2.9 | ||||||||||||||||||
Telecommunication Services: 2.4% | |||||||||||||||||||
218,587 | Verizon Communications, Inc. | 9,458,259 | 2.4 | ||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $260,556,263) | 389,855,145 | 98.9 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 0.6% | |||||||||||||||||||
Mutual Funds: 0.6% | |||||||||||||||||||
2,198,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | ||||||||||||||||||
(Cost $2,198,000) | 2,198,000 | 0.6 | |||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $2,198,000) | 2,198,000 | 0.6 | |||||||||||||||||
Total Investments in Securities (Cost $262,754,263) | $ | 392,053,145 | 99.5 | ||||||||||||||||
Assets in Excess of Other Liabilities | 1,986,107 | 0.5 | |||||||||||||||||
Net Assets | $ | 394,039,252 | 100.0 |
ING RUSSELLTM LARGE CAP GROWTH INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
@ | Non-income producing security | |
Cost for federal income tax purposes is $262,800,596. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 132,801,469 | ||||
Gross Unrealized Depreciation | (3,548,920 | ) | ||||
Net Unrealized Appreciation | $ | 129,252,549 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock* | $ | 389,855,145 | $ | — | $ | — | $ | 389,855,145 | ||||||||||
Short-Term Investments | 2,198,000 | — | — | 2,198,000 | ||||||||||||||
Total Investments, at fair value | $ | 392,053,145 | $ | — | $ | — | $ | 392,053,145 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 22,395 | — | — | 22,395 | ||||||||||||||
Total Assets | $ | 392,075,540 | $ | — | $ | — | $ | 392,075,540 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
S&P 500 E-Mini | 42 | 03/15/13 | $ | 2,982,210 | $ | 22,395 | ||||||||||||
$ | 2,982,210 | $ | 22,395 |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Equity contracts | Net Assets — Unrealized appreciation* | $ | 22,395 | ||||||
Total Asset Derivatives | $ | 22,395 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
ING RUSSELLTM LARGE CAP GROWTH INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 759,586 | ||||
Total | $ | 759,586 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | (152,770 | ) | |||
Total | $ | (152,770 | ) |
ING RUSSELLTM LARGE CAP INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 96.3% | |||||||||||||||||||
Consumer Discretionary: 10.3% | |||||||||||||||||||
20,765 | @ | Amazon.com, Inc. | $ | 5,214,922 | 0.9 | ||||||||||||||
154,126 | Comcast Corp. — Class A | 5,761,230 | 1.0 | ||||||||||||||||
87,848 | Home Depot, Inc. | 5,433,399 | 0.9 | ||||||||||||||||
58,330 | McDonald’s Corp. | 5,145,289 | 0.8 | ||||||||||||||||
102,580 | Walt Disney Co. | 5,107,458 | 0.8 | ||||||||||||||||
951,243 | Other Securities | 35,903,974 | 5.9 | ||||||||||||||||
62,566,272 | 10.3 | ||||||||||||||||||
Consumer Staples: 10.9% | |||||||||||||||||||
116,780 | Altria Group, Inc. | 3,669,228 | 0.6 | ||||||||||||||||
222,964 | Coca-Cola Co. | 8,082,445 | 1.3 | ||||||||||||||||
73,315 | CVS Caremark Corp. | 3,544,780 | 0.6 | ||||||||||||||||
89,760 | PepsiCo, Inc. | 6,142,277 | 1.0 | ||||||||||||||||
97,890 | Philip Morris International, Inc. | 8,187,520 | 1.4 | ||||||||||||||||
157,268 | Procter & Gamble Co. | 10,676,924 | 1.8 | ||||||||||||||||
97,001 | Wal-Mart Stores, Inc. | 6,618,378 | 1.1 | ||||||||||||||||
414,460 | Other Securities | 19,128,337 | 3.1 | ||||||||||||||||
66,049,889 | 10.9 | ||||||||||||||||||
Energy: 11.1% | |||||||||||||||||||
113,219 | Chevron Corp. | 12,243,503 | 2.0 | ||||||||||||||||
72,577 | ConocoPhillips | 4,208,740 | 0.7 | ||||||||||||||||
268,387 | ExxonMobil Corp. | 23,228,895 | 3.8 | ||||||||||||||||
46,550 | Occidental Petroleum Corp. | 3,566,195 | 0.6 | ||||||||||||||||
76,541 | Schlumberger Ltd. | 5,303,526 | 0.9 | ||||||||||||||||
390,129 | Other Securities | 18,851,158 | 3.1 | ||||||||||||||||
67,402,017 | 11.1 | ||||||||||||||||||
Financials: 14.3% | |||||||||||||||||||
57,467 | American Express Co. | 3,303,203 | 0.5 | ||||||||||||||||
618,537 | Bank of America Corp. | 7,175,029 | 1.2 | ||||||||||||||||
102,208 | @ | Berkshire Hathaway, Inc. | 9,168,058 | 1.5 | |||||||||||||||
168,294 | Citigroup, Inc. | 6,657,711 | 1.1 | ||||||||||||||||
28,231 | Goldman Sachs Group, Inc. | 3,601,146 | 0.6 | ||||||||||||||||
218,481 | JPMorgan Chase & Co. | 9,606,609 | 1.6 | ||||||||||||||||
108,719 | US Bancorp. | 3,472,485 | 0.5 | ||||||||||||||||
281,194 | Wells Fargo & Co. | 9,611,211 | 1.6 | ||||||||||||||||
749,220 | Other Securities | 34,547,504 | 5.7 | ||||||||||||||||
87,142,956 | 14.3 | ||||||||||||||||||
Health Care: 12.1% | |||||||||||||||||||
90,303 | Abbott Laboratories | 5,914,846 | 1.0 | ||||||||||||||||
44,633 | Amgen, Inc. | 3,852,721 | 0.6 | ||||||||||||||||
43,472 | @ | Gilead Sciences, Inc. | 3,193,018 | 0.5 | |||||||||||||||
157,628 | Johnson & Johnson | 11,049,723 | 1.8 | ||||||||||||||||
174,561 | Merck & Co., Inc. | 7,146,527 | 1.2 | ||||||||||||||||
429,775 | Pfizer, Inc. | 10,778,757 | 1.8 | ||||||||||||||||
59,543 | UnitedHealth Group, Inc. | 3,229,612 | 0.5 | ||||||||||||||||
500,386 | Other Securities | 28,747,252 | 4.7 | ||||||||||||||||
73,912,456 | 12.1 | ||||||||||||||||||
Industrials: 9.4% | |||||||||||||||||||
39,823 | 3M Co. | 3,697,566 | 0.6 | ||||||||||||||||
42,989 | Boeing Co. | 3,239,651 | 0.5 | ||||||||||||||||
37,450 | Caterpillar, Inc. | 3,354,771 | 0.5 | ||||||||||||||||
608,107 | General Electric Co. | 12,764,166 | 2.1 | ||||||||||||||||
27,332 | Union Pacific Corp. | 3,436,179 | 0.6 | ||||||||||||||||
52,308 | United Technologies Corp. | 4,289,779 | 0.7 | ||||||||||||||||
445,204 | Other Securities | 26,648,363 | 4.4 | ||||||||||||||||
57,430,475 | 9.4 | ||||||||||||||||||
Information Technology: 19.7% | |||||||||||||||||||
53,667 | Apple, Inc. | 28,606,121 | 4.7 | ||||||||||||||||
307,453 | Cisco Systems, Inc. | 6,041,451 | 1.0 | ||||||||||||||||
66,471 | @ | eBay, Inc. | 3,391,350 | 0.6 | |||||||||||||||
14,858 | @ | Google, Inc. — Class A | 10,539,819 | 1.7 | |||||||||||||||
62,564 | International Business Machines Corp. | 11,984,134 | 2.0 | ||||||||||||||||
288,747 | Intel Corp. | 5,956,851 | 1.0 | ||||||||||||||||
432,015 | Microsoft Corp. | 11,547,761 | 1.9 | ||||||||||||||||
219,287 | Oracle Corp. | 7,306,643 | 1.2 | ||||||||||||||||
98,385 | Qualcomm, Inc. | 6,101,838 | 1.0 | ||||||||||||||||
29,994 | Visa, Inc. | 4,546,491 | 0.7 | ||||||||||||||||
744,884 | Other Securities | 23,991,187 | 3.9 | ||||||||||||||||
120,013,646 | 19.7 | ||||||||||||||||||
Materials: 2.8% | |||||||||||||||||||
324,525 | Other Securities | 17,036,759 | 2.8 | ||||||||||||||||
Telecommunication Services: 3.3% | |||||||||||||||||||
336,493 | AT&T, Inc. | 11,343,179 | 1.9 | ||||||||||||||||
163,060 | Verizon Communications, Inc. | 7,055,606 | 1.2 | ||||||||||||||||
35,654 | Other Securities | 1,394,785 | 0.2 | ||||||||||||||||
19,793,570 | 3.3 | ||||||||||||||||||
Utilities: 2.4% | |||||||||||||||||||
317,489 | Other Securities | 14,489,094 | 2.4 | ||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $358,003,457) | 585,837,134 | 96.3 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 5.5% | |||||||||||||||||||
Mutual Funds: 5.5% | |||||||||||||||||||
33,486,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | ||||||||||||||||||
(Cost $33,486,000) | 33,486,000 | 5.5 | |||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $33,486,000) | 33,486,000 | 5.5 | |||||||||||||||||
Total Investments in Securities (Cost $391,489,457) | $ | 619,323,134 | 101.8 | ||||||||||||||||
Liabilities in Excess of Other Assets | (11,219,151 | ) | (1.8 | ) | |||||||||||||||
Net Assets | $ | 608,103,983 | 100.0 |
ING RUSSELLTM LARGE CAP INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
@ | Non-income producing security | |
Cost for federal income tax purposes is $397,180,136. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 231,322,636 | ||||
Gross Unrealized Depreciation | (9,179,638 | ) | ||||
Net Unrealized Appreciation | $ | 222,142,998 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock* | $ | 585,837,134 | $ | — | $ | — | $ | 585,837,134 | ||||||||||
Short-Term Investments | 33,486,000 | — | — | 33,486,000 | ||||||||||||||
Total Investments, at fair value | $ | 619,323,134 | $ | — | $ | — | $ | 619,323,134 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | $ | (89,933 | ) | $ | — | $ | — | $ | (89,933 | ) | ||||||||
Total Liabilities | $ | (89,933 | ) | $ | — | $ | — | $ | (89,933 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
S&P 500 E-Mini | 519 | 03/15/13 | $ | 36,851,595 | $ | (89,933 | ) | |||||||||||
$ | 36,851,595 | $ | (89,933 | ) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Liability Derivatives | |||||||||
Equity contracts | Net Assets — Unrealized depreciation* | $ | 89,933 | ||||||
Total Liability Derivatives | $ | 89,933 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
ING RUSSELLTM LARGE CAP INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 1,877,231 | ||||
Total | $ | 1,877,231 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | (858,137 | ) | |||
Total | $ | (858,137 | ) |
ING RUSSELLTM LARGE CAP VALUE INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 97.5% | |||||||||||||||||||
Consumer Discretionary: 7.8% | |||||||||||||||||||
32,118 | Comcast Corp. — Class A | $ | 1,200,571 | 1.0 | |||||||||||||||
85,627 | Ford Motor Co. | 1,108,870 | 0.9 | ||||||||||||||||
22,311 | Lowe’s Cos., Inc. | 792,487 | 0.6 | ||||||||||||||||
31,365 | News Corp. — Class A | 801,062 | 0.7 | ||||||||||||||||
14,247 | Target Corp. | 842,995 | 0.7 | ||||||||||||||||
21,912 | Time Warner, Inc. | 1,048,051 | 0.9 | ||||||||||||||||
25,783 | Walt Disney Co. | 1,283,735 | 1.1 | ||||||||||||||||
68,275 | Other Securities | 2,276,643 | 1.9 | ||||||||||||||||
9,354,414 | 7.8 | ||||||||||||||||||
Consumer Staples: 8.0% | |||||||||||||||||||
23,342 | CVS Caremark Corp. | 1,128,586 | 0.9 | ||||||||||||||||
38,366 | Mondelez International, Inc. | 977,182 | 0.8 | ||||||||||||||||
57,978 | Procter & Gamble Co. | 3,936,126 | 3.3 | ||||||||||||||||
19,695 | Walgreen Co. | 728,912 | 0.6 | ||||||||||||||||
65,395 | Other Securities | 2,832,653 | 2.4 | ||||||||||||||||
9,603,459 | 8.0 | ||||||||||||||||||
Energy: 18.8% | |||||||||||||||||||
11,404 | Anadarko Petroleum Corp. | 847,431 | 0.7 | ||||||||||||||||
8,922 | Apache Corp. | 700,377 | 0.6 | ||||||||||||||||
44,914 | Chevron Corp. | 4,857,000 | 4.0 | ||||||||||||||||
28,866 | ConocoPhillips | 1,673,939 | 1.4 | ||||||||||||||||
106,467 | ExxonMobil Corp. | 9,214,719 | 7.7 | ||||||||||||||||
18,514 | Occidental Petroleum Corp. | 1,418,358 | 1.2 | ||||||||||||||||
14,272 | Phillips 66 | 757,843 | 0.6 | ||||||||||||||||
79,044 | Other Securities | 3,169,751 | 2.6 | ||||||||||||||||
22,639,418 | 18.8 | ||||||||||||||||||
Financials: 25.5% | |||||||||||||||||||
7,731 | ACE Ltd. | 616,934 | 0.5 | ||||||||||||||||
245,972 | Bank of America Corp. | 2,853,275 | 2.4 | ||||||||||||||||
27,222 | Bank of New York Mellon Corp. | 699,605 | 0.6 | ||||||||||||||||
40,649 | @ | Berkshire Hathaway, Inc. | 3,646,215 | 3.0 | |||||||||||||||
10,500 | Capital One Financial Corp. | 608,265 | 0.5 | ||||||||||||||||
66,929 | Citigroup, Inc. | 2,647,711 | 2.2 | ||||||||||||||||
11,228 | Goldman Sachs Group, Inc. | 1,432,244 | 1.2 | ||||||||||||||||
86,888 | JPMorgan Chase & Co. | 3,820,465 | 3.2 | ||||||||||||||||
19,417 | Metlife, Inc. | 639,596 | 0.5 | ||||||||||||||||
35,164 | Morgan Stanley | 672,336 | 0.6 | ||||||||||||||||
12,070 | PNC Financial Services Group, Inc. | 703,802 | 0.6 | ||||||||||||||||
43,236 | US Bancorp. | 1,380,958 | 1.1 | ||||||||||||||||
111,830 | Wells Fargo & Co. | 3,822,349 | 3.2 | ||||||||||||||||
159,178 | Other Securities | 7,105,575 | 5.9 | ||||||||||||||||
30,649,330 | 25.5 | ||||||||||||||||||
Health Care: 13.3% | |||||||||||||||||||
10,447 | Covidien PLC | 603,210 | 0.5 | ||||||||||||||||
14,876 | Eli Lilly & Co. | 733,684 | 0.6 | ||||||||||||||||
48,583 | Johnson & Johnson | 3,405,668 | 2.8 | ||||||||||||||||
22,230 | Medtronic, Inc. | 911,875 | 0.8 | ||||||||||||||||
69,424 | Merck & Co., Inc. | 2,842,219 | 2.4 | ||||||||||||||||
170,491 | Pfizer, Inc. | 4,275,914 | 3.6 | ||||||||||||||||
23,680 | UnitedHealth Group, Inc. | 1,284,403 | 1.1 | ||||||||||||||||
34,509 | Other Securities | 1,854,875 | 1.5 | ||||||||||||||||
15,911,848 | 13.3 | ||||||||||||||||||
Industrials: 7.7% | |||||||||||||||||||
6,746 | FedEx Corp. | 618,743 | 0.5 | ||||||||||||||||
241,236 | General Electric Co. | 5,063,544 | 4.2 | ||||||||||||||||
71,964 | Other Securities | 3,568,648 | 3.0 | ||||||||||||||||
9,250,935 | 7.7 | ||||||||||||||||||
Information Technology: 4.6% | |||||||||||||||||||
122,269 | Cisco Systems, Inc. | 2,402,586 | 2.0 | ||||||||||||||||
45,137 | Hewlett-Packard Co. | 643,202 | 0.5 | ||||||||||||||||
29,513 | Intel Corp. | 608,853 | 0.5 | ||||||||||||||||
113,831 | Other Securities | 1,921,181 | 1.6 | ||||||||||||||||
5,575,822 | 4.6 | ||||||||||||||||||
Materials: 2.8% | |||||||||||||||||||
27,284 | Dow Chemical Co. | 881,819 | 0.7 | ||||||||||||||||
21,666 | Freeport-McMoRan Copper & Gold, Inc. | 740,977 | 0.6 | ||||||||||||||||
30,479 | Other Securities | 1,730,570 | 1.5 | ||||||||||||||||
3,353,366 | 2.8 | ||||||||||||||||||
Telecommunication Services: 4.2% | |||||||||||||||||||
133,488 | AT&T, Inc. | 4,499,880 | 3.7 | ||||||||||||||||
14,180 | Other Securities | 554,722 | 0.5 | ||||||||||||||||
5,054,602 | 4.2 | ||||||||||||||||||
Utilities: 4.8% | |||||||||||||||||||
13,045 | Dominion Resources, Inc. | 675,731 | 0.6 | ||||||||||||||||
16,066 | Duke Energy Corp. | 1,025,011 | 0.9 | ||||||||||||||||
9,522 | NextEra Energy, Inc. | 658,827 | 0.5 | ||||||||||||||||
19,828 | Southern Co. | 848,837 | 0.7 | ||||||||||||||||
67,930 | Other Securities | 2,561,118 | 2.1 | ||||||||||||||||
5,769,524 | 4.8 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $90,213,185) | 117,162,718 | 97.5 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 2.1% | |||||||||||||||||||
Mutual Funds: 2.1% | |||||||||||||||||||
2,514,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | ||||||||||||||||||
(Cost $2,514,000) | 2,514,000 | 2.1 | |||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $2,514,000) | 2,514,000 | 2.1 | |||||||||||||||||
Total Investments in Securities (Cost $92,727,185) | $ | 119,676,718 | 99.6 | ||||||||||||||||
Assets in Excess of Other Liabilities | 464,785 | 0.4 | |||||||||||||||||
Net Assets | $ | 120,141,503 | 100.0 |
ING RUSSELLTM LARGE CAP VALUE INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
@ | Non-income producing security | |
Cost for federal income tax purposes is $96,566,072. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 28,361,287 | ||||
Gross Unrealized Depreciation | (5,250,642 | ) | ||||
Net Unrealized Appreciation | $ | 23,110,645 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock* | $ | 117,162,718 | $ | — | $ | — | $ | 117,162,718 | ||||||||||
Short-Term Investments | 2,514,000 | — | — | 2,514,000 | ||||||||||||||
Total Investments, at fair value | $ | 119,676,718 | $ | — | $ | — | $ | 119,676,718 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 21,742 | — | — | 21,742 | ||||||||||||||
Total Assets | $ | 119,698,460 | $ | — | $ | — | $ | 119,698,460 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
S&P 500 E-Mini | 41 | 03/15/13 | $ | 2,911,205 | $ | 21,742 | ||||||||||||
$ | 2,911,205 | $ | 21,742 |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Equity contracts | Net Assets — Unrealized appreciation* | $ | 21,742 | ||||||
Total Asset Derivatives | $ | 21,742 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
ING RUSSELLTM LARGE CAP VALUE INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 235,922 | ||||
Total | $ | 235,922 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | (24,503 | ) | |||
Total | $ | (24,503 | ) |
ING RUSSELLTM MID CAP GROWTH INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 99.0% | |||||||||||||||||||
Consumer Discretionary: 24.9% | |||||||||||||||||||
5,226 | @ | Autozone, Inc. | $ | 1,852,251 | 0.7 | ||||||||||||||
31,915 | @ | Bed Bath & Beyond, Inc. | 1,784,368 | 0.6 | |||||||||||||||
45,058 | @ | Delphi Automotive PLC | 1,723,468 | 0.6 | |||||||||||||||
32,788 | @ | Discovery Communications, Inc.—Class A | 2,081,382 | 0.7 | |||||||||||||||
31,781 | Harley-Davidson, Inc. | 1,552,184 | 0.6 | ||||||||||||||||
36,012 | @ | Liberty Global, Inc. | 2,268,396 | 0.8 | |||||||||||||||
33,149 | Limited Brands, Inc. | 1,559,992 | 0.6 | ||||||||||||||||
38,397 | McGraw-Hill Cos., Inc. | 2,099,164 | 0.8 | ||||||||||||||||
37,426 | Omnicom Group, Inc. | 1,869,803 | 0.7 | ||||||||||||||||
16,321 | @ | O’Reilly Automotive, Inc. | 1,459,424 | 0.5 | |||||||||||||||
31,100 | Ross Stores, Inc. | 1,684,065 | 0.6 | ||||||||||||||||
521,774 | @ | Sirius XM Radio, Inc. | 1,507,924 | 0.5 | |||||||||||||||
27,130 | Starwood Hotels & Resorts Worldwide, Inc. | 1,556,177 | 0.6 | ||||||||||||||||
12,033 | VF Corp. | 1,816,622 | 0.6 | ||||||||||||||||
38,133 | L | Virgin Media, Inc. | 1,401,388 | 0.5 | |||||||||||||||
987,403 | Other Securities(a) | 42,990,358 | 15.5 | ||||||||||||||||
69,206,966 | 24.9 | ||||||||||||||||||
Consumer Staples: 7.6% | |||||||||||||||||||
20,602 | Hershey Co. | 1,487,877 | 0.5 | ||||||||||||||||
27,359 | HJ Heinz Co. | 1,578,067 | 0.6 | ||||||||||||||||
72,424 | Kroger Co. | 1,884,473 | 0.7 | ||||||||||||||||
17,917 | Lorillard, Inc. | 2,090,376 | 0.7 | ||||||||||||||||
27,990 | Mead Johnson Nutrition Co. | 1,844,261 | 0.7 | ||||||||||||||||
25,198 | Whole Foods Market, Inc. | 2,301,333 | 0.8 | ||||||||||||||||
277,628 | Other Securities(a) | 10,041,146 | 3.6 | ||||||||||||||||
21,227,533 | 7.6 | ||||||||||||||||||
Energy: 5.2% | |||||||||||||||||||
28,806 | Cabot Oil & Gas Corp. | 1,432,811 | 0.5 | ||||||||||||||||
25,964 | @ | Cameron International Corp. | 1,465,927 | 0.5 | |||||||||||||||
32,824 | @ | FMC Technologies, Inc. | 1,405,852 | 0.5 | |||||||||||||||
14,102 | Pioneer Natural Resources Co. | 1,503,132 | 0.6 | ||||||||||||||||
22,263 | Range Resources Corp. | 1,398,784 | 0.5 | ||||||||||||||||
165,098 | Other Securities(a) | 7,174,304 | 2.6 | ||||||||||||||||
14,380,810 | 5.2 | ||||||||||||||||||
Financials: 7.4% | |||||||||||||||||||
35,020 | T. Rowe Price Group, Inc. | 2,280,853 | 0.8 | ||||||||||||||||
420,258 | Other Securities(a) | 18,219,466 | 6.6 | ||||||||||||||||
20,500,319 | 7.4 | ||||||||||||||||||
Health Care: 12.8% | |||||||||||||||||||
47,718 | Agilent Technologies, Inc. | 1,953,575 | 0.7 | ||||||||||||||||
26,370 | @ | Alexion Pharmaceuticals, Inc. | 2,473,770 | 0.9 | |||||||||||||||
19,888 | @ | Cerner Corp. | 1,544,104 | 0.6 | |||||||||||||||
12,905 | @ | DaVita, Inc. | 1,426,390 | 0.5 | |||||||||||||||
15,733 | @ | Edwards Lifesciences Corp. | 1,418,645 | 0.5 | |||||||||||||||
51,205 | @ | Mylan Laboratories | 1,407,113 | 0.5 | |||||||||||||||
10,603 | @ | Regeneron Pharmaceuticals, Inc. | 1,813,855 | 0.7 | |||||||||||||||
17,492 | @ | Watson Pharmaceuticals, Inc. | 1,504,312 | 0.5 | |||||||||||||||
452,142 | Other Securities(a) | 21,915,150 | 7.9 | ||||||||||||||||
35,456,914 | 12.8 | ||||||||||||||||||
Industrials: 15.1% | |||||||||||||||||||
22,325 | CH Robinson Worldwide, Inc. | 1,411,386 | 0.5 | ||||||||||||||||
40,643 | Fastenal Co. | 1,897,622 | 0.7 | ||||||||||||||||
33,627 | Ingersoll-Rand PLC | 1,612,751 | 0.6 | ||||||||||||||||
19,594 | Rockwell Automation, Inc. | 1,645,700 | 0.6 | ||||||||||||||||
13,376 | Roper Industries, Inc. | 1,491,156 | 0.5 | ||||||||||||||||
8,021 | WW Grainger, Inc. | 1,623,210 | 0.6 | ||||||||||||||||
777,457 | Other Securities(a) | 32,378,756 | 11.6 | ||||||||||||||||
42,060,581 | 15.1 | ||||||||||||||||||
Information Technology: 16.8% | |||||||||||||||||||
44,285 | Altera Corp. | 1,525,175 | 0.5 | ||||||||||||||||
22,239 | Amphenol Corp. | 1,438,863 | 0.5 | ||||||||||||||||
25,558 | @ | Citrix Systems, Inc. | 1,680,439 | 0.6 | |||||||||||||||
40,315 | Intuit, Inc. | 2,398,743 | 0.9 | ||||||||||||||||
26,476 | @ | Red Hat, Inc. | 1,402,169 | 0.5 | |||||||||||||||
23,159 | @ | Teradata Corp. | 1,433,311 | 0.5 | |||||||||||||||
1,216,397 | Other Securities(a) | 36,852,272 | 13.3 | ||||||||||||||||
46,730,972 | 16.8 | ||||||||||||||||||
Materials: 6.6% | |||||||||||||||||||
20,906 | PPG Industries, Inc. | 2,829,627 | 1.0 | ||||||||||||||||
11,923 | Sherwin-Williams Co. | 1,833,996 | 0.7 | ||||||||||||||||
253,319 | Other Securities(a) | 13,714,018 | 4.9 | ||||||||||||||||
18,377,641 | 6.6 | ||||||||||||||||||
Telecommunication Services: 1.9% | |||||||||||||||||||
40,223 | @ | Crown Castle International Corp. | 2,902,492 | 1.0 | |||||||||||||||
96,745 | Other Securities(a) | 2,370,754 | 0.9 | ||||||||||||||||
5,273,246 | 1.9 | ||||||||||||||||||
Utilities: 0.7% | |||||||||||||||||||
43,247 | Other Securities | 1,925,545 | 0.7 | ||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $183,906,701) | 275,140,527 | 99.0 |
ING RUSSELLTM MID CAP GROWTH INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 3.2% | |||||||||||||||||||
Securities Lending Collateralcc(1): 2.2% | |||||||||||||||||||
1,450,754 | Cantor Fitzgerald, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,450,778, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%–7.500%, Market Value plus accrued interest $1,479,769, due 07/15/13–08/01/46) | $ | 1,450,754 | 0.6 | |||||||||||||||
1,450,754 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,450,770, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $1,479,769, due 10/01/16–12/20/42) | 1,450,754 | 0.5 | ||||||||||||||||
305,315 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $305,318, collateralized by various U.S. Government Securities, 0.750%–1.625%, Market Value plus accrued interest $311,422, due 10/31/17–08/15/22) | 305,315 | 0.1 | ||||||||||||||||
1,450,754 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%–0.19%, due 01/02/13 (Repurchase Amount $1,450,769, collateralized by various U.S. Government Agency Obligations, 0.500%–6.000%, Market Value plus accrued interest $1,479,769, due 08/09/13–06/20/42) | 1,450,754 | 0.5 | ||||||||||||||||
1,450,754 | Royal Bank of Canada, Repurchase Agreement dated 12/26/12, 0.18%, due 01/02/13 (Repurchase Amount $1,450,804, collateralized by various U.S. Government Agency Obligations, 2.000%–4.500%, Market Value plus accrued interest $1,479,769, due 10/01/32–01/01/43) | 1,450,754 | 0.5 | ||||||||||||||||
6,108,331 | 2.2 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 1.0% | ||||||||||||||||||
2,661,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||||||||||||||
(Cost $2,661,000) | 2,661,000 | 1.0 | ||||||||||||||||
Total Short-Term Investments | ||||||||||||||||||
(Cost $8,769,331) | 8,769,331 | 3.2 | ||||||||||||||||
Total Investments in Securities (Cost $192,676,032) | $ | 283,909,858 | 102.2 | |||||||||||||||
Liabilities in Excess of Other Assets | (6,128,702 | ) | (2.2 | ) | ||||||||||||||
Net Assets | $ | 277,781,156 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
@ | Non-income producing security | |
cc | Securities purchased with cash collateral for securities loaned. | |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. | |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. | |
(a) | This grouping contains securities on loan. | |
Cost for federal income tax purposes is $193,428,723. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 97,016,024 | ||||
Gross Unrealized Depreciation | (6,534,889 | ) | ||||
Net Unrealized Appreciation | $ | 90,481,135 |
ING RUSSELLTM MID CAP GROWTH INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock* | $ | 275,140,527 | $ | — | $ | — | $ | 275,140,527 | ||||||||||
Short-Term Investments | 2,661,000 | 6,108,331 | — | 8,769,331 | ||||||||||||||
Total Investments, at fair value | $ | 277,801,527 | $ | 6,108,331 | $ | — | $ | 283,909,858 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 23,459 | — | — | 23,459 | ||||||||||||||
Total Assets | $ | 277,824,986 | $ | 6,108,331 | $ | — | $ | 283,933,317 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
S&P Mid 400 E-Mini | 30 | 03/15/13 | $ | 3,054,300 | $ | 23,459 | ||||||||||||
$ | 3,054,300 | $ | 23,459 |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Equity contracts | Net Assets — Unrealized appreciation* | $ | 23,459 | ||||||
Total Asset Derivatives | $ | 23,459 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 491,744 | ||||
Total | $ | 491,744 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 33,413 | ||||
Total | $ | 33,413 |
ING RUSSELLTM MID CAP INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 95.5% | |||||||||||||||||||
Consumer Discretionary: 15.9% | |||||||||||||||||||
14,275 | @ | Autozone, Inc. | $ | 5,059,488 | 0.3 | ||||||||||||||
89,566 | @ | Discovery Communications, Inc. — Class A | 5,685,650 | 0.3 | |||||||||||||||
98,339 | @ | Liberty Global, Inc. | 6,194,373 | 0.4 | |||||||||||||||
209,475 | @ | Liberty Media Corp. — Interactive | 4,122,468 | 0.2 | |||||||||||||||
40,690 | @ | Liberty Media Corp. — Liberty Capital | 4,720,447 | 0.3 | |||||||||||||||
155,431 | Macy’s, Inc. | 6,064,918 | 0.4 | ||||||||||||||||
104,878 | McGraw-Hill Cos., Inc. | 5,733,680 | 0.3 | ||||||||||||||||
102,223 | Omnicom Group, Inc. | 5,107,061 | 0.3 | ||||||||||||||||
32,869 | VF Corp. | 4,962,233 | 0.3 | ||||||||||||||||
7,410,529 | Other Securities(a) | 223,659,511 | 13.1 | ||||||||||||||||
271,309,829 | 15.9 | ||||||||||||||||||
Consumer Staples: 5.9% | |||||||||||||||||||
119,939 | HJ Heinz Co. | 6,918,081 | 0.4 | ||||||||||||||||
197,938 | Kroger Co. | 5,150,347 | 0.3 | ||||||||||||||||
48,938 | Lorillard, Inc. | 5,709,596 | 0.3 | ||||||||||||||||
76,449 | Mead Johnson Nutrition Co. | 5,037,225 | 0.3 | ||||||||||||||||
68,817 | Whole Foods Market, Inc. | 6,285,057 | 0.4 | ||||||||||||||||
1,814,164 | Other Securities(a) | 71,765,342 | 4.2 | ||||||||||||||||
100,865,648 | 5.9 | ||||||||||||||||||
Energy: 6.9% | |||||||||||||||||||
92,348 | @ | Cameron International Corp. | 5,213,968 | 0.3 | |||||||||||||||
127,749 | Marathon Petroleum Corp. | 8,048,187 | 0.5 | ||||||||||||||||
66,655 | Noble Energy, Inc. | 6,781,480 | 0.4 | ||||||||||||||||
207,294 | Valero Energy Corp. | 7,072,871 | 0.4 | ||||||||||||||||
2,859,415 | Other Securities(a) | 90,795,602 | 5.3 | ||||||||||||||||
117,912,108 | 6.9 | ||||||||||||||||||
Financials: 18.8% | |||||||||||||||||||
365,392 | Annaly Capital Management, Inc. | 5,130,104 | 0.3 | ||||||||||||||||
122,392 | Aon PLC | 6,804,995 | 0.4 | ||||||||||||||||
42,891 | AvalonBay Communities, Inc. | 5,815,591 | 0.3 | ||||||||||||||||
56,173 | Boston Properties, Inc. | 5,943,665 | 0.3 | ||||||||||||||||
344,969 | Fifth Third Bancorp. | 5,240,079 | 0.3 | ||||||||||||||||
169,613 | HCP, Inc. | 7,663,115 | 0.5 | ||||||||||||||||
97,372 | Health Care Real Estate Investment Trust, Inc. | 5,967,930 | 0.4 | ||||||||||||||||
172,340 | ProLogis, Inc. | 6,288,687 | 0.4 | ||||||||||||||||
201,753 | SunTrust Bank | 5,719,698 | 0.3 | ||||||||||||||||
95,640 | T. Rowe Price Group, Inc. | 6,229,033 | 0.4 | ||||||||||||||||
108,374 | Ventas, Inc. | 7,013,965 | 0.4 | ||||||||||||||||
69,600 | Vornado Realty Trust | 5,573,568 | 0.3 | ||||||||||||||||
201,483 | Weyerhaeuser Co. | 5,605,257 | 0.3 | ||||||||||||||||
10,335,335 | Other Securities(a) | 240,883,342 | 14.2 | ||||||||||||||||
319,879,029 | 18.8 | ||||||||||||||||||
Health Care: 9.3% | |||||||||||||||||||
130,319 | Agilent Technologies, Inc. | 5,335,260 | 0.3 | ||||||||||||||||
72,017 | @ | Alexion Pharmaceuticals, Inc. | 6,755,915 | 0.4 | |||||||||||||||
108,084 | Cigna Corp. | 5,778,170 | 0.4 | ||||||||||||||||
28,957 | @ | Regeneron Pharmaceuticals, Inc. | 4,953,674 | 0.3 | |||||||||||||||
3,557,841 | Other Securities(a) | 135,096,075 | 7.9 | ||||||||||||||||
157,919,094 | 9.3 | ||||||||||||||||||
Industrials: 12.6% | |||||||||||||||||||
172,818 | Eaton Corp. PLC | 9,366,735 | 0.5 | ||||||||||||||||
111,013 | Fastenal Co. | 5,183,197 | 0.3 | ||||||||||||||||
111,980 | Ingersoll-Rand PLC | 5,370,561 | 0.3 | ||||||||||||||||
133,744 | Paccar, Inc. | 6,046,566 | 0.4 | ||||||||||||||||
4,824,077 | Other Securities(a) | 188,865,653 | 11.1 | ||||||||||||||||
214,832,712 | 12.6 | ||||||||||||||||||
Information Technology: 12.7% | |||||||||||||||||||
448,987 | Applied Materials, Inc. | 5,136,411 | 0.3 | ||||||||||||||||
110,091 | Intuit, Inc. | 6,550,415 | 0.4 | ||||||||||||||||
270,264 | @ | Symantec Corp. | 5,083,666 | 0.3 | |||||||||||||||
8,003,825 | Other Securities(a) | 198,405,697 | 11.7 | ||||||||||||||||
215,176,189 | 12.7 | ||||||||||||||||||
Materials: 6.2% | |||||||||||||||||||
24,606 | CF Industries Holdings, Inc. | 4,998,955 | 0.3 | ||||||||||||||||
163,950 | International Paper Co. | 6,531,768 | 0.4 | ||||||||||||||||
118,870 | Nucor Corp. | 5,132,807 | 0.3 | ||||||||||||||||
57,093 | PPG Industries, Inc. | 7,727,537 | 0.5 | ||||||||||||||||
32,568 | Sherwin-Williams Co. | 5,009,610 | 0.3 | ||||||||||||||||
2,094,404 | Other Securities(a) | 75,276,173 | 4.4 | ||||||||||||||||
104,676,850 | 6.2 | ||||||||||||||||||
Telecommunication Services: 1.6% | |||||||||||||||||||
109,848 | @ | Crown Castle International Corp. | 7,926,632 | 0.5 | |||||||||||||||
1,124,127 | @ | Sprint Nextel Corp. | 6,373,800 | 0.4 | |||||||||||||||
1,109,629 | Other Securities(a) | 12,461,875 | 0.7 | ||||||||||||||||
26,762,307 | 1.6 | ||||||||||||||||||
Utilities: 5.6% | |||||||||||||||||||
122,160 | Edison International | 5,520,411 | 0.3 | ||||||||||||||||
217,462 | PPL Corp. | 6,225,937 | 0.4 | ||||||||||||||||
90,344 | Sempra Energy | 6,409,003 | 0.4 | ||||||||||||||||
2,636,740 | Other Securities | 76,739,921 | 4.5 | ||||||||||||||||
94,895,272 | 5.6 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $1,131,483,154) | 1,624,229,038 | 95.5 |
ING RUSSELLTM MID CAP INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 7.1% | |||||||||||||||||||
Securities Lending Collateralcc(1): 2.0% | |||||||||||||||||||
8,357,028 | Cantor Fitzgerald, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $8,357,165, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%–7.500%, Market Value plus accrued interest $8,524,170, due 07/15/13–08/01/46) | $ | 8,357,028 | 0.4 | |||||||||||||||
8,357,028 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $8,357,120, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $8,524,169, due 10/01/16–12/20/42) | 8,357,028 | 0.5 | ||||||||||||||||
1,758,734 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $1,758,751, collateralized by various U.S. Government Securities, 0.750%–1.625%, Market Value plus accrued interest $1,793,912, due 10/31/17–08/15/22) | 1,758,734 | 0.1 | ||||||||||||||||
8,357,028 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%–0.19%, due 01/02/13 (Repurchase Amount $8,357,114, collateralized by various U.S. Government Agency Obligations, 0.500%–6.000%, Market Value plus accrued interest $8,524,170, due 08/09/13–06/20/42) | 8,357,028 | 0.5 | ||||||||||||||||
8,357,028 | Royal Bank of Canada, Repurchase Agreement dated 12/26/12, 0.18%, due 01/02/13 (Repurchase Amount $8,357,316, collateralized by various U.S. Government Agency Obligations, 2.000%–4.500%, Market Value plus accrued interest $8,524,169, due 10/01/32–01/01/43) | 8,357,028 | 0.5 | ||||||||||||||||
35,186,846 | 2.0 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 5.1% | ||||||||||||||||||
86,464,187 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||||||||||||||
(Cost $86,464,187) | 86,464,187 | 5.1 | ||||||||||||||||
Total Short-Term Investments | ||||||||||||||||||
(Cost $121,651,033) | 121,651,033 | 7.1 | ||||||||||||||||
Total Investments in Securities (Cost $1,253,134,187) | $ | 1,745,880,071 | 102.6 | |||||||||||||||
Liabilities in Excess of Other Assets | (43,847,592 | ) | (2.6 | ) | ||||||||||||||
Net Assets | $ | 1,702,032,479 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
@ | Non-income producing security | |
cc | Securities purchased with cash collateral for securities loaned. | |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. | |
(a) | This grouping contains securities on loan. | |
Cost for federal income tax purposes is $1,261,094,786. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 546,966,033 | ||||
Gross Unrealized Depreciation | (62,180,748 | ) | ||||
Net Unrealized Appreciation | $ | 484,785,285 |
ING RUSSELLTM MID CAP INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock* | $ | 1,624,229,038 | $ | — | $ | — | $ | 1,624,229,038 | ||||||||||
Short-Term Investments | 86,464,187 | 35,186,846 | — | 121,651,033 | ||||||||||||||
Total Investments, at fair value | $ | 1,710,693,225 | $ | 35,186,846 | $ | — | $ | 1,745,880,071 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 1,297,985 | — | — | 1,297,985 | ||||||||||||||
Total Assets | $ | 1,711,991,210 | $ | 35,186,846 | $ | — | $ | 1,747,178,056 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
S&P Mid 400 E-Mini | 864 | 03/15/13 | $ | 87,963,840 | $ | 1,297,985 | ||||||||||||
$ | 87,963,840 | $ | 1,297,985 |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Equity contracts | Net Assets — Unrealized appreciation* | $ | 1,297,985 | ||||||
Total Asset Derivatives | $ | 1,297,985 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 7,770,954 | ||||
Total | $ | 7,770,954 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 1,505,632 | ||||
Total | $ | 1,505,632 |
ING RUSSELLTM SMALL CAP INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 95.9% | |||||||||||||||||||
Consumer Discretionary: 13.5% | |||||||||||||||||||
63,360 | Brunswick Corp. | $ | 1,843,142 | 0.2 | |||||||||||||||
98,710 | Dana Holding Corp. | 1,540,863 | 0.2 | ||||||||||||||||
45,580 | Sotheby’s | 1,532,400 | 0.2 | ||||||||||||||||
26,981 | @ | Warnaco Group, Inc. | 1,931,030 | 0.2 | |||||||||||||||
37,960 | Wolverine World Wide, Inc. | 1,555,601 | 0.2 | ||||||||||||||||
5,506,527 | Other Securities(a) | 98,591,025 | 12.5 | ||||||||||||||||
106,994,061 | 13.5 | ||||||||||||||||||
Consumer Staples: 3.5% | |||||||||||||||||||
32,330 | @ | United Natural Foods, Inc. | 1,732,565 | 0.2 | |||||||||||||||
1,701,252 | Other Securities(a) | 25,635,519 | 3.3 | ||||||||||||||||
27,368,084 | 3.5 | ||||||||||||||||||
Energy: 5.6% | |||||||||||||||||||
25,420 | @ | Dril-Quip, Inc. | 1,856,931 | 0.2 | |||||||||||||||
50,500 | Energy XXI Bermuda Ltd. | 1,625,595 | 0.2 | ||||||||||||||||
77,500 | @ | Helix Energy Solutions Group, Inc. | 1,599,600 | 0.2 | |||||||||||||||
174,300 | @ | Kodiak Oil & Gas Corp. | 1,542,555 | 0.2 | |||||||||||||||
3,580,688 | Other Securities(a) | 37,631,488 | 4.8 | ||||||||||||||||
44,256,169 | 5.6 | ||||||||||||||||||
Financials: 21.4% | |||||||||||||||||||
62,580 | Alterra Capital Holdings Ltd. | 1,764,130 | 0.2 | ||||||||||||||||
35,810 | EPR Properties | �� | 1,651,199 | 0.2 | |||||||||||||||
78,900 | First American Financial Corp. | 1,900,701 | 0.2 | ||||||||||||||||
47,938 | Hancock Holding Co. | 1,521,552 | 0.2 | ||||||||||||||||
63,950 | @ | Ocwen Financial Corp. | 2,212,031 | 0.3 | |||||||||||||||
68,980 | Omega Healthcare Investors, Inc. | 1,645,173 | 0.2 | ||||||||||||||||
36,100 | Prosperity Bancshares, Inc. | 1,516,200 | 0.2 | ||||||||||||||||
79,150 | Starwood Property Trust, Inc. | 1,817,284 | 0.2 | ||||||||||||||||
185,456 | Two Harbors Investment Corp. | 2,054,853 | 0.3 | ||||||||||||||||
10,400,433 | Other Securities(a) | 153,783,917 | 19.4 | ||||||||||||||||
169,867,040 | 21.4 | ||||||||||||||||||
Health Care: 11.8% | |||||||||||||||||||
24,080 | @, L | Athenahealth, Inc. | 1,768,676 | 0.2 | |||||||||||||||
43,370 | @ | Cubist Pharmaceuticals, Inc. | 1,824,142 | 0.2 | |||||||||||||||
37,580 | @ | Haemonetics Corp. | 1,534,767 | 0.2 | |||||||||||||||
61,460 | @ | HMS Holdings Corp. | 1,593,043 | 0.2 | |||||||||||||||
35,700 | @ | Pharmacyclics, Inc. | 2,067,030 | 0.3 | |||||||||||||||
7,340,424 | Other Securities(a) | 85,081,177 | 10.7 | ||||||||||||||||
93,868,835 | 11.8 | ||||||||||||||||||
Industrials: 15.4% | |||||||||||||||||||
30,350 | Acuity Brands, Inc. | 2,055,606 | 0.3 | ||||||||||||||||
47,920 | @ | Alaska Air Group, Inc. | 2,064,873 | 0.3 | |||||||||||||||
27,375 | AO Smith Corp. | 1,726,541 | 0.2 | ||||||||||||||||
77,630 | @ | Avis Budget Group, Inc. | 1,538,627 | 0.2 | |||||||||||||||
32,830 | Clarcor, Inc. | 1,568,617 | 0.2 | ||||||||||||||||
44,110 | EMCOR Group, Inc. | 1,526,647 | 0.2 | ||||||||||||||||
27,040 | @ | Genesee & Wyoming, Inc. | 2,057,203 | 0.3 | |||||||||||||||
72,160 | @ | Hexcel Corp. | 1,945,434 | 0.2 | |||||||||||||||
12,276 | @ | Middleby Corp. | 1,573,906 | 0.2 | |||||||||||||||
26,075 | Robbins & Myers, Inc. | 1,550,159 | 0.2 | ||||||||||||||||
24,860 | @ | Teledyne Technologies, Inc. | 1,617,640 | 0.2 | |||||||||||||||
112,840 | @ | US Airways Group, Inc. | 1,523,340 | 0.2 | |||||||||||||||
20,660 | Watsco, Inc. | 1,547,434 | 0.2 | ||||||||||||||||
43,980 | Woodward Governor Co. | 1,676,957 | 0.2 | ||||||||||||||||
5,458,694 | Other Securities(a) | 97,843,234 | 12.3 | ||||||||||||||||
121,816,218 | 15.4 | ||||||||||||||||||
Information Technology: 15.6% | |||||||||||||||||||
55,900 | @ | Aspen Technology, Inc. | 1,545,076 | 0.2 | |||||||||||||||
28,340 | @ | Commvault Systems, Inc. | 1,975,582 | 0.2 | |||||||||||||||
17,840 | @ | Cymer, Inc. | 1,613,271 | 0.2 | |||||||||||||||
73,271 | @ | Parametric Technology Corp. | 1,649,330 | 0.2 | |||||||||||||||
17,470 | @ | Ultimate Software Group, Inc. | 1,649,343 | 0.2 | |||||||||||||||
27,020 | @ | WEX, Inc. | 2,036,497 | 0.3 | |||||||||||||||
8,476,410 | Other Securities(a) | 113,624,994 | 14.3 | ||||||||||||||||
124,094,093 | 15.6 | ||||||||||||||||||
Materials: 5.1% | |||||||||||||||||||
28,100 | Eagle Materials, Inc. | 1,643,850 | 0.2 | ||||||||||||||||
83,030 | @ | Louisiana-Pacific Corp. | 1,604,140 | 0.2 | |||||||||||||||
2,971,000 | Other Securities(a) | 37,146,558 | 4.7 | ||||||||||||||||
40,394,548 | 5.1 | ||||||||||||||||||
Telecommunication Services: 0.7% | |||||||||||||||||||
705,340 | Other Securities(a) | 5,696,485 | 0.7 | ||||||||||||||||
Utilities: 3.3% | |||||||||||||||||||
43,090 | Cleco Corp. | 1,724,031 | 0.2 | ||||||||||||||||
36,700 | Idacorp, Inc. | 1,590,945 | 0.2 | ||||||||||||||||
51,550 | Piedmont Natural Gas Co. | 1,614,031 | 0.2 | ||||||||||||||||
57,330 | Portland General Electric Co. | 1,568,549 | 0.2 | ||||||||||||||||
610,660 | Other Securities | 19,494,490 | 2.5 | ||||||||||||||||
25,992,046 | 3.3 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $589,117,703) | 760,347,579 | 95.9 | |||||||||||||||||
WARRANTS: 0.0% | |||||||||||||||||||
Energy: 0.0% | |||||||||||||||||||
7,460 | Other Securities(a) | 1,274 | 0.0 | ||||||||||||||||
Total Warrants | |||||||||||||||||||
(Cost $—) | 1,274 | 0.0 | |||||||||||||||||
CLOSED-END FUNDS: 0.0% | |||||||||||||||||||
Financials: 0.0% | |||||||||||||||||||
4,700 | Other Securities | 81,968 | 0.0 | ||||||||||||||||
Total Closed-End Funds | |||||||||||||||||||
(Cost $81,554) | 81,968 | 0.0 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $589,199,257) | 760,430,821 | 95.9 |
ING RUSSELLTM SMALL CAP INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 10.4% | |||||||||||||||||||
Securities Lending Collateralcc(1): 6.5% | |||||||||||||||||||
12,179,088 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $12,179,288, collateralized by various U.S. Government Agency Obligations, 3.500%–5.500%, Market Value plus accrued interest $12,422,670, due 08/01/27–01/01/43) | $ | 12,179,088 | 1.6 | |||||||||||||||
12,179,088 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $12,179,221, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $12,422,671, due 10/01/16–12/20/42) | 12,179,088 | 1.5 | ||||||||||||||||
5,211,928 | Deutsche Bank AG, Repurchase Agreement dated 12/31/12, 0.15%, due 01/02/13 (Repurchase Amount $5,211,971, collateralized by various U.S. Government Securities, 0.125%–3.625%, Market Value plus accrued interest $5,316,167, due 04/15/17–04/15/28) | 5,211,928 | 0.7 | ||||||||||||||||
12,179,088 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%–0.19%, due 01/02/13 (Repurchase Amount $12,179,213, collateralized by various U.S. Government Agency Obligations, 0.500%–6.000%, Market Value plus accrued interest $12,422,672, due 08/09/13–06/20/42) | 12,179,088 | 1.5 | ||||||||||||||||
9,530,380 | Nomura Securities, Repurchase Agreement dated 12/31/12, 0.35%, due 01/02/13 (Repurchase Amount $9,530,563, collateralized by various U.S. Government Agency Obligations, 0.000%–6.101%, Market Value plus accrued interest $9,720,988, due 03/10/14–12/20/42) | 9,530,380 | 1.2 | ||||||||||||||||
51,279,572 | 6.5 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 3.9% | ||||||||||||||||||
30,795,808 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||||||||||||||
(Cost $30,795,808) | 30,795,808 | 3.9 | ||||||||||||||||
Total Short-Term Investments | ||||||||||||||||||
(Cost $82,075,380) | 82,075,380 | 10.4 | ||||||||||||||||
Total Investments in Securities (Cost $671,274,637) | $ | 842,506,201 | 106.3 | |||||||||||||||
Liabilities in Excess of Other Assets | (49,610,622 | ) | (6.3 | ) | ||||||||||||||
Net Assets | $ | 792,895,579 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
@ | Non-income producing security | |
cc | Securities purchased with cash collateral for securities loaned. | |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. | |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. | |
(a) | This grouping contains securities on loan. | |
Cost for federal income tax purposes is $672,933,525. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 222,191,146 | ||||
Gross Unrealized Depreciation | (52,618,470 | ) | ||||
Net Unrealized Appreciation | $ | 169,572,676 |
ING RUSSELLTM SMALL CAP INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | 106,994,061 | $ | — | $ | — | $ | 106,994,061 | ||||||||||
Consumer Staples | 27,368,084 | — | — | 27,368,084 | ||||||||||||||
Energy | 44,256,169 | — | — | 44,256,169 | ||||||||||||||
Financials | 169,867,040 | — | — | 169,867,040 | ||||||||||||||
Health Care | 93,855,855 | — | 12,980 | 93,868,835 | ||||||||||||||
Industrials | 121,418,718 | 397,500 | — | 121,816,218 | ||||||||||||||
Information Technology | 124,094,093 | — | — | 124,094,093 | ||||||||||||||
Materials | 40,394,548 | — | — | 40,394,548 | ||||||||||||||
Telecommunication Services | 5,696,485 | — | — | 5,696,485 | ||||||||||||||
Utilities | 25,992,046 | — | — | 25,992,046 | ||||||||||||||
Total Common Stock | 759,937,099 | 397,500 | 12,980 | 760,347,579 | ||||||||||||||
Warrants | — | 1,274 | — | 1,274 | ||||||||||||||
Short-Term Investments | 30,795,808 | 51,279,572 | — | 82,075,380 | ||||||||||||||
Closed-End Funds | 81,968 | — | — | 81,968 | ||||||||||||||
Total Investments, at fair value | $ | 790,814,875 | $ | 51,678,346 | $ | 12,980 | $ | 842,506,201 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 938,281 | — | — | 938,281 | ||||||||||||||
Total Assets | $ | 791,753,156 | $ | 51,678,346 | $ | 12,980 | $ | 843,444,482 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio’s investments are categorized as Level 2 investments. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
Russell 2000® Mini Index | 471 | 03/15/13 | $ | 39,874,860 | $ | 938,281 | ||||||||||||
$ | 39,874,860 | $ | 938,281 |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Equity contracts | Net Assets — Unrealized appreciation* | $ | 938,281 | ||||||
Total Asset Derivatives | $ | 938,281 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
ING RUSSELLTM SMALL CAP INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 3,305,389 | ||||
Total | $ | 3,305,389 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 916,483 | ||||
Total | $ | 916,483 |
ING U.S. BOND INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 25.0% | |||||||||||||||||||
Consumer Discretionary: 1.8% | |||||||||||||||||||
6,000,000 | CBS Corp., 4.300%, 02/15/21 | $ | 6,624,018 | 0.2 | |||||||||||||||
300,000 | # | Cox Communications, Inc., 3.250%, 12/15/22 | 309,667 | 0.0 | |||||||||||||||
8,010,000 | NBCUniversal Media, LLC, 2.875%–4.450%, 04/30/15–01/15/43 | 8,470,459 | 0.2 | ||||||||||||||||
400,000 | # | Nissan Motor Acceptance Corp., 1.950%, 09/12/17 | 405,773 | 0.0 | |||||||||||||||
5,425,000 | Time Warner, Inc., 4.875%–6.500%, 03/15/20–11/15/36 | 6,500,779 | 0.1 | ||||||||||||||||
6,825,000 | Time Warner Cable, Inc., 4.125%–5.850%, 05/01/17–09/15/42 | 7,797,329 | 0.2 | ||||||||||||||||
38,606,000 | Other Securities | 44,348,521 | 1.1 | ||||||||||||||||
74,456,546 | 1.8 | ||||||||||||||||||
Consumer Staples: 1.6% | |||||||||||||||||||
3,895,000 | Altria Group, Inc., 4.250%–9.950%, 11/10/38–08/09/42 | 6,218,196 | 0.2 | ||||||||||||||||
1,000,000 | # | Kraft Foods, Inc., 2.250%, 06/05/17 | 1,035,057 | 0.0 | |||||||||||||||
3,266,000 | # | Kraft Foods, Inc., 6.125%, 08/23/18 | 4,004,589 | 0.1 | |||||||||||||||
5,900,000 | Lorillard Tobacco Co., 2.300%–8.125%, 08/21/17–06/23/19 | 7,453,453 | 0.2 | ||||||||||||||||
6,730,000 | Wal-Mart Stores, Inc., 5.000%–5.625%, 04/01/40–10/25/40 | 8,423,585 | 0.2 | ||||||||||||||||
33,330,000 | Other Securities | 36,721,985 | 0.9 | ||||||||||||||||
63,856,865 | 1.6 | ||||||||||||||||||
Energy: 3.0% | |||||||||||||||||||
5,930,000 | Shell International Finance BV, 1.125%–3.100%, 06/28/15–08/21/17 | 6,244,498 | 0.2 | ||||||||||||||||
100,054,000 | Other Securities | 114,043,339 | 2.8 | ||||||||||||||||
120,287,837 | 3.0 | ||||||||||||||||||
Financials: 10.2% | |||||||||||||||||||
2,955,000 | # | Abbey National Treasury Services PLC/London, 3.875%, 11/10/14 | 3,067,506 | 0.1 | |||||||||||||||
6,000,000 | American International Group, Inc., 2.375%–8.250%, 08/24/15–12/15/20 | 7,462,498 | 0.2 | ||||||||||||||||
6,325,000 | American Express Co., 7.000%, 03/19/18 | 7,997,349 | 0.2 | ||||||||||||||||
500,000 | # | American Honda Finance Corp., 1.000%, 08/11/15 | 503,102 | 0.0 | |||||||||||||||
500,000 | # | American Honda Finance Corp., 1.500%, 09/11/17 | 500,245 | 0.0 | |||||||||||||||
15,313,000 | # | ANZ New Zealand Int’l Ltd., 6.200%, 07/19/13 | 15,718,994 | 0.4 | |||||||||||||||
13,725,000 | Bank of America Corp., 6.500%, 08/01/16 | 15,857,810 | 0.4 | ||||||||||||||||
7,510,000 | Bank of America Corp., 1.500%–5.700%, 10/09/15–01/24/22 | 8,372,546 | 0.2 | ||||||||||||||||
15,099,000 | Citigroup, Inc., 2.250%–8.125%, 04/11/13–07/15/39 | 18,497,829 | 0.5 | ||||||||||||||||
7,205,000 | Credit Suisse New York, 2.200%–6.000%, 01/14/14–02/15/18 | 7,519,355 | 0.2 | ||||||||||||||||
20,000,000 | European Investment Bank, 2.375%, 03/14/14 | 20,478,680 | 0.5 | ||||||||||||||||
16,190,000 | General Electric Capital Corp., 1.625%–6.750%, 05/13/14–01/14/38 | 19,537,654 | 0.5 | ||||||||||||||||
20,040,000 | Goldman Sachs Group, Inc., 3.625%–6.750%, 05/01/14–10/01/37 | 22,189,831 | 0.5 | ||||||||||||||||
4,125,000 | # | Hyundai Capital America, 3.750%, 04/06/16 | 4,354,795 | 0.1 | |||||||||||||||
3,500,000 | # | Hyundai Capital Services, Inc., 4.375%, 07/27/16 | 3,766,077 | 0.1 | |||||||||||||||
7,040,000 | Inter-American Development Bank, 3.000%–3.200%, 04/22/14–08/07/42 | 7,252,779 | 0.2 | ||||||||||||||||
8,295,000 | International Bank for Reconstruction & Development, 1.125%, 08/25/14 | 8,415,634 | 0.2 | ||||||||||||||||
22,125,000 | JPMorgan Chase & Co., 1.100%–5.500%, 01/24/14–10/15/40 | 24,462,253 | 0.6 | ||||||||||||||||
23,765,000 | KFW, 1.375%–2.625%, 01/13/14–01/25/22 | 24,514,489 | 0.6 | ||||||||||||||||
6,395,000 | MetLife, Inc., 3.048%–6.750%, 06/01/16–08/13/42 | 7,422,403 | 0.2 | ||||||||||||||||
13,150,000 | Morgan Stanley, 5.375%–6.625%, 10/15/15–04/01/18 | 15,267,221 | 0.4 | ||||||||||||||||
7,695,000 | Prudential Financial, Inc., 3.875%–6.200%, 01/14/15–11/15/40 | 8,723,335 | 0.2 | ||||||||||||||||
8,860,000 | Wells Fargo & Co., 3.625%–4.600%, 04/15/15–04/01/21 | 10,123,454 | 0.2 | ||||||||||||||||
135,787,000 | Other Securities | 148,452,246 | 3.7 | ||||||||||||||||
410,458,085 | 10.2 | ||||||||||||||||||
Health Care: 1.6% | |||||||||||||||||||
4,920,000 | Pfizer, Inc., 6.200%, 03/15/19 | 6,222,403 | 0.2 | ||||||||||||||||
52,676,000 | Other Securities | 57,649,118 | 1.4 | ||||||||||||||||
63,871,521 | 1.6 |
ING U.S. BOND INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Industrials: 1.3% | |||||||||||||||||||
4,000,000 | Lockheed Martin Corp., 3.350%, 09/15/21 | $ | 4,230,540 | 0.1 | |||||||||||||||
2,043,000 | # | Lockheed Martin Corp., 4.070%, 12/15/42 | 2,009,871 | 0.1 | |||||||||||||||
42,171,416 | Other Securities | 46,345,292 | 1.1 | ||||||||||||||||
52,585,703 | 1.3 | ||||||||||||||||||
Information Technology: 1.0% | |||||||||||||||||||
7,540,000 | International Business Machines Corp., 1.875%–1.950%, 07/22/16–05/15/19 | 7,828,579 | 0.2 | ||||||||||||||||
29,955,000 | Other Securities | 32,429,520 | 0.8 | ||||||||||||||||
40,258,099 | 1.0 | ||||||||||||||||||
Materials: 1.3% | |||||||||||||||||||
6,000,000 | Southern Copper Corp., 5.375%, 04/16/20 | 6,909,624 | 0.2 | ||||||||||||||||
40,629,000 | Other Securities | 46,053,209 | 1.1 | ||||||||||||||||
52,962,833 | 1.3 | ||||||||||||||||||
Telecommunication Services: 1.5% | |||||||||||||||||||
14,505,000 | AT&T, Inc., 1.400%–6.500%, 05/15/16–09/01/37 | 16,582,934 | 0.4 | ||||||||||||||||
5,595,000 | Deutsche Telekom International Finance BV, 5.750%, 03/23/16 | 6,378,261 | 0.1 | ||||||||||||||||
11,665,000 | Verizon Communications, Inc., 1.100%–7.750%, 11/01/17–11/01/41 | 14,818,798 | 0.4 | ||||||||||||||||
19,510,000 | Other Securities | 22,669,192 | 0.6 | ||||||||||||||||
60,449,185 | 1.5 | ||||||||||||||||||
Utilities: 1.7% | |||||||||||||||||||
5,970,000 | Duke Energy Corp., 1.625%–3.950%, 09/15/14–08/15/17 | 6,274,304 | 0.2 | ||||||||||||||||
55,393,000 | Other Securities | 62,166,841 | 1.5 | ||||||||||||||||
68,441,145 | 1.7 | ||||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||
(Cost $934,066,765) | 1,007,627,819 | 25.0 | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 1.9% | |||||||||||||||||||
1,450,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.369%, 10/10/45 | 1,583,603 | 0.0 | ||||||||||||||||
6,439,800 | Bear Stearns Commercial Mortgage Securities, 4.750%–5.573%, 04/12/38–02/13/46 | 6,979,349 | 0.2 | ||||||||||||||||
6,394,835 | Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.219%–5.886%, 07/15/44–11/15/44 | 7,074,104 | 0.2 | ||||||||||||||||
8,005,000 | Greenwich Capital Commercial Funding Corp., 5.224%–5.867%, 04/10/37–03/10/39 | 9,031,118 | 0.2 | ||||||||||||||||
9,902,664 | JPMorgan Chase Commercial Mortgage Securities Corp., 4.879%–5.827%, 01/12/38–02/15/51 | 11,000,556 | 0.3 | ||||||||||||||||
2,388,737 | Morgan Stanley Capital I, Inc., 5.395%, 06/15/38 | 2,494,255 | 0.1 | ||||||||||||||||
8,796,235 | Morgan Stanley Capital I, 4.970%–5.575%, 04/14/40–04/12/49 | 9,351,237 | 0.2 | ||||||||||||||||
24,844,920 | Other Securities | 28,031,058 | 0.7 | ||||||||||||||||
Total Collateralized Mortgage Obligations | |||||||||||||||||||
(Cost $66,266,585) | 75,545,280 | 1.9 | |||||||||||||||||
MUNICIPAL BONDS: 0.9% | |||||||||||||||||||
California: 0.2% | |||||||||||||||||||
4,335,000 | State of California, 7.550%, 04/01/39 | 6,220,638 | 0.2 | ||||||||||||||||
Connecticut: 0.1% | |||||||||||||||||||
3,735,000 | Other Securities | 4,676,444 | 0.1 | ||||||||||||||||
Illinois: 0.1% | |||||||||||||||||||
4,400,000 | Other Securities | 4,664,836 | 0.1 | ||||||||||||||||
New Jersey: 0.2% | |||||||||||||||||||
5,760,000 | Other Securities | 7,398,446 | 0.2 | ||||||||||||||||
New York: 0.1% | |||||||||||||||||||
3,495,000 | Other Securities | 4,570,237 | 0.1 | ||||||||||||||||
Ohio: 0.1% | |||||||||||||||||||
3,355,000 | Other Securities | 4,732,932 | 0.1 | ||||||||||||||||
Washington: 0.1% | |||||||||||||||||||
3,900,000 | Other Securities | 4,726,293 | 0.1 | ||||||||||||||||
Total Municipal Bonds | |||||||||||||||||||
(Cost $31,606,991) | 36,989,826 | 0.9 | |||||||||||||||||
ASSET-BACKED SECURITIES: 0.2% | |||||||||||||||||||
Automobile Asset-Backed Securities: 0.1% | |||||||||||||||||||
1,171,000 | Bank of America Auto Trust, 0.780%, 06/15/16 | 1,176,465 | 0.0 | ||||||||||||||||
2,575,000 | Other Securities | 2,591,828 | 0.1 | ||||||||||||||||
3,768,293 | 0.1 | ||||||||||||||||||
Credit Card Asset-Backed Securities: 0.1% | |||||||||||||||||||
3,000,000 | Other Securities | 3,571,826 | 0.1 | ||||||||||||||||
Other Asset-Backed Securities: 0.0% | |||||||||||||||||||
1,443,597 | Other Securities | 1,537,605 | 0.0 | ||||||||||||||||
Total Asset-Backed Securities | |||||||||||||||||||
(Cost $8,792,847) | 8,877,724 | 0.2 |
ING U.S. BOND INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. TREASURY OBLIGATIONS: 35.8% | |||||||||||||||||||||||
U.S. Treasury Bonds: 5.5% | |||||||||||||||||||||||
16,610,500 | 1.625%, due 11/15/22 | $ | 16,410,659 | 0.4 | |||||||||||||||||||
15,251,000 | 2.750%, due 08/15/42 | 14,674,329 | 0.4 | ||||||||||||||||||||
37,645,000 | 3.500%, due 02/15/39 | 42,409,464 | 1.0 | ||||||||||||||||||||
43,505,000 | 4.375%, due 05/15/40 | 56,447,738 | 1.4 | ||||||||||||||||||||
22,000,000 | 5.375%, due 02/15/31 | 31,332,818 | 0.8 | ||||||||||||||||||||
15,310,000 | 6.125%, due 11/15/27 | 22,704,255 | 0.6 | ||||||||||||||||||||
13,185,000 | 6.500%, due 11/15/26 | 19,991,756 | 0.5 | ||||||||||||||||||||
14,542,000 | 3.000%–6.000%, due 02/15/26–05/15/42 | 17,120,396 | 0.4 | ||||||||||||||||||||
221,091,415 | 5.5 | ||||||||||||||||||||||
U.S. Treasury Notes: 30.3% | |||||||||||||||||||||||
74,766,000 | 0.125%, due 07/31/14 | 74,649,216 | 1.9 | ||||||||||||||||||||
70,060,000 | 0.250%, due 09/15/14 | 70,084,661 | 1.7 | ||||||||||||||||||||
43,535,000 | 0.250%, due 10/31/14 | 43,548,626 | 1.1 | ||||||||||||||||||||
33,802,000 | 0.250%, due 11/30/14 | 33,808,625 | 0.8 | ||||||||||||||||||||
64,708,000 | 0.250%, due 09/15/15 | 64,576,578 | 1.6 | ||||||||||||||||||||
25,975,000 | 0.250%, due 10/15/15 | 25,916,167 | 0.7 | ||||||||||||||||||||
53,739,000 | 0.250%, due 12/15/15 | 53,583,694 | 1.3 | ||||||||||||||||||||
29,048,000 | 0.375%, due 04/15/15 | 29,106,997 | 0.7 | ||||||||||||||||||||
30,480,000 | 0.500%, due 11/15/13 | 30,569,306 | 0.8 | ||||||||||||||||||||
36,269,100 | 0.625%, due 09/30/17 | 36,195,437 | 0.9 | ||||||||||||||||||||
30,085,000 | 0.750%, due 12/15/13 | 30,249,535 | 0.8 | ||||||||||||||||||||
74,115,000 | 1.000%, due 05/15/14 | 74,919,889 | 1.9 | ||||||||||||||||||||
57,747,000 | 1.000%, due 08/31/19 | 57,372,568 | 1.4 | ||||||||||||||||||||
46,620,000 | 1.250%, due 10/31/15 | 47,807,365 | 1.2 | ||||||||||||||||||||
16,940,000 | 1.375%, due 05/15/13 | 17,021,397 | 0.4 | ||||||||||||||||||||
21,876,000 | 1.625%, due 08/15/22 | 21,711,930 | 0.5 | ||||||||||||||||||||
108,163,000 | 1.875%, due 09/30/17 | 114,196,440 | 2.8 | ||||||||||||||||||||
34,625,000 | 2.375%, due 03/31/16 | 36,816,105 | 0.9 | ||||||||||||||||||||
77,155,000 | 2.375%, due 07/31/17 | 83,188,753 | 2.1 | ||||||||||||||||||||
36,650,000 | 2.625%, due 04/30/18 | 40,148,939 | 1.0 | ||||||||||||||||||||
20,920,000 | 2.625%, due 08/15/20 | 22,949,889 | 0.6 | ||||||||||||||||||||
26,255,000 | 2.750%, due 02/15/19 | 29,056,907 | 0.7 | ||||||||||||||||||||
14,575,000 | 3.125%, due 05/15/21 | 16,513,023 | 0.4 | ||||||||||||||||||||
21,610,000 | 3.375%, due 11/15/19 | 24,822,802 | 0.6 | ||||||||||||||||||||
134,455,600 | 0.375%–8.125%, due 06/15/13–08/15/23 | 141,697,864 | 3.5 | ||||||||||||||||||||
1,220,512,713 | 30.3 | ||||||||||||||||||||||
Total U.S. Treasury Obligations | |||||||||||||||||||||||
(Cost $1,402,814,002) | 1,441,604,128 | 35.8 | |||||||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 33.1% | |||||||||||||||||||||||
Federal Home Loan Mortgage Corporation: 8.9%## | |||||||||||||||||||||||
21,246,000 | 1.000%, due 09/29/17 | 21,494,090 | 0.5 | ||||||||||||||||||||
25,349,847 | 2.612%, due 02/01/42 | 26,612,017 | 0.7 | ||||||||||||||||||||
19,400,000 | W | 3.500%, due 07/15/41 | 20,635,235 | 0.5 | |||||||||||||||||||
13,816,767 | 4.500%, due 08/01/41 | 15,048,593 | 0.4 | ||||||||||||||||||||
253,142,039 | 0.500%–6.750%, due 04/17/15–09/01/42 | 273,023,347 | 6.8 | ||||||||||||||||||||
356,813,282 | 8.9 | ||||||||||||||||||||||
Federal National Mortgage Association: 16.9%## | |||||||||||||||||||||||
27,130,000 | 0.375%, due 03/16/15 | 27,180,977 | 0.7 | ||||||||||||||||||||
24,450,000 | 0.875%, due 08/28/14 | 24,706,358 | 0.6 | ||||||||||||||||||||
29,500,000 | W | 2.500%, due 01/15/28 | 30,855,156 | 0.8 | |||||||||||||||||||
22,100,000 | W | 3.000%, due 11/25/42 | 23,063,422 | 0.6 | |||||||||||||||||||
15,200,000 | W | 3.500%, due 06/25/42 | 16,209,969 | 0.4 | |||||||||||||||||||
28,559,608 | 3.500%, due 11/01/42 | 30,619,314 | 0.7 | ||||||||||||||||||||
20,269,582 | 4.000%, due 07/01/42 | 22,003,821 | 0.5 | ||||||||||||||||||||
14,000,000 | W | 5.000%, due 01/13/40 | 15,165,941 | 0.4 | |||||||||||||||||||
451,234,451 | 1.250%–7.250%, due 01/01/13–07/01/42 | 491,742,473 | 12.2 | ||||||||||||||||||||
681,547,431 | 16.9 | ||||||||||||||||||||||
Government National Mortgage Association: 7.1% | |||||||||||||||||||||||
17,000,000 | W | 3.000%, due 08/15/42 | 18,075,782 | 0.5 | |||||||||||||||||||
53,000,000 | W | 3.500%, due 05/15/41 | 57,591,952 | 1.4 | |||||||||||||||||||
14,983,920 | 4.000%, due 12/20/41 | 16,329,707 | 0.4 | ||||||||||||||||||||
177,125,489 | W | 3.500%–7.000%, due 10/15/36–10/20/42 | 194,736,123 | 4.8 | |||||||||||||||||||
286,733,564 | 7.1 | ||||||||||||||||||||||
Other U.S. Agency Obligations: 0.2% | |||||||||||||||||||||||
6,585,000 | 1.875%–7.125%, due 08/25/16–01/15/38 | 9,269,260 | 0.2 | ||||||||||||||||||||
Total U.S. Government Agency Obligations | |||||||||||||||||||||||
(Cost $1,304,256,606) | 1,334,363,537 | 33.1 | |||||||||||||||||||||
FOREIGN GOVERNMENT BONDS: 2.0% | |||||||||||||||||||||||
10,010,000 | Brazil Government International Bond, 6.000%, 01/17/17 | 11,836,825 | 0.3 | ||||||||||||||||||||
12,080,000 | Mexico Government International Bond, 4.750%, 03/08/44 | 13,680,600 | 0.3 | ||||||||||||||||||||
7,395,000 | Province of British Columbia Canada, 2.100%, 05/18/16 | 7,774,985 | 0.2 | ||||||||||||||||||||
13,308,000 | Province of Ontario Canada, 4.400%, 04/14/20 | 15,683,092 | 0.4 | ||||||||||||||||||||
7,395,000 | Republic of Italy, 4.500%, 01/21/15 | 7,733,114 | 0.2 | ||||||||||||||||||||
17,810,000 | Other Securities | 22,896,189 | 0.6 | ||||||||||||||||||||
Total Foreign Government Bonds | |||||||||||||||||||||||
(Cost $74,573,415) | 79,604,805 | 2.0 | |||||||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||||||
(Cost $3,822,377,211) | 3,984,613,119 | 98.9 | |||||||||||||||||||||
SHORT-TERM INVESTMENTS: 6.3% | |||||||||||||||||||||||
Commercial Paper: 5.7% | |||||||||||||||||||||||
17,000,000 | Crown Point Capital LLC, 0.220%, 02/05/13 | 16,996,288 | 0.4 | ||||||||||||||||||||
23,000,000 | # | Crown Point Capital LLC, 0.250%, 04/08/13 | 22,984,473 | 0.6 | |||||||||||||||||||
17,150,000 | # | Devon Energy Corp, 0.380%, 02/12/13 | 17,142,262 | 0.4 | |||||||||||||||||||
5,000,000 | Devon Energy Corp, 0.380%, 03/18/13 | 4,995,900 | 0.1 | ||||||||||||||||||||
2,850,000 | # | Devon Energy Corp, 0.390%, 02/06/13 | 2,848,859 | 0.1 | |||||||||||||||||||
18,800,000 | # | Dominion Resources, Inc., 0.390%, 02/11/13 | 18,791,383 | 0.5 | |||||||||||||||||||
4,100,000 | Dominion Resources, Inc., 0.400%, 01/15/13 | 4,099,316 | 0.1 |
ING U.S. BOND INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Commercial Paper: (continued) | |||||||||||||||||||
7,572,000 | General Mills, Inc., 0.270%, 01/16/13 | $ | 7,571,091 | 0.2 | |||||||||||||||
13,500,000 | General Mills, Inc., 0.310%, 01/04/13 | 13,499,535 | 0.3 | ||||||||||||||||
3,928,000 | General Mills, Inc., 0.390%, 01/14/13 | 3,927,405 | 0.1 | ||||||||||||||||
3,000,000 | HSBC USA Inc., 0.220%, 02/01/13 | 2,999,413 | 0.1 | ||||||||||||||||
10,000,000 | HSBC USA Inc., 0.220%, 02/19/13 | 9,996,968 | 0.2 | ||||||||||||||||
5,750,000 | Kinder Morgan Energy Partners LP, 0.400%, 01/03/13 | 5,749,808 | 0.1 | ||||||||||||||||
19,250,000 | # | Kinder Morgan Energy Partners LP, 0.430%, 01/10/13 | 19,247,701 | 0.5 | |||||||||||||||
20,000,000 | # | Pacific Gas & Electric Co., 0.150%, 01/04/13 | 19,999,656 | 0.5 | |||||||||||||||
5,000,000 | Pacific Gas & Electric Co., 0.320%, 01/11/13 | 4,999,511 | 0.1 | ||||||||||||||||
2,750,000 | Potash Corp, 0.300%, 01/14/13 | 2,749,679 | 0.1 | ||||||||||||||||
2,100,000 | Virginia Electric and Power Co., 0.420%, 01/23/13 | 2,099,437 | 0.1 | ||||||||||||||||
10,000,000 | Vodafone Group PLC, 0.360%, 02/28/13 | 9,994,100 | 0.2 | ||||||||||||||||
500,000 | # | Vodafone Group PLC, 0.460%, 05/02/13 | 499,229 | 0.0 | |||||||||||||||
2,000,000 | # | Vodafone Group PLC, 0.660%, 07/24/13 | 1,992,460 | 0.1 | |||||||||||||||
20,000,000 | # | Weatherford International Ltd., 0.630%, 01/14/13 | 19,995,100 | 0.5 | |||||||||||||||
5,000,000 | Weatherford International Ltd., 0.680%, 01/15/13 | 4,998,577 | 0.1 | ||||||||||||||||
10,250,000 | Westpac Securities NZ Ltd., 0.130%, 03/08/13 | 10,247,437 | 0.3 | ||||||||||||||||
228,425,588 | 5.7 | ||||||||||||||||||
U.S. Treasury Bills: 0.0% | |||||||||||||||||||
1,351,000 | United States Treasury Bill, 0.140%, 12/12/13 | ||||||||||||||||||
(Cost $1,349,123) | 1,349,195 | 0.0 | |||||||||||||||||
Certificates of Deposit: 0.4% | |||||||||||||||||||
17,000,000 | JPMorgan Chase & Co., 0.358%, 10/04/12 | ||||||||||||||||||
(Cost $17,000,000) | $ | 17,001,657 | 0.4 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 0.2% | ||||||||||||||||||
6,199,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||||||||||||||
(Cost $6,199,000) | 6,199,000 | 0.2 | ||||||||||||||||
Total Short-Term Investments | ||||||||||||||||||
(Cost $252,959,464) | 252,975,440 | 6.3 | ||||||||||||||||
Total Investments in Securities (Cost $4,075,336,675) | $ | 4,237,588,559 | 105.2 | |||||||||||||||
Liabilities in Excess of Other Assets | (209,099,540 | ) | (5.2 | ) | ||||||||||||||
Net Assets | $ | 4,028,489,019 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. | |
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. | |
W | Settlement is on a when-issued or delayed-delivery basis. | |
Cost for federal income tax purposes is $4,076,540,687. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 164,831,363 | ||||
Gross Unrealized Depreciation | (3,783,491 | ) | ||||
Net Unrealized Appreciation | $ | 161,047,872 |
ING U.S. BOND INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 1,007,627,819 | $ | — | $ | 1,007,627,819 | ||||||||||
Collateralized Mortgage Obligations | — | 75,545,280 | — | 75,545,280 | ||||||||||||||
Municipal Bonds | — | 36,989,826 | — | 36,989,826 | ||||||||||||||
Short-Term Investments | 6,199,000 | 246,776,440 | — | 252,975,440 | ||||||||||||||
U.S. Treasury Obligations | — | 1,441,604,128 | — | 1,441,604,128 | ||||||||||||||
Foreign Government Bonds | — | 79,604,805 | — | 79,604,805 | ||||||||||||||
U.S. Government Agency Obligations | — | 1,334,363,537 | — | 1,334,363,537 | ||||||||||||||
Asset-Backed Securities | — | 8,877,724 | — | 8,877,724 | ||||||||||||||
Total Investments, at fair value | $ | 6,199,000 | $ | 4,231,389,559 | $ | — | $ | 4,237,588,559 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Swaps | — | 11,092 | — | 11,092 | ||||||||||||||
Total Assets | $ | 6,199,000 | $ | 4,231,400,651 | $ | — | $ | 4,237,599,651 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | Fair Value(3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Chase & Co. | CDX.NA.IG.19 Index | Sell | 1.000 | 12/20/17 | USD 5,000,000 | $ | 11,092 | $ | 13,689 | $ | (2,597 | ) | ||||||||||||||||||||||
$ | 11,092 | $ | 13,689 | $ | (2,597 | ) |
(1) | If the Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will generally either i) Pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or ii) Pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. | |
(2) | The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement. | |
(3) | The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring. |
ING U.S. BOND INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Credit contracts | Upfront payments paid on OTC swap agreements | $ | 13,689 | ||||||
Total Liability Derivatives | $ | 13,689 | |||||||
Liability Derivatives | |||||||||
Credit contracts | Unrealized depreciation on OTC swap agreements | $ | 2,597 | ||||||
Total Liability Derivatives | $ | 2,597 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | Swaps | Total | ||||||||||||
Credit Contracts | $ | — | $ | 12,083 | $ | 12,083 | |||||||||
Interest Rate Contracts | 177,112 | — | 177,112 | ||||||||||||
Total | $ | 177,112 | $ | 12,083 | $ | 189,195 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Swaps | ||||||||||||||
Credit Contracts | $ | (2,597 | ) | ||||||||||||
Total | $ | (2,597 | ) |
ING WISDOMTREESM GLOBAL HIGH-YIELDING EQUITY INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 98.4% | |||||||||||||||||||
Consumer Discretionary: 3.5% | |||||||||||||||||||
20,155 | DaimlerChrysler AG | $ | 1,109,651 | 0.6 | |||||||||||||||
367,382 | Other Securities | 5,150,518 | 2.9 | ||||||||||||||||
6,260,169 | 3.5 | ||||||||||||||||||
Consumer Staples: 5.7% | |||||||||||||||||||
30,911 | Altria Group, Inc. | 971,223 | 0.5 | ||||||||||||||||
26,302 | British American Tobacco PLC | 1,337,068 | 0.7 | ||||||||||||||||
23,678 | Wesfarmers Ltd. | 913,528 | 0.5 | ||||||||||||||||
476,443 | Other Securities | 7,208,414 | 4.0 | ||||||||||||||||
10,430,233 | 5.7 | ||||||||||||||||||
Energy: 12.7% | |||||||||||||||||||
281,381 | BP PLC | 1,956,428 | 1.1 | ||||||||||||||||
484,000 | CNOOC Ltd. | 1,066,258 | 0.6 | ||||||||||||||||
18,576 | ConocoPhillips | 1,077,222 | 0.6 | ||||||||||||||||
77,953 | ENI S.p.A. | 1,909,665 | 1.1 | ||||||||||||||||
201,683 | Gazprom OAO ADR | 1,907,921 | 1.0 | ||||||||||||||||
90,000 | Petroleo Brasileiro SA | 859,341 | 0.5 | ||||||||||||||||
45,133 | Royal Dutch Shell PLC — Class B | 1,610,188 | 0.9 | ||||||||||||||||
45,939 | Statoil ASA | 1,157,875 | 0.6 | ||||||||||||||||
45,546 | Total S.A. | 2,369,904 | 1.3 | ||||||||||||||||
1,154,405 | Other Securities | 9,132,525 | 5.0 | ||||||||||||||||
23,047,327 | 12.7 | ||||||||||||||||||
Financials: 27.1% | |||||||||||||||||||
7,852 | Allianz AG | 1,094,551 | 0.6 | ||||||||||||||||
73,273 | Australia & New Zealand Banking Group Ltd. | 1,929,762 | 1.1 | ||||||||||||||||
48,420 | AXA S.A. | 869,424 | 0.5 | ||||||||||||||||
69,100 | Banco do Brasil S.A. | 863,961 | 0.5 | ||||||||||||||||
15,387 | BNP Paribas | 875,987 | 0.5 | ||||||||||||||||
3,353,000 | China Construction Bank | 2,740,112 | 1.5 | ||||||||||||||||
41,913 | Commonwealth Bank of Australia | 2,729,654 | 1.5 | ||||||||||||||||
276,216 | HSBC Holdings PLC | 2,927,012 | 1.6 | ||||||||||||||||
1,323,000 | Industrial and Commercial Bank of China Ltd. | 954,911 | 0.5 | ||||||||||||||||
70,650 | National Australia Bank Ltd. | 1,858,321 | 1.0 | ||||||||||||||||
17,972 | Royal Bank of Canada | 1,081,897 | 0.6 | ||||||||||||||||
95,608 | Westpac Banking Corp. | 2,619,650 | 1.4 | ||||||||||||||||
15,317,694 | Other Securities | 28,610,149 | 15.8 | ||||||||||||||||
49,155,391 | 27.1 | ||||||||||||||||||
Health Care: 8.6% | |||||||||||||||||||
27,102 | AstraZeneca PLC | 1,284,363 | 0.7 | ||||||||||||||||
17,214 | Eli Lilly & Co. | 848,995 | 0.5 | ||||||||||||||||
82,069 | GlaxoSmithKline PLC | 1,786,840 | 1.0 | ||||||||||||||||
38,931 | Merck & Co., Inc. | 1,593,835 | 0.9 | ||||||||||||||||
35,643 | Novartis AG | 2,251,685 | 1.2 | ||||||||||||||||
88,085 | Pfizer, Inc. | 2,209,172 | 1.2 | ||||||||||||||||
8,893 | Roche Holding AG — Genusschein | 1,797,997 | 1.0 | ||||||||||||||||
19,240 | Sanofi-Aventis SA | 1,824,537 | 1.0 | ||||||||||||||||
63,105 | Other Securities | 2,022,489 | 1.1 | ||||||||||||||||
15,619,913 | 8.6 | ||||||||||||||||||
Industrials: 6.8% | |||||||||||||||||||
12,190 | Siemens AG | 1,332,991 | 0.7 | ||||||||||||||||
1,393,883 | Other Securities | 11,012,261 | 6.1 | ||||||||||||||||
12,345,252 | 6.8 | ||||||||||||||||||
Information Technology: 1.9% | |||||||||||||||||||
1,016,595 | Other Securities | 3,463,563 | 1.9 | ||||||||||||||||
Materials: 7.8% | |||||||||||||||||||
12,024 | BASF AG | 1,136,995 | 0.6 | ||||||||||||||||
43,651 | BHP Billiton Ltd. | 1,704,161 | 0.9 | ||||||||||||||||
27,909 | BHP Billiton PLC | 984,453 | 0.6 | ||||||||||||||||
15,397 | Rio Tinto PLC | 898,044 | 0.5 | ||||||||||||||||
45,700 | Vale SA | 943,685 | 0.5 | ||||||||||||||||
2,051,499 | Other Securities | 8,539,144 | 4.7 | ||||||||||||||||
14,206,482 | 7.8 | ||||||||||||||||||
Telecommunication Services: 15.5% | |||||||||||||||||||
88,037 | AT&T, Inc. | 2,967,727 | 1.6 | ||||||||||||||||
250,500 | China Mobile Ltd. | 2,947,809 | 1.6 | ||||||||||||||||
104,039 | Deutsche Telekom AG | 1,184,273 | 0.7 | ||||||||||||||||
108,158 | France Telecom S.A. | 1,199,891 | 0.7 | ||||||||||||||||
557 | NTT DoCoMo, Inc. | 802,927 | 0.5 | ||||||||||||||||
361,000 | Singapore Telecommunications Ltd. | 982,292 | 0.5 | ||||||||||||||||
406,433 | Telstra Corp., Ltd. | 1,852,012 | 1.0 | ||||||||||||||||
39,588 | Verizon Communications, Inc. | 1,712,973 | 1.0 | ||||||||||||||||
878,305 | Vodafone Group PLC | 2,210,938 | 1.2 | ||||||||||||||||
2,234,358 | Other Securities | 12,239,447 | 6.7 | ||||||||||||||||
28,100,289 | 15.5 | ||||||||||||||||||
Utilities: 8.8% | |||||||||||||||||||
290,637 | Enel S.p.A. | 1,208,905 | 0.7 | ||||||||||||||||
56,531 | Gaz de France | 1,164,323 | 0.6 | ||||||||||||||||
1,517,821 | Other Securities | 13,659,803 | 7.5 | ||||||||||||||||
16,033,031 | 8.8 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $157,796,109) | 178,661,650 | 98.4 | |||||||||||||||||
RIGHTS: 0.0% | |||||||||||||||||||
Energy: 0.0% | |||||||||||||||||||
31,672 | Other Securities | 19,314 | 0.0 |
ING WISDOMTREESM GLOBAL HIGH-YIELDING EQUITY INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
RIGHTS: (continued) | |||||||||||||||||||
Financials: 0.0% | |||||||||||||||||||
67,607 | Other Securities | $ | 855 | 0.0 | |||||||||||||||
Total Rights | |||||||||||||||||||
(Cost $—) | 20,169 | 0.0 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $157,796,109) | 178,681,819 | 98.4 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 1.6% | |||||||||||||||||||
Mutual Funds: 1.6% | |||||||||||||||||||
2,988,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | ||||||||||||||||||
(Cost $2,988,000) | 2,988,000 | 1.6 | |||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $2,988,000) | 2,988,000 | 1.6 | |||||||||||||||||
Total Investments in Securities (Cost $160,784,109) | $ | 181,669,819 | 100.0 | ||||||||||||||||
Assets in Excess of Other Liabilities | 23,874 | — | |||||||||||||||||
Net Assets | $ | 181,693,693 | 100.0 |
ADR | American Depositary Receipt | |
Cost for federal income tax purposes is $163,139,702. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 31,403,584 | ||||
Gross Unrealized Depreciation | (12,873,467 | ) | ||||
Net Unrealized Appreciation | $ | 18,530,117 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs# (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | 794,631 | $ | 5,465,538 | $ | — | $ | 6,260,169 | ||||||||||
Consumer Staples | 2,799,867 | 7,630,366 | — | 10,430,233 | ||||||||||||||
Energy | 7,884,312 | 15,163,015 | — | 23,047,327 | ||||||||||||||
Financials | 9,595,951 | 39,559,440 | — | 49,155,391 | ||||||||||||||
Health Care | 5,306,246 | 10,313,667 | — | 15,619,913 | ||||||||||||||
Industrials | 935,610 | 11,409,642 | — | 12,345,252 | ||||||||||||||
Information Technology | 279,635 | 3,183,928 | — | 3,463,563 | ||||||||||||||
Materials | 2,457,901 | 11,748,581 | — | 14,206,482 | ||||||||||||||
Telecommunication Services | 7,648,990 | 20,451,299 | — | 28,100,289 | ||||||||||||||
Utilities | 6,184,484 | 9,848,547 | — | 16,033,031 | ||||||||||||||
Total Common Stock | 43,887,627 | 134,774,023 | — | 178,661,650 | ||||||||||||||
Rights | 20,169 | — | — | 20,169 | ||||||||||||||
Short-Term Investments | 2,988,000 | — | — | 2,988,000 | ||||||||||||||
Total Investments, at fair value | $ | 46,895,796 | $ | 134,774,023 | $ | — | $ | 181,669,819 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 33,685 | — | — | 33,685 | ||||||||||||||
Total Assets | $ | 46,929,481 | $ | 134,774,023 | $ | — | $ | 181,703,504 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | $ | (4,087 | ) | $ | — | $ | — | $ | (4,087 | ) | ||||||||
Total Liabilities | $ | (4,087 | ) | $ | — | $ | — | $ | (4,087 | ) |
ING WISDOMTREESM GLOBAL HIGH-YIELDING EQUITY INDEX PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. | |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. | |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio’s investments are categorized as Level 2 investments. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
Mini MSCI EAFE Index | 30 | 03/15/13 | $ | 2,430,450 | $ | 18,674 | ||||||||||||
Mini MSCI Emerging Markets Index | 16 | 03/15/13 | 858,800 | 15,011 | ||||||||||||||
S&P 500 E-Mini | 11 | 03/15/13 | 781,055 | (4,087 | ) | |||||||||||||
$ | 4,070,305 | $ | 29,598 |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Equity contracts | Net Assets — Unrealized appreciation* | $ | 33,685 | ||||||
Total Asset Derivatives | $ | 33,685 | |||||||
Liability Derivatives | |||||||||
Equity contracts | Net Assets — Unrealized depreciation* | $ | 4,087 | ||||||
Total Liability Derivatives | $ | 4,087 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 452,879 | ||||
Total | $ | 452,879 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 21,962 | ||||
Total | $ | 21,962 |
Portfolio Name | Type | Per Share Amount | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
ING Australia Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.3220 | |||||||
Class I | NII | $ | 0.3538 | |||||||
All Classes | STCG | $ | 0.0364 | |||||||
ING Emerging Markets Index Portfolio | ||||||||||
All Classes | LTCG | $ | 0.0099 | |||||||
ING Euro STOXX 50® Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.2953 | |||||||
Class I | NII | $ | 0.3959 | |||||||
ING FTSE 100 Index® Portfolio | ||||||||||
Class ADV | NII | $ | 0.3064 | |||||||
Class I | NII | $ | 0.4218 | |||||||
All Classes | LTCG | $ | 0.6277 | |||||||
ING Hang Seng Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.0935 | |||||||
Class I | NII | $ | 0.1652 | |||||||
Class S | NII | $ | 0.1259 | |||||||
ING International Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.1973 | |||||||
Class I | NII | $ | 0.2225 | |||||||
Class S | NII | $ | 0.1996 | |||||||
Class S2 | NII | $ | 0.2169 | |||||||
ING Japan TOPIX Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.0879 | |||||||
Class I | NII | $ | 0.1663 | |||||||
All Classes | LTCG | $ | 0.6400 | |||||||
ING Russell Large Cap Growth Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.1240 | |||||||
Class I | NII | $ | 0.1888 | |||||||
Class S | NII | $ | 0.1545 | |||||||
ING Russell Large Cap Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.1978 | |||||||
Class I | NII | $ | 0.2552 | |||||||
Class S | NII | $ | 0.2293 | |||||||
Class S2 | NII | $ | 0.2311 | |||||||
ING Russell Large Cap Value Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.1977 | |||||||
Class I | NII | $ | 0.2569 | |||||||
Class S | NII | $ | 0.2272 | |||||||
ING Russell Mid Cap Growth Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.0187 | |||||||
Class I | NII | $ | 0.1015 | |||||||
Class S | NII | $ | 0.0561 | |||||||
Class S2 | NII | $ | 0.0295 | |||||||
ING Russell Mid Cap Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.0996 | |||||||
Class I | NII | $ | 0.1398 | |||||||
Class S | NII | $ | 0.1109 | |||||||
Class S2 | NII | $ | 0.1204 | |||||||
All Classes | STCG | $ | 0.0353 | |||||||
All Classes | LTCG | $ | 0.3936 | |||||||
ING Russell Small Cap Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.0719 | |||||||
Class I | NII | $ | 0.1151 | |||||||
Class S | NII | $ | 0.0817 | |||||||
Class S2 | NII | $ | 0.0977 | |||||||
All Classes | LTCG | $ | 0.6326 | |||||||
ING U.S. Bond Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.2002 | |||||||
Class I | NII | $ | 0.2541 | |||||||
Class S | NII | $ | 0.2262 | |||||||
Class S2 | NII | $ | 0.2138 | |||||||
All Classes | STCG | $ | 0.1664 | |||||||
All Classes | LTCG | $ | 0.0958 | |||||||
ING WisdomTreeSM Global High-Yielding Equity Index Portfolio | ||||||||||
Class ADV | NII | $ | 0.2946 | |||||||
Class S | NII | $ | 0.3093 |
ING Russell Large Cap Growth Index Portfolio | 100.00 | % | ||||
ING Russell Large Cap Index Portfolio | 100.00 | % | ||||
ING Russell Large Cap Value Index Portfolio | 100.00 | % | ||||
ING Russell Mid Cap Growth Index Portfolio | 100.00 | % | ||||
ING Russell Mid Cap Index Portfolio | 90.16 | % | ||||
ING Russell Small Cap Index Portfolio | 99.95 | % | ||||
ING WisdomTreeSM Global High-Yielding Equity Index Portfolio | 20.86 | % |
Pursuant to Section 853 of the Internal Revenue Code, the Portfolios designate the following amounts as foreign taxes paid for the year ended December 31, 2012. Foreign taxes paid for purposes of Section 853 may be less than actual foreign taxes paid for financial statement purposes.
Creditable Foreign Taxes Paid | Per Share Amount | Portion of Ordinary Income Distribution Derived from Foreign Sourced Income* | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ING Emerging Markets Index Portfolio | $ | 98,661 | $ | 0.0105 | 100.00 | % | ||||||||
ING Euro STOXX 50® Index Portfolio | $ | 2,209,059 | $ | 0.0300 | 89.75 | % | ||||||||
ING Hang Seng Index Portfolio | $ | 183,896 | $ | 0.0162 | 74.49 | % | ||||||||
ING International Index Portfolio | $ | 634,103 | $ | 0.0120 | 85.81 | % | ||||||||
ING Japan TOPIX Index Portfolio | $ | 728,606 | $ | 0.0155 | 97.32 | % | ||||||||
ING WisdomTreeSM Global High-Yielding Equity Index Portfolio | $ | 488,503 | $ | 0.0220 | 83.42 | % |
* | None of the Portfolios listed above derived any income from ineligible foreign sources as defined under Section 901(j) of the Internal Revenue Code. |
Name, Address and Age | Position(s) Held with the Company | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years and Other Relevant Experience, Attributes, and Skills(1) | Number of Portfolios in Fund Complex Overseen by Director(2) | Other Board Positions Held by Director During the Past Five Years | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Directors: | |||||||||||||||||||
Dr. Albert E. DePrince, Jr. 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age:71 | Chairman/Director | June 1998– Present | Professor of Economics and Finance, Middle Tennessee State University (August 1991–Present) and various positions with Academy of Economics and Finance (2003–2012). Formerly, Director of Business and Economics Research Center, Middle Tennessee State University (1999–2002); Chief Economist, Marine Midland Bank (1987–1990); various positions, Marine Midland Bank (1978–1990); and Economist, Federal Reserve Bank of New York (1969–1978). Ph.D. in Economics. Director of Academy of Economics and Finance (February 2001–February 2003). Published numerous scholarly papers and journal articles in the areas of financial markets, financial institutions and monetary policy. | 35 | None. | ||||||||||||||
Martin J. Gavin 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 62 | Director | January 2009–June 2010 July 2011– Present | President and Chief Executive Officer, Connecticut Children’s Medical Center (May 2006–Present). Formerly, Interim President, Connecticut Children’s Medical Center (January 2006–May 2006); various positions for the Phoenix Companies, Inc. (1984–2000); Assistant Vice President, CNA Insurance Company, Inc. (1980–1984); and various positions at CIGNA Corporation (1973–1980). | 35 | None. |
Name, Address and Age | Position(s) Held with the Company | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years and Other Relevant Experience, Attributes, and Skills(1) | Number of Portfolios in Fund Complex Overseen by Director(2) | Other Board Positions Held by Director During the Past Five Years | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Russell H. Jones 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 68 | Director | December 2007– Present | Retired. Director, Hill — Stead Museum (non-profit) (2008–Present). Formerly, Senior Vice President, Chief Investment Officer and Treasurer, and other various positions including Principal Investor Relations Officer, Principal Public Relations Officer, and Corporate Parent Treasurer, Kaman Corporation, an aerospace and industrial distribution manufacturer (April 1973–March 2008); President, Hartford Area Business Economists (1986–1987); and Corporate Loan Officer and Credit Analyst, Hartford National Bank (July 1966–April 1973). Certified AARP Tax Counselor (2011). | 35 | Independent Director, CIGNA Mutual Funds (8 funds), Chair of Contracts Committee (1995–2005). | |||||||
Sidney Koch 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age:77 | Director | April 1994– Present | Retired. Self-Employed Consultant (June 2000–Present). Formerly, Senior Adviser, Hambro America, Inc. (1993–2000) and Executive Vice President of Investment Banking, Daiwa Securities America, Inc. (1986–1993). | 35 | None. | |||||||
Joseph E. Obermeyer 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 55 | Director | January 2003– Present | President, Obermeyer & Associates, Inc., a provider of financial and economic consulting services (November 1999–Present). Formerly, Senior Manager, Arthur Andersen LLP (1995–1999); Senior Manager, Coopers & Lybrand, LLP (1993–1995); Manager, Price Waterhouse (1988–1993); Second Vice President, Smith Barney (1985–1988); and Consultant, Arthur Andersen & Co. (1984–1985). | 35 | None. |
Name, Address and Age | Position(s) Held with the Company | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years and Other Relevant Experience, Attributes, and Skills(1) | Number of Portfolios in Fund Complex Overseen by Director(2) | Other Board Positions Held by Director During the Past Five Years | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Director who is an “Interested Person” | |||||||||||||||||||
Shaun P. Mathews(3) 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | Director | December 2007– Present | President and Chief Executive Officer, ING Investments, LLC (November 2006–Present). | 182 | ING Capital Corporation, LLC and ING Investments Distributor, LLC (December 2005–Present); ING Funds Services, LLC, ING Investments, LLC and ING Investment Management, LLC (March 2006–Present); and ING Investment Trust Co. (April 2009–Present). |
(1) | The information reported includes the principle occupation during the last five years for each Director and other information relating to the professional experiences, attributes and skills relevant to each Director’s qualifications to serve as a Director. |
(2) | Except for Mr. Mathews and for the purposes of this table “Fund Complex” means the following investment companies: ING Balanced Portfolio, Inc.; ING Intermediate Bond Portfolio; ING Money Market Portfolio; ING Series Fund, Inc.; ING Strategic Allocation Portfolios, Inc.; ING Variable Funds; and ING Variable Portfolios, Inc. For Mr. Mathews, the ING Fund Complex also includes the following investment companies: ING Asia Pacific High Dividend Equity Income Fund; ING Emerging Markets High Dividend Equity Fund; ING Emerging Markets Local Bond Fund; ING Equity Trust; ING Funds Trust; ING Global Equity Dividend and Premium Opportunity Fund; ING Global Advantage and Premium Opportunity Fund; ING Global Strategic Income Fund; ING Infrastructure, Industrials and Materials Fund; ING International High Dividend Equity Income Fund; ING Investors Trust; ING Mayflower Trust; ING Mutual Funds; ING Partners, Inc.; ING Prime Rate Trust; ING Risk Managed Natural Resources Fund; ING Senior Income Fund; ING Separate Portfolios Trust; ING Short Duration High Income Fund; ING Variable Insurance Trust; and ING Variable Products Trust. Therefore, for the purposes of this table with reference to Mr. Mathews, “Fund Complex” includes these investment companies. The number of funds in the ING Fund Complex is as of January 31, 2013. |
(3) | “Interested Person,” by virtue of this Director’s current or prior affiliation with any of the Portfolios, ING or any of ING’s affiliates. |
Name, Address and Age | Position(s) Held With the Company | Term of Office and Length of Time Served(1) | Principal Occupation(s)— During the Past 5 Years | |||||
---|---|---|---|---|---|---|---|---|
Shaun P. Mathews 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | President and Chief Executive Officer | December 2006–Present | President and Chief Executive Officer, ING Investments, LLC (November 2006–Present). | |||||
Michael J. Roland 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Executive Vice President | April 2002–Present | Managing Director and Chief Operating Officer, ING Investments, LLC and ING Funds Services, LLC (April 2012–Present) and Chief Compliance Officer, Directed Services LLC and ING Investments, LLC (March 2011–Present). Formerly, Executive Vice President and Chief Operating Officer, ING Investments, LLC and ING Funds Services, LLC (January 2007–April 2012) and Chief Compliance Officer, ING Funds (March 2011–February 2012). | |||||
Stanley D. Vyner 230 Park Avenue New York, New York 10169 Age: 62 | Executive Vice President | March 2002–Present | Executive Vice President, ING Investments, LLC (July 2000–Present) and Chief Investment Risk Officer, ING Investments, LLC (January 2003–Present). | |||||
Kevin M. Gleason 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 46 | Chief Compliance Officer | February 2012–Present | Senior Vice President, ING Investments, LLC (February 2012–Present). Formerly, Assistant General Counsel and Assistant Secretary, The Northwestern Mutual Life Insurance Company (June 2004–January 2012). | |||||
Kimberly A. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 48 | Senior Vice President | December 2003–Present | Senior Vice President, ING Investments, LLC (October 2003–Present). | |||||
Todd Modic 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | March 2005–Present | Senior Vice President, ING Funds Services, LLC (March 2005–Present). | |||||
Robert Terris 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 42 | Senior Vice President | June 2006–Present | Senior Vice President, Head of Division Operations, ING Funds Services, LLC (January 2006–Present). | |||||
Julius A. Drelick, III 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 46 | Senior Vice President | September 2012–Present | Senior Vice President — Fund Compliance, ING Funds Services, LLC (June 2012–Present). Formerly, Vice President — Platform Product Management & Project Management, ING Investments, LLC (April 2007–June 2012). | |||||
Robyn L. Ichilov 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Vice President | March 2002–Present | Vice President and Treasurer, ING Funds Services, LLC (November 1995–Present) and ING Investments, LLC (August 1997–Present). Formerly, Treasurer, ING Funds (November 1999–February 2012). | |||||
Maria M. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Vice President | September 2004–Present | Vice President, ING Funds Services, LLC (September 2004–Present). | |||||
Lauren D. Bensinger 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 59 | Vice President | March 2003–Present | Vice President, ING Investments, LLC and ING Funds Services, LLC (February 1996–Present); Director of Compliance, ING Investments, LLC (October 2004–Present); and Vice President and Money Laundering Reporting Officer, ING Investments Distributor, LLC (April 2010–Present). Formerly, Chief Compliance Officer, ING Investments Distributor, LLC (August 1995–April 2010). |
Name, Address and Age | Position(s) Held With the Company | Term of Office and Length of Time Served(1) | Principal Occupation(s)— During the Past 5 Years | |||||
---|---|---|---|---|---|---|---|---|
Jason Kadavy 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 36 | Vice President | September 2012 — Present | Vice President, ING Funds Services, LLC (July 2007–Present). | |||||
Fred Bedoya 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 40 | Vice President and Treasurer | September 2012—Present | Vice President, ING Funds Services, LLC (March 2012–Present). Formerly, Assistant Vice President — Director, ING Funds Services, LLC (March 2003–March 2012). | |||||
Kimberly K. Springer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 55 | Vice President | March 2006—Present | Vice President — Platform Product Management & Project Management, ING Investments, LLC (July 2012–Present); Vice President, ING Investment Management — ING Funds (March 2010–Present) and Vice President, ING Funds Services, LLC (March 2006–Present). Formerly Managing Paralegal, Registration Statements (June 2003–July 2012). | |||||
Craig Wheeler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 43 | Assistant Vice President | June 2008—Present | Assistant Vice President — Director of Tax, ING Funds Services, LLC (March 2008–Present). Formerly, Tax Manager, ING Funds Services, LLC (March 2005–March 2008). | |||||
Theresa K. Kelety 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 50 | Secretary | September 2003—Present | Vice President and Senior Counsel, ING Investment Management — ING Funds (March 2010–Present). Formerly, Senior Counsel, ING Americas, U.S. Legal Services (April 2008–March 2010) and Counsel, ING Americas, U.S. Legal Services (April 2003–April 2008). | |||||
Huey P. Falgout, Jr. 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 49 | Assistant Secretary | September 2003—Present | Senior Vice President and Chief Counsel, ING Investment Management — ING Funds (March 2010–Present). Formerly, Chief Counsel, ING Americas, U.S. Legal Services (October 2003–March 2010). | |||||
Paul A. Caldarelli 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 61 | Assistant Secretary | August 2010—Present | Vice President and Senior Counsel, ING Investment Management — ING Funds (March 2010–Present). Formerly, Senior Counsel, ING Americas, U.S. Legal Services (April 2008–March 2010) and Counsel, ING Americas, U.S. Legal Services (May 2005–April 2008). |
(1) | The Officers hold office until the next annual meeting of the Board of Directors and until their successors shall have been elected and qualified. |
Independent Counsel to review the information to be requested from management and the methodology to be used in determining the selected peer groups for comparing performance and expenses (the “Peer Group Methodology”). Prior to the August meeting, the Contracts Committee had engaged an independent consultant (the “Independent Consultant”) to evaluate, and make recommendations with respect to, the Peer Group Methodology. The Independent Consultant’s findings were reported to the Contracts Committee at a meeting of the Committee held on August 1-2, 2012 and incorporated into the Peer Group Methodology approved by the Board on August 2, 2012. The Contracts Committee then held meetings on September 11-13, 2012, October 15-16, 2012, November 29, 2012 and December 10-12, 2012, during which the Independent Trustees, meeting separately with Independent Counsel, reviewed and evaluated information relating to the Agreements, including the information described above. As part of the review process, the Contracts Committee met with representatives from the Adviser and/or the Sub-Advisers to discuss the information provided to the Committee. The Contracts Committee also considered information that had been provided by the Adviser and Sub-Advisers throughout the year at other meetings of the Contracts Committee, the Audit Committee, the Compliance Committee and the full Board.
funds and to standardize the asset management characteristics and policies across the ING mutual fund platform. The Board also considered the benefits that shareholders of the Funds realize because the Funds are part of the larger ING family of mutual funds, including, in most cases, the ability of shareholders to exchange or transfer investments within the same class of shares among a wide variety of mutual funds without incurring additional sales charges.
expenses of a Fund. In this regard, the Board considered the Adviser’s agreement to extend each such fee waiver and expense limitation agreement for an additional period of at least one-year and not to terminate such agreement in future years without prior approval of the Board. In addition, the Trustees received information regarding the fees charged by each Sub-Adviser to similarly-managed institutional accounts and other mutual funds, if any, and the comparability (or lack thereof) of the services provided by the Sub-Adviser in managing such accounts and other mutual funds to the services provided in managing the Funds. With respect to the Funds sub-advised by an affiliate of the Adviser, the Board evaluated the reasonableness of the total fees received by the Adviser and its affiliate in the aggregate under the Advisory and Sub-Advisory Agreements. With respect to any Fund sub-advised by a Sub-Adviser that is not affiliated with the Adviser, the Board considered the reasonableness of the fees payable to the Sub-Adviser by the Adviser in light of the ability of the Adviser to negotiate such fees on an arm’s-length basis. After reviewing the foregoing information, and in light of the nature, extent and quality of the services provided by the Adviser and each Sub-Adviser, the Board concluded with respect to each Fund that the fees charged to the Fund for advisory, sub-advisory and related services is fair and reasonable.
each Fund in light of changes in the assets of the Funds over various time periods, noting that, as the assets of a Fund increase, the fixed expenses of the Fund, as a percentage of the total assets of the Fund, can be expected to decrease. The Board considered such expense information in light of projections provided by the Adviser with respect to the future growth of assets of the Funds. The Board also considered the actions taken during 2012, consistent with prior undertakings provided by the Adviser to the Board, to implement new or additional breakpoints for the following Funds: ING WisdomTree Global High Yielding Equity Index Portfolio; ING Russell Mid Cap Growth Index Portfolio; ING Blackrock Science and Technology Opportunities Portfolio; ING Hang Seng Index Portfolio; ING Corporate Leaders 100 Fund; ING International Index Portfolio; ING Russell Large Cap Growth Index Portfolio; ING Russell Small Cap Index Portfolio; ING Russell Large Cap Index Portfolio; ING Russell Mid Cap Index Portfolio; and ING U.S. Bond Index Portfolio. Based upon the foregoing (and after giving effect to all new or additional breakpoints), the Board concluded that the economies of scale being realized by the Adviser and its affiliated companies do not require the implementation of new breakpoints or additional breakpoints, as the case may be, with respect to any other Fund at this time.
that will result in a sharing of the benefits of economies of scale as assets in the Portfolio grow.
Adviser during the 2011 annual contract renewal process, the Adviser has amended the advisory fee schedule to add breakpoints that will result in a sharing of the benefits of economies of scale as assets in the Portfolio grow.
1 | To approve a new sub-advisory agreement between ING Investments, LLC, the investment adviser, and ING Investment Management Co., LLC. |
Proposal | Shares voted for | Shares voted against or withheld | Shares abstained | Broker non-vote | Total Shares Voted | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ING U.S. Bond Index Portfolio | 1 | * | 327,731,989.00 | 8,555,278.00 | 24,853,982.00 | 361,141,249.000 |
* Proposal Passed
ING Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
ING Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
KPMG LLP
Two Financial Center
60 South Street
Boston, Massachusetts 02111
The Bank of New York Mellon
One Wall Street
New York, New York 10286
Goodwin Procter LLP
Exchange Place
53 State Street
Boston, Massachusetts 02109
VPAR-AVIPALL (1212-022113) |
This report is submitted for general information to shareholders of the ING Funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the funds’ investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
MUTUAL FUNDS
President’s Letter | 1 | |||||
Market Perspective | 2 | |||||
Portfolio Managers’ Reports | 4 | |||||
Shareholder Expense Examples | 10 | |||||
Report of Independent Registered Public Accounting Firm | 11 | |||||
Statements of Assets and Liabilities | 12 | |||||
Statements of Operations | 13 | |||||
Statements of Changes in Net Assets | 14 | |||||
Financial Highlights | 16 | |||||
Notes to Financial Statements | 17 | |||||
Summary Portfolios of Investments | 28 | |||||
Tax Information | 37 | |||||
Director and Officer Information | 38 | |||||
Advisory Contract Approval Discussion | 42 |
Looking Forward
President and Chief Executive Officer
ING Funds
January 4, 2013
Index | Description | |||||
---|---|---|---|---|---|---|
Barclays Capital High Yield Bond — 2% Issuer Constrained Composite Index | An unmanaged index that includes all fixed-income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and at least one year to maturity. | |||||
Barclays Capital U.S. Aggregate Bond Index | An unmanaged index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities. | |||||
Barclays Capital U.S. Corporate Investment Grade Bond Index | An unmanaged index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. | |||||
Barclays Capital U.S. Treasury Index | An unmanaged index that includes public obligations of the U.S. Treasury. Treasury bills, certain special issues, such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS and STRIPS, are excluded. | |||||
MSCI Europe ex UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK. | |||||
MSCI Japan® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan. | |||||
MSCI UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. | |||||
MSCI World IndexSM | An unmanaged index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East. | |||||
S&P 500® Index | An unmanaged index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. | |||||
S&P/Case-Shiller 20-City Composite Home Price Index | A composite index of the home price index for the top 20 Metropolitan Statistical Areas in the United States. The index is published monthly by Standard & Poor’s. | |||||
S&P MidCap 400 Index | An unmanaged index that measures the performance of the mid-size company segment of the U.S. market. | |||||
S&P SmallCap 600 Index | An unmanaged index used to measure stock market performance composed of companies with a weighted average market value of approximately $630 million. |
ING INDEX PLUS LARGECAP PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | ||||||||
Information Technology | 19.1 | % | ||||||
Financials | 14.6 | % | ||||||
Consumer Discretionary | 12.8 | % | ||||||
Energy | 11.9 | % | ||||||
Health Care | 11.1 | % | ||||||
Consumer Staples | 9.8 | % | ||||||
Industrials | 9.4 | % | ||||||
Utilities | 4.3 | % | ||||||
Telecommunication Services | 3.2 | % | ||||||
Materials | 3.2 | % | ||||||
Assets in Excess of Other Liabilities* | 0.6 | % | ||||||
Net Assets | 100.0 | % | ||||||
* Includes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012 (as a percentage of net assets) | ||||||||
Apple, Inc. | 4.3 | % | ||||||
ExxonMobil Corp. | 3.9 | % | ||||||
Pfizer, Inc. | 2.2 | % | ||||||
Microsoft Corp. | 2.2 | % | ||||||
Google, Inc. — Class A | 2.1 | % | ||||||
JPMorgan Chase & Co. | 1.8 | % | ||||||
Oracle Corp. | 1.7 | % | ||||||
Verizon Communications, Inc. | 1.6 | % | ||||||
Wal-Mart Stores, Inc. | 1.6 | % | ||||||
Merck & Co., Inc. | 1.6 | % | ||||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, Sam Lam was removed as a portfolio manager to the Portfolio and effective April 10, 2012, Christopher Corapi was added as a portfolio manager to the Portfolio. |
PORTFOLIO MANAGERS’ REPORT | ING INDEX PLUS LARGECAP PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | 5 Year | 10 Year | ||||||||||||||
Class I | 14.45 | % | 0.16 | % | 5.95 | % | ||||||||||
Class S | 14.11 | % | (0.10 | )% | 5.68 | % | ||||||||||
S&P 500® Index | 16.00 | % | 1.66 | % | 7.10 | % |
ING INDEX PLUS MIDCAP PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | |||||||
Financials | 22.3 | % | |||||
Industrials | 17.5 | % | |||||
Information Technology | 15.1 | % | |||||
Consumer Discretionary | 12.9 | % | |||||
Health Care | 10.2 | % | |||||
Materials | 7.5 | % | |||||
Energy | 6.5 | % | |||||
Utilities | 4.1 | % | |||||
Consumer Staples | 3.3 | % | |||||
Telecommunication Services | 0.4 | % | |||||
Assets in Excess of Other Liabilities* | 0.2 | % | |||||
Net Assets | 100.0 | % | |||||
* Includes short-term investments. | |||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012 (as a percentage of net assets) | |||||||
Ametek, Inc. | 1.4 | % | |||||
HollyFrontier Corp. | 1.4 | % | |||||
Affiliated Managers Group, Inc. | 1.2 | % | |||||
Vertex Pharmaceuticals, Inc. | 1.2 | % | |||||
Fidelity National Financial, Inc. | 1.1 | % | |||||
Resmed, Inc. | 1.1 | % | |||||
BE Aerospace, Inc. | 1.1 | % | |||||
Ansys, Inc. | 1.0 | % | |||||
Packaging Corp. of America | 1.0 | % | |||||
Cooper Cos., Inc. | 1.0 | % | |||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, Sam Lam was removed as a portfolio manager to the Portfolio and effective April 10, 2012, Christopher Corapi was added as a portfolio manager to the Portfolio. |
PORTFOLIO MANAGERS’ REPORT | ING INDEX PLUS MIDCAP PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | 5 Year | 10 Year | ||||||||||||||
Class I | 17.70 | % | 3.13 | % | 8.74 | % | ||||||||||
Class S | 17.38 | % | 2.87 | % | 8.46 | % | ||||||||||
S&P MidCap 400 Index | 17.88 | % | 5.15 | % | 10.53 | % |
ING INDEX PLUS SMALLCAP PORTFOLIO | PORTFOLIO MANAGERS’ REPORT |
Sector Diversification as of December 31, 2012 (as a percentage of net assets) | |||||||
Financials | 21.4 | % | |||||
Information Technology | 18.7 | % | |||||
Industrials | 16.1 | % | |||||
Consumer Discretionary | 15.9 | % | |||||
Health Care | 11.3 | % | |||||
Materials | 6.1 | % | |||||
Consumer Staples | 3.7 | % | |||||
Energy | 3.6 | % | |||||
Utilities | 3.0 | % | |||||
Telecommunication Services | 0.0 | % | |||||
Assets in Excess of Other Liabilities* | 0.2 | % | |||||
Net Assets | 100.0 | % | |||||
* Includes short-term investments. | |||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of December 31, 2012 (as a percentage of net assets) | |||||||
Tanger Factory Outlet Centers, Inc. | 1.1 | % | |||||
Toro Co. | 1.0 | % | |||||
ProAssurance Corp. | 1.0 | % | |||||
EPR Properties | 1.0 | % | |||||
LaSalle Hotel Properties | 1.0 | % | |||||
Actuant Corp. | 1.0 | % | |||||
HB Fuller Co. | 1.0 | % | |||||
Pool Corp. | 0.9 | % | |||||
Susquehanna Bancshares, Inc. | 0.9 | % | |||||
Teledyne Technologies, Inc. | 0.9 | % | |||||
Portfolio holdings are subject to change daily. |
* | Effective April 30, 2012, Sam Lam was removed as a portfolio manager to the Portfolio and effective April 10, 2012, Christopher Corapi was added as a portfolio manager to the Portfolio. |
PORTFOLIO MANAGERS’ REPORT | ING INDEX PLUS SMALLCAP PORTFOLIO |
Average Annual Total Returns for the Periods Ended December 31, 2012 | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 Year | 5 Year | 10 Year | ||||||||||||||
Class I | 12.38 | % | 2.59 | % | 8.05 | % | ||||||||||
Class S | 12.14 | % | 2.36 | % | 7.78 | % | ||||||||||
S&P SmallCap 600 Index | 16.33 | % | 5.14 | % | 10.45 | % |
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value July 1, 2012 | Ending Account Value December 31, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2012* | Beginning Account Value July 1, 2012 | Ending Account Value December 31, 2012 | Annualized Expense Ratio | Expenses Paid During the Period Ended December 31, 2012* | ||||||||||||||||||||||||||||
ING Index Plus LargeCap Portfolio | |||||||||||||||||||||||||||||||||||
Class I | $ | 1,000.00 | $ | 1,056.40 | 0.45 | % | $ | 2.33 | $ | 1,000.00 | $ | 1,022.87 | 0.45 | % | $ | 2.29 | |||||||||||||||||||
Class S | 1,000.00 | 1,053.90 | 0.70 | 3.61 | 1,000.00 | 1,021.62 | 0.70 | 3.56 | |||||||||||||||||||||||||||
ING Index Plus MidCap Portfolio | |||||||||||||||||||||||||||||||||||
Class I | 1,000.00 | 1,083.60 | 0.50 | 2.62 | 1,000.00 | 1,022.62 | 0.50 | 2.54 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,082.60 | 0.75 | 3.93 | 1,000.00 | 1,021.37 | 0.75 | 3.81 | |||||||||||||||||||||||||||
ING Index Plus SmallCap Portfolio | |||||||||||||||||||||||||||||||||||
Class I | 1,000.00 | 1,062.50 | 0.51 | 2.64 | 1,000.00 | 1,022.57 | 0.51 | 2.59 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,061.70 | 0.76 | 3.94 | 1,000.00 | 1,021.32 | 0.76 | 3.86 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 184/366 to reflect the most recent fiscal half-year. |
ING Variable Portfolios, Inc.
February 15, 2013
ING Index Plus LargeCap Portfolio | ING Index Plus MidCap Portfolio | ING Index Plus SmallCap Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in securities at fair value+* | $ | 639,015,114 | $ | 608,231,033 | $ | 263,232,280 | ||||||||
Short-term investments at fair value** | 6,074,627 | 12,922,559 | 7,424,202 | |||||||||||
Total Investments at fair value | $ | 645,089,741 | $ | 621,153,592 | $ | 270,656,482 | ||||||||
Cash | 48,925 | 22,155 | 10,841 | |||||||||||
Cash collateral for futures | 290,412 | 94,650 | 12,380 | |||||||||||
Receivables: | ||||||||||||||
Fund shares sold | 264,116 | 126 | 287,153 | |||||||||||
Dividends | 708,148 | 325,677 | 175,489 | |||||||||||
Prepaid expenses | 11,808 | 8,760 | 4,729 | |||||||||||
Total assets | 646,413,150 | 621,604,960 | 271,147,074 | |||||||||||
LIABILITIES: | ||||||||||||||
Payable for fund shares redeemed | 1,027,169 | 1,580,859 | 435,384 | |||||||||||
Payable upon receipt of securities loaned | 1,654,627 | 10,387,878 | 6,797,202 | |||||||||||
Payable for investment management fees | 192,067 | 206,237 | 88,651 | |||||||||||
Payable for administrative fees | 30,181 | 28,357 | 12,189 | |||||||||||
Payable for distribution and shareholder service fees | 27,056 | 24,902 | 18,133 | |||||||||||
Payable for directors fees | 3,428 | 3,106 | 1,380 | |||||||||||
Other accrued expenses and liabilities | 95,676 | 83,570 | 48,395 | |||||||||||
Total liabilities | 3,030,204 | 12,314,909 | 7,401,334 | |||||||||||
NET ASSETS | $ | 643,382,946 | $ | 609,290,051 | $ | 263,745,740 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||
Paid-in capital | $ | 852,352,756 | $ | 629,573,773 | $ | 341,741,404 | ||||||||
Undistributed net investment income | 12,176,134 | 7,369,233 | 2,687,988 | |||||||||||
Accumulated net realized loss | (261,957,304 | ) | (57,273,264 | ) | (90,500,616 | ) | ||||||||
Net unrealized appreciation | 40,811,360 | 29,620,309 | 9,816,964 | |||||||||||
NET ASSETS | $ | 643,382,946 | $ | 609,290,051 | $ | 263,745,740 | ||||||||
+ Including securities loaned at value | $ | 1,617,621 | $ | 10,134,161 | $ | 6,625,645 | ||||||||
* Cost of investments in securities | $ | 598,166,378 | $ | 578,636,413 | $ | 253,415,553 | ||||||||
** Cost of short-term investments | $ | 6,074,627 | $ | 12,922,559 | $ | 7,424,202 | ||||||||
Class I | ||||||||||||||
Net assets | $ | 516,226,894 | $ | 491,444,769 | $ | 176,643,713 | ||||||||
Shares authorized | 200,000,000 | 100,000,000 | 100,000,000 | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 33,590,034 | 27,669,507 | 11,409,009 | |||||||||||
Net asset value and redemption price per share | $ | 15.37 | $ | 17.76 | $ | 15.48 | ||||||||
Class S | ||||||||||||||
Net assets | $ | 127,156,052 | $ | 117,845,282 | $ | 87,102,027 | ||||||||
Shares authorized | 100,000,000 | 100,000,000 | 100,000,000 | |||||||||||
Par value | $ | 0.001 | $ | 0.001 | $ | 0.001 | ||||||||
Shares outstanding | 8,340,931 | 6,710,413 | 5,685,748 | |||||||||||
Net asset value and redemption price per share | $ | 15.24 | $ | 17.56 | $ | 15.32 |
ING Index Plus LargeCap Portfolio | ING Index Plus MidCap Portfolio | ING Index Plus SmallCap Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Dividends, net of foreign taxes withheld* | $ | 15,557,237 | $ | 10,353,037 | $ | 4,089,530 | ||||||||
Securities lending income, net | 147,404 | 510,326 | 271,513 | |||||||||||
Total investment income | 15,704,641 | 10,863,363 | 4,361,043 | |||||||||||
EXPENSES: | ||||||||||||||
Investment management fees | 2,399,537 | 2,484,880 | 1,103,822 | |||||||||||
Distribution and shareholder service fees: | ||||||||||||||
Class S | 334,510 | 301,061 | 222,435 | |||||||||||
Transfer agent fees | 636 | 664 | 250 | |||||||||||
Administrative service fees | 377,064 | 341,662 | 151,772 | |||||||||||
Shareholder reporting expense | 103,360 | 97,528 | 41,514 | |||||||||||
Professional fees | 71,425 | 67,304 | 34,720 | |||||||||||
Custody and accounting expense | 82,156 | 78,540 | 56,241 | |||||||||||
Directors fees | 20,568 | 18,637 | 8,279 | |||||||||||
Miscellaneous expense | 25,301 | 43,424 | 21,149 | |||||||||||
Interest expense | 459 | 206 | 268 | |||||||||||
Total expenses | 3,415,016 | 3,433,906 | 1,640,450 | |||||||||||
Net expenses | 3,415,016 | 3,433,906 | 1,640,450 | |||||||||||
Net investment income | 12,289,625 | 7,429,457 | 2,720,593 | |||||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||
Net realized gain (loss) on: | ||||||||||||||
Investments | 55,334,886 | 61,212,384 | 15,563,555 | |||||||||||
Futures | 1,319,753 | 2,828,666 | 1,018,367 | |||||||||||
Net realized gain | 56,654,639 | 64,041,050 | 16,581,922 | |||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||
Investments | 23,815,581 | 29,066,691 | 12,713,755 | |||||||||||
Futures | (120,629 | ) | (375,498 | ) | (61,697 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 23,694,952 | 28,691,193 | 12,652,058 | |||||||||||
Net realized and unrealized gain | 80,349,591 | 92,732,243 | 29,233,980 | |||||||||||
Increase in net assets resulting from operations | $ | 92,639,216 | $ | 100,161,700 | $ | 31,954,573 | ||||||||
* Foreign taxes withheld | $ | 63,365 | $ | — | $ | — |
ING Index Plus LargeCap Portfolio | ING Index Plus MidCap Portfolio | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||
Net investment income | $ | 12,289,625 | $ | 11,077,876 | $ | 7,429,457 | $ | 5,219,892 | |||||||||||
Net realized gain | 56,654,639 | 57,474,116 | 64,041,050 | 83,954,448 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | 23,694,952 | (67,761,352 | ) | 28,691,193 | (94,494,411 | ) | |||||||||||||
Increase (decrease) in net assets resulting from operations | 92,639,216 | 790,640 | 100,161,700 | (5,320,071 | ) | ||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||
Net investment income: | |||||||||||||||||||
Class I | (8,968,806 | ) | (11,279,156 | ) | (4,505,206 | ) | (4,379,527 | ) | |||||||||||
Class S | (1,799,851 | ) | (2,480,156 | ) | (757,920 | ) | (768,280 | ) | |||||||||||
Total distributions | (10,768,657 | ) | (13,759,312 | ) | (5,263,126 | ) | (5,147,807 | ) | |||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||
Net proceeds from sale of shares | 5,759,419 | 8,161,665 | 8,605,321 | 19,427,981 | |||||||||||||||
Reinvestment of distributions | 10,768,657 | 13,759,312 | 5,263,126 | 5,147,807 | |||||||||||||||
16,528,076 | 21,920,977 | 13,868,447 | 24,575,788 | ||||||||||||||||
Cost of shares redeemed | (132,078,871 | ) | (134,623,294 | ) | (99,076,797 | ) | (108,982,849 | ) | |||||||||||
Net decrease in net assets resulting from capital share transactions | (115,550,795 | ) | (112,702,317 | ) | (85,208,350 | ) | (84,407,061 | ) | |||||||||||
Net increase (decrease) in net assets | (33,680,236 | ) | (125,670,989 | ) | 9,690,224 | (94,874,939 | ) | ||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of year or period | 677,063,182 | 802,734,171 | 599,599,827 | 694,474,766 | |||||||||||||||
End of year or period | $ | 643,382,946 | $ | 677,063,182 | $ | 609,290,051 | $ | 599,599,827 | |||||||||||
Undistributed net investment income at end of year or period | $ | 12,176,134 | $ | 10,648,150 | $ | 7,369,233 | $ | 5,202,902 |
ING Index Plus SmallCap Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||
FROM OPERATIONS: | |||||||||||
Net investment income | $ | 2,720,593 | $ | 1,305,588 | |||||||
Net realized gain | 16,581,922 | 40,568,184 | |||||||||
Net change in unrealized appreciation (depreciation) | 12,652,058 | (44,100,429 | ) | ||||||||
Increase (decrease) in net assets resulting from operations | 31,954,573 | (2,226,657 | ) | ||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Net investment income: | |||||||||||
Class I | (1,074,889 | ) | (1,729,487 | ) | |||||||
Class S | (262,188 | ) | (599,221 | ) | |||||||
Total distributions | (1,337,077 | ) | (2,328,708 | ) | |||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||
Net proceeds from sale of shares | 6,663,183 | 12,913,982 | |||||||||
Reinvestment of distributions | 1,337,077 | 2,328,708 | |||||||||
8,000,260 | 15,242,690 | ||||||||||
Cost of shares redeemed | (51,197,252 | ) | (59,092,445 | ) | |||||||
Net decrease in net assets resulting from capital share transactions | (43,196,992 | ) | (43,849,755 | ) | |||||||
Net decrease in net assets | (12,579,496 | ) | (48,405,120 | ) | |||||||
NET ASSETS: | |||||||||||
Beginning of year or period | 276,325,236 | 324,730,356 | |||||||||
End of year or period | $ | 263,745,740 | $ | 276,325,236 | |||||||
Undistributed net investment income at end of year or period | $ | 2,687,988 | $ | 1,304,472 |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3)(4) | | Expenses net of fee waivers and/or recoupments if any(2)(3)(4) | | Expense net of all reductions/ additions(2)(3)(4) | | Net investment income (loss)(2)(4) | | Net assets, end of year or period | | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||
Year or period ended | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||||
ING Index Plus LargeCap Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 13.64 | 0.27 | • | 1.70 | 1.97 | 0.24 | — | — | 0.24 | — | 15.37 | 14.45 | 0.45 | 0.45 | 0.45 | 1.84 | 516,227 | 166 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 13.89 | 0.21 | • | (0.20 | ) | 0.01 | 0.26 | — | — | 0.26 | — | 13.64 | (0.09 | ) | 0.44 | 0.44 | 0.44 | 1.54 | 544,124 | 130 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.42 | 0.22 | • | 1.50 | 1.72 | 0.25 | — | — | 0.25 | — | 13.89 | 13.96 | 0.44 | 0.44 | † | 0.44 | † | 1.75 | † | 631,278 | 157 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 10.44 | 0.21 | • | 2.12 | 2.33 | 0.35 | — | — | 0.35 | — | 12.42 | 23.20 | 0.45 | 0.45 | † | 0.45 | † | 2.01 | † | 678,612 | 142 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.13 | 0.25 | • | (6.57 | ) | (6.32 | ) | 0.30 | 1.07 | — | 1.37 | — | 10.44 | (37.21 | ) | 0.47 | 0.47 | † | 0.47 | † | 1.70 | † | 680,918 | 175 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 13.53 | 0.23 | • | 1.68 | 1.91 | 0.20 | — | — | 0.20 | — | 15.24 | 14.11 | 0.70 | 0.70 | 0.70 | 1.59 | 127,156 | 166 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 13.78 | 0.18 | • | (0.21 | ) | (0.03 | ) | 0.22 | — | — | 0.22 | — | 13.53 | (0.34 | ) | 0.69 | 0.69 | 0.69 | 1.28 | 132,939 | 130 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.33 | 0.19 | • | 1.48 | 1.67 | 0.22 | — | — | 0.22 | — | 13.78 | 13.63 | 0.69 | 0.69 | † | 0.69 | † | 1.50 | † | 171,456 | 157 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 10.34 | 0.18 | • | 2.12 | 2.30 | 0.31 | — | — | 0.31 | — | 12.33 | 23.01 | 0.70 | 0.70 | † | 0.70 | † | 1.76 | † | 184,661 | 142 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 17.99 | 0.21 | • | (6.51 | ) | (6.30 | ) | 0.28 | 1.07 | — | 1.35 | — | 10.34 | (37.40 | ) | 0.72 | 0.72 | † | 0.72 | † | 1.53 | † | 184,760 | 175 | |||||||||||||||||||||||||||||||||||||||||||||||
ING Index Plus MidCap Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 15.22 | 0.21 | • | 2.48 | 2.69 | 0.15 | — | — | 0.15 | — | 17.76 | 17.70 | 0.50 | 0.50 | 0.50 | 1.24 | 491,445 | 164 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 15.51 | 0.14 | (0.30 | ) | (0.16 | ) | 0.13 | — | — | 0.13 | — | 15.22 | (1.15 | ) | 0.49 | 0.49 | 0.49 | 0.83 | 482,378 | 101 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.85 | 0.11 | • | 2.70 | 2.81 | 0.15 | — | — | 0.15 | — | 15.51 | 21.91 | 0.48 | 0.48 | † | 0.48 | † | 0.84 | † | 549,499 | 162 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9.94 | 0.15 | • | 2.95 | 3.10 | 0.19 | — | — | 0.19 | — | 12.85 | 31.71 | 0.52 | 0.52 | † | 0.52 | † | 1.38 | † | 512,163 | 132 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.33 | 0.22 | (6.37 | ) | (6.15 | ) | 0.22 | 2.02 | — | 2.24 | — | 9.94 | (37.56 | ) | 0.52 | 0.52 | † | 0.52 | † | 1.14 | † | 447,503 | 113 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 15.05 | 0.17 | • | 2.44 | 2.61 | 0.10 | — | — | 0.10 | — | 17.56 | 17.38 | 0.75 | 0.75 | 0.75 | 0.99 | 117,845 | 164 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 15.34 | 0.09 | • | (0.29 | ) | (0.20 | ) | 0.09 | — | — | 0.09 | — | 15.05 | (1.39 | ) | 0.74 | 0.74 | 0.74 | 0.58 | 117,222 | 101 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 12.72 | 0.08 | • | 2.66 | 2.74 | 0.12 | — | — | 0.12 | — | 15.34 | 21.57 | 0.73 | 0.73 | † | 0.73 | † | 0.59 | † | 144,975 | 162 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9.82 | 0.12 | • | 2.93 | 3.05 | 0.15 | — | — | 0.15 | — | 12.72 | 31.47 | 0.77 | 0.77 | † | 0.77 | † | 1.13 | † | 138,978 | 132 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 18.13 | 0.14 | (6.26 | ) | (6.12 | ) | 0.17 | 2.02 | — | 2.19 | — | 9.82 | (37.73 | ) | 0.77 | 0.77 | † | 0.77 | † | 0.91 | † | 124,308 | 113 | ||||||||||||||||||||||||||||||||||||||||||||||||
ING Index Plus SmallCap Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 13.85 | 0.16 | • | 1.55 | 1.71 | 0.08 | — | — | 0.08 | — | 15.48 | 12.38 | 0.51 | 0.51 | 0.51 | 1.06 | 176,644 | 144 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 14.06 | 0.08 | (0.17 | ) | (0.09 | ) | 0.12 | — | — | 0.12 | — | 13.85 | (0.74 | ) | 0.50 | 0.50 | 0.50 | 0.52 | 186,300 | 115 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.52 | 0.12 | • | 2.51 | 2.63 | 0.09 | — | — | 0.09 | — | 14.06 | 22.84 | 0.49 | 0.49 | † | 0.49 | † | 0.99 | † | 215,343 | 160 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9.41 | 0.09 | • | 2.20 | 2.29 | 0.18 | — | — | 0.18 | — | 11.52 | 24.85 | 0.52 | 0.52 | † | 0.52 | † | 0.90 | † | 197,476 | 98 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 15.19 | 0.14 | • | (4.97 | ) | (4.83 | ) | 0.12 | 0.83 | — | 0.95 | — | 9.41 | (33.58 | ) | 0.52 | 0.52 | † | 0.52 | † | 1.10 | † | 201,978 | 100 | |||||||||||||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 13.70 | 0.12 | • | 1.54 | 1.66 | 0.04 | — | — | 0.04 | — | 15.32 | 12.14 | 0.76 | 0.76 | 0.76 | 0.82 | 87,102 | 144 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 13.91 | 0.05 | (0.18 | ) | (0.13 | ) | 0.08 | — | — | 0.08 | — | 13.70 | (0.98 | ) | 0.75 | 0.75 | 0.75 | 0.26 | 90,025 | 115 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 11.41 | 0.09 | • | 2.47 | 2.56 | 0.06 | — | — | 0.06 | — | 13.91 | 22.47 | 0.74 | 0.74 | † | 0.74 | † | 0.74 | † | 109,387 | 160 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-09 | 9.30 | 0.06 | • | 2.19 | 2.25 | 0.14 | — | — | 0.14 | — | 11.41 | 24.65 | 0.77 | 0.77 | † | 0.77 | † | 0.65 | † | 103,173 | 98 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-08 | 15.01 | 0.13 | (4.93 | ) | (4.80 | ) | 0.08 | 0.83 | — | 0.91 | — | 9.30 | (33.73 | ) | 0.77 | 0.77 | † | 0.77 | † | 0.87 | † | 95,586 | 100 |
(1) | Total return is calculated assuming reinvestment of all dividends, capital gain distributions and return of capital distributions, if any, at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized. |
(2) | Annualized for periods less than one year. |
(3) | Expense ratios do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. |
(4) | Expense ratios reflect operating expenses of a Portfolio. Expenses before reductions/additions do not reflect amounts reimbursed by an Investment Adviser and/or Distributor or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by a Portfolio during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by an Investment Adviser and/or Distributor but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Portfolio. Net investment income (loss) is net of all such additions or reductions. |
• | Calculated using average number of shares outstanding throughout the period. |
† | Impact of waiving the advisory fee for the ING Institutional Prime Money Market Fund holding has less than 0.005% impact on the expense ratio and net investment income or loss ratio. |
traded on exchanges, including foreign exchanges, which close earlier than the time that a Portfolio calculates its NAV may also be valued at their fair values, as defined by the 1940 Act, and as determined in good faith by or under the supervision of the Board, in accordance with methods that are specifically authorized by the Board. All such valuations are made in accordance with valuation procedures of the Portfolios (the “Valuation Procedures”) which have been approved by the Board. The valuation techniques applied in any specific instance are set forth in the Valuation Procedures and may vary from case to case. With respect to a restricted security, for example, consideration is generally given to the cost of the investment, the market value of any unrestricted securities of the same class at the time of valuation, the potential expiration of restrictions on the security, the existence of any registration rights, the costs to the Portfolios related to registration of the security, as well as factors relevant to the issuer itself. Consideration may also be given to the price and extent of any public trading in similar securities of the issuer or comparable companies’ securities. The value of a foreign security traded on an exchange outside the United States is generally based on its price on the principal foreign exchange where it trades as of the time a Portfolio determines its NAV or if the foreign exchange closes prior to the time a Portfolio determines its NAV, the most recent closing price of the foreign security on its principal exchange. Trading in certain non-U.S. securities may not take place on all days on which the New York Stock Exchange (“NYSE”) is open. Further, trading takes place in various foreign markets on days on which the NYSE is not open. Consequently, the calculation of a Portfolio’s NAV may not take place contemporaneously with the determination of the prices of securities held by a Portfolio in foreign securities markets. Further, the value of a Portfolio’s assets may be significantly affected by foreign trading on days when a shareholder cannot purchase or redeem shares of a Portfolio. In calculating a Portfolio’s NAV, foreign securities denominated in foreign currency are converted to U.S. dollar equivalents. If an event occurs after the time at which the market for foreign securities held by a Portfolio closes but before the time that a Portfolio’s NAV is calculated, such event may cause the closing price on the foreign exchange to not represent a readily available reliable market value quotation for such securities at the time a Portfolio determines its NAV. In such a case, a Portfolio will use the fair value of such securities as determined under a Portfolio’s valuation procedures. Events after the close of trading on a foreign market that could require a Portfolio to fair value some or all of its foreign securities include, among others, securities trading in the U.S. and other markets, corporate announcements, natural and other disasters, and political and other events. Among other elements of analysis in the determination of a security’s fair value, the Board has authorized the use of one or more independent research services to assist with such determinations. An independent research service may use statistical analyses and quantitative models to help determine fair value as of the time a Portfolio calculates its NAV. There can be no assurance that such models accurately reflect the behavior of the applicable markets or the effect of the behavior of such markets on the fair value of securities, or that such markets will continue to behave in a fashion that is consistent with such models. Unlike the closing price of a security on an exchange, fair value determinations employ elements of judgment. Consequently, the fair value assigned to a security may not represent the actual value that a Portfolio could obtain if it were to sell the security at the time of the close of the NYSE. Pursuant to procedures adopted by the Board, a Portfolio is not obligated to use the fair valuations suggested by any research service, and valuation recommendations provided by such research services may be overridden if other events have occurred or if other fair valuations are determined in good faith to be more accurate. Unless an event is such that it causes a Portfolio to determine that the closing prices for one or more securities do not represent readily available reliable market value quotations at the time the Portfolio determines its NAV, events that occur between the time of the close of the foreign market on which they are traded and the close of regular trading on the NYSE will not be reflected in a Portfolio’s NAV.
securities of sufficient credit quality which are valued at amortized cost, which approximates fair value, are generally considered to be Level 2 securities under applicable accounting rules. A table summarizing each Portfolio’s investments under these levels of classification is included following the Summary Portfolio of Investments.
1. | Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at the end of the day. |
2. | Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions. |
value of assets and liabilities other than investments in securities at fiscal year end, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and U.S. Government securities. These risks include, but are not limited to, revaluation of currencies and future adverse political and economic developments which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. Government securities.
expected resulting in losses for the combined or hedged positions.
Portfolios since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Index Plus LargeCap | $ | 1,121,296,845 | $ | 1,230,896,660 | ||||||
Index Plus MidCap | 999,127,739 | 1,052,375,446 | ||||||||
Index Plus SmallCap | 390,323,580 | 422,834,004 |
Index Plus LargeCap | 0.35 | % | ||||
Index Plus MidCap | 0.40 | % | ||||
Index Plus SmallCap | 0.40 | % |
Subsidiary | Portfolios | Percentage | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
ING Life Insurance and Annuity Company | Index Plus LargeCap | 76.07 | % | |||||||
Index Plus MidCap | 76.90 | |||||||||
Index Plus SmallCap | 59.71 | |||||||||
ING USA Annuity and Life Insurance Company | Index Plus LargeCap | 18.83 | ||||||||
Index Plus MidCap | 17.99 | |||||||||
Index Plus SmallCap | 31.10 |
Portfolio | Class I | Class S | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Index Plus LargeCap | 0.55 | % | 0.80 | % | ||||||
Index Plus MidCap | 0.60 | % | 0.85 | % | ||||||
Index Plus SmallCap | 0.60 | % | 0.85 | % |
Portfolio | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Index Plus LargeCap | 2 | $ | 1,047,500 | 1.31 | % | |||||||||
Index Plus MidCap | 1 | 625,000 | 2.25 | |||||||||||
Index Plus SmallCap | 3 | 1,025,000 | 1.24 |
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||||
Index Plus LargeCap | |||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 304,013 | — | 596,330 | (7,189,224 | ) | (6,288,881 | ) | 4,537,172 | — | 8,968,806 | (107,234,969 | ) | (93,728,991 | ) | |||||||||||||||||||||||||||||
12-31-11 | 476,253 | — | 762,620 | (6,797,938 | ) | (5,559,065 | ) | 6,710,948 | — | 11,279,156 | (94,206,338 | ) | (76,216,234 | ) | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 81,751 | — | 120,391 | (1,683,897 | ) | (1,481,755 | ) | 1,222,247 | — | 1,799,851 | (24,843,902 | ) | (21,821,804 | ) | |||||||||||||||||||||||||||||
12-31-11 | 107,138 | — | 168,718 | (2,894,084 | ) | (2,618,228 | ) | 1,450,717 | — | 2,480,156 | (40,416,956 | ) | (36,486,083 | ) | |||||||||||||||||||||||||||||
Index Plus MidCap | |||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 439,377 | — | 261,931 | (4,717,409 | ) | (4,016,101 | ) | 7,406,262 | — | 4,505,206 | (79,190,296 | ) | (67,278,828 | ) | |||||||||||||||||||||||||||||
12-31-11 | 1,072,129 | — | 254,033 | (5,074,824 | ) | (3,748,662 | ) | 17,385,446 | — | 4,379,527 | (79,835,192 | ) | (58,070,219 | ) | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 72,117 | — | 44,505 | (1,193,997 | ) | (1,077,375 | ) | 1,199,059 | — | 757,920 | (19,886,501 | ) | (17,929,522 | ) | |||||||||||||||||||||||||||||
12-31-11 | 134,636 | — | 44,981 | (1,844,829 | ) | (1,665,212 | ) | 2,042,535 | — | 768,280 | (29,147,657 | ) | (26,336,842 | ) | |||||||||||||||||||||||||||||
Index Plus SmallCap | |||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 398,791 | — | 71,947 | (2,516,879 | ) | (2,046,141 | ) | 5,956,204 | — | 1,074,889 | (37,300,755 | ) | (30,269,662 | ) | |||||||||||||||||||||||||||||
12-31-11 | 836,529 | — | 113,483 | (2,812,810 | ) | (1,862,798 | ) | 11,920,152 | — | 1,729,487 | (39,484,192 | ) | (25,834,553 | ) | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 46,924 | — | 17,703 | (951,112 | ) | (886,485 | ) | 706,979 | — | 262,188 | (13,896,497 | ) | (12,927,330 | ) | |||||||||||||||||||||||||||||
12-31-11 | 76,361 | — | 39,684 | (1,407,083 | ) | (1,291,038 | ) | 993,830 | — | 599,221 | (19,608,253 | ) | (18,015,202 | ) |
Portfolio | Value of Securities Loaned | Cash Collateral Received | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Index Plus LargeCap | $ | 1,617,621 | $ | 1,654,627 | ||||||
Index Plus MidCap | 10,134,161 | 10,387,878 | ||||||||
Index Plus SmallCap | 6,625,645 | 6,797,202 |
Undistributed Net Investment Income | Accumulated Net Realized Gains/(Losses) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Index Plus LargeCap | $7,016 | $(7,016) |
Year Ended December 31, 2012 | Year Ended December 31, 2011 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Ordinary Income | |||||||||
Index Plus LargeCap | $ | 10,768,657 | $ | 13,759,312 | ||||||
Index Plus MidCap | 5,263,126 | 5,147,807 | ||||||||
Index Plus SmallCap | 1,337,077 | 2,328,708 |
Undistributed | Unrealized | Short-term | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ordinary | Appreciation/ | Capital Loss | ||||||||||||||||
Income | (Depreciation) | Carryforwards | Expiration | |||||||||||||||
Index Plus LargeCap | $ | 12,299,752 | $ | 37,204,167 | $ | (163,333,482 | ) | 2016 | ||||||||||
(95,016,629 | ) | 2017 | ||||||||||||||||
$ | (258,350,111 | ) | ||||||||||||||||
Index Plus MidCap | 7,431,611 | 23,406,677 | (51,059,632 | ) | 2017 | |||||||||||||
Index Plus SmallCap | 2,720,504 | 7,786,365 | (12,299,861 | ) | 2017 | |||||||||||||
(76,170,156 | ) | 2018 | ||||||||||||||||
$ | (88,470,017 | ) |
ING INDEX PLUS LARGECAP PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 99.4% | |||||||||||||||||||
Consumer Discretionary: 12.8% | |||||||||||||||||||
166,911 | CBS Corp. — Class B | $ | 6,350,964 | 1.0 | |||||||||||||||
262,503 | Comcast Corp. — Class A | 9,812,362 | 1.5 | ||||||||||||||||
158,578 | Gap, Inc. | 4,922,261 | 0.8 | ||||||||||||||||
100,416 | Home Depot, Inc. | 6,210,730 | 1.0 | ||||||||||||||||
141,673 | Macy’s, Inc. | 5,528,080 | 0.8 | ||||||||||||||||
95,497 | Starbucks Corp. | 5,120,549 | 0.8 | ||||||||||||||||
933,979 | Other Securities | 44,231,076 | 6.9 | ||||||||||||||||
82,176,022 | 12.8 | ||||||||||||||||||
Consumer Staples: 9.8% | |||||||||||||||||||
161,029 | Coca-Cola Enterprises, Inc. | 5,109,450 | 0.8 | ||||||||||||||||
57,625 | Costco Wholesale Corp. | 5,691,621 | 0.9 | ||||||||||||||||
57,915 | JM Smucker Co. | 4,994,589 | 0.8 | ||||||||||||||||
108,537 | Philip Morris International, Inc. | 9,078,035 | 1.4 | ||||||||||||||||
95,019 | Procter & Gamble Co. | 6,450,840 | 1.0 | ||||||||||||||||
152,925 | Wal-Mart Stores, Inc. | 10,434,073 | 1.6 | ||||||||||||||||
512,446 | Other Securities | 21,328,019 | 3.3 | ||||||||||||||||
63,086,627 | 9.8 | ||||||||||||||||||
Energy: 11.9% | |||||||||||||||||||
71,463 | Chevron Corp. | 7,728,009 | 1.2 | ||||||||||||||||
44,423 | EOG Resources, Inc. | 5,365,854 | 0.8 | ||||||||||||||||
286,667 | ExxonMobil Corp. | 24,811,029 | 3.9 | ||||||||||||||||
192,734 | Halliburton Co. | 6,685,943 | 1.1 | ||||||||||||||||
728,721 | Other Securities(a) | 31,645,862 | 4.9 | ||||||||||||||||
76,236,697 | 11.9 | ||||||||||||||||||
Financials: 14.6% | |||||||||||||||||||
57,505 | @ | Berkshire Hathaway, Inc. | 5,158,198 | 0.8 | |||||||||||||||
204,503 | Citigroup, Inc. | 8,090,139 | 1.2 | ||||||||||||||||
260,808 | JPMorgan Chase & Co. | 11,467,728 | 1.8 | ||||||||||||||||
166,743 | US Bancorp. | 5,325,771 | 0.8 | ||||||||||||||||
274,854 | Wells Fargo & Co. | 9,394,510 | 1.5 | ||||||||||||||||
1,998,914 | Other Securities | 54,467,932 | 8.5 | ||||||||||||||||
93,904,278 | 14.6 | ||||||||||||||||||
Health Care: 11.1% | |||||||||||||||||||
142,158 | Abbott Laboratories | 9,311,349 | 1.4 | ||||||||||||||||
81,361 | @ | Gilead Sciences, Inc. | 5,975,965 | 0.9 | |||||||||||||||
96,941 | Johnson & Johnson | 6,795,564 | 1.1 | ||||||||||||||||
114,369 | Medtronic, Inc. | 4,691,416 | 0.7 | ||||||||||||||||
249,770 | Merck & Co., Inc. | 10,225,584 | 1.6 | ||||||||||||||||
572,181 | Pfizer, Inc. | 14,350,300 | 2.2 | ||||||||||||||||
58,904 | @ | Watson Pharmaceuticals, Inc. | 5,065,744 | 0.8 | |||||||||||||||
256,506 | Other Securities | 15,137,629 | 2.4 | ||||||||||||||||
71,553,551 | 11.1 | ||||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Industrials: 9.4% | |||||||||||||||||||
103,454 | Danaher Corp. | $ | 5,783,079 | 0.9 | |||||||||||||||
95,034 | Equifax, Inc. | 5,143,240 | 0.8 | ||||||||||||||||
88,660 | General Dynamics Corp. | 6,141,478 | 0.9 | ||||||||||||||||
402,803 | General Electric Co. | 8,454,835 | 1.3 | ||||||||||||||||
39,428 | Roper Industries, Inc. | 4,395,433 | 0.7 | ||||||||||||||||
61,589 | Union Pacific Corp. | 7,742,969 | 1.2 | ||||||||||||||||
710,289 | Other Securities | 23,030,206 | 3.6 | ||||||||||||||||
60,691,240 | 9.4 | ||||||||||||||||||
Information Technology: 19.1% | |||||||||||||||||||
51,417 | Apple, Inc. | 27,406,804 | 4.3 | ||||||||||||||||
511,651 | Cisco Systems, Inc. | 10,053,942 | 1.6 | ||||||||||||||||
180,595 | @ | EMC Corp. | 4,569,054 | 0.7 | |||||||||||||||
19,047 | @ | Google, Inc. — Class A | 13,511,370 | 2.1 | |||||||||||||||
37,779 | International Business Machines Corp. | 7,236,567 | 1.1 | ||||||||||||||||
523,948 | Microsoft Corp. | 14,005,130 | 2.2 | ||||||||||||||||
164,537 | @ | NetApp, Inc. | 5,520,216 | 0.9 | |||||||||||||||
335,221 | Oracle Corp. | 11,169,564 | 1.7 | ||||||||||||||||
39,152 | Visa, Inc. | 5,934,660 | 0.9 | ||||||||||||||||
793,208 | Other Securities | 23,456,029 | 3.6 | ||||||||||||||||
122,863,336 | 19.1 | ||||||||||||||||||
Materials: 3.2% | |||||||||||||||||||
82,026 | Eastman Chemical Co. | 5,581,869 | 0.9 | ||||||||||||||||
296,892 | Other Securities | 14,893,117 | 2.3 | ||||||||||||||||
20,474,986 | 3.2 | ||||||||||||||||||
Telecommunication Services: 3.2% | |||||||||||||||||||
198,080 | AT&T, Inc. | 6,677,277 | 1.1 | ||||||||||||||||
241,742 | Verizon Communications, Inc. | 10,460,177 | 1.6 | ||||||||||||||||
86,936 | Other Securities | 3,400,936 | 0.5 | ||||||||||||||||
20,538,390 | 3.2 | ||||||||||||||||||
Utilities: 4.3% | |||||||||||||||||||
267,835 | CenterPoint Energy, Inc. | 5,155,824 | 0.8 | ||||||||||||||||
85,460 | DTE Energy Co. | 5,131,873 | 0.8 | ||||||||||||||||
77,237 | Entergy Corp. | 4,923,859 | 0.8 | ||||||||||||||||
264,514 | NV Energy, Inc. | 4,798,284 | 0.7 | ||||||||||||||||
284,763 | Other Securities | 7,480,147 | 1.2 | ||||||||||||||||
27,489,987 | 4.3 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $598,166,378) | 639,015,114 | 99.4 |
ING INDEX PLUS LARGECAP PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 0.9% | |||||||||||||||||||
Securities Lending Collateralcc(1): 0.2% | |||||||||||||||||||
1,000,000 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,000,011, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $1,020,000, due 10/01/16–12/20/42) | $ | 1,000,000 | 0.1 | |||||||||||||||
17,746 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.14%, due 01/02/13 (Repurchase Amount $17,746, collateralized by various U.S. Government Agency Obligations, 0.500%–6.000%, Market Value plus accrued interest $18,101, due 08/09/13–04/18/36) | 17,746 | 0.0 | ||||||||||||||||
636,881 | Royal Bank of Canada, Repurchase Agreement dated 12/31/12, 0.15%, due 01/02/13 (Repurchase Amount $636,886, collateralized by various U.S. Government Securities, 0.125%–2.000%, Market Value plus accrued interest $649,619, due 07/15/14–08/15/22) | 636,881 | 0.1 | ||||||||||||||||
1,654,627 | 0.2 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Mutual Funds: 0.7% | |||||||||||||||||||
4,420,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | ||||||||||||||||||
(Cost $4,420,000) | $ | 4,420,000 | 0.7 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $6,074,627) | 6,074,627 | 0.9 | |||||||||||||||||
Total Investments in Securities (Cost $604,241,005) | $ | 645,089,741 | 100.3 | ||||||||||||||||
Liabilities in Excess of Other Assets | (1,706,795 | ) | (0.3 | ) | |||||||||||||||
Net Assets | $ | 643,382,946 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
(a) | This grouping contains securities on loan. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 48,901,171 | ||||
Gross Unrealized Depreciation | (11,697,004 | ) | ||||
Net Unrealized Appreciation | $ | 37,204,167 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 12/31/2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock* | $ | 639,015,114 | $ | — | $ | — | $ | 639,015,114 | ||||||||||
Short-Term Investments | 4,420,000 | 1,654,627 | — | 6,074,627 | ||||||||||||||
Total Investments, at fair value | $ | 643,435,114 | $ | 1,654,627 | $ | — | $ | 645,089,741 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | $ | (37,376 | ) | $ | — | $ | — | $ | (37,376 | ) | ||||||||
Total Liabilities | $ | (37,376 | ) | $ | — | $ | — | $ | (37,376 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
ING INDEX PLUS LARGECAP PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
S&P 500 E-Mini | 40 | 03/15/13 | $ | 2,840,200 | $ | (37,376 | ) | |||||||||||
$ | 2,840,200 | $ | (37,376 | ) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||
---|---|---|---|---|---|---|---|---|
Liability Derivatives | ||||||||
Equity contracts | Net Assets — Unrealized depreciation* | $ | 37,376 | |||||
Total Asset Derivatives | $ | 37,376 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 1,319,753 | ||||
Total | $ | 1,319,753 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | (120,629 | ) | |||
Total | $ | (120,629 | ) |
ING INDEX PLUS MIDCAP PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 99.8% | |||||||||||||||||||
Consumer Discretionary: 12.9% | |||||||||||||||||||
57,226 | Advance Auto Parts, Inc. | $ | 4,140,301 | 0.7 | |||||||||||||||
107,489 | @ | Bally Technologies, Inc. | 4,805,833 | 0.8 | |||||||||||||||
135,723 | Brinker International, Inc. | 4,206,056 | 0.7 | ||||||||||||||||
187,217 | Foot Locker, Inc. | 6,013,410 | 1.0 | ||||||||||||||||
85,277 | @ | Life Time Fitness, Inc. | 4,196,481 | 0.7 | |||||||||||||||
187,378 | @ | LKQ Corp. | 3,953,676 | 0.6 | |||||||||||||||
1,718,881 | Other Securities(a) | 51,229,868 | 8.4 | ||||||||||||||||
78,545,625 | 12.9 | ||||||||||||||||||
Consumer Staples: 3.3% | |||||||||||||||||||
549,804 | Other Securities | 20,124,214 | 3.3 | ||||||||||||||||
Energy: 6.5% | |||||||||||||||||||
232,976 | @ | Bill Barrett Corp. | 4,144,643 | 0.7 | |||||||||||||||
177,043 | HollyFrontier Corp. | 8,241,352 | 1.4 | ||||||||||||||||
268,873 | @ | Superior Energy Services | 5,571,048 | 0.9 | |||||||||||||||
583,156 | Other Securities | 21,395,455 | 3.5 | ||||||||||||||||
39,352,498 | 6.5 | ||||||||||||||||||
Financials: 22.3% | |||||||||||||||||||
56,962 | @ | Affiliated Managers Group, Inc. | 7,413,604 | 1.2 | |||||||||||||||
125,368 | American Campus Communities, Inc. | 5,783,226 | 0.9 | ||||||||||||||||
285,800 | Fidelity National Financial, Inc. | 6,730,590 | 1.1 | ||||||||||||||||
193,724 | First American Financial Corp. | 4,666,811 | 0.8 | ||||||||||||||||
54,305 | Jones Lang LaSalle, Inc. | 4,558,362 | 0.7 | ||||||||||||||||
167,531 | National Retail Properties, Inc. | 5,226,967 | 0.9 | ||||||||||||||||
107,333 | Raymond James Financial, Inc. | 4,135,541 | 0.7 | ||||||||||||||||
88,460 | Reinsurance Group of America, Inc. | 4,734,379 | 0.8 | ||||||||||||||||
66,532 | @ | Signature Bank | 4,746,393 | 0.8 | |||||||||||||||
249,400 | UDR, Inc. | 5,930,732 | 1.0 | ||||||||||||||||
194,836 | Weingarten Realty Investors | 5,215,760 | 0.8 | ||||||||||||||||
3,226,823 | Other Securities(a) | 76,730,889 | 12.6 | ||||||||||||||||
135,873,254 | 22.3 | ||||||||||||||||||
Health Care: 10.2% | |||||||||||||||||||
67,176 | Cooper Cos., Inc. | 6,212,437 | 1.0 | ||||||||||||||||
58,235 | @ | Mednax, Inc. | 4,630,847 | 0.8 | |||||||||||||||
26,756 | @ | Regeneron Pharmaceuticals, Inc. | 4,577,149 | 0.7 | |||||||||||||||
161,130 | L | Resmed, Inc. | 6,698,174 | 1.1 | |||||||||||||||
110,491 | @ | Thoratec Corp. | 4,145,622 | 0.7 | |||||||||||||||
73,782 | @ | United Therapeutics Corp. | 3,941,434 | 0.6 | |||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Health Care: (continued) | |||||||||||||||||||
105,252 | Universal Health Services, Inc. | $ | 5,088,934 | 0.8 | |||||||||||||||
167,557 | @ | Vertex Pharmaceuticals, Inc. | 7,027,341 | 1.2 | |||||||||||||||
458,085 | Other Securities | 19,838,001 | 3.3 | ||||||||||||||||
62,159,939 | 10.2 | ||||||||||||||||||
Industrials: 17.5% | |||||||||||||||||||
78,560 | Acuity Brands, Inc. | 5,320,869 | 0.9 | ||||||||||||||||
112,302 | @ | Alaska Air Group, Inc. | 4,839,093 | 0.8 | |||||||||||||||
236,722 | Ametek, Inc. | 8,893,646 | 1.4 | ||||||||||||||||
134,062 | @ | BE Aerospace, Inc. | 6,622,663 | 1.1 | |||||||||||||||
77,204 | @ | Clean Harbors, Inc. | 4,246,992 | 0.7 | |||||||||||||||
133,138 | Corrections Corp. of America | 4,722,405 | 0.8 | ||||||||||||||||
72,264 | Regal-Beloit Corp. | 5,092,444 | 0.8 | ||||||||||||||||
162,453 | Waste Connections, Inc. | 5,489,287 | 0.9 | ||||||||||||||||
1,709,504 | Other Securities | 61,447,460 | 10.1 | ||||||||||||||||
106,674,859 | 17.5 | ||||||||||||||||||
Information Technology: 15.1% | |||||||||||||||||||
42,197 | @, L | Alliance Data Systems Corp. | 6,108,438 | 1.0 | |||||||||||||||
94,205 | @ | Ansys, Inc. | 6,343,765 | 1.0 | |||||||||||||||
104,416 | @ | Gartner, Inc. | 4,805,224 | 0.8 | |||||||||||||||
265,300 | @ | Ingram Micro, Inc. | 4,488,876 | 0.7 | |||||||||||||||
124,622 | @ | Micros Systems, Inc. | 5,288,958 | 0.9 | |||||||||||||||
295,812 | @ | Riverbed Technolgoy, Inc. | 5,833,412 | 0.9 | |||||||||||||||
2,663,967 | Other Securities | 59,456,313 | 9.8 | ||||||||||||||||
92,324,986 | 15.1 | ||||||||||||||||||
Materials: 7.5% | |||||||||||||||||||
291,932 | Commercial Metals Co. | 4,338,110 | 0.7 | ||||||||||||||||
50,635 | Domtar Corp. | 4,229,035 | 0.7 | ||||||||||||||||
162,190 | Packaging Corp. of America | 6,239,449 | 1.0 | ||||||||||||||||
62,699 | Rock-Tenn Co. | 4,383,287 | 0.7 | ||||||||||||||||
335,114 | Steel Dynamics, Inc. | 4,601,115 | 0.8 | ||||||||||||||||
165,105 | Worthington Industries | 4,291,079 | 0.7 | ||||||||||||||||
412,553 | Other Securities(a) | 17,680,426 | 2.9 | ||||||||||||||||
45,762,501 | 7.5 | ||||||||||||||||||
Telecommunication Services: 0.4% | |||||||||||||||||||
68,914 | Other Securities | 2,567,096 | 0.4 | ||||||||||||||||
Utilities: 4.1% | |||||||||||||||||||
209,230 | Great Plains Energy, Inc. | 4,249,461 | 0.7 | ||||||||||||||||
338,976 | NV Energy, Inc. | 6,149,025 | 1.0 | ||||||||||||||||
370,143 | Other Securities | 14,447,575 | 2.4 | ||||||||||||||||
24,846,061 | 4.1 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $578,636,413) | 608,231,033 | 99.8 |
ING INDEX PLUS MIDCAP PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 2.1% | |||||||||||||||||||
Securities Lending Collateralcc(1): 1.7% | |||||||||||||||||||
2,467,157 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $2,467,198, collateralized by various U.S. Government Agency Obligations, 3.500%–5.500%, Market Value plus accrued interest $2,516,500, due 08/01/27–01/01/43) | $ | 2,467,157 | 0.4 | |||||||||||||||
2,467,157 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $2,467,184, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $2,516,500, due 10/01/16–12/20/42) | 2,467,157 | 0.4 | ||||||||||||||||
519,250 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $519,255, collateralized by various U.S. Government Securities, 0.750%–1.625%, Market Value plus accrued interest $529,636, due 10/31/17–08/15/22) | 519,250 | �� | 0.1 | |||||||||||||||
2,467,157 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $2,467,182, collateralized by various U.S. Government Agency Obligations, 0.500%–6.000%, Market Value plus accrued interest $2,516,501, due 08/09/13–06/20/42) | 2,467,157 | 0.4 | ||||||||||||||||
2,467,157 | Nomura Securities, Repurchase Agreement dated 12/31/12, 0.35%, due 01/02/13 (Repurchase Amount $2,467,204, collateralized by various U.S. Government Agency Obligations, 0.000%–6.101%, Market Value plus accrued interest $2,516,500, due 03/10/14–12/20/42) | 2,467,157 | 0.4 | ||||||||||||||||
10,387,878 | 1.7 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Mutual Funds: 0.4% | |||||||||||||||||||
2,534,681 | BlackRock Liquidity Funds, TempFund, Institutional Class | ||||||||||||||||||
(Cost $2,534,681) | $ | 2,534,681 | 0.4 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $12,922,559) | 12,922,559 | 2.1 | |||||||||||||||||
Total Investments in Securities (Cost $591,558,972) | $ | 621,153,592 | 101.9 | ||||||||||||||||
Liabilities in Excess of Other Assets | (11,863,541 | ) | (1.9 | ) | |||||||||||||||
Net Assets | $ | 609,290,051 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
(a) | This grouping contains securities on loan. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 46,685,640 | ||||
Gross Unrealized Depreciation | (23,278,962 | ) | ||||
Net Unrealized Appreciation | $ | 23,406,678 |
ING INDEX PLUS MIDCAP PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 12/31/2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock* | $ | 608,231,033 | $ | — | $ | — | $ | 608,231,033 | ||||||||||
Short-Term Investments | 2,534,681 | 10,387,878 | — | 12,922,559 | ||||||||||||||
Total Investments, at fair value | $ | 610,765,714 | $ | 10,387,878 | $ | — | $ | 621,153,592 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 25,690 | — | — | 25,690 | ||||||||||||||
Total Assets | $ | 610,791,404 | $ | 10,387,878 | $ | — | $ | 621,179,282 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
S&P Mid 400 E-Mini | 15 | 03/15/13 | $ | 1,527,150 | $ | 25,690 | ||||||||||||
$ | 1,527,150 | $ | 25,690 |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||
---|---|---|---|---|---|---|---|---|
Asset Derivatives | ||||||||
Equity contracts | Net Assets — Unrealized appreciation* | $ | 25,690 | |||||
Total Asset Derivatives | $ | 25,690 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 2,828,666 | ||||
Total | $ | 2,828,666 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | (375,498 | ) | |||
Total | $ | (375,498 | ) |
ING INDEX PLUS SMALLCAP PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 99.8% | |||||||||||||||||||
Consumer Discretionary: 15.9% | |||||||||||||||||||
37,281 | @ | Childrens Place Retail Stores, Inc. | $ | 1,651,175 | 0.6 | ||||||||||||||
32,570 | @, L | Coinstar, Inc. | 1,693,966 | 0.7 | |||||||||||||||
28,372 | @ | DineEquity, Inc. | 1,900,924 | 0.7 | |||||||||||||||
90,281 | Finish Line | 1,709,019 | 0.7 | ||||||||||||||||
36,050 | @ | Hibbett Sporting Goods, Inc. | 1,899,835 | 0.7 | |||||||||||||||
112,664 | La-Z-Boy, Inc. | 1,594,196 | 0.6 | ||||||||||||||||
29,289 | @ | Papa John’s International, Inc. | 1,609,138 | 0.6 | |||||||||||||||
58,278 | Pool Corp. | 2,466,325 | 0.9 | ||||||||||||||||
43,643 | Wolverine World Wide, Inc. | 1,788,490 | 0.7 | ||||||||||||||||
1,323,971 | Other Securities(a) | 25,677,221 | 9.7 | ||||||||||||||||
41,990,289 | 15.9 | ||||||||||||||||||
Consumer Staples: 3.7% | |||||||||||||||||||
40,893 | Casey’s General Stores, Inc. | 2,171,418 | 0.8 | ||||||||||||||||
38,692 | Sanderson Farms, Inc. | 1,839,804 | 0.7 | ||||||||||||||||
172,257 | Other Securities | 5,690,989 | 2.2 | ||||||||||||||||
9,702,211 | 3.7 | ||||||||||||||||||
Energy: 3.6% | |||||||||||||||||||
517,289 | Other Securities(a) | 9,509,201 | 3.6 | ||||||||||||||||
Financials: 21.4% | |||||||||||||||||||
48,873 | Cash America International, Inc. | 1,938,792 | 0.7 | ||||||||||||||||
56,226 | EPR Properties | 2,592,581 | 1.0 | ||||||||||||||||
101,364 | LaSalle Hotel Properties | 2,573,632 | 1.0 | ||||||||||||||||
21,149 | @ | Portfolio Recovery Associates, Inc. | 2,259,982 | 0.8 | |||||||||||||||
62,190 | ProAssurance Corp. | 2,623,796 | 1.0 | ||||||||||||||||
62,941 | @ | Stifel Financial Corp. | 2,012,224 | 0.8 | |||||||||||||||
229,836 | Susquehanna Bancshares, Inc. | 2,408,681 | 0.9 | ||||||||||||||||
87,249 | Tanger Factory Outlet Centers, Inc. | 2,983,916 | 1.1 | ||||||||||||||||
55,727 | Wintrust Financial Corp. | 2,045,181 | 0.8 | ||||||||||||||||
22,150 | @, L | World Acceptance, Corp. | 1,651,504 | 0.6 | |||||||||||||||
1,404,756 | Other Securities | 33,421,470 | 12.7 | ||||||||||||||||
56,511,759 | 21.4 | ||||||||||||||||||
Health Care: 11.3% | |||||||||||||||||||
31,508 | Chemed Corp. | 2,161,134 | 0.8 | ||||||||||||||||
50,582 | @ | Haemonetics Corp. | 2,065,769 | 0.8 | |||||||||||||||
86,080 | @ | Medicines Co. | 2,063,337 | 0.8 | |||||||||||||||
15,944 | @ | MWI Veterinary Supply, Inc. | 1,753,840 | 0.7 | |||||||||||||||
40,506 | @ | Salix Pharmaceuticals Ltd. | 1,639,683 | 0.6 | |||||||||||||||
1,063,782 | Other Securities(a) | 20,014,317 | 7.6 | ||||||||||||||||
29,698,080 | 11.3 | ||||||||||||||||||
COMMON STOCK: (continued) | |||||||||||||||||||
Industrials: 16.1% | |||||||||||||||||||
89,225 | Actuant Corp. | $ | 2,490,270 | 1.0 | |||||||||||||||
27,088 | @ | Allegiant Travel Co. | 1,988,530 | 0.8 | |||||||||||||||
68,703 | Barnes Group, Inc. | 1,543,069 | 0.6 | ||||||||||||||||
58,648 | Brady Corp. | 1,958,843 | 0.7 | ||||||||||||||||
43,541 | @ | EnerSys | 1,638,448 | 0.6 | |||||||||||||||
39,689 | @ | EnPro Industries, Inc. | 1,623,280 | 0.6 | |||||||||||||||
45,879 | Forward Air Corp. | 1,606,224 | 0.6 | ||||||||||||||||
48,237 | @ | HUB Group, Inc. | 1,620,763 | 0.6 | |||||||||||||||
35,820 | @ | Teledyne Technologies, Inc. | 2,330,808 | 0.9 | |||||||||||||||
66,655 | @ | Tetra Tech, Inc. | 1,763,025 | 0.7 | |||||||||||||||
63,497 | Toro Co. | 2,729,101 | 1.0 | ||||||||||||||||
49,873 | Watts Water Technologies, Inc. | 2,144,040 | 0.8 | ||||||||||||||||
634,218 | Other Securities | 19,078,769 | 7.2 | ||||||||||||||||
42,515,170 | 16.1 | ||||||||||||||||||
Information Technology: 18.7% | |||||||||||||||||||
39,178 | @ | CACI International, Inc. | 2,155,965 | 0.8 | |||||||||||||||
32,729 | @ | Coherent, Inc. | 1,656,742 | 0.6 | |||||||||||||||
31,214 | @ | Commvault Systems, Inc. | 2,175,928 | 0.8 | |||||||||||||||
75,510 | @ | LogMeIn, Inc. | 1,692,179 | 0.6 | |||||||||||||||
26,884 | MAXIMUS, Inc. | 1,699,606 | 0.7 | ||||||||||||||||
81,514 | MKS Instruments, Inc. | 2,101,431 | 0.8 | ||||||||||||||||
65,397 | @ | Plexus Corp. | 1,687,243 | 0.6 | |||||||||||||||
44,763 | @ | SYNNEX Corp. | 1,538,952 | 0.6 | |||||||||||||||
1,824,314 | Other Securities | 34,681,094 | 13.2 | ||||||||||||||||
49,389,140 | 18.7 | ||||||||||||||||||
Materials: 6.1% | |||||||||||||||||||
66,243 | Buckeye Technologies, Inc. | 1,901,837 | 0.7 | ||||||||||||||||
71,384 | HB Fuller Co. | 2,485,591 | 1.0 | ||||||||||||||||
59,606 | Worthington Industries | 1,549,160 | 0.6 | ||||||||||||||||
392,665 | Other Securities | 10,117,468 | 3.8 | ||||||||||||||||
16,054,056 | 6.1 | ||||||||||||||||||
Telecommunication Services: 0.0% | |||||||||||||||||||
28,695 | Other Securities | 73,746 | 0.0 | ||||||||||||||||
Utilities: 3.0% | |||||||||||||||||||
60,878 | El Paso Electric Co. | 1,942,617 | 0.8 | ||||||||||||||||
134,029 | Other Securities | 5,846,011 | 2.2 | ||||||||||||||||
7,788,628 | 3.0 | ||||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $253,415,553) | 263,232,280 | 99.8 | |||||||||||||||||
RIGHTS: —% | |||||||||||||||||||
Materials: —% | |||||||||||||||||||
15,300 | Other Securities | — | — | ||||||||||||||||
Total Rights | |||||||||||||||||||
(Cost $—) | — | — | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $253,415,553) | 263,232,280 | 99.8 |
ING INDEX PLUS SMALLCAP PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 2.8% | |||||||||||||||||||
Securities Lending Collateralcc(1): 2.6% | |||||||||||||||||||
1,614,360 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,614,387, collateralized by various U.S. Government Agency Obligations, 3.500%–5.500%, Market Value plus accrued interest $1,646,647, due 08/01/27–01/01/43) | $ | 1,614,360 | 0.6 | |||||||||||||||
1,614,360 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,614,378, collateralized by various U.S. Government Agency Obligations, 0.000%–6.500%, Market Value plus accrued interest $1,646,647, due 10/01/16–12/20/42) | 1,614,360 | 0.6 | ||||||||||||||||
339,762 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $339,765, collateralized by various U.S. Government Securities, 0.750%–1.625%, Market Value plus accrued interest $346,558, due 10/31/17–08/15/22) | 339,762 | 0.2 | ||||||||||||||||
1,614,360 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.15%–0.19%, due 01/02/13 (Repurchase Amount $1,614,377, collateralized by various U.S. Government Agency Obligations, 0.500%–6.000%, Market Value plus accrued interest $1,646,647, due 08/09/13–06/20/42) | 1,614,360 | 0.6 | ||||||||||||||||
1,614,360 | Nomura Securities, Repurchase Agreement dated 12/31/12, 0.35%, due 01/02/13 (Repurchase Amount $1,614,391, collateralized by various U.S. Government Agency Obligations, 0.000%–6.101%, Market Value plus accrued interest $1,646,647, due 03/10/14–12/20/42) | 1,614,360 | 0.6 | ||||||||||||||||
6,797,202 | 2.6 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Mutual Funds: 0.2% | |||||||||||||||||||
627,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | ||||||||||||||||||
(Cost $627,000) | $ | 627,000 | 0.2 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $7,424,202) | 7,424,202 | 2.8 | |||||||||||||||||
Total Investments in Securities (Cost $260,839,755) | $ | 270,656,482 | 102.6 | ||||||||||||||||
Liabilities in Excess of Other Assets | (6,910,742 | ) | (2.6 | ) | |||||||||||||||
Net Assets | $ | 263,745,740 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
(a) | This grouping contains securities on loan. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 20,947,617 | ||||
Gross Unrealized Depreciation | (13,161,253 | ) | ||||
Net Unrealized Appreciation | $ | 7,786,364 |
ING INDEX PLUS SMALLCAP PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2012 (CONTINUED) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 12/31/2012 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Common Stock* | $ | 263,232,280 | $ | — | $ | — | $ | 263,232,280 | ||||||||||
Rights | — | — | — | — | ||||||||||||||
Short-Term Investments | 627,000 | 6,797,202 | — | 7,424,202 | ||||||||||||||
Total Investments, at fair value | $ | 263,859,280 | $ | 6,797,202 | $ | — | $ | 270,656,482 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 236 | — | — | 236 | ||||||||||||||
Total Assets | $ | 263,859,516 | $ | 6,797,202 | $ | — | $ | 270,656,718 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
Russell 2000® Mini Index | 2 | 03/15/13 | $ | 169,320 | $ | 236 | ||||||||||||
$ | 169,320 | $ | 236 |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||
---|---|---|---|---|---|---|---|---|
Asset Derivatives | ||||||||
Equity contracts | Net Assets — Unrealized appreciation* | $ | 236 | |||||
Total Asset Derivatives | $ | 236 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | 1,018,367 | ||||
Total | $ | 1,018,367 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||
---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||
Equity contracts | $ | (61,697 | ) | |||
Total | $ | (61,697 | ) |
Portfolio Name | Type | Per Share Amount | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
ING Index Plus LargeCap Portfolio | ||||||||||
Class I | NII | $ | 0.2358 | |||||||
Class S | NII | $ | 0.1953 | |||||||
ING Index Plus MidCap Portfolio | ||||||||||
Class I | NII | $ | 0.1485 | |||||||
Class S | NII | $ | 0.1031 | |||||||
ING Index Plus SmallCap Portfolio | ||||||||||
Class I | NII | $ | 0.0822 | |||||||
Class S | NII | $ | 0.0422 |
ING Index Plus LargeCap Portfolio | 100.00 | % | ||||
ING Index Plus MidCap Portfolio | 100.00 | % | ||||
ING Index Plus SmallCap Portfolio | 100.00 | % |
Name, Address and Age | Position(s) Held with the Company | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years and Other Relevant Experience, Attributes, and Skills(1) | Number of Portfolios in Fund Complex Overseen by Director(2) | Other Board Positions Held by Director During the Past Five Years | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Directors: | |||||||||||||
Dr. Albert E. DePrince, Jr. 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 71 | Chairman/Director | June 1998–Present | Professor of Economics and Finance, Middle Tennessee State University (August 1991–Present) and various positions with Academy of Economics and Finance (2003–2012). Formerly, Director of Business and Economics Research Center, Middle Tennessee State University (1999–2002); Chief Economist, Marine Midland Bank (1987–1990); various positions, Marine Midland Bank (1978–1990); and Economist, Federal Reserve Bank of New York (1969–1978). Ph.D. in Economics. Director of Academy of Economics and Finance (February 2001–February 2003). Published numerous scholarly papers and journal articles in the areas of financial markets, financial institutions and monetary policy. | 35 | None. | ||||||||
Martin J. Gavin 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 62 | Director | January 2009– June 2010 July 2011– Present | President and Chief Executive Officer, Connecticut Children’s Medical Center (May 2006– Present). Formerly, Interim President, Connecticut Children’s Medical Center (January 2006–May 2006); various positions for the Phoenix Companies, Inc. (1984–2000); Assistant Vice President, CNA Insurance Company, Inc. (1980–1984); and various positions at CIGNA Corporation (1973–1980). | 35 | None. | ||||||||
Russell H. Jones 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 68 | Director | December 2007–Present | Retired. Director, Hill — Stead Museum (non-profit) (2008–Present). Formerly, Senior Vice President, Chief Investment Officer and Treasurer, and other various positions including Principal Investor Relations Officer, Principal Public Relations Officer, and Corporate Parent Treasurer, Kaman Corporation, an aerospace and industrial distribution manufacturer (April 1973–March 2008); President, Hartford Area Business Economists (1986–1987); and Corporate Loan Officer and Credit Analyst, Hartford National Bank (July 1966–April 1973). Certified AARP Tax Counselor (2011). | 35 | Independent Director, CIGNA Mutual Funds (8 funds), Chair of Contracts Committee (1995–2005). |
Name, Address and Age | Position(s) Held with the Company | Term of Office and Length of Time Served | Principal Occupation(s) During the Past 5 Years and Other Relevant Experience, Attributes, and Skills(1) | Number of Portfolios in Fund Complex Overseen by Director(2) | Other Board Positions Held by Director During the Past Five Years | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sidney Koch 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age:77 | Director | April 1994–Present | Retired. Self-Employed Consultant (June 2000–Present). Formerly, Senior Adviser, Hambro America, Inc. (1993–2000) and Executive Vice President of Investment Banking, Daiwa Securities America, Inc. (1986–1993). | 35 | None. | ||||||||||||||||||
Joseph E. Obermeyer 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 55 | Director | January 2003–Present | President, Obermeyer & Associates, Inc., a provider of financial and economic consulting services (November 1999–Present). Formerly, Senior Manager, Arthur Andersen LLP (1995–1999); Senior Manager, Coopers & Lybrand, LLP (1993–1995); Manager, Price Waterhouse (1988–1993); Second Vice President, Smith Barney (1985–1988); and Consultant, Arthur Andersen & Co. (1984–1985). | 35 | None. | ||||||||||||||||||
Director who is an “Interested Person” | |||||||||||||||||||||||
Shaun P. Mathews(3) 7337 E. Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | Director | December 2007–Present | President and Chief Executive Officer, ING Investments, LLC (November 2006–Present). | 182 | ING Capital Corporation, LLC and ING Investments Distributor, LLC (December 2005–Present); ING Funds Services, LLC, ING Investments, LLC and ING Investment Management, LLC (March 2006–Present); and ING Investment Trust Co. (April 2009–Present). |
(1) | The information reported includes the principle occupation during the last five years for each Director and other information relating to the professional experiences, attributes and skills relevant to each Director’s qualifications to serve as a Director. |
(2) �� | Except for Mr. Mathews and for the purposes of this table “Fund Complex” means the following investment companies: ING Balanced Portfolio, Inc.; ING Intermediate Bond Portfolio; ING Money Market Portfolio; ING Series Fund, Inc.; ING Strategic Allocation Portfolios, Inc.; ING Variable Funds; and ING Variable Portfolios, Inc. For Mr. Mathews, the ING Fund Complex also includes the following investment companies: ING Asia Pacific High Dividend Equity Income Fund; ING Emerging Markets High Dividend Equity Fund; ING Emerging Markets Local Bond Fund; ING Equity Trust; ING Funds Trust; ING Global Equity Dividend and Premium Opportunity Fund; ING Global Advantage and Premium Opportunity Fund; ING Global Strategic Income Fund; ING Infrastructure, Industrials and Materials Fund; ING International High Dividend Equity Income Fund; ING Investors Trust; ING Mayflower Trust; ING Mutual Funds; ING Partners, Inc.; ING Prime Rate Trust; ING Risk Managed Natural Resources Fund; ING Senior Income Fund; ING Separate Portfolios Trust; ING Short Duration High Income Fund; ING Variable Insurance Trust; and ING Variable Products Trust. Therefore, for the purposes of this table with reference to Mr. Mathews, “Fund Complex” includes these investment companies. The number of funds in the ING Fund Complex is as of January 31, 2013. |
(3) | “Interested Person,” by virtue of this Director’s current or prior affiliation with any of the Portfolios, ING or any of ING’s affiliates. |
Name, Address and Age | Position(s) Held With the Company | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Shaun P. Mathews 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 57 | President and Chief Executive Officer | December 2006–Present | President and Chief Executive Officer, ING Investments, LLC (November 2006–Present). | |||||||||||
Michael J. Roland 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Executive Vice President | April 2002–Present | Managing Director and Chief Operating Officer, ING Investments, LLC and ING Funds Services, LLC (April 2012–Present) and Chief Compliance Officer, Directed Services LLC and ING Investments, LLC (March 2011–Present). Formerly, Executive Vice President and Chief Operating Officer, ING Investments, LLC and ING Funds Services, LLC (January 2007–April 2012) and Chief Compliance Officer, ING Funds (March 2011–February 2012). | |||||||||||
Stanley D. Vyner 230 Park Avenue New York, New York 10169 Age: 62 | Executive Vice President | March 2002–Present | Executive Vice President, ING Investments, LLC (July 2000–Present) and Chief Investment Risk Officer, ING Investments, LLC (January 2003–Present). | |||||||||||
Kevin M. Gleason 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 46 | Chief Compliance Officer | February 2012–Present | Senior Vice President, ING Investments, LLC (February 2012–Present). Formerly, Assistant General Counsel and Assistant Secretary, The Northwestern Mutual Life Insurance Company (June 2004–January 2012). | |||||||||||
Kimberly A. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 48 | Senior Vice President | December 2003–Present | Senior Vice President, ING Investments, LLC (October 2003–Present). | |||||||||||
Todd Modic 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Senior Vice President, Chief/Principal Financial Officer and Assistant Secretary | March 2005–Present | Senior Vice President, ING Funds Services, LLC (March 2005–Present). | |||||||||||
Robert Terris 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 42 | Senior Vice President | June 2006–Present | Senior Vice President, Head of Division Operations, ING Funds Services, LLC (January 2006–Present). | |||||||||||
Julius A. Drelick, III 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 46 | Senior Vice President | September 2012–Present | Senior Vice President — Fund Compliance, ING Funds Services, LLC (June 2012–Present). Formerly, Vice President — Platform Product Management & Project Management, ING Investments, LLC (April 2007–June 2012). | |||||||||||
Robyn L. Ichilov 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 45 | Vice President | March 2002–Present | Vice President and Treasurer, ING Funds Services, LLC (November 1995–Present) and ING Investments, LLC (August 1997–Present). Formerly, Treasurer, ING Funds (November 1999–February 2012). | |||||||||||
Maria M. Anderson 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 54 | Vice President | September 2004–Present | Vice President, ING Funds Services, LLC (September 2004–Present). | |||||||||||
Lauren D. Bensinger 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 59 | Vice President | March 2003–Present | Vice President, ING Investments, LLC and ING Funds Services, LLC (February 1996–Present); Director of Compliance, ING Investments, LLC (October 2004–Present); and Vice President and Money Laundering Reporting Officer, ING Investments Distributor, LLC (April 2010– Present). Formerly, Chief Compliance Officer, ING Investments Distributor, LLC (August 1995–April 2010). | |||||||||||
Jason Kadavy 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 36 | Vice President | September 2012–Present | Vice President, ING Funds Services, LLC (July 2007–Present). |
Name, Address and Age | Position(s) Held With the Company | Term of Office and Length of Time Served(1) | Principal Occupation(s) — During the Past 5 Years | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Fred Bedoya 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 40 | Vice President and Treasurer | September 2012–Present | Vice President, ING Funds Services, LLC (March 2012–Present). Formerly, Assistant Vice President — Director, ING Funds Services, LLC (March 2003–March 2012). | |||||||||||
Kimberly K. Springer 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 55 | Vice President | March 2006–Present | Vice President — Platform Product Management & Project Management, ING Investments, LLC (July 2012–Present); Vice President, ING Investment Management — ING Funds (March 2010–Present) and Vice President, ING Funds Services, LLC (March 2006–Present). Formerly Managing Paralegal, Registration Statements (June 2003–July 2012). | |||||||||||
Craig Wheeler 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 43 | Assistant Vice President | June 2008–Present | Assistant Vice President — Director of Tax, ING Funds Services, LLC (March 2008–Present). Formerly, Tax Manager, ING Funds Services, LLC (March 2005–March 2008). | |||||||||||
Theresa K. Kelety 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 50 | Secretary | September 2003–Present | Vice President and Senior Counsel, ING Investment Management — ING Funds (March 2010–Present). Formerly, Senior Counsel, ING Americas, U.S. Legal Services (April 2008–March 2010) and Counsel, ING Americas, U.S. Legal Services (April 2003–April 2008). | |||||||||||
Huey P. Falgout, Jr. 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 49 | Assistant Secretary | September 2003–Present | Senior Vice President and Chief Counsel, ING Investment Management — ING Funds (March 2010–Present). Formerly, Chief Counsel, ING Americas, U.S. Legal Services (October 2003–March 2010). | |||||||||||
Paul A. Caldarelli 7337 East Doubletree Ranch Rd. Suite 100 Scottsdale, Arizona 85258 Age: 61 | Assistant Secretary | August 2010–Present | Vice President and Senior Counsel, ING Investment Management — ING Funds (March 2010–Present). Formerly, Senior Counsel, ING Americas, U.S. Legal Services (April 2008–March 2010) and Counsel, ING Americas, U.S. Legal Services (May 2005–April 2008). |
(1) | The Officers hold office until the next annual meeting of the Board of Directors and until their successors shall have been elected and qualified. |
Independent Counsel to review the information to be requested from management and the methodology to be used in determining the selected peer groups for comparing performance and expenses (the “Peer Group Methodology”). Prior to the August meeting, the Contracts Committee had engaged an independent consultant (the “Independent Consultant”) to evaluate, and make recommendations with respect to, the Peer Group Methodology. The Independent Consultant’s findings were reported to the Contracts Committee at a meeting of the Committee held on August 1-2, 2012 and incorporated into the Peer Group Methodology approved by the Board on August 2, 2012. The Contracts Committee then held meetings on September 11-13, 2012, October 15-16, 2012, November 29, 2012 and December 10-12, 2012, during which the Independent Trustees, meeting separately with Independent Counsel, reviewed and evaluated information relating to the Agreements, including the information described above. As part of the review process, the Contracts Committee met with representatives from the Adviser and/or the Sub-Advisers to discuss the information provided to the Committee. The Contracts Committee also considered information that had been provided by the Adviser and Sub-Advisers throughout the year at other meetings of the Contracts Committee, the Audit Committee, the Compliance Committee and the full Board.
funds and to standardize the asset management characteristics and policies across the ING mutual fund platform. The Board also considered the benefits that shareholders of the Funds realize because the Funds are part of the larger ING family of mutual funds, including, in most cases, the ability of shareholders to exchange or transfer investments within the same class of shares among a wide variety of mutual funds without incurring additional sales charges.
recognized the inherent difficulties in measuring precisely the impact of any economies of scale being realized by the Adviser and its affiliated companies with respect to their management of any one or more Funds. In an effort to determine the extent to which economies of scale, if any, will be realized by the Adviser and its affiliated companies as the assets of the Funds grow, the Board considered the profitability data described above relating to the Adviser and its affiliated companies in light of changes in the assets of the Funds over various time periods. The Board also reviewed information regarding the expense ratio of each Fund in light of changes in the assets of the Funds over various time periods, noting that, as the assets of a Fund increase, the fixed expenses of the Fund, as a percentage of the total assets of the Fund, can be expected to decrease. The Board considered such expense information in light of projections provided by the Adviser with respect to the future growth of assets of the Funds. The Board also considered the actions taken during 2012, consistent with prior undertakings provided by the Adviser to the Board, to implement new or additional breakpoints for the following Funds: ING WisdomTree Global High Yielding Equity Index Portfolio; ING Russell Mid Cap Growth Index Portfolio; ING Blackrock Science and Technology Opportunities Portfolio; ING Hang Seng Index Portfolio; ING Corporate Leaders 100 Fund; ING International Index Portfolio; ING Russell Large Cap Growth Index Portfolio; ING Russell Small Cap Index Portfolio; ING Russell Large Cap Index Portfolio; ING Russell Mid Cap Index Portfolio; and ING U.S. Bond Index Portfolio. Based upon the foregoing (and after giving effect to all new or additional breakpoints), the Board concluded that the economies of scale being realized by the Adviser and its affiliated companies do not require the implementation of new breakpoints or additional breakpoints, as the case may be, with respect to any other Fund at this time.
ING Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
ING Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
KPMG LLP
Two Financial Center
60 South Street
Boston, Massachusetts 02111
The Bank of New York Mellon
One Wall Street
New York, New York 10286
Goodwin Procter LLP
Exchange Place
53 State Street
Boston, Massachusetts 02109
VPAR-AIP (1212-021513)
Item 2. Code of Ethics.
As of the end of the period covered by this report, Registrant had adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the Code during the period covered by the report. The Registrant did not grant any waivers, including implicit waivers, from any provisions of the Code during the period covered by this report. The code of ethics is filed herewith pursuant to Item 10(a)(1), Exhibit 99.CODE ETH.
Item 3. Audit Committee Financial Expert.
The Board of Trustees has determined that Joseph Obermeyer is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Obermeyer is “independent” for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees: The aggregate fees billed for each of the last two fiscal years for professional services rendered by KPMG LLP (“KPMG”), the principal accountant for the audit of the registrant’s annual financial statements, for services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $374,307 for year ended December 31, 2012 and $354,392 for year ended December 31, 2011. |
(b) | Audit-Related Fees: The aggregate fees billed in each of the last two fiscal years for assurance and related services by KPMG that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $48,000 for year ended December 31, 2012 and $45,600 for year ended December 31, 2011. |
(c) | Tax Fees: The aggregate fees billed in each of the last two fiscal years for professional services rendered by KPMG for tax compliance, tax advice, and tax planning were $79,162 in the year ended December 31, 2012 and $81,600 in the year ended December 31, 2011. Such services included review of excise distribution calculations (if applicable), preparation of the Funds’ federal, state and excise tax returns, tax services related to mergers and routine consulting. |
(d) | All Other Fees: The aggregate fees billed in each of the last two fiscal years for products and services provided by KPMG, other than the services reported in paragraphs (a) through (c) of this Item were $12,444 in the year ended December 31, 2012 and $10,000 in the year ended December 31, 2011. |
(e) (1) | Audit Committee Pre-Approval Policies and Procedures |
AUDIT AND NON-AUDIT SERVICES
PRE-APPROVAL POLICY
I.
Statement of Principles
Under the Sarbanes-Oxley Act of 2002 (the “Act”), the Audit Committee of the Board of Directors or Trustees (the “Committee”) of the ING Funds (each a “Fund,” collectively, the “Funds”) set out under Paragraph I on Exhibit A to this Audit and Non-Audit Services Pre-Approval Policy (“Policy”) is responsible for the oversight of the work of the Funds’ independent auditors. As part of its responsibilities, the Committee must pre-approve the audit and non-audit services performed by the auditors in order to assure that the provision of these services does not impair the auditors’ independence from the Funds. The Committee has adopted, and the Board has ratified, this Policy, which sets out the procedures and conditions under which the services of the independent auditors may be pre-approved.
Under Securities and Exchange Commission (“SEC”) rules promulgated in accordance with the Act, the Funds’ may establish two different approaches to pre-approving audit and non-audit services. The Committee may approve services without consideration of specific case-by-case services (“general pre-approval”) or it may pre-approve specific services (“specific pre-approval”). The Committee believes that the combination of these approaches contemplated in this Policy results in an effective and efficient method for pre-approving audit and non-audit services to be performed by the Funds’ independent auditors. Under this Policy, services that are not of a type that may receive general pre-approval require specific pre-approval by the Committee. Any proposed services that exceed pre-approved cost levels or budgeted amounts will also require the Committee’s specific pre-approval.
For both types of approval, the Committee considers whether the subject services are consistent with the SEC’s rules on auditor independence and that such services are compatible with maintaining the auditors’ independence. The Committee also considers whether a particular audit firm is in the best position to provide effective and efficient services to the Funds. Reasons that the auditors are in the best position include the auditors’ familiarity with the Funds’ business, personnel, culture, accounting systems, risk profile, and other factors, and whether the services will enhance the Funds’ ability to manage and control risk or improve audit quality. Such factors will be considered as a whole, with no one factor being determinative.
The appendices attached to this Policy describe the audit, audit-related, tax-related, and other services that have the Committee’s general pre-approval. For any service that has been approved through general pre-approval, the general pre-approval will remain in place for a period 12 months from the date of pre-approval, unless the Committee determines that a different period is appropriate. The Committee will annually review and pre-approve the services that may be provided by the independent auditors without specific pre-approval. The Committee will revise the list of services subject to general pre-approval as appropriate. This Policy does not serve as a delegation to Fund management of the Committee’s duty to pre-approve services performed by the Funds’ independent auditors.
II.
Audit Services
The annual audit services engagement terms and fees are subject to the Committee’s specific pre-approval. Audit services are those services that are normally provided by auditors in connection with statutory and regulatory filings or engagements or those that generally only independent auditors can reasonably provide. They include the Funds’ annual financial statement audit and procedures that the independent auditors must perform in order to form an opinion on the Funds’ financial statements (e.g., information systems and procedural reviews and testing). The Committee will monitor the audit services engagement and approve any changes in terms, conditions or fees deemed by the Committee to be necessary or appropriate.
The Committee may grant general pre-approval to other audit services, such as statutory audits and services associated with SEC registration statements, periodic reports and other documents filed with the SEC or issued in connection with securities offerings.
The Committee has pre-approved the audit services listed on Appendix A. The Committee must specifically approve all audit services not listed on Appendix A.
III.
Audit-related Services
Audit-related services are assurance and related services that are reasonably related to the performance of the audit or the review of the Funds’ financial statements or are traditionally performed by the independent auditors. The Committee believes that the provision of audit-related services will not impair the independent auditors’ independence, and therefore may grant pre-approval to audit-related services. Audit-related services include accounting consultations related to accounting, financial reporting or disclosure matters not classified as “audit services;” assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities; agreed-upon or expanded audit procedures relating to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters; and assistance with internal control reporting requirements under Form N-SAR or Form N-CSR.
The Committee has pre-approved the audit-related services listed on Appendix B. The Committee must specifically approve all audit-related services not listed on Appendix B.
IV.
Tax Services
The Committee believes the independent auditors can provide tax services to the Funds, including tax compliance, tax planning, and tax advice, without compromising the auditors’ independence. Therefore, the Committee may grant general pre-approval with respect to tax services historically provided by the Funds’ independent auditors that do not, in the Committee’s view, impair auditor independence and that are consistent with the SEC’s rules on auditor independence.
The Committee will not grant pre-approval if the independent auditors initially recommends a transaction the sole business purpose of which is tax avoidance and the tax treatment of which may
2
not be supported in the Internal Revenue Code and related regulations. The Committee may consult outside counsel to determine that tax planning and reporting positions are consistent with this Policy.
The Committee has pre-approved the tax-related services listed on Appendix C. The Committee must specifically approve all tax-related services not listed on Appendix C.
V.
Other Services
The Committee believes it may grant approval of non-audit services that are permissible services for independent auditors to a Fund. The Committee has determined to grant general pre-approval to other services that it believes are routine and recurring, do not impair auditor independence, and are consistent with SEC rules on auditor independence.
The Committee has pre-approved the non-audit services listed on Appendix D. The Committee must specifically approve all non-audit services not listed on Appendix D.
A list of the SEC’s prohibited non-audit services is attached to this Policy as Appendix E. The SEC’s rules and relevant guidance should be consulted to determine the precise definitions of these impermissible services and the applicability of exceptions to certain of the SEC’s prohibitions.
VI.
Pre-approval of Fee levels and Budgeted Amounts
The Committee will annually establish pre-approval fee levels or budgeted amounts for audit, audit-related, tax and non-audit services to be provided to the Funds by the independent auditors. Any proposed services exceeding these levels or amounts require the Committee’s specific pre-approval. The Committee considers fees for audit and non-audit services when deciding whether to pre-approve services. The Committee may determine, for a pre-approval period of 12 months, the appropriate ratio between the total amount of fees for the Fund’s audit, audit-related, and tax services (including fees for services provided to Fund affiliates that are subject to pre-approval), and the total amount of fees for certain permissible non-audit services for the Fund classified as other services (including any such services provided to Fund affiliates that are subject to pre-approval).
VII.
Procedures
Requests or applications for services to be provided by the independent auditors will be submitted to management. If management determines that the services do not fall within those services generally pre-approved by the Committee and set out in the appendices to these procedures, management will submit the services to the Committee or its delagee. Any such submission will include a detailed description of the services to be rendered.
Notwithstanding this paragraph, the Committee will, on quarterly basis, receive from the independent auditors a list of services provided to date by the auditors during Pre-Approval Period.
3
VIII.
Delegation
The Committee may delegate pre-approval authority to one or more of the Committee’s members. Any member or members to whom such pre-approval authority is delegated must report any pre-approval decisions, including any pre-approved services, to the Committee at its next scheduled meeting. The Committee will identify any member to whom pre-approval authority is delegated in writing. The member will retain such authority for a period of 12 months from the date of pre-approval unless the Committee determines that a different period is appropriate. The period of delegated authority may be terminated by the Committee or at the option of the member.
IX.
Additional Requirements
The Committee will take any measures the Committee deems necessary or appropriate to oversee the work of the independent auditors and to assure the auditors’ independence from the Funds. This may include reviewing a formal written statement from the independent auditors delineating all relationships between the auditors and the Funds, consistent with Independence Standards Board No. 1, and discussing with the auditors their methods and procedures for ensuring independence.
Effective April 23, 2008, the KPMG LLP (“KPMG”) audit team for the ING Funds accepted the global responsibility for monitoring the auditor independence for KPMG relative to the ING Funds. Using a proprietary system called Sentinel, the audit team is able to identify and manage potential conflicts of interest across the member firms of the KPMG International Network and prevent the provision of prohibited services to the ING entities that would impair KPMG independence with the respect to the ING Funds. In addition to receiving pre-approval from the ING Funds Audit Committee for services provided to the ING Funds and for services for ING entities in the Investment Company Complex, the audit team has developed a process for periodic notification via email to the ING Funds’ Audit Committee Chairpersons regarding requests to provide services to ING Groep NV and its affiliates from KPMG offices worldwide. Additionally, KPMG provides a quarterly summary of the fees for services that have commenced for ING Groep NV and Affiliates at each Audit Committee Meeting.
Date last approved: December 14, 2011
4
Appendix A
Pre-Approved Audit Services for the Pre-Approval Period January 1, 2012 through December 31, 2012
Service | ||
| The Fund(s) | Fee Range |
Statutory audits or financial audits (including tax services associated with audit services) | √ | As presented to Audit Committee1 |
Services associated with SEC registration statements, periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings (e.g., consents), and assistance in responding to SEC comment letters. | √ | Not to exceed $9,750 per filing |
Consultations by Fund management with respect to accounting or disclosure treatment of transactions or events and/or the actual or potential effect of final or proposed rules, standards or interpretations by the SEC, Financial Accounting Standards Board, or other regulatory or standard setting bodies. | √ | Not to exceed $8,000 during the Pre-Approval Period |
____________________
1
For new Funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing Funds, pro-rated in accordance with inception dates as provided in KPMG’s Proposal or any Engagement Letter covering the period at issue. Fees in the Engagement Letter will be controlling.
5
Appendix B
Pre-Approved Audit-Related Services for the Pre-Approval Period January 1, 2012 through December 31, 2012
Service | |||
| The Fund(s) | Fund Affiliates | Fee Range |
Services related to Fund mergers (Excluding tax services – See Appendix C for tax services associated with fund mergers) | √ | √ | Not to exceed $10,000 per merger |
Consultations by Fund management with respect to accounting or disclosure treatment of transactions or events and/or the actual or potential effect of final or proposed rules, standards or interpretations by the SEC, Financial Accounting Standards Board, or other regulatory or standard setting bodies. [Note: Under SEC rules some consultations may be “audit” services and others may be “audit-related” services.] | √ |
| Not to exceed $5,000 per occurrence during the Pre-Approval Period |
Review of the Funds’ semi-annual financial statements | √ |
| Not to exceed $2,400 per set of financial statements per fund |
Reports to regulatory or government agencies related to the annual engagement | √ |
| Up to $5,000 per occurrence during the Pre-Approval Period |
Regulatory compliance assistance | √ | √ | Not to exceed |
Training courses |
| √ | Not to exceed $2,000 per course |
6
Appendix C
Pre-Approved Tax Services for the Pre-Approval Period January 1, 2012 through December 31, 2012
Service | |||
| The Fund(s) | Fund Affiliates | Fee Range |
Preparation of federal and state income tax returns and federal excise tax returns for the Funds including assistance and review with excise tax distributions. | √ |
| As presented to |
Review of IRC Sections 851(b) and 817(h) diversification testing on a real-time basis | √ |
| As presented to Audit Committee2 |
Assistance and advice regarding year-end reporting for 1099��s | √ |
| As presented to Audit Committee2 |
Tax assistance and advice regarding statutory, regulatory or administrative developments | √ | √ | Not to exceed $5,000 in aggregate for the Funds or for the Funds’ investment adviser during the Pre-Approval Period |
Tax training courses |
| √ | Not to exceed $2,000 per course during the Pre-Approval Period |
____________________
2
For new Funds launched during the Pre-Approval Period, the fee ranges pre-approved will be the same as those for existing Funds, as provided in KPMG’s Proposal or any Engagement Letter covering the period at issue. Fees in the Engagement Letter will be controlling.
7
Appendix C, continued
Service | |||
| The Fund(s) | Fund Affiliates | Fee Range |
Tax services associated with Fund mergers | √ | √ | Not to exceed |
Other tax-related assistance and consultation, including, without limitation, assistance in evaluating derivative financial instruments and international tax issues, qualification and distribution issues, and similar routine tax consultations | √ |
| Not to exceed $50,000 during the Pre-Approval Period |
8
Appendix D
Pre-Approved Other Services for the Pre-Approval Period January 1, 2012 through December 31, 2012
Service | |||
| The Fund(s) | Fund Affiliates | Fee Range |
Agreed-upon procedures for Class B share 12b-1 programs |
| √ | Not to exceed |
Security counts performed pursuant to Rule 17f-2 of the 1940 Act (i.e., counts for Funds holding securities with affiliated sub-custodians) (Cost to be split 50% the funds and 50% ING Investments, LLC) | √ | √ | Not to exceed $5,000 per Fund during the Pre-Approval Period |
9
Appendix E
Prohibited Non-Audit Services
Dated:
2012
·
Bookkeeping or other services related to the accounting records or financial statements of the Funds
·
Financial information systems design and implementation
·
Appraisal or valuation services, fairness opinions, or contribution-in-kind reports
·
Actuarial services
·
Internal audit outsourcing services
·
Management functions
·
Human resources
·
Broker-dealer, investment adviser, or investment banking services
·
Legal services
·
Expert services unrelated to the audit
·
Any other service that the Public Company Accounting Oversight Board determines, by regulation, is impermissible
10
EXHIBIT A
ING BALANCED PORTFOLIO, INC.
ING STRATEGIC ALLOCATION PORTFOLIOS, INC.
ING INTERMEDIATE BOND PORTFOLIO
ING MONEY MARKET PORTFOLIO
ING VARIABLE FUNDS
ING VARIABLE PORTFOLIOS, INC.
ING SERIES FUND, INC.
11
(e) (2) | Percentage of services referred to in 4(b) — (4)(d) that were approved by the audit committee |
100% of the services were approved by the audit committee. | |
(f) | Percentage of hours expended attributable to work performed by other than full time employees of KPMG if greater than 50%. |
Not applicable. | |
(g) | Non-Audit Fees: The non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were $2,085,015 for year ended December 31, 2012 and $1,122,245 for year ended December 31, 2011. |
(h) | Principal Accountants Independence: The Registrant’s Audit committee has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is compatible with maintaining KPMG’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments
Summary schedule is included as part of the report to shareholders filed under Item 1 of this Form, if applicable.
Report of Independent Registered Public Accounting Firm
The Shareholders and Board of Directors
ING Variable Portfolios, Inc.
We have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the statements of assets and liabilities, including the summary portfolios of investments, of ING Australia Index Portfolio, ING BlackRock Science and Technology Opportunities Portfolio, ING Emerging Markets Index Portfolio, ING Euro STOXX 50® Index Portfolio, ING FTSE 100 Index® Portfolio, ING Hang Seng Index Portfolio, ING Index Plus LargeCap Portfolio, ING Index Plus MidCap Portfolio, ING Index Plus SmallCap Portfolio, ING International Index Portfolio, ING Japan TOPIX Index Portfolio, ING RussellTM Large Cap Growth Index Portfolio, ING RussellTM Large Cap Index Portfolio, ING RussellTM Large Cap Value Index Portfolio, ING RussellTM Mid Cap Growth Index Portfolio, ING RussellTM Mid Cap Index Portfolio, ING RussellTM Small Cap Index Portfolio, ING Small Company Portfolio, ING U.S. Bond Index Portfolio, and ING WisdomTreeSM Global High-Yielding Equity Index Portfolio, each a series of ING Variable Portfolios, Inc., as of December 31, 2012, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended and have issued our unqualified reports thereon dated February 15, 2013, February 21, 2013, and February 25, 2013 (which reports and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). In connection with our audits of the aforementioned financial statements and financial highlights, we also audited the related portfolios of investments included in Item 6 of this Form N-CSR. The portfolios of investments are the responsibility of management. Our responsibility is to express an opinion on the portfolios of investments based on our audits.
In our opinion, the portfolios of investments, when considered in relation to the basic financial statements taken as a whole, present fairly, in all material respects, the information set forth therein.
Boston, Massachusetts
February 25, 2013
ING BlackRock Science and Technology Opportunities Portfolio | PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | |||||
COMMON STOCK: 97.3% | |||||||
Consumer Discretionary: 4.9% | |||||||
24,675 | @ | Amazon.com, Inc. | 6,196,879 | 2.0 | |||
44,200 | Expedia, Inc. | 2,716,090 | 0.9 | ||||
9,810 | @ | Priceline.com, Inc. | 6,093,972 | 2.0 | |||
15,006,941 | 4.9 | ||||||
Health Care: 1.3% | |||||||
28,200 | @ | Celgene Corp. | 2,219,904 | 0.7 | |||
20,200 | Sanofi-Aventis SA | 1,915,574 | 0.6 | ||||
4,135,478 | 1.3 | ||||||
Information Technology: 91.1% | |||||||
88,200 | @ | Accenture PLC | 5,865,300 | 1.9 | |||
69,100 | @ | ACI Worldwide, Inc. | 3,018,979 | 1.0 | |||
37,600 | @ | Akamai Technologies, Inc. | 1,538,216 | 0.5 | |||
40,500 | @ | Alliance Data Systems Corp. | 5,862,780 | 1.9 | |||
72,102 | @ | Allot Communications Ltd. | 1,284,858 | 0.4 | |||
26,900 | Amphenol Corp. | 1,740,430 | 0.6 | ||||
84,800 | Analog Devices, Inc. | 3,566,688 | 1.2 | ||||
48,178 | Apple, Inc. | 25,680,319 | 8.4 | ||||
51,660 | ASML Holding NV | 3,313,163 | 1.1 | ||||
58,068 | @ | Autodesk, Inc. | 2,052,704 | 0.7 | |||
136,350 | @ | Avago Technologies Ltd. | 4,316,841 | 1.4 | |||
52,600 | @ | Avnet, Inc. | 1,610,086 | 0.5 | |||
55,510 | @ | BMC Software, Inc. | 2,201,527 | 0.7 | |||
207,800 | Broadcom Corp. | 6,901,038 | 2.3 | ||||
838,026 | Cisco Systems, Inc. | 16,467,211 | 5.4 | ||||
43,709 | @ | Citrix Systems, Inc. | 2,873,867 | 0.9 | |||
58,050 | @ | Cognizant Technology Solutions Corp. | 4,298,602 | 1.4 | |||
27,522 | @ | Commvault Systems, Inc. | 1,918,559 | 0.6 | |||
51,910 | @,L | Concur Technologies, Inc. | 3,504,963 | 1.1 | |||
30,403 | @,L | E2open, Inc. | 430,506 | 0.1 | |||
181,300 | @ | eBay, Inc. | 9,249,926 | 3.0 | |||
124,301 | @ | EMC Corp. | 3,144,815 | 1.0 | |||
23,490 | @ | F5 Networks, Inc. | 2,282,053 | 0.7 | |||
65,500 | @ | Facebook, Inc. | 1,744,265 | 0.6 | |||
363,953 | @ | Fairchild Semiconductor International, Inc. | 5,240,923 | 1.7 | |||
51,152 | Fidelity National Information Services, Inc. | 1,780,601 | 0.6 | ||||
24,047 | @ | Fiserv, Inc. | 1,900,434 | 0.6 | |||
22,210 | @ | Google, Inc. - Class A | 15,755,108 | 5.1 | |||
39,553 | International Business Machines Corp. | 7,576,377 | 2.5 | ||||
134,800 | Intel Corp. | 2,780,924 | 0.9 | ||||
113,200 | Intuit, Inc. | 6,735,400 | 2.2 | ||||
98,900 | @ | Ixia | 1,679,322 | 0.5 | |||
180,837 | Jabil Circuit, Inc. | 3,488,346 | 1.1 | ||||
39,469 | Jack Henry & Associates, Inc. | 1,549,553 | 0.5 | ||||
3,770 | KLA-Tencor Corp. | 180,055 | 0.1 | ||||
4,745 | @ | Lam Research Corp. | 171,437 | 0.1 | |||
62,564 | Lender Processing Services, Inc. | 1,540,326 | 0.5 | ||||
173,059 | Linear Technology Corp. | 5,935,924 | 1.9 | ||||
9,500 | Mastercard, Inc. | 4,667,160 | 1.5 | ||||
235,700 | Maxim Integrated Products | 6,929,580 | 2.3 | ||||
208,000 | MediaTek, Inc. | 2,326,913 | 0.8 | ||||
2,385 | L | Mercadolibre, Inc. | 187,389 | 0.1 | |||
72,500 | Microchip Technology, Inc. | 2,362,775 | 0.8 | ||||
70,356 | @ | Micros Systems, Inc. | 2,985,909 | 1.0 | |||
218,583 | Microsoft Corp. | 5,842,724 | 1.9 | ||||
152,770 | @ | NXP Semiconductor NV | 4,028,545 | 1.3 | |||
242,300 | Oracle Corp. | 8,073,436 | 2.6 | ||||
25,900 | @,L | Palo Alto Networks, Inc. | 1,386,168 | 0.5 | |||
243,940 | Qualcomm, Inc. | 15,129,159 | 4.9 | ||||
7,100 | @ | Rackspace Hosting, Inc. | 527,317 | 0.2 | |||
33,053 | @ | Red Hat, Inc. | 1,750,487 | 0.6 | |||
225,185 | @ | Riverbed Technolgoy, Inc. | 4,440,648 | 1.4 | |||
62,600 | @ | Salesforce.com, Inc. | 10,523,060 | 3.4 | |||
1,825 | Samsung Electronics Co., Ltd. | 2,622,159 | 0.8 | ||||
40,463 | @ | Sandisk Corp. | 1,762,568 | 0.6 | |||
22,300 | L | SAP AG ADR | 1,792,474 | 0.6 | |||
6,900 | @,L | ServiceNow, Inc. | 207,207 | 0.1 | |||
32,978 | @ | SolarWinds, Inc. | 1,729,696 | 0.6 | |||
72,300 | Tencent Holdings Ltd. | 2,371,202 | 0.8 | ||||
51,074 | @ | Teradata Corp. | 3,160,970 | 1.0 | |||
138,900 | @ | Teradyne, Inc. | 2,346,021 | 0.8 | |||
73,263 | @ | TIBCO Software, Inc. | 1,612,519 | 0.5 | |||
78,000 | Visa, Inc. | 11,823,240 | 3.9 | ||||
203,700 | Xilinx, Inc. | 7,312,830 | 2.4 | ||||
279,084,582 | 91.1 | ||||||
Total Common Stock | |||||||
(Cost $281,647,021) | 298,227,001 | 97.3 | |||||
Principal Amount† | Value | Percentage of Net Assets | |||||
SHORT-TERM INVESTMENTS: 5.3% | |||||||
Securities Lending Collateralcc(1): 1.4% | |||||||
1,000,000 | Cantor Fitzgerald, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,000,016, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-7.500%, Market Value plus accrued interest $1,020,000, due 07/15/13-08/01/46) | 1,000,000 | 0.4 | ||||
1,000,000 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,000,011, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,020,000, due 10/01/16-12/20/42) | 1,000,000 | 0.3 | ||||
153,870 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $153,872, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $156,948, due 10/31/17-08/15/22) | 153,870 | 0.1 | ||||
1,000,000 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $1,000,010, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $1,020,000, due 08/09/13-06/20/42) | 1,000,000 | 0.3 | ||||
1,000,000 | Royal Bank of Canada, Repurchase Agreement dated 12/26/12, 0.18%, due 01/02/13 (Repurchase Amount $1,000,035, collateralized by various U.S. Government Agency Obligations, 2.000%-4.500%, Market Value plus accrued interest $1,020,000, due 10/01/32-01/01/43) | 1,000,000 | 0.3 | ||||
4,153,870 | 1.4 |
Shares | Value | Percentage of Net Assets | ||||||
Mutual Funds: 3.9% | ||||||||
11,946,394 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||||
(Cost $11,946,394) | 11,946,394 | 3.9 | ||||||
Total Short-Term Investments | ||||||||
(Cost $16,100,264) | 16,100,264 | 5.3 | ||||||
Total Investments in Securities (Cost $297,747,285) | $ 314,327,265 | 102.6 | ||||||
Liabilities in Excess of Other Assets | (8,091,954) | (2.6) | ||||||
Net Assets | $ 306,235,311 | 100.0 | ||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
ADR | American Depositary Receipt |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $302,243,545. | ||
Net unrealized appreciation consists of: | ||
Gross Unrealized Appreciation | $23,700,071 | |
Gross Unrealized Depreciation | (11,616,351) | |
Net Unrealized Appreciation | $12,083,720 | |
Fair Value Measurements^ | |||||||
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities: | |||||||
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs # (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | ||||
Asset Table | |||||||
Investments, at fair value | |||||||
Common Stock | |||||||
Consumer Discretionary | $ 15,006,941 | $ – | $ – | $ 15,006,941 | |||
Health Care | 2,219,904 | 1,915,574 | – | 4,135,478 | |||
Information Technology | 268,451,145 | 10,633,437 | – | 279,084,582 | |||
Total Common Stock | 285,677,990 | 12,549,011 | – | 298,227,001 | |||
Short-Term Investments | 11,946,394 | 4,153,870 | – | 16,100,264 | |||
Total Investments, at fair value | $ 297,624,384 | $ 16,702,881 | $ – | $ 314,327,265 | |||
Other Financial Instruments+ | |||||||
Forward Foreign Currency Contracts | – | 14,365 | – | 14,365 | |||
Total Assets | $ 297,624,384 | $ 16,717,246 | $ – | $ 314,341,630 | |||
Liabilities Table | |||||||
Other Financial Instruments+ | |||||||
Forward Foreign Currency Contracts | $ – | $ (112,929 ) | $ – | $ (112,929 ) | |||
Total Liabilities | $ – | $ (112,929 ) | $ – | $ (112,929 ) | |||
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio's investments are categorized as Level 2 investments. |
At December 31, 2012, the following forward foreign currency contracts were outstanding for the ING BlackRock Science and Technology Opportunities Portfolio: | |||||||
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) |
Citigroup, Inc. | EU Euro | 600,000 | Buy | 01/16/13 | $ 784,820 | $ 792,065 | $ 7,245 |
Citigroup, Inc. | EU Euro | 310,000 | Buy | 01/16/13 | 402,067 | 409,187 | 7,120 |
$ 14,365 | |||||||
Credit Suisse Group AG | Hong Kong Sar Dollar | 13,624,000 | Sell | 01/16/13 | $ 1,757,274 | $ 1,757,848 | $ (574 ) |
Deutsche Bank AG | EU Euro | 3,901,000 | Sell | 01/16/13 | 5,052,400 | 5,149,744 | (97,344 ) |
UBS Warburg LLC | EU Euro | 900,000 | Sell | 01/16/13 | 1,173,087 | 1,188,098 | (15,011 ) |
$ (112,929 ) | |||||||
ING Small Company Portfolio | PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | |||||
COMMON STOCK: 97.2% | |||||||
Consumer Discretionary: 13.9% | |||||||
262,900 | @ | Aeropostale, Inc. | 3,420,329 | 0.6 | |||
10,565 | Arbitron, Inc. | 493,174 | 0.1 | ||||
94,200 | @ | Bally Technologies, Inc. | 4,211,682 | 0.7 | |||
104,600 | @ | Childrens Place Retail Stores, Inc. | 4,632,734 | 0.8 | |||
201,800 | Cooper Tire & Rubber Co. | 5,117,648 | 0.9 | ||||
292,100 | @ | Express, Inc. | 4,407,789 | 0.8 | |||
257,100 | Finish Line | 4,866,903 | 0.8 | ||||
56,462 | Gildan Activewear, Inc. | 2,065,380 | 0.4 | ||||
9,900 | @ | Hibbett Sporting Goods, Inc. | 521,730 | 0.1 | |||
154,055 | @,L | Imax Corp. | 3,463,156 | 0.6 | |||
165,200 | @ | Jack in the Box, Inc. | 4,724,720 | 0.8 | |||
320,839 | La-Z-Boy, Inc. | 4,539,872 | 0.8 | ||||
100,757 | @ | Life Time Fitness, Inc. | 4,958,252 | 0.8 | |||
127,600 | Monro Muffler, Inc. | 4,462,172 | 0.8 | ||||
133,294 | OfficeMax, Inc. | 1,300,949 | 0.2 | ||||
135,255 | @ | Orient-Express Hotels Ltd. | 1,581,131 | 0.3 | |||
59,100 | @ | Papa John's International, Inc. | 3,246,954 | 0.6 | |||
87,046 | Pool Corp. | 3,683,787 | 0.6 | ||||
100,200 | Regis Corp. | 1,695,384 | 0.3 | ||||
219,723 | @ | Ruby Tuesday, Inc. | 1,727,023 | 0.3 | |||
188,200 | @ | Sally Beauty Holdings, Inc. | 4,435,874 | 0.8 | |||
69,900 | L | Sturm Ruger & Co., Inc. | 3,173,460 | 0.5 | |||
154,800 | @ | Wet Seal, Inc. | 427,248 | 0.1 | |||
100,000 | Wolverine World Wide, Inc. | 4,098,000 | 0.7 | ||||
58,201 | Wyndham Worldwide Corp. | 3,096,875 | 0.5 | ||||
80,352,226 | 13.9 | ||||||
Consumer Staples: 1.7% | |||||||
67,100 | Casey's General Stores, Inc. | 3,563,010 | 0.6 | ||||
130,950 | Flowers Foods, Inc. | 3,047,207 | 0.5 | ||||
71,000 | Sanderson Farms, Inc. | 3,376,050 | 0.6 | ||||
9,986,267 | 1.7 | ||||||
Energy: 5.6% | |||||||
245,500 | @ | Bill Barrett Corp. | 4,367,445 | 0.8 | |||
236,115 | @ | Carrizo Oil & Gas, Inc. | 4,939,526 | 0.9 | |||
71,900 | @ | Dril-Quip, Inc. | 5,252,295 | 0.9 | |||
185,663 | @ | EPL Oil & Gas, Inc. | 4,186,701 | 0.7 | |||
427,051 | @ | Key Energy Services, Inc. | 2,968,004 | 0.5 | |||
218,700 | L | Nordic American Tankers Ltd. | 1,913,625 | 0.3 | |||
611,377 | @ | Petroquest Energy, Inc. | 3,026,316 | 0.5 | |||
124,600 | @ | Unit Corp. | 5,613,230 | 1.0 | |||
32,267,142 | 5.6 | ||||||
Financials: 23.0% | |||||||
40,800 | @ | Affiliated Managers Group, Inc. | 5,310,120 | 0.9 | |||
95,000 | American Campus Communities, Inc. | 4,382,350 | 0.8 | ||||
194,500 | Capitol Federal Financial, Inc. | 2,273,705 | 0.4 | ||||
75,488 | Cash America International, Inc. | 2,994,609 | 0.5 | ||||
92,500 | @ | Citizens Republic Bancorp, Inc. | 1,754,725 | 0.3 | |||
159,400 | Colony Financial, Inc. | 3,108,300 | 0.5 | ||||
324,082 | CubeSmart | 4,721,875 | 0.8 | ||||
818,950 | DCT Industrial Trust, Inc. | 5,314,985 | 0.9 | ||||
106,335 | @ | Encore Capital Group, Inc. | 3,255,978 | 0.6 | |||
92,318 | EPR Properties | 4,256,783 | 0.7 | ||||
165,000 | EverBank Financial Corp. | 2,460,150 | 0.4 | ||||
205,579 | First American Financial Corp. | 4,952,398 | 0.9 | ||||
218,900 | FirstMerit Corp. | 3,106,191 | 0.5 | ||||
86,841 | IBERIABANK Corp. | 4,265,630 | 0.7 | ||||
36,300 | Jones Lang LaSalle, Inc. | 3,047,022 | 0.5 | ||||
197,718 | LaSalle Hotel Properties | 5,020,060 | 0.9 | ||||
85,700 | LTC Properties, Inc. | 3,015,783 | 0.5 | ||||
102,300 | National Bank Holdings Corp. | 1,942,677 | 0.3 | ||||
140,972 | National Retail Properties, Inc. | 4,398,326 | 0.8 | ||||
25,753 | @,L | Nationstar Mortgage Holdings, Inc. | 797,828 | 0.1 | |||
117,000 | @ | Ocwen Financial Corp. | 4,047,030 | 0.7 | |||
62,653 | @ | Piper Jaffray Cos. | 2,013,041 | 0.4 | |||
161,772 | Primerica, Inc. | 4,854,778 | 0.8 | ||||
111,836 | ProAssurance Corp. | 4,718,361 | 0.8 | ||||
129,018 | Prosperity Bancshares, Inc. | 5,418,756 | 0.9 | ||||
196,985 | Provident Financial Services, Inc. | 2,939,016 | 0.5 | ||||
126,500 | Redwood Trust, Inc. | 2,136,585 | 0.4 | ||||
163,900 | Selective Insurance Group | 3,158,353 | 0.6 | ||||
72,333 | @ | Signature Bank | 5,160,236 | 0.9 | |||
251,600 | Starwood Property Trust, Inc. | 5,776,736 | 1.0 | ||||
145,485 | @ | Stifel Financial Corp. | 4,651,155 | 0.8 | |||
501,300 | Susquehanna Bancshares, Inc. | 5,253,624 | 0.9 | ||||
79,700 | @ | SVB Financial Group | 4,460,809 | 0.8 | |||
153,600 | Webster Financial Corp. | 3,156,480 | 0.6 | ||||
134,555 | Wintrust Financial Corp. | 4,938,169 | 0.9 | ||||
133,062,624 | 23.0 | ||||||
Health Care: 10.8% | |||||||
79,091 | @ | Acorda Therapeutics, Inc. | 1,966,202 | 0.3 | |||
167,445 | @ | Align Technology, Inc. | 4,646,599 | 0.8 | |||
93,949 | @ | Amsurg Corp. | 2,819,410 | 0.5 | |||
84,400 | @ | Centene Corp. | 3,460,400 | 0.6 | |||
81,800 | @ | Cubist Pharmaceuticals, Inc. | 3,440,508 | 0.6 | |||
106,224 | @ | Haemonetics Corp. | 4,338,188 | 0.7 | |||
232,737 | @ | Healthsouth Corp. | 4,913,078 | 0.8 | |||
113,200 | @ | Impax Laboratories, Inc. | 2,319,468 | 0.4 | |||
95,800 | @,L | Incyte Corp., Ltd. | 1,591,238 | 0.3 | |||
175,900 | @,L | InterMune, Inc. | 1,704,471 | 0.3 | |||
154,900 | @ | Masimo Corp. | 3,254,449 | 0.6 | |||
106,440 | @ | Medicines Co. | 2,551,367 | 0.4 | |||
53,100 | @ | Mednax, Inc. | 4,222,512 | 0.7 | |||
84,152 | @ | Nektar Therapeutics | 623,566 | 0.1 | |||
133,136 | Owens & Minor, Inc. | 3,795,707 | 0.7 | ||||
92,124 | @ | PSS World Medical, Inc. | 2,660,541 | 0.5 | |||
29,600 | @ | Salix Pharmaceuticals Ltd. | 1,198,208 | 0.2 | |||
100,980 | Steris Corp. | 3,507,035 | 0.6 | ||||
92,323 | @,L | Theravance, Inc. | 2,056,033 | 0.4 | |||
61,900 | @ | Thoratec Corp. | 2,322,488 | 0.4 | |||
69,747 | Universal Health Services, Inc. | 3,372,268 | 0.6 | ||||
41,300 | @ | WellCare Health Plans, Inc. | 2,010,897 | 0.3 | |||
62,774,633 | 10.8 | ||||||
Industrials: 18.1% | |||||||
203,285 | Actuant Corp. | 5,673,684 | 1.0 | ||||
104,495 | Acuity Brands, Inc. | 7,077,446 | 1.2 | ||||
101,294 | @ | Atlas Air Worldwide Holdings, Inc. | 4,488,337 | 0.8 | |||
215,000 | Barnes Group, Inc. | 4,828,900 | 0.8 | ||||
190,200 | Brady Corp. | 6,352,680 | 1.1 | ||||
72,122 | @ | Clean Harbors, Inc. | 3,967,431 | 0.7 | |||
90,415 | Curtiss-Wright Corp. | 2,968,325 | 0.5 | ||||
504,964 | @ | Diana Shipping, Inc. | 3,686,237 | 0.6 | |||
95,300 | Forward Air Corp. | 3,336,453 | 0.6 | ||||
91,300 | @ | FTI Consulting, Inc. | 3,012,900 | 0.5 | |||
375,500 | Heartland Express, Inc. | 4,907,785 | 0.8 | ||||
159,096 | @ | HUB Group, Inc. | 5,345,626 | 0.9 | |||
160,545 | @ | Mobile Mini, Inc. | 3,344,152 | 0.6 | |||
374,800 | @ | Orbital Sciences Corp. | 5,160,996 | 0.9 | |||
59,917 | Regal-Beloit Corp. | 4,222,351 | 0.7 | ||||
78,100 | @ | Teledyne Technologies, Inc. | 5,081,967 | 0.9 | |||
150,769 | @ | Tetra Tech, Inc. | 3,987,840 | 0.7 | |||
102,500 | Toro Co. | 4,405,450 | 0.8 | ||||
155,934 | @ | TrueBlue, Inc. | 2,455,961 | 0.4 | |||
103,886 | Universal Forest Products, Inc. | 3,951,823 | 0.7 | ||||
166,339 | Waste Connections, Inc. | 5,620,595 | 1.0 | ||||
136,613 | Watts Water Technologies, Inc. | 5,872,993 | 1.0 | ||||
140,452 | Woodward Governor Co. | 5,355,435 | 0.9 | ||||
105,105,367 | 18.1 | ||||||
Information Technology: 15.5% | |||||||
256,729 | @ | Advanced Energy Industries, Inc. | 3,545,427 | 0.6 | |||
66,243 | @ | Ansys, Inc. | 4,460,804 | 0.8 | |||
242,000 | @ | Aruba Networks, Inc. | 5,021,500 | 0.9 | |||
261,747 | @ | Bankrate, Inc. | 3,258,750 | 0.6 | |||
39,600 | @ | CACI International, Inc. | 2,179,188 | 0.4 | |||
209,800 | @ | Cardtronics, Inc. | 4,980,652 | 0.8 | |||
15,400 | @ | Commvault Systems, Inc. | 1,073,534 | 0.2 | |||
91,600 | @ | Finisar Corp. | 1,493,080 | 0.2 | |||
94,300 | Flir Systems, Inc. | 2,103,833 | 0.4 | ||||
374,400 | @ | Formfactor, Inc. | 1,707,264 | 0.3 | |||
510,973 | @ | Integrated Device Technology, Inc. | 3,730,103 | 0.6 | |||
69,700 | @ | Liquidity Services, Inc. | 2,847,942 | 0.5 | |||
296,914 | @,L | Logitech International S.A. | 2,238,732 | 0.4 | |||
125,389 | @ | Micros Systems, Inc. | 5,321,509 | 0.9 | |||
253,140 | @ | Microsemi Corp. | 5,326,066 | 0.9 | |||
153,422 | MKS Instruments, Inc. | 3,955,219 | 0.7 | ||||
223,000 | @ | Parametric Technology Corp. | 5,019,730 | 0.9 | |||
130,860 | @ | Plexus Corp. | 3,376,188 | 0.6 | |||
283,600 | @ | Polycom, Inc. | 2,966,456 | 0.5 | |||
145,400 | Power Integrations, Inc. | 4,886,894 | 0.8 | ||||
215,000 | @ | Progress Software Corp. | 4,512,850 | 0.8 | |||
205,300 | @ | QLIK Technologies, Inc. | 4,459,116 | 0.8 | |||
299,000 | @ | QLogic Corp. | 2,909,270 | 0.5 | |||
217,100 | @ | Riverbed Technolgoy, Inc. | 4,281,212 | 0.7 | |||
141,900 | @ | Synaptics, Inc. | 4,252,743 | 0.7 | |||
89,908,062 | 15.5 | ||||||
Materials: 5.9% | |||||||
143,320 | Buckeye Technologies, Inc. | 4,114,717 | 0.7 | ||||
320,500 | Commercial Metals Co. | 4,762,630 | 0.8 | ||||
181,800 | HB Fuller Co. | 6,330,276 | 1.1 | ||||
119,864 | Minerals Technologies, Inc. | 4,784,971 | 0.8 | ||||
1,107,186 | @,L | Thompson Creek Metals Co., Inc. | 4,583,750 | 0.8 | |||
215,428 | Worthington Industries | 5,598,974 | 1.0 | ||||
279,727 | Zep, Inc. | 4,039,258 | 0.7 | ||||
34,214,576 | 5.9 | ||||||
Utilities: 2.7% | |||||||
93,900 | Cleco Corp. | 3,756,939 | 0.6 | ||||
142,497 | El Paso Electric Co. | 4,547,079 | 0.8 | ||||
96,000 | Idacorp, Inc. | 4,161,600 | 0.7 | ||||
121,285 | Portland General Electric Co. | 3,318,358 | 0.6 | ||||
15,783,976 | 2.7 | ||||||
Total Common Stock | |||||||
(Cost $502,348,323) | 563,454,873 | 97.2 | |||||
EXCHANGE-TRADED FUNDS: 1.2% | |||||||
83,200 | iShares Russell 2000 Index Fund | 7,012,928 | 1.2 | ||||
Total Exchange-Traded Funds | |||||||
(Cost $6,712,449) | 7,012,928 | 1.2 | |||||
Total Long-Term Investments | |||||||
(Cost $509,060,772) | 570,467,801 | 98.4 | |||||
Principal Amount† | Value | Percentage of Net Assets | |||||
SHORT-TERM INVESTMENTS: 5.4% | |||||||
Securities Lending Collateralcc(1): 3.2% | |||||||
4,422,451 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $4,422,524, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $4,510,900, due 08/01/27-01/01/43) | 4,422,451 | 0.7 | ||||
4,422,451 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $4,422,499, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $4,510,900, due 10/01/16-12/20/42) | 4,422,451 | 0.8 | ||||
4,422,451 | Daiwa Capital Markets, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $4,422,524, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $4,510,900, due 06/14/13-12/01/42) | 4,422,451 | 0.8 | ||||
930,746 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $930,755, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $949,363, due 10/31/17-08/15/22) | 930,746 | 0.1 | ||||
4,422,451 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $4,422,496, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $4,510,901, due 08/09/13-06/20/42) | 4,422,451 | 0.8 | ||||
18,620,550 | 3.2 | ||||||
Shares | Value | Percentage of Net Assets | |||||
Mutual Funds: 2.2% | |||||||
12,549,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | ||||||
(Cost $12,549,000) | 12,549,000 | 2.2 | |||||
Total Short-Term Investments | |||||||
(Cost $31,169,550) | 31,169,550 | 5.4 | |||||
Total Investments in Securities (Cost $540,230,322) | $ 601,637,351 | 103.8 | |||||
Liabilities in Excess of Other Assets | (21,915,289) | (3.8) | |||||
Net Assets | $ 579,722,062 | 100.0 | |||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $547,808,063. | ||
Net unrealized appreciation consists of: | ||
Gross Unrealized Appreciation | $87,252,483 | |
Gross Unrealized Depreciation | (33,423,195) | |
Net Unrealized Appreciation | $53,829,288 | |
ING Australia Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 98.1% | ||||||
Consumer Discretionary: 3.3% | ||||||
80,169 | Aristocrat Leisure Ltd. | 265,084 | 0.1 | |||
65,419 | Billabong International Ltd. | 57,109 | 0.0 | |||
14,587 | Breville Group Ltd. | 101,322 | 0.1 | |||
60,895 | Crown Ltd. | 680,563 | 0.3 | |||
84,993 | L | David Jones Ltd. | 209,303 | 0.1 | ||
109,675 | Echo Entertainment Group Ltd. | 396,110 | 0.2 | |||
336,308 | L | John Fairfax Holdings Ltd. | 179,727 | 0.1 | ||
7,938 | Fleetwood Corp. Ltd. | 81,363 | 0.0 | |||
8,869 | L | Flight Centre Ltd. | 250,956 | 0.1 | ||
11,272 | G.U.D. Holdings Ltd. | 101,861 | 0.1 | |||
91,906 | L | Harvey Norman Holdings Ltd. | 182,958 | 0.1 | ||
17,350 | Invocare Ltd. | 159,339 | 0.1 | |||
15,629 | L | JB Hi-Fi Ltd. | 169,158 | 0.1 | ||
93,492 | L | Myer Holdings Ltd. | 211,528 | 0.1 | ||
38,960 | L | Navitas Ltd. | 192,169 | 0.1 | ||
49,127 | News Corp., Inc. | 1,280,261 | 0.7 | |||
149,741 | Pacific Brands Ltd. | 97,373 | 0.0 | |||
4,117 | Reject Shop Ltd. | 64,475 | 0.0 | |||
91,938 | Seven West Media Ltd. | 157,721 | 0.1 | |||
90,152 | Southern Cross Media Group Ltd. | 99,658 | 0.1 | |||
21,198 | Super Retail Group Ltd. | 221,450 | 0.1 | |||
117,382 | TABCORP Holdings Ltd. | 374,921 | 0.2 | |||
219,119 | Tattersall's Ltd. | 690,177 | 0.4 | |||
261,250 | @ | Ten Network Holdings Ltd. | 78,533 | 0.0 | ||
20,892 | L | Wotif.Com Holdings Ltd. | 115,887 | 0.1 | ||
6,419,006 | 3.3 | |||||
Consumer Staples: 8.3% | ||||||
84,926 | Coca-Cola Amatil Ltd. | 1,193,498 | 0.6 | |||
270,035 | @ | Goodman Fielder Ltd. | 176,496 | 0.1 | ||
36,696 | GrainCorp Ltd. | 475,867 | 0.2 | |||
138,346 | L | Metcash Ltd. | 479,610 | 0.2 | ||
103,269 | Treasury Wine Estates Ltd. | 508,286 | 0.3 | |||
186,190 | Wesfarmers Ltd. | 7,183,452 | 3.7 | |||
199,566 | Woolworths Ltd. | 6,122,379 | 3.2 | |||
16,139,588 | 8.3 | |||||
Energy: 6.1% | ||||||
29,717 | @,L | Aquila Resources Ltd. | 81,341 | 0.0 | ||
68,724 | @ | Aurora Oil and Gas Ltd. | 264,241 | 0.1 | ||
86,066 | @ | Australian Worldwide Exploration Ltd. | 110,295 | 0.1 | ||
195,456 | Beach Petroleum Ltd. | 306,719 | 0.2 | |||
32,094 | @ | Buru Energy Ltd. | 81,518 | 0.0 | ||
21,705 | Caltex Australia Ltd. | 437,784 | 0.2 | |||
69,540 | @,L | Coalspur Mines Ltd. | 53,491 | 0.0 | ||
61,825 | @ | Drillsearch Energy Ltd. | 99,558 | 0.1 | ||
27,316 | @ | Karoon Gas Australia Ltd. | 154,891 | 0.1 | ||
59,685 | @ | Maverick Drilling & Exploration Ltd. | 45,891 | 0.0 | ||
175,637 | Oil Search Ltd. | 1,298,852 | 0.7 | |||
174,439 | Origin Energy Ltd. | 2,144,336 | 1.1 | |||
124,549 | @ | Paladin Resources Ltd. | 137,512 | 0.1 | ||
153,181 | Santos Ltd. | 1,794,774 | 0.9 | |||
149,231 | @ | Senex Energy Ltd. | 109,810 | 0.1 | ||
95,522 | Whitehaven Coal Ltd. | 355,996 | 0.2 | |||
100,314 | Woodside Petroleum Ltd. | 3,574,706 | 1.8 | |||
33,171 | WorleyParsons Ltd. | 817,103 | 0.4 | |||
11,868,818 | 6.1 | |||||
Financials: 40.9% | ||||||
42,914 | Abacus Property Group | 96,745 | 0.1 | |||
473,009 | AMP Ltd. | 2,399,287 | 1.2 | |||
63,951 | Ardent Leisure Group | 95,428 | 0.0 | |||
28,158 | ASX Ltd. | 918,919 | 0.5 | |||
37,771 | Australand Property Group | 134,045 | 0.1 | |||
440,357 | Australia & New Zealand Banking Group Ltd. | 11,597,508 | 6.0 | |||
49,646 | Bank of Queensland Ltd. | 383,155 | 0.2 | |||
63,773 | Bendigo Bank Ltd. | 568,101 | 0.3 | |||
66,895 | BWP Trust | 150,640 | 0.1 | |||
229,485 | Centro Retail Australia | 543,270 | 0.3 | |||
377,508 | CFS Retail Property Trust | 755,196 | 0.4 | |||
88,829 | Challenger Financial Services Group Ltd. | 330,988 | 0.2 | |||
72,917 | @,X | Chapter HA Units Contingent | – | – | ||
35,461 | Charter Hall Group | 121,435 | 0.1 | |||
43,618 | Charter Hall Retail REIT | 171,062 | 0.1 | |||
258,711 | Commonwealth Bank of Australia | 16,848,987 | 8.7 | |||
377,332 | Commonwealth Property Office Fund | 401,986 | 0.2 | |||
777,978 | Dexus Property Group | 826,298 | 0.4 | |||
29,667 | L | FKP Property Group | 35,382 | 0.0 | ||
31,376 | FlexiGroup Ltd./Australia | 121,207 | 0.0 | |||
243,164 | Goodman Group | 1,107,993 | 0.6 | |||
261,950 | GPT Group | 1,008,298 | 0.5 | |||
99,553 | Henderson Group PLC | 217,587 | 0.1 | |||
98,722 | Investa Office Fund | 306,672 | 0.2 | |||
333,025 | Insurance Australia Group | 1,640,269 | 0.8 | |||
33,117 | IOOF Holdings Ltd. | 251,694 | 0.1 | |||
83,616 | Lend Lease Corp., Ltd. | 816,579 | 0.4 | |||
54,804 | Macquarie Group Ltd. | 2,053,022 | 1.1 | |||
549,086 | Mirvac Group | 854,514 | 0.4 | |||
372,851 | National Australia Bank Ltd. | 9,807,172 | 5.0 | |||
6,643 | Perpetual Ltd. | 243,449 | 0.1 | |||
38,441 | L | Platinum Asset Management Ltd. | 160,229 | 0.1 | ||
192,040 | QBE Insurance Group Ltd. | 2,200,387 | 1.1 | |||
94,213 | @ | Shopping Centres Australasia Property Group | 146,754 | 0.1 | ||
356,894 | Stockland | 1,319,627 | 0.7 | |||
206,849 | Suncorp-Metway Ltd. | 2,208,916 | 1.1 | |||
332,733 | Westfield Group | 3,674,671 | 1.9 | |||
451,693 | Westfield Retail Trust | 1,425,079 | 0.7 | |||
495,002 | Westpac Banking Corp. | 13,563,006 | 7.0 | |||
79,505,557 | 40.9 | |||||
Health Care: 4.3% | ||||||
25,611 | L | Acrux Ltd. | 77,095 | 0.0 | ||
21,779 | Ansell Ltd. | 349,024 | 0.2 | |||
9,090 | Cochlear Ltd. | 753,560 | 0.4 | |||
80,647 | CSL Ltd. | 4,553,131 | 2.3 | |||
24,968 | @,L | Mesoblast Ltd. | 139,597 | 0.1 | ||
74,995 | Primary Health Care Ltd. | 312,872 | 0.2 | |||
20,728 | Ramsay Health Care Ltd. | 591,212 | 0.3 | |||
128,821 | ResMed, Inc. | 536,530 | 0.3 | |||
184,822 | Sigma Pharmaceuticals Ltd. | 142,643 | 0.1 | |||
7,207 | Sirtex Medical Ltd. | 98,267 | 0.0 | |||
62,449 | Sonic Healthcare Ltd. | 871,706 | 0.4 | |||
8,425,637 | 4.3 | |||||
Industrials: 6.5% | ||||||
53,827 | ALS Ltd./Queensland | 614,027 | 0.3 | |||
156,812 | Asciano Group | 767,126 | 0.4 | |||
283,680 | Aurizon Holdings Ltd. | 1,115,544 | 0.6 | |||
98,899 | Australian Infrastructure Fund | 319,403 | 0.2 | |||
74,142 | Boart Longyear Group | 148,144 | 0.1 | |||
25,970 | Bradken Ltd. | 150,095 | 0.1 | |||
249,601 | Brambles Ltd. | 1,979,166 | 1.0 | |||
17,711 | L | Cabcharge Australia Ltd. | 81,756 | 0.0 | ||
22,204 | L | Cardno Ltd. | 162,637 | 0.1 | ||
82,974 | L | CSR Ltd. | 170,083 | 0.1 | ||
21,725 | Decmil Group Ltd. | 58,576 | 0.0 | |||
66,535 | @ | Downer EDI Ltd. | 285,231 | 0.1 | ||
101,486 | Emeco Holdings Ltd. | 65,754 | 0.0 | |||
45,039 | GWA Group Ltd. | 108,667 | 0.1 | |||
26,284 | Leighton Holdings Ltd. | 496,167 | 0.2 | |||
63,581 | @ | Macquarie Atlas Roads Group | 110,768 | 0.1 | ||
9,106 | McMillan Shakespeare Ltd. | 132,042 | 0.1 | |||
34,307 | Mermaid Marine Australia Ltd. | 122,783 | 0.1 | |||
22,456 | Mineral Resources Ltd. | 231,029 | 0.1 | |||
14,577 | L | Monadelphous Group Ltd. | 375,292 | 0.2 | ||
44,497 | NRW Holdings Ltd. | 89,007 | 0.0 | |||
364,168 | @ | Qantas Airways Ltd. | 570,258 | 0.3 | ||
94,375 | Qube Logistics Holdings Ltd. | 165,759 | 0.1 | |||
32,083 | SAI Global Ltd. | 142,535 | 0.1 | |||
52,502 | Seek Ltd. | 387,985 | 0.2 | |||
15,666 | Seven Group Holdings Ltd. | 139,727 | 0.1 | |||
32,603 | Skilled Group Ltd. | 88,340 | 0.0 | |||
232,100 | Sydney Airport | 817,587 | 0.4 | |||
109,035 | Toll Holdings Ltd. | 522,599 | 0.3 | |||
74,549 | Transfield Services Ltd. | 152,571 | 0.1 | |||
141,251 | @ | Transpacific Industries Group Ltd. | 116,251 | 0.1 | ||
234,457 | Transurban Group | 1,490,355 | 0.8 | |||
26,322 | UGL Ltd. | 300,478 | 0.1 | |||
231,429 | @,X | Virgin Australia Holdings Ltd. | – | – | ||
161,095 | @ | Virgin Australia Holdings Ltd. | 70,835 | 0.0 | ||
12,548,577 | 6.5 | |||||
Information Technology: 0.6% | ||||||
34,287 | L | carsales.com.au Ltd. | 263,862 | 0.1 | ||
81,866 | Computershare Ltd. | 772,294 | 0.4 | |||
16,028 | Iress Market Technology Ltd. | 138,577 | 0.1 | |||
10,680 | SMS Management & Technology Ltd. | 51,912 | 0.0 | |||
1,226,645 | 0.6 | |||||
Materials: 21.4% | ||||||
71,478 | Adelaide Brighton Ltd. | 234,062 | 0.1 | |||
12,146 | @ | Alacer Gold Corp. | 61,259 | 0.0 | ||
398,026 | Alumina Ltd. | 382,002 | 0.2 | |||
194,001 | Amcor Ltd. | 1,639,654 | 0.8 | |||
202,352 | Arrium Ltd. | 197,219 | 0.1 | |||
138,513 | Atlas Iron Ltd. | 265,063 | 0.1 | |||
42,105 | Ausdrill Ltd. | 125,726 | 0.1 | |||
107,025 | @ | Bathurst Resources Ltd. | 41,674 | 0.0 | ||
115,005 | @ | Beadell Resources Ltd. | 118,824 | 0.1 | ||
515,946 | BHP Billiton Ltd. | 20,142,835 | 10.4 | |||
82,917 | @ | BlueScope Steel Ltd. | 303,294 | 0.2 | ||
119,732 | Boral Ltd. | 549,386 | 0.3 | |||
23,439 | @,L | Cudeco Ltd. | 106,323 | 0.1 | ||
70,609 | @,L | Discovery Metals Ltd. | 121,320 | 0.1 | ||
57,749 | DuluxGroup Ltd. | 229,007 | 0.1 | |||
73,027 | @,L | Evolution Mining Ltd. | 131,429 | 0.1 | ||
29,079 | @ | Fletcher Building Ltd. | 203,357 | 0.1 | ||
273,530 | Fortescue Metals Group Ltd. | 1,363,125 | 0.7 | |||
143,403 | @,L | Gindalbie Metals Ltd. | 38,183 | 0.0 | ||
62,134 | @,L | Gryphon Minerals Ltd. | 33,875 | 0.0 | ||
67,280 | L | Iluka Resources Ltd. | 650,194 | 0.3 | ||
32,870 | Imdex Ltd. | 58,891 | 0.0 | |||
261,854 | Incitec Pivot Ltd. | 892,763 | 0.5 | |||
37,384 | Independence Group NL | 184,296 | 0.1 | |||
69,607 | James Hardie Industries SE | 673,927 | 0.3 | |||
24,410 | Kingsgate Consolidated Ltd. | 113,786 | 0.1 | |||
308,064 | @,L | Lynas Corp. Ltd. | 189,855 | 0.1 | ||
29,819 | Medusa Mining Ltd. | 169,868 | 0.1 | |||
13,806 | @ | Mineral Deposits Ltd. | 56,715 | 0.0 | ||
119,691 | @,L | Mirabela Nickel Ltd. | 61,403 | 0.0 | ||
103,081 | Mount Gibson Iron Ltd. | 91,267 | 0.1 | |||
122,724 | Newcrest Mining Ltd. | 2,870,856 | 1.5 | |||
64,414 | Northern Star Resources Ltd | 83,673 | 0.0 | |||
28,759 | Nufarm Ltd. | 175,388 | 0.1 | |||
21,289 | @ | OceanaGold Corp. | 62,389 | 0.0 | ||
58,397 | Orica Ltd. | 1,536,207 | 0.8 | |||
50,582 | OZ Minerals Ltd. | 359,214 | 0.2 | |||
75,522 | Pan Australian Resources Ltd. | 268,602 | 0.1 | |||
73,285 | @ | Perseus Mining Ltd. | 161,964 | 0.1 | ||
65,663 | @ | Regis Resources Ltd. | 352,378 | 0.2 | ||
105,427 | Resolute Mining Ltd. | 181,109 | 0.1 | |||
70,058 | Rio Tinto Ltd. | 4,925,730 | 2.5 | |||
15,089 | @ | Sandfire Resources NL | 137,665 | 0.1 | ||
95,498 | @ | Saracen Mineral Holdings Ltd. | 38,278 | 0.0 | ||
60,570 | @,L | Silver Lake Resources Ltd. | 211,139 | 0.1 | ||
26,731 | Sims Group Ltd. | 264,139 | 0.1 | |||
78,431 | @ | St Barbara Ltd. | 119,595 | 0.1 | ||
394,631 | @ | Sundance Resources Ltd. | 154,451 | 0.1 | ||
12,375 | Troy Resources NL | 47,007 | 0.0 | |||
24,572 | Western Areas NL | 115,894 | 0.1 | |||
41,496,260 | 21.4 | |||||
Telecommunication Services: 5.0% | ||||||
17,396 | iiNET Ltd. | 83,121 | 0.0 | |||
22,222 | M2 Telecommunications Group Ltd. | 97,495 | 0.1 | |||
23,742 | Singapore Telecommunications Ltd. | 64,702 | 0.0 | |||
56,449 | @ | Telecom Corp. of New Zealand Ltd. | 105,751 | 0.1 | ||
2,000,493 | Telstra Corp., Ltd. | 9,115,739 | 4.7 | |||
46,021 | TPG Telecom Ltd. | 125,004 | 0.1 | |||
9,591,812 | 5.0 | |||||
Utilities: 1.7% | ||||||
87,759 | AGL Energy Ltd. | 1,410,826 | 0.7 | |||
131,212 | APA Group | 757,494 | 0.4 | |||
166,742 | L | DUET Group | 361,728 | 0.2 | ||
122,675 | @,L | Energy World Corp. Ltd. | 47,431 | 0.0 | ||
127,888 | Envestra Ltd. | 125,584 | 0.1 | |||
258,367 | SP AusNet | 300,252 | 0.1 | |||
190,293 | Spark Infrastructure Group | 332,686 | 0.2 | |||
3,336,001 | 1.7 | |||||
Total Common Stock | ||||||
(Cost $179,884,955) | 190,557,901 | 98.1 | ||||
RIGHTS: 0.0% | ||||||
Consumer Discretionary: 0.0% | ||||||
125,974 | @ | Ten Network Holdings Ltd. | 11,813 | 0.0 | ||
Industrials: 0.0% | ||||||
70,907 | @ | Macmahon Holdings Ltd. | 4,801 | 0.0 | ||
Total Rights | ||||||
(Cost $35,865) | 16,614 | 0.0 | ||||
Total Long-Term Investments | ||||||
(Cost $179,920,820) | 190,574,515 | 98.1 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 2.8% | ||||||
Securities Lending Collateralcc(1): 2.5% | ||||||
1,166,910 | Cantor Fitzgerald, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,166,929, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-7.500%, Market Value plus accrued interest $1,190,248, due 07/15/13-08/01/46) | 1,166,910 | 0.6 | |||
1,166,910 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,166,923, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,190,248, due 10/01/16-12/20/42) | 1,166,910 | 0.6 | |||
245,577 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $245,579, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $250,489, due 10/31/17-08/15/22) | 245,577 | 0.1 | |||
1,166,910 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $1,166,922, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $1,190,248, due 08/09/13-06/20/42) | 1,166,910 | 0.6 | |||
1,166,910 | Royal Bank of Canada, Repurchase Agreement dated 12/26/12, 0.18%, due 01/02/13 (Repurchase Amount $1,166,950, collateralized by various U.S. Government Agency Obligations, 2.000%-4.500%, Market Value plus accrued interest $1,190,248, due 10/01/32-01/01/43) | 1,166,910 | 0.6 | |||
4,913,217 | 2.5 | |||||
Shares | Value | Percentage of Net Assets | ||||
Mutual Funds: 0.3% | ||||||
565,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $565,000) | 565,000 | 0.3 | ||||
Total Short-Term Investments | ||||||||||
(Cost $5,478,217) | 5,478,217 | 2.8 | ||||||||
Total Investments in Securities (Cost $185,399,037) | $ | 196,052,732 | 100.9 | |||||||
Liabilities in Excess of Other Assets | (1,722,406 | ) | (0.9 | ) | ||||||
Net Assets | $ | 194,330,326 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds' Board of Directors/Trustees. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $188,922,909. | |||||
Net unrealized appreciation consists of: | |||||
Gross Unrealized Appreciation | $ | 22,471,062 | |||
Gross Unrealized Depreciation | (15,341,239 | ) | |||
Net Unrealized Appreciation | $ | 7,129,823 | |||
Fair Value Measurements^ |
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities: |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs # (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | – | $ | 6,419,006 | $ | – | $ | 6,419,006 | ||||||||
Consumer Staples | – | 16,139,588 | – | 16,139,588 | ||||||||||||
Energy | – | 11,868,818 | – | 11,868,818 | ||||||||||||
Financials | 267,961 | 79,237,596 | – | 79,505,557 | ||||||||||||
Health Care | 98,267 | 8,327,370 | – | 8,425,637 | ||||||||||||
Industrials | 319,403 | 12,229,174 | – | 12,548,577 | ||||||||||||
Information Technology | – | 1,226,645 | – | 1,226,645 | ||||||||||||
Materials | – | 41,496,260 | – | 41,496,260 | ||||||||||||
Telecommunication Services | – | 9,591,812 | – | 9,591,812 | ||||||||||||
Utilities | – | 3,336,001 | – | 3,336,001 | ||||||||||||
Total Common Stock | 685,631 | 189,872,270 | – | 190,557,901 | ||||||||||||
Rights | – | 16,614 | – | 16,614 | ||||||||||||
Short-Term Investments | 565,000 | 4,913,217 | – | 5,478,217 | ||||||||||||
Total Investments, at fair value | $ | 1,250,631 | $ | 194,802,101 | $ | – | $ | 196,052,732 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 9,715 | – | – | 9,715 | ||||||||||||
Forward Foreign Currency Contracts | – | 1,557 | – | 1,557 | ||||||||||||
Total Assets | $ | 1,260,346 | $ | 194,803,658 | $ | – | $ | 196,064,004 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Forward Foreign Currency Contracts | $ | – | $ | (8,822 | ) | $ | – | $ | (8,822 | ) | ||||||
Total Liabilities | $ | – | $ | (8,822 | ) | $ | – | $ | (8,822 | ) | ||||||
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio's investments are categorized as Level 2 investments. |
At December 31, 2012, the following forward foreign currency contracts were outstanding for the ING Australia Index Portfolio: |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Brown Brothers Harriman & Co. | Australian Dollar | 620,000 | Buy | 03/20/13 | $ | 638,692 | $ | 640,249 | $ | 1,557 | ||||||||||||||
JPMorgan Chase & Co. | Australian Dollar | 600,000 | Buy | 03/20/13 | 628,418 | 619,596 | (8,822 | ) | ||||||||||||||||
$ | (7,265 | ) | ||||||||||||||||||||||
ING Australia Index Portfolio Open Futures Contracts on December 31, 2012:
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
ASX SPI 200® Index | 31 | 03/21/13 | $ | 3,714,965 | $ | 9,715 | ||||||||
$ | 3,714,965 | $ | 9,715 | |||||||||||
See Accompanying Notes to Financial Statements |
ING Emerging Markets Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 94.2% | ||||||
Consumer Discretionary: 6.7% | ||||||
37,707 | Grupo Televisa SAB ADR | 1,002,252 | 0.9 | |||
4,992 | @ | Hyundai Mobis | 1,354,375 | 1.2 | ||
11,295 | Hyundai Motor Co. | 2,328,399 | 2.1 | |||
19,300 | Kia Motors Corp. | 1,026,250 | 0.9 | |||
28,649 | Naspers Ltd. | 1,850,462 | 1.6 | |||
7,561,738 | 6.7 | |||||
Consumer Staples: 4.2% | ||||||
47,930 | BRF - Brasil Foods SA ADR | 1,011,802 | 0.9 | |||
55,113 | Cia de Bebidas das Americas ADR | 2,314,195 | 2.0 | |||
14,248 | Fomento Economico Mexicano SAB de CV ADR | 1,434,774 | 1.3 | |||
4,760,771 | 4.2 | |||||
Energy: 17.2% | ||||||
1,230,000 | China Petroleum & Chemical Corp. | 1,416,068 | 1.3 | |||
249,000 | China Shenhua Energy Co., Ltd. | 1,115,350 | 1.0 | |||
1,308,000 | CNOOC Ltd. | 2,881,541 | 2.6 | |||
390,155 | Gazprom OAO ADR | 3,690,866 | 3.3 | |||
37,381 | Lukoil OAO ADR | 2,472,753 | 2.2 | |||
6,673 | NovaTek OAO GDR | 815,225 | 0.7 | |||
1,546,000 | PetroChina Co., Ltd. | 2,230,363 | 2.0 | |||
153,876 | Petroleo Brasileiro SA ADR | 2,969,807 | 2.6 | |||
40,131 | Sasol Ltd. | 1,730,575 | 1.5 | |||
19,322,548 | 17.2 | |||||
Financials: 22.8% | ||||||
140,078 | Banco Bradesco SA ADR | 2,433,155 | 2.2 | |||
5,513,000 | Bank of China Ltd. | 2,496,742 | 2.2 | |||
5,283,000 | China Construction Bank | 4,317,331 | 3.8 | |||
545,000 | China Life Insurance Co., Ltd. | 1,805,074 | 1.6 | |||
31,243 | ICICI Bank Ltd. ADR | 1,362,507 | 1.2 | |||
4,768,000 | Industrial and Commercial Bank of China Ltd. | 3,441,432 | 3.1 | |||
167,125 | Itau Unibanco Holding S.A. ADR | 2,750,877 | 2.5 | |||
26,890 | @ | KB Financial Group, Inc. | 960,481 | 0.9 | ||
137,500 | Ping An Insurance Group Co. of China Ltd. | 1,172,835 | 1.0 | |||
198,126 | Sberbank of Russia ADR | 2,436,950 | 2.2 | |||
31,260 | @ | Shinhan Financial Group Co., Ltd. | 1,144,039 | 1.0 | ||
87,477 | Standard Bank Group Ltd. | 1,233,860 | 1.1 | |||
25,555,283 | 22.8 | |||||
Industrials: 0.6% | ||||||
3,062 | @ | Hyundai Heavy Industries | 696,675 | 0.6 | ||
Information Technology: 22.8% | ||||||
732,100 | Hon Hai Precision Industry Co., Ltd. | 2,266,084 | 2.0 | |||
38,130 | @ | SK Hynix, Inc. | 927,314 | 0.8 | ||
31,546 | L | Infosys Ltd. ADR | 1,334,396 | 1.2 | ||
84,000 | MediaTek, Inc. | 939,715 | 0.8 | |||
8,092 | Samsung Electronics Co., Ltd. | 11,626,584 | 10.4 | |||
1,803,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 6,030,693 | 5.4 | |||
74,300 | Tencent Holdings Ltd. | 2,436,795 | 2.2 | |||
25,561,581 | 22.8 | |||||
Materials: 9.2% | ||||||
28,032 | AngloGold Ashanti Ltd. | 876,730 | 0.8 | |||
838,855 | China Steel Corp. | 792,137 | 0.7 | |||
291,000 | Formosa Plastics Corp. | 791,271 | 0.7 | |||
53,072 | Gold Fields Ltd. | 658,804 | 0.6 | |||
39,331 | Impala Platinum Holdings Ltd. | 786,586 | 0.7 | |||
3,398 | LG Chem Ltd. | 1,062,051 | 0.9 | |||
4,790 | Posco | 1,569,158 | 1.4 | |||
19,355 | Uralkali GDR | 750,035 | 0.7 | |||
146,726 | Vale SA ADR | 2,978,538 | 2.7 | |||
10,265,310 | 9.2 | |||||
Telecommunication Services: 10.7% | ||||||
143,122 | America Movil S.A.B de CV ADR | 3,311,843 | 2.9 | |||
441,500 | China Mobile Ltd. | 5,195,441 | 4.6 | |||
278,000 | Chunghwa Telecom Co., Ltd. | 905,611 | 0.8 | |||
124,260 | MTN Group Ltd. | 2,615,514 | 2.4 | |||
12,028,409 | 10.7 | |||||
Total Common Stock | ||||||
(Cost $97,398,732) | 105,752,315 | 94.2 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 7.0% | ||||||
Securities Lending Collateralcc(1): 1.2% | ||||||
289,918 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.16%, due 01/02/13 (Repurchase Amount $289,920, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.375%-6.00%, Market Value plus accrued interest $295,716, due 06/30/13-04/18/36e | 289,918 | 0.3 | |||
1,000,000 | Nomura Securities, Repurchase Agreement dated 12/31/12, 0.35%, due 01/02/13 (Repurchase Amount $1,000,019, collateralized by various U.S. Government Agency Obligations, 0.000%-6.101%, Market Value plus accrued interest $1,020,000, due 03/10/14-12/20/42) | 1,000,000 | 0.9 | |||
1,289,918 | 1.2 | |||||
Shares | Value | Percentage of Net Assets | ||||
Mutual Funds: 5.8% | ||||||
6,530,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $6,530,000) | 6,530,000 | 5.8 | ||||
Total Short-Term Investments | ||||||||||
(Cost $7,819,918) | 7,819,918 | 7.0 | ||||||||
Total Investments in Securities (Cost $105,218,650) | $ | 113,572,233 | 101.2 | |||||||
Liabilities in Excess of Other Assets | (1,304,619 | ) | (1.2 | ) | ||||||
Net Assets | $ | 112,267,614 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $105,369,828. | |||||
Net unrealized appreciation consists of: | |||||
Gross Unrealized Appreciation | $ | 10,165,910 | |||
Gross Unrealized Depreciation | (1,963,505 | ) | |||
Net Unrealized Appreciation | $ | 8,202,405 | |||
Fair Value Measurements^ |
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:(1) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs # (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 1,002,252 | $ | 6,559,486 | $ | – | $ | 7,561,738 | ||||||||
Consumer Staples | 4,760,771 | – | – | 4,760,771 | ||||||||||||
Energy | 9,133,426 | 10,189,122 | – | 19,322,548 | ||||||||||||
Financials | 6,232,612 | 19,322,671 | – | 25,555,283 | ||||||||||||
Industrials | – | 696,675 | – | 696,675 | ||||||||||||
Information Technology | 1,334,396 | 24,227,185 | – | 25,561,581 | ||||||||||||
Materials | 2,978,538 | 7,286,772 | – | 10,265,310 | ||||||||||||
Telecommunication Services | 3,311,843 | 8,716,566 | – | 12,028,409 | ||||||||||||
Total Common Stock | 28,753,838 | 76,998,477 | – | 105,752,315 | ||||||||||||
Short-Term Investments | 6,530,000 | 1,289,918 | – | 7,819,918 | ||||||||||||
Total Investments, at fair value | $ | 35,283,838 | $ | 78,288,395 | $ | – | $ | 113,572,233 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 197,181 | – | – | 197,181 | ||||||||||||
Total Assets | $ | 35,481,019 | $ | 78,288,395 | $ | – | $ | 113,769,414 | ||||||||
(1) | For the year ended December 31, 2012, as a result of the fair value pricing procedures for international equities utilized by the Portfolio, certain securities have transferred in and out of Level 1 and Level 2 measurements during the year. The Portfolio’s policy is to recognize transfers between levels at the end of the reporting period. At December 31, 2012, securities valued at $1,012,014 were transferred from Level 1 to Level 2 within the fair value hierarchy. |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio's investments are categorized as Level 2 investments. |
ING Emerging Markets Index Portfolio Open Futures Contracts on December 31, 2012: |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
Mini MSCI Emerging Markets Index | 132 | 03/15/13 | $ | 7,085,100 | $ | 197,181 | ||||||||
$ | 7,085,100 | $ | 197,181 | |||||||||||
See Accompanying Notes to Financial Statements |
ING Euro STOXX 50® Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 96.0% | ||||||
Consumer Discretionary: 7.7% | ||||||
104,507 | Bayerische Motoren Werke AG | 10,169,736 | 1.5 | |||
319,528 | DaimlerChrysler AG | 17,591,886 | 2.5 | |||
67,306 | Inditex S.A. | 9,456,970 | 1.4 | |||
84,840 | LVMH Moet Hennessy Louis Vuitton S.A. | 15,657,918 | 2.3 | |||
52,876,510 | 7.7 | |||||
Consumer Staples: 9.8% | ||||||
236,136 | Anheuser-Busch InBev Worldwide, Inc. | 20,563,919 | 3.0 | |||
188,800 | Carrefour S.A. | 4,861,123 | 0.7 | |||
192,119 | Groupe Danone | 12,655,357 | 1.8 | |||
75,681 | L'Oreal S.A. | 10,530,501 | 1.5 | |||
499,428 | Unilever NV | 19,110,021 | 2.8 | |||
67,720,921 | 9.8 | |||||
Energy: 9.2% | ||||||
869,899 | ENI S.p.A. | 21,310,482 | 3.1 | |||
247,385 | Repsol YPF S.A. | 5,049,831 | 0.8 | |||
704,998 | Total S.A. | 36,683,296 | 5.3 | |||
63,043,609 | 9.2 | |||||
Financials: 24.5% | ||||||
147,057 | Allianz AG | 20,499,407 | 3.0 | |||
434,350 | Assicurazioni Generali S.p.A. | 7,937,662 | 1.1 | |||
639,554 | AXA S.A. | 11,483,756 | 1.7 | |||
3,276,778 | Banco Santander Central Hispano S.A. | 26,630,560 | 3.9 | |||
1,729,906 | Banco Bilbao Vizcaya Argentaria S.A. | 16,072,359 | 2.3 | |||
335,943 | BNP Paribas | 19,125,352 | 2.8 | |||
302,756 | Deutsche Bank AG | 13,319,761 | 1.9 | |||
1,226,065 | **,@ | ING Groep NV | 11,645,211 | 1.7 | ||
4,541,463 | Intesa Sanpaolo S.p.A. | 7,853,650 | 1.1 | |||
52,333 | Muenchener Rueckversicherungs AG | 9,447,609 | 1.4 | |||
246,392 | @ | Societe Generale | 9,368,481 | 1.4 | ||
29,284 | Unibail | 7,101,498 | 1.0 | |||
1,756,958 | @ | UniCredit SpA | 8,652,109 | 1.2 | ||
169,137,415 | 24.5 | |||||
Health Care: 10.0% | ||||||
268,835 | Bayer AG | 25,636,733 | 3.7 | |||
67,623 | Cie Generale D'Optique Essilor International S.A. | 6,820,309 | 1.0 | |||
382,597 | Sanofi-Aventis SA | 36,281,827 | 5.3 | |||
68,738,869 | 10.0 | |||||
Industrials: 9.3% | ||||||
141,127 | Cie de Saint-Gobain | 6,060,570 | 0.9 | |||
303,873 | Koninklijke Philips Electronics NV | 8,046,661 | 1.2 | |||
174,229 | Schneider Electric S.A. | 12,760,732 | 1.8 | |||
270,426 | Siemens AG | 29,571,403 | 4.3 | |||
160,749 | Vinci S.A. | 7,739,645 | 1.1 | |||
64,179,011 | 9.3 | |||||
Information Technology: 5.3% | ||||||
113,302 | ASML Holding NV | 7,266,511 | 1.1 | |||
1,217,455 | L | Nokia OYJ | 4,811,054 | 0.7 | ||
300,499 | SAP AG | 24,164,055 | 3.5 | |||
36,241,620 | 5.3 | |||||
Materials: 7.3% | ||||||
99,262 | Air Liquide | 12,540,603 | 1.8 | |||
293,274 | ArcelorMittal | 5,113,391 | 0.7 | |||
298,800 | BASF AG | 28,254,658 | 4.1 | |||
230,321 | @ | CRH PLC | 4,683,858 | 0.7 | ||
50,592,510 | 7.3 | |||||
Telecommunication Services: 6.4% | ||||||
968,523 | Deutsche Telekom AG | 11,024,668 | 1.6 | |||
614,352 | France Telecom S.A. | 6,815,544 | 1.0 | |||
1,263,513 | Telefonica S.A. | 17,106,864 | 2.5 | |||
399,190 | Vivendi | 9,028,108 | 1.3 | |||
43,975,184 | 6.4 | |||||
Utilities: 6.5% | ||||||
650,511 | E.ON AG | 12,201,070 | 1.8 | |||
2,071,777 | Enel S.p.A. | 8,617,564 | 1.2 | |||
451,779 | Gaz de France | 9,304,923 | 1.3 | |||
1,467,000 | Iberdrola S.A. | 8,192,806 | 1.2 | |||
159,096 | RWE AG | 6,598,936 | 1.0 | |||
44,915,299 | 6.5 | |||||
Total Common Stock | ||||||
(Cost $595,649,731) | 661,420,948 | 96.0 | ||||
PREFERRED STOCK: 1.6% | ||||||
Consumer Discretionary: 1.6% | ||||||
46,766 | Volkswagen AG | 10,730,472 | 1.6 | |||
Total Preferred Stock | ||||||
(Cost $7,500,375) | 10,730,472 | 1.6 | ||||
RIGHTS: 0.0% | ||||||
Energy: 0.0% | ||||||
268,844 | @ | Repsol SA | 163,947 | 0.0 | ||
Total Rights | ||||||
(Cost $–) | 163,947 | 0.0 | ||||
Total Long-Term Investments | ||||||
(Cost $603,150,106) | 672,315,367 | 97.6 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 0.7% | ||||||
Securities Lending Collateralcc(1): 0.7% | ||||||
1,182,928 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,182,947, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $1,206,587, due 08/01/27-01/01/43) | 1,182,928 | 0.2 | |||
1,109,306 | BNP Paribas Bank, Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,109,318, collateralized by various U.S. Government Agency Obligations, 3.000%-3.500%, Market Value plus accrued interest $1,131,492, due 09/15/42-11/15/42) | 1,109,306 | 0.1 | |||
1,182,928 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,182,941, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,206,587, due 10/01/16-12/20/42) | 1,182,928 | 0.2 | |||
322,578 | Daiwa Capital Markets, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $322,583, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $329,030, due 06/14/13-12/01/42) | 322,578 | 0.0 | |||
1,182,928 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $1,182,940, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $1,206,587, due 08/09/13-06/20/42) | 1,182,928 | 0.2 | |||
4,980,668 | 0.7 | |||||
Total Short-Term Investments | ||||||||||
(Cost $4,980,668) | 4,980,668 | 0.7 | ||||||||
Total Investments in Securities (Cost $608,130,774) | $ | 677,296,035 | 98.3 | |||||||
Assets in Excess of Other Liabilities | 12,032,793 | 1.7 | ||||||||
Net Assets | $ | 689,328,828 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
** | Investment in affiliate |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $649,119,853. | |||||
Net unrealized appreciation consists of: | |||||
Gross Unrealized Appreciation | $ | 101,149,270 | |||
Gross Unrealized Depreciation | (72,973,088 | ) | |||
Net Unrealized Appreciation | $ | 28,176,182 | |||
Fair Value Measurements^ |
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:(1) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs # (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | – | $ | 52,876,510 | $ | – | $ | 52,876,510 | ||||||||
Consumer Staples | 12,655,357 | 55,065,564 | – | 67,720,921 | ||||||||||||
Energy | – | 63,043,609 | – | 63,043,609 | ||||||||||||
Financials | – | 169,137,415 | – | 169,137,415 | ||||||||||||
Health Care | – | 68,738,869 | – | 68,738,869 | ||||||||||||
Industrials | – | 64,179,011 | – | 64,179,011 | ||||||||||||
Information Technology | – | 36,241,620 | – | 36,241,620 | ||||||||||||
Materials | – | 50,592,510 | – | 50,592,510 | ||||||||||||
Telecommunication Services | – | 43,975,184 | – | 43,975,184 | ||||||||||||
Utilities | – | 44,915,299 | – | 44,915,299 | ||||||||||||
Total Common Stock | 12,655,357 | 648,765,591 | – | 661,420,948 | ||||||||||||
Preferred Stock | – | 10,730,472 | – | 10,730,472 | ||||||||||||
Rights | 163,947 | – | – | 163,947 | ||||||||||||
Short-Term Investments | – | 4,980,668 | – | 4,980,668 | ||||||||||||
Total Investments, at fair value | $ | 12,819,304 | $ | 664,476,731 | $ | – | $ | 677,296,035 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Forward Foreign Currency Contracts | – | 19,226 | – | 19,226 | ||||||||||||
Total Assets | $ | 12,819,304 | $ | 664,495,957 | $ | – | $ | 677,315,261 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | $ | (105,288 | ) | $ | – | $ | – | $ | (105,288 | ) | ||||||
Total Liabilities | $ | (105,288 | ) | $ | – | $ | – | $ | (105,288 | ) | ||||||
(1) | For the year ended December 31, 2012, as a result of the fair value pricing procedures for international equities utilized by the Portfolio, certain securities have transferred in and out of Level 1 and Level 2 measurements during the year. The Portfolio’s policy is to recognize transfers between levels at the end of the reporting period. At December 31, 2012, securities valued at $14,489,287 were transferred from Level 2 to Level 1 within the fair value hierarchy. |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio's investments are categorized as Level 2 investments. |
At December 31, 2012, the following forward foreign currency contracts were outstanding for the ING Euro STOXX 50® Index Portfolio: |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
Citigroup, Inc. | EU Euro | 1,650,000 | Buy | 03/20/13 | $ | 2,173,012 | $ | 2,179,390 | $ | 6,378 | ||||||||||||||
UBS Warburg LLC | EU Euro | 4,495,000 | Buy | 03/20/13 | 5,924,338 | 5,937,186 | 12,848 | |||||||||||||||||
$ | 19,226 | |||||||||||||||||||||||
ING Euro STOXX 50® Index Portfolio Open Futures Contracts on December 31, 2012: |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
Euro STOXX 50® | 265 | 03/15/13 | $ | 9,146,977 | $ | (105,288 | ) | |||||||
$ | 9,146,977 | $ | (105,288 | ) | ||||||||||
See Accompanying Notes to Financial Statements |
ING FTSE 100 Index® Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 98.0% | ||||||
Consumer Discretionary: 6.3% | ||||||
217,694 | British Sky Broadcasting PLC | 2,745,659 | 0.5 | |||
95,663 | Burberry Group PLC | 1,922,977 | 0.4 | |||
39,826 | Carnival PLC | 1,546,542 | 0.3 | |||
401,765 | Compass Group PLC | 4,769,279 | 0.9 | |||
355,466 | GKN PLC | 1,341,103 | 0.2 | |||
59,068 | InterContinental Hotels Group PLC | 1,656,296 | 0.3 | |||
789,363 | ITV PLC | 1,369,367 | 0.3 | |||
516,975 | Kingfisher PLC | 2,415,616 | 0.4 | |||
350,694 | Marks & Spencer Group PLC | 2,202,939 | 0.4 | |||
33,798 | Next PLC | 2,051,632 | 0.4 | |||
177,454 | Pearson PLC | 3,458,871 | 0.6 | |||
262,051 | Reed Elsevier PLC | 2,766,656 | 0.5 | |||
109,800 | TUI Travel PLC | 509,503 | 0.1 | |||
38,813 | Whitbread PLC | 1,559,689 | 0.3 | |||
274,659 | WPP PLC | 4,012,563 | 0.7 | |||
34,328,692 | 6.3 | |||||
Consumer Staples: 16.7% | ||||||
76,054 | Associated British Foods PLC | 1,943,063 | 0.4 | |||
424,205 | British American Tobacco PLC | 21,564,554 | 4.0 | |||
549,693 | Diageo PLC | 16,010,780 | 2.9 | |||
215,378 | Imperial Tobacco Group PLC | 8,350,584 | 1.5 | |||
304,809 | J Sainsbury PLC | 1,724,509 | 0.3 | |||
140,794 | Reckitt Benckiser PLC | 8,937,589 | 1.6 | |||
204,275 | SABMiller PLC | 9,480,679 | 1.7 | |||
101,696 | Tate & Lyle PLC | 1,258,210 | 0.2 | |||
1,753,473 | Tesco PLC | 9,659,190 | 1.8 | |||
263,301 | Unilever PLC | 10,234,801 | 1.9 | |||
479,066 | WM Morrison Supermarkets PLC | 2,056,956 | 0.4 | |||
91,220,915 | 16.7 | |||||
Energy: 17.9% | ||||||
66,240 | Amec PLC | 1,095,017 | 0.2 | |||
735,311 | BG Group PLC | 12,264,907 | 2.2 | |||
4,154,538 | BP PLC | 28,886,285 | 5.3 | |||
78,196 | John Wood Group PLC | 934,801 | 0.2 | |||
56,497 | Petrofac Ltd. | 1,509,943 | 0.3 | |||
815,824 | Royal Dutch Shell PLC - Class A | 28,317,547 | 5.2 | |||
577,716 | Royal Dutch Shell PLC - Class B | 20,610,885 | 3.8 | |||
197,259 | Tullow Oil PLC | 4,112,361 | 0.7 | |||
97,731,746 | 17.9 | |||||
Financials: 19.8% | ||||||
204,693 | Aberdeen Asset Management PLC | 1,231,729 | 0.2 | |||
42,042 | Admiral Group PLC | 800,843 | 0.2 | |||
642,749 | Aviva PLC | 3,977,315 | 0.7 | |||
2,658,273 | Barclays PLC | 11,547,542 | 2.1 | |||
193,094 | British Land Co. PLC | 1,783,932 | 0.3 | |||
123,200 | Capital Shopping Centres Group PLC | 708,778 | 0.1 | |||
154,424 | Hammerson PLC | 1,238,290 | 0.2 | |||
47,618 | Hargreaves Lansdown PLC | 532,583 | 0.1 | |||
4,016,195 | HSBC Holdings PLC | 42,558,912 | 7.8 | |||
169,931 | Land Securities Group PLC | 2,267,064 | 0.4 | |||
1,279,233 | Legal & General Group PLC | 3,067,447 | 0.6 | |||
9,057,596 | @ | Lloyds TSB Group PLC | 7,217,988 | 1.3 | ||
1,066,600 | Old Mutual PLC | 3,132,657 | 0.6 | |||
556,887 | Prudential PLC | 7,945,340 | 1.5 | |||
297,114 | Resolution Ltd. | 1,208,796 | 0.2 | |||
446,474 | @ | Royal Bank of Scotland Group PLC | 2,386,386 | 0.5 | ||
783,653 | Royal & Sun Alliance Insurance Group | 1,618,384 | 0.3 | |||
24,664 | Schroders PLC | 685,282 | 0.1 | |||
431,473 | Standard Chartered PLC | 11,166,466 | 2.1 | |||
513,657 | Standard Life PLC | 2,807,896 | 0.5 | |||
107,883,630 | 19.8 | |||||
Health Care: 7.7% | ||||||
272,249 | AstraZeneca PLC | 12,901,868 | 2.3 | |||
1,074,986 | GlaxoSmithKline PLC | 23,405,038 | 4.3 | |||
122,073 | Shire PLC | 3,755,120 | 0.7 | |||
195,691 | Smith & Nephew PLC | 2,163,159 | 0.4 | |||
42,225,185 | 7.7 | |||||
Industrials: 6.1% | ||||||
55,018 | Aggreko PLC | 1,570,143 | 0.3 | |||
78,361 | Babcock International Group | 1,236,936 | 0.2 | |||
708,008 | BAE Systems PLC | 3,935,261 | 0.7 | |||
72,459 | Bunzl PLC | 1,199,328 | 0.2 | |||
141,981 | Capita Group PLC | 1,754,455 | 0.3 | |||
220,426 | Experian Group Ltd. | 3,552,607 | 0.7 | |||
307,329 | Group 4 Securicor PLC | 1,287,714 | 0.2 | |||
69,854 | IMI PLC | 1,264,312 | 0.2 | |||
356,240 | @ | International Consolidated Airlines Group SA | 1,080,263 | 0.2 | ||
35,082 | Intertek Group PLC | 1,782,059 | 0.3 | |||
171,318 | Meggitt PLC | 1,072,756 | 0.2 | |||
276,433 | Melrose Industries PLC | 1,015,407 | 0.2 | |||
408,499 | @ | Rolls-Royce Holdings PLC | 5,859,289 | 1.1 | ||
108,436 | Serco Group PLC | 949,876 | 0.2 | |||
85,560 | Smiths Group PLC | 1,675,925 | 0.3 | |||
46,378 | Weir Group PLC | 1,434,159 | 0.3 | |||
59,584 | Wolseley PLC | 2,849,245 | 0.5 | |||
33,519,735 | 6.1 | |||||
Information Technology: 0.9% | ||||||
300,320 | ARM Holdings PLC | 3,792,682 | 0.7 | |||
264,319 | Sage Group PLC | 1,270,985 | 0.2 | |||
5,063,667 | 0.9 | |||||
Materials: 12.2% | ||||||
285,174 | Anglo American PLC | 8,989,620 | 1.6 | |||
77,457 | Antofagasta PLC | 1,697,475 | 0.3 | |||
460,946 | BHP Billiton PLC | 16,259,253 | 3.0 | |||
156,919 | CRH PLC | 3,241,802 | 0.6 | |||
29,421 | Croda International | 1,149,927 | 0.2 | |||
53,399 | Eurasian Natural Resources Corp. | 252,550 | 0.0 | |||
72,919 | Evraz PLC | 312,949 | 0.1 | |||
35,999 | Fresnillo PLC | 1,104,150 | 0.2 | |||
790,199 | L | Glencore International PLC | 4,564,867 | 0.8 | ||
44,722 | Johnson Matthey PLC | 1,756,829 | 0.3 | |||
45,720 | Kazakhmys PLC | 590,919 | 0.1 | |||
42,595 | Polymetal International PLC | 824,970 | 0.2 | |||
20,039 | Randgold Resources Ltd. | 1,982,413 | 0.4 | |||
191,033 | Rexam PLC | 1,366,885 | 0.3 | |||
272,288 | Rio Tinto PLC | 15,881,454 | 2.9 | |||
21,977 | Vedanta Resources PLC | 424,322 | 0.1 | |||
353,872 | Xstrata PLC | 6,177,151 | 1.1 | |||
66,577,536 | 12.2 | |||||
Telecommunication Services: 6.2% | ||||||
1,718,418 | BT Group PLC | 6,556,145 | 1.2 | |||
10,769,868 | Vodafone Group PLC | 27,110,749 | 5.0 | |||
33,666,894 | 6.2 | |||||
Utilities: 4.2% | ||||||
1,124,397 | Centrica PLC | 6,136,648 | 1.1 | |||
793,961 | National Grid PLC | 9,106,314 | 1.7 | |||
209,158 | Scottish & Southern Energy PLC | 4,865,900 | 0.9 | |||
51,959 | Severn Trent PLC | 1,337,009 | 0.2 | |||
148,798 | United Utilities Group PLC | 1,638,081 | 0.3 | |||
23,083,952 | 4.2 | |||||
Total Common Stock | ||||||
(Cost $447,675,695) | 535,301,952 | 98.0 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 0.5% | ||||||
Securities Lending Collateralcc(1): 0.5% | ||||||
1,000,000 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,000,011, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,020,000, due 10/01/16-12/20/42) | 1,000,000 | 0.1 | |||
607 | Credit Suisse Securities, Repurchase Agreement dated 12/31/12, 0.00%, due 01/02/13 (Repurchase Amount $607, collateralized by various U.S. Government Securities, 0.250%-4.500%, Market Value plus accrued interest $619, due 07/31/13-04/30/19) | 607 | 0.0 | |||
1,000,000 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $1,000,010, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $1,020,000, due 08/09/13-06/20/42) | 1,000,000 | 0.2 | |||
1,000,000 | Royal Bank of Canada, Repurchase Agreement dated 12/26/12, 0.18%, due 01/02/13 (Repurchase Amount $1,000,035, collateralized by various U.S. Government Agency Obligations, 2.000%-4.500%, Market Value plus accrued interest $1,020,000, due 10/01/32-01/01/43) | 1,000,000 | 0.2 | |||
3,000,607 | 0.5 | |||||
Total Short-Term Investments | ||||||||||
(Cost $3,000,607) | 3,000,607 | 0.5 | ||||||||
Total Investments in Securities (Cost $450,676,302) | $ | 538,302,559 | 98.5 | |||||||
Assets in Excess of Other Liabilities | 7,969,519 | 1.5 | ||||||||
Net Assets | $ | 546,272,078 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $452,548,638. | ||||
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 99,255,368 | ||
Gross Unrealized Depreciation | (13,501,447 | ) | ||
Net Unrealized Appreciation | $ | 85,753,921 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs # (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | – | $ | 34,328,692 | $ | – | $ | 34,328,692 | ||||||||
Consumer Staples | – | 91,220,915 | – | 91,220,915 | ||||||||||||
Energy | – | 97,731,746 | – | 97,731,746 | ||||||||||||
Financials | – | 107,883,630 | – | 107,883,630 | ||||||||||||
Health Care | – | 42,225,185 | – | 42,225,185 | ||||||||||||
Industrials | – | 33,519,735 | – | 33,519,735 | ||||||||||||
Information Technology | – | 5,063,667 | – | 5,063,667 | ||||||||||||
Materials | – | 66,577,536 | – | 66,577,536 | ||||||||||||
Telecommunication Services | – | 33,666,894 | – | 33,666,894 | ||||||||||||
Utilities | – | 23,083,952 | – | 23,083,952 | ||||||||||||
Total Common Stock | – | 535,301,952 | – | 535,301,952 | ||||||||||||
Short-Term Investments | – | 3,000,607 | – | 3,000,607 | ||||||||||||
Total Investments, at fair value | $ | – | $ | 538,302,559 | $ | – | $ | 538,302,559 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Forward Foreign Currency Contracts | – | 5,218 | – | 5,218 | ||||||||||||
Total Assets | $ | – | $ | 538,307,777 | $ | – | $ | 538,307,777 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | $ | (28,153 | ) | $ | – | $ | – | $ | (28,153 | ) | ||||||
Forward Foreign Currency Contracts | – | (7,927 | ) | – | (7,927 | ) | ||||||||||
Total Liabilities | $ | (28,153 | ) | $ | (7,927 | ) | $ | – | $ | (36,080 | ) |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio's investments are categorized as Level 2 investments. |
At December 31, 2012, the following forward foreign currency contracts were outstanding for the ING FTSE 100 Index® Portfolio:
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
JPMorgan Chase & Co. | British Pound | 1,200,000 | Buy | 03/20/13 | $ | 1,943,665 | $ | 1,948,883 | $ | 5,218 | ||||||||||||||
$ | 5,218 | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 610,000 | Sell | 03/20/13 | $ | 982,755 | $ | 990,682 | $ | (7,927 | ) | |||||||||||||
$ | (7,927 | ) | ||||||||||||||||||||||
ING FTSE 100 Index® Portfolio Open Futures Contracts on December 31, 2012:
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
FTSE 100 Index | 85 | 03/15/13 | $ | 8,074,855 | $ | (28,153 | ) | |||||||
$ | 8,074,855 | $ | (28,153 | ) | ||||||||||
See Accompanying Notes to Financial Statements |
ING Hang Seng Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 95.9% | ||||||
Consumer Discretionary: 3.6% | ||||||
743,000 | Belle International Holdings | 1,643,200 | 1.1 | |||
310,618 | Esprit Holdings Ltd. | 440,433 | 0.3 | |||
937,028 | Li & Fung Ltd. | 1,690,854 | 1.1 | |||
385,600 | Sands China Ltd. | 1,723,888 | 1.1 | |||
5,498,375 | 3.6 | |||||
Consumer Staples: 2.8% | ||||||
191,286 | China Resources Enterprise | 700,060 | 0.4 | |||
128,500 | Hengan International Group Co., Ltd. | 1,173,564 | 0.8 | |||
314,000 | Tingyi Cayman Islands Holding Corp. | 883,428 | 0.6 | |||
1,167,000 | Want Want China Holdings Ltd. | 1,635,441 | 1.0 | |||
4,392,493 | 2.8 | |||||
Energy: 12.0% | ||||||
622,000 | China Coal Energy Co. - Class H | 691,272 | 0.4 | |||
2,692,337 | China Petroleum & Chemical Corp. | 3,099,619 | 2.0 | |||
543,841 | China Shenhua Energy Co., Ltd. | 2,436,037 | 1.6 | |||
2,859,714 | CNOOC Ltd. | 6,299,987 | 4.1 | |||
512,000 | Kunlun Energy Co. Ltd. | 1,082,543 | 0.7 | |||
3,372,604 | PetroChina Co., Ltd. | 4,865,544 | 3.2 | |||
18,475,002 | 12.0 | |||||
Financials: 56.4% | ||||||
1,735,200 | AIA Group Ltd. | 6,882,385 | 4.5 | |||
12,704,746 | Bank of China Ltd. | 5,753,760 | 3.7 | |||
1,408,451 | Bank of Communications Co., Ltd. | 1,077,108 | 0.7 | |||
236,384 | L | Bank of East Asia Ltd. | 917,952 | 0.6 | ||
592,629 | BOC Hong Kong Holdings Ltd. | 1,864,282 | 1.2 | |||
221,739 | Cheung Kong Holdings Ltd. | 3,450,127 | 2.2 | |||
13,470,107 | China Construction Bank | 11,007,934 | 7.1 | |||
1,192,911 | China Life Insurance Co., Ltd. | 3,950,996 | 2.6 | |||
650,991 | China Overseas Land & Investment Ltd. | 1,979,292 | 1.3 | |||
328,000 | China Resources Land Ltd. | 908,788 | 0.6 | |||
357,706 | Hang Lung Properties Ltd. | 1,439,559 | 0.9 | |||
122,543 | Hang Seng Bank Ltd. | 1,891,691 | 1.2 | |||
153,024 | Henderson Land Development Co., Ltd. | 1,095,531 | 0.7 | |||
164,941 | Hong Kong Exchanges and Clearing Ltd. | 2,854,497 | 1.9 | |||
2,068,927 | HSBC Holdings PLC | 21,929,154 | 14.2 | |||
11,812,340 | Industrial and Commercial Bank of China Ltd. | 8,525,873 | 5.5 | |||
594,782 | New World Development Ltd. | 941,644 | 0.6 | |||
325,216 | Ping An Insurance Group Co. of China Ltd. | 2,773,998 | 1.8 | |||
475,265 | Sino Land Co. | 870,279 | 0.6 | |||
230,555 | Sun Hung Kai Properties Ltd. | 3,496,422 | 2.3 | |||
109,091 | L | Swire Pacific Ltd. | 1,364,612 | 0.9 | ||
243,637 | Wharf Holdings Ltd. | 1,941,720 | 1.3 | |||
86,917,604 | 56.4 | |||||
Industrials: 4.1% | ||||||
188,818 | Cathay Pacific Airways Ltd. | 350,710 | 0.2 | |||
198,285 | China Merchants Holdings International Co., Ltd. | 647,548 | 0.4 | |||
259,811 | L | Citic Pacific Ltd. | 393,080 | 0.3 | ||
258,697 | Cosco Pacific Ltd. | 375,101 | 0.2 | |||
341,464 | Hutchison Whampoa Ltd. | 3,618,477 | 2.4 | |||
232,143 | MTR Corp. | 919,877 | 0.6 | |||
6,304,793 | 4.1 | |||||
Information Technology: 3.8% | ||||||
177,375 | Tencent Holdings Ltd. | 5,817,316 | 3.8 | |||
Materials: 0.2% | ||||||
635,728 | @,L | Aluminum Corp. of China Ltd. | 298,947 | 0.2 | ||
Telecommunication Services: 8.2% | ||||||
965,601 | China Mobile Ltd. | 11,362,905 | 7.4 | |||
755,110 | China Unicom Ltd. | 1,227,754 | 0.8 | |||
12,590,659 | 8.2 | |||||
Utilities: 4.8% | ||||||
305,654 | China Resources Power Holdings Co. | 787,499 | 0.5 | |||
287,931 | CLP Holdings Ltd. | 2,419,149 | 1.6 | |||
836,203 | Hong Kong & China Gas | 2,297,476 | 1.5 | |||
221,822 | Power Assets Holdings Ltd. | 1,903,136 | 1.2 | |||
7,407,260 | 4.8 | |||||
Total Common Stock | ||||||
(Cost $124,649,593) | 147,702,449 | 95.9 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 4.7% | ||||||
Securities Lending Collateralcc(1): 0.9% | ||||||
417,258 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $417,263, collateralized by various U.S. Government Securities, 0.000%-3.375%, Market Value plus accrued interest $425,603, due 07/31/13-11/15/39) | 417,258 | 0.3 | |||
1,000,000 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,000,011, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,020,000, due 10/01/16-12/20/42) | 1,000,000 | 0.6 | |||
15,365 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.14%, due 01/02/13 (Repurchase Amount $15,365, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $15,672, due 08/09/13-04/18/36) | 15,365 | 0.0 | |||
1,432,623 | 0.9 | |||||
Shares | Value | Percentage of Net Assets | ||||
Mutual Funds: 3.8% | ||||||
5,867,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $5,867,000) | 5,867,000 | 3.8 | ||||
Total Short-Term Investments | ||||||||||
(Cost $7,299,623) | 7,299,623 | 4.7 | ||||||||
Total Investments in Securities (Cost $131,949,216) | $ | 155,002,072 | 100.6 | |||||||
Liabilities in Excess of Other Assets | (946,594 | ) | (0.6 | ) | ||||||
Net Assets | $ | 154,055,478 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $135,978,859. | ||||
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 23,838,547 | ||
Gross Unrealized Depreciation | (4,815,334 | ) | ||
Net Unrealized Appreciation | $ | 19,023,213 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs # (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | – | $ | 5,498,375 | $ | – | $ | 5,498,375 | ||||||||
Consumer Staples | – | 4,392,493 | – | 4,392,493 | ||||||||||||
Energy | – | 18,475,002 | – | 18,475,002 | ||||||||||||
Financials | – | 86,917,604 | – | 86,917,604 | ||||||||||||
Industrials | – | 6,304,793 | – | 6,304,793 | ||||||||||||
Information Technology | – | 5,817,316 | – | 5,817,316 | ||||||||||||
Materials | – | 298,947 | – | 298,947 | ||||||||||||
Telecommunication Services | – | 12,590,659 | – | 12,590,659 | ||||||||||||
Utilities | – | 7,407,260 | – | 7,407,260 | ||||||||||||
Total Common Stock | – | 147,702,449 | – | 147,702,449 | ||||||||||||
Short-Term Investments | 5,867,000 | 1,432,623 | – | 7,299,623 | ||||||||||||
Total Investments, at fair value | $ | 5,867,000 | $ | 149,135,072 | $ | – | $ | 155,002,072 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | $ | (25,530 | ) | $ | – | $ | – | $ | (25,530 | ) | ||||||
Total Liabilities | $ | (25,530 | ) | $ | – | $ | – | $ | (25,530 | ) | ||||||
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio's investments are categorized as Level 2 investments. |
ING Hang Seng Index Portfolio Open Futures Contracts on December 31, 2012:
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
Hang Seng Index | 44 | 01/30/13 | $ | 6,435,784 | $ | (25,530 | ) | |||||||
$ | 6,435,784 | $ | (25,530 | ) | ||||||||||
See Accompanying Notes to Financial Statements |
ING International Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 94.1% | ||||||
Consumer Discretionary: 9.7% | ||||||
5,883 | Accor S.A. | 209,830 | 0.1 | |||
7,935 | Adidas AG | 708,196 | 0.2 | |||
7,400 | Aisin Seiki Co., Ltd. | 231,081 | 0.1 | |||
2,400 | Asics Corp. | 36,664 | 0.0 | |||
1,876 | Bayerische Motoren Werke AG | 121,526 | 0.0 | |||
13,257 | Bayerische Motoren Werke AG | 1,290,059 | 0.3 | |||
2,700 | Benesse Holdings, Inc. | 112,364 | 0.0 | |||
25,424 | Bridgestone Corp. | 661,826 | 0.2 | |||
42,259 | British Sky Broadcasting PLC | 532,990 | 0.1 | |||
17,135 | Burberry Group PLC | 344,440 | 0.1 | |||
6,741 | Carnival PLC | 261,770 | 0.1 | |||
2,343 | Christian Dior S.A. | 399,376 | 0.1 | |||
7,021 | Cie Generale des Etablissements Michelin | 672,748 | 0.2 | |||
19,911 | Cie Financiere Richemont SA | 1,562,925 | 0.4 | |||
73,303 | Compass Group PLC | 870,167 | 0.2 | |||
4,215 | Continental AG | 491,275 | 0.1 | |||
21,096 | Crown Ltd. | 235,769 | 0.1 | |||
7,000 | Daihatsu Motor Co., Ltd. | 139,460 | 0.0 | |||
34,907 | DaimlerChrysler AG | 1,921,835 | 0.4 | |||
4,000 | Dena Co., Ltd. | 131,217 | 0.1 | |||
18,500 | Denso Corp. | 644,248 | 0.1 | |||
7,000 | Dentsu, Inc. | 187,500 | 0.0 | |||
1,600 | Don Quijote Co., Ltd. | 58,857 | 0.0 | |||
21,177 | Echo Entertainment Group Ltd. | 76,484 | 0.0 | |||
8,885 | Electrolux AB | 234,692 | 0.1 | |||
5,308 | Eutelsat Communications | 176,546 | 0.0 | |||
2,100 | Fast Retailing Co., Ltd. | 535,943 | 0.1 | |||
34,900 | @ | Fiat S.p.A | 175,807 | 0.0 | ||
23,000 | Fuji Heavy Industries Ltd. | 290,037 | 0.1 | |||
83,000 | @ | Galaxy Entertainment Group Ltd. | 332,812 | 0.1 | ||
206,600 | Genting International PLC | 237,354 | 0.1 | |||
57,298 | GKN PLC | 216,174 | 0.1 | |||
36,639 | �� | Hennes & Mauritz AB | 1,269,799 | 0.3 | ||
62,300 | Honda Motor Co., Ltd. | 2,307,258 | 0.5 | |||
800 | Hugo Boss AG | 85,021 | 0.0 | |||
13,729 | Husqvarna AB - B Shares | 83,322 | 0.0 | |||
8,447 | Inditex S.A. | 1,186,863 | 0.3 | |||
10,345 | InterContinental Hotels Group PLC | 290,079 | 0.1 | |||
17,200 | Isetan Mitsukoshi Holdings Ltd. | 168,325 | 0.0 | |||
47,000 | Isuzu Motors Ltd. | 280,469 | 0.1 | |||
147,249 | ITV PLC | 255,444 | 0.1 | |||
20,000 | J Front Retailing Co., Ltd. | 110,847 | 0.0 | |||
5,000 | Jardine Cycle & Carriage Ltd. | 199,149 | 0.0 | |||
85 | Jupiter Telecommunications Co. | 105,864 | 0.0 | |||
3,337 | Kabel Deutschland Holding AG | 251,163 | 0.1 | |||
90,768 | Kingfisher PLC | 424,122 | 0.1 | |||
4,794 | Lagardere SCA | 161,251 | 0.0 | |||
216,722 | Li & Fung Ltd. | 391,072 | 0.1 | |||
4,685 | Luxottica Group S.p.A. | 193,374 | 0.0 | |||
9,696 | LVMH Moet Hennessy Louis Vuitton S.A. | 1,789,476 | 0.4 | |||
59,217 | Marks & Spencer Group PLC | 371,981 | 0.1 | |||
104,000 | Mazda Motor Corp. | 213,441 | 0.1 | |||
2,448 | L | McDonald's Holdings Co. Japan Ltd. | 64,598 | 0.0 | ||
150,255 | @ | Mitsubishi Motors Corp. | 155,348 | 0.0 | ||
8,100 | Namco Bandai Holdings, Inc. | 104,994 | 0.0 | |||
7,339 | Next PLC | 445,498 | 0.1 | |||
7,000 | NGK Spark Plug Co., Ltd. | 93,249 | 0.0 | |||
7,000 | NHK Spring Co., Ltd. | 57,680 | 0.0 | |||
13,300 | Nikon Corp. | 392,675 | 0.1 | |||
96,100 | Nissan Motor Co., Ltd. | 911,881 | 0.2 | |||
1,050 | Nitori Co., Ltd. | 76,930 | 0.0 | |||
4,260 | Nokian Renkaat OYJ | 170,644 | 0.0 | |||
1,900 | Oriental Land Co., Ltd. | 230,098 | 0.1 | |||
85,700 | L | Panasonic Corp. | 523,749 | 0.1 | ||
31,674 | Pearson PLC | 617,378 | 0.1 | |||
9,899 | Pirelli & C S.p.A. | 114,054 | 0.0 | |||
2,953 | PPR | 554,608 | 0.1 | |||
5,460 | Publicis Groupe | 328,493 | 0.1 | |||
28,500 | Rakuten, Inc. | 222,256 | 0.1 | |||
27,007 | Reed Elsevier NV | 400,454 | 0.1 | |||
47,566 | Reed Elsevier PLC | 502,188 | 0.1 | |||
7,531 | Renault S.A. | 408,996 | 0.1 | |||
1,100 | Rinnai Corp. | 74,738 | 0.0 | |||
104,000 | Sands China Ltd. | 464,949 | 0.1 | |||
1,800 | Sankyo Co., Ltd. | 71,424 | 0.0 | |||
8,100 | Sega Sammy Holdings, Inc. | 136,723 | 0.0 | |||
22,000 | Sekisui Chemical Co., Ltd. | 191,921 | 0.0 | |||
21,000 | Sekisui House Ltd. | 229,943 | 0.1 | |||
10,918 | SES S.A. | 314,448 | 0.1 | |||
35,331 | Shangri-La Asia Ltd. | 71,172 | 0.0 | |||
34,000 | L | Sharp Corp. | 118,913 | 0.0 | ||
800 | Shimamura Co., Ltd. | 77,741 | 0.0 | |||
2,700 | Shimano, Inc. | 172,889 | 0.0 | |||
64,000 | Singapore Press Holdings Ltd. | 211,935 | 0.1 | |||
77,292 | SJM Holdings Ltd. | 182,414 | 0.0 | |||
3,549 | Sodexho Alliance S.A. | 299,887 | 0.1 | |||
39,100 | Sony Corp. | 438,524 | 0.1 | |||
5,100 | Stanley Electric Co., Ltd. | 72,487 | 0.0 | |||
10,900 | Sumitomo Rubber Industries, Inc. | 131,806 | 0.0 | |||
13,700 | Suzuki Motor Corp. | 358,506 | 0.1 | |||
1,202 | Swatch Group AG - BR | 609,539 | 0.1 | |||
2,393 | Swatch Group AG - Reg | 207,007 | 0.0 | |||
27,952 | TABCORP Holdings Ltd. | 89,279 | 0.0 | |||
11,000 | Takashimaya Co., Ltd. | 78,277 | 0.0 | |||
54,078 | Tattersall's Ltd. | 170,334 | 0.0 | |||
4,800 | Toho Co., Ltd. | 84,483 | 0.0 | |||
7,300 | Toyota Industries Corp. | 233,060 | 0.1 | |||
107,089 | Toyota Motor Corp. | 5,000,644 | 1.1 | |||
730 | USS Co., Ltd. | 76,015 | 0.0 | |||
1,371 | Volkswagen AG | 297,423 | 0.1 | |||
6,496 | Whitbread PLC | 261,040 | 0.1 | |||
12,019 | Wolters Kluwer NV | 246,892 | 0.1 | |||
47,794 | WPP PLC | 698,235 | 0.2 | |||
75,200 | @ | Wynn Macau Ltd. | 207,077 | 0.1 | ||
3,210 | L | Yamada Denki Co., Ltd. | 124,070 | 0.0 | ||
11,500 | Yamaha Motor Co., Ltd. | 127,394 | 0.0 | |||
26,643 | Yue Yuen Industrial Holdings | 90,112 | 0.0 | |||
42,837,364 | 9.7 | |||||
Consumer Staples: 11.0% | ||||||
23,600 | Aeon Co., Ltd. | 269,713 | 0.1 | |||
23,000 | Ajinomoto Co., Inc. | 304,347 | 0.1 | |||
30,929 | Anheuser-Busch InBev Worldwide, Inc. | 2,693,454 | 0.6 | |||
3,018 | Aryzta AG | 155,293 | 0.0 | |||
13,300 | Asahi Group Holdings, Ltd. | 283,193 | 0.1 | |||
11,016 | Associated British Foods PLC | 281,442 | 0.1 | |||
3,833 | Beiersdorf AG | 313,850 | 0.1 | |||
74,610 | British American Tobacco PLC | 3,792,816 | 0.9 | |||
4,018 | Carlsberg A/S | 395,839 | 0.1 | |||
21,777 | Carrefour S.A. | 560,703 | 0.1 | |||
2,208 | Casino Guichard Perrachon S.A. | 211,489 | 0.1 | |||
7,728 | @ | Coca-Cola Hellenic Bottling Co. S.A. | 180,551 | 0.1 | ||
22,282 | Coca-Cola Amatil Ltd. | 313,138 | 0.1 | |||
2,745 | Colruyt S.A. | 135,873 | 0.0 | |||
22,689 | @ | DE Master Blenders 1753 NV | 260,669 | 0.1 | ||
3,521 | Delhaize Group | 141,823 | 0.0 | |||
98,345 | Diageo PLC | 2,864,472 | 0.7 | |||
23,143 | Distribuidora Internacional de Alimentacion SA | 147,865 | 0.0 | |||
2,500 | FamilyMart Co., Ltd. | 102,995 | 0.0 | |||
289,122 | Golden Agri-Resources Ltd. | 155,591 | 0.0 | |||
22,276 | Groupe Danone | 1,467,376 | 0.3 | |||
3,407 | Heineken Holding NV | 187,599 | 0.0 | |||
8,506 | Heineken NV | 570,275 | 0.1 | |||
6,130 | Henkel AG & Co. KGaA | 420,711 | 0.1 | |||
6,939 | Henkel KGaA - Vorzug | 570,882 | 0.1 | |||
38,569 | Imperial Tobacco Group PLC | 1,495,388 | 0.3 | |||
36,645 | J Sainsbury PLC | 207,325 | 0.1 | |||
34,900 | Japan Tobacco, Inc. | 985,903 | 0.2 | |||
8,064 | Jeronimo Martins | 155,930 | 0.0 | |||
21,617 | Kao Corp. | 563,286 | 0.1 | |||
5,882 | @ | Kerry Group PLC | 310,694 | 0.1 | ||
6,000 | Kikkoman Corp. | 85,675 | 0.0 | |||
30,000 | Kirin Brewery Co., Ltd. | 352,980 | 0.1 | |||
40,682 | Koninklijke Ahold NV | 545,508 | 0.1 | |||
2,500 | Lawson, Inc. | 169,588 | 0.0 | |||
29 | Lindt & Spruengli AG | 94,572 | 0.0 | |||
5 | Lindt & Spruengli AG | 189,248 | 0.1 | |||
9,712 | L'Oreal S.A. | 1,351,359 | 0.3 | |||
2,800 | MEIJI Holdings Co., Ltd. | 121,430 | 0.0 | |||
11,299 | L | Metcash Ltd. | 39,171 | 0.0 | ||
4,735 | Metro AG | 131,545 | 0.0 | |||
123,168 | Nestle S.A. | 8,035,908 | 1.8 | |||
8,000 | Nippon Meat Packers, Inc. | 110,896 | 0.0 | |||
7,000 | Nisshin Seifun Group, Inc. | 87,599 | 0.0 | |||
2,000 | Nissin Food Products Co., Ltd. | 75,876 | 0.0 | |||
54,272 | L | Olam International Ltd. | 69,714 | 0.0 | ||
7,926 | Pernod-Ricard S.A. | 919,587 | 0.2 | |||
25,099 | Reckitt Benckiser PLC | 1,593,282 | 0.4 | |||
735 | Remy Cointreau SA | 80,262 | 0.0 | |||
36,453 | SABMiller PLC | 1,691,833 | 0.4 | |||
31,000 | Seven & I Holdings Co., Ltd. | 873,914 | 0.2 | |||
11,600 | Shiseido Co., Ltd. | 163,739 | 0.0 | |||
2,293 | Suedzucker AG | 94,122 | 0.0 | |||
21,723 | Svenska Cellulosa AB - B Shares | 472,315 | 0.1 | |||
8,347 | Swedish Match AB | 280,208 | 0.1 | |||
17,787 | Tate & Lyle PLC | 220,065 | 0.1 | |||
309,477 | Tesco PLC | 1,704,787 | 0.4 | |||
4,000 | Toyo Suisan Kaisha Ltd. | 106,575 | 0.0 | |||
8,303 | Treasury Wine Estates Ltd. | 40,867 | 0.0 | |||
4,800 | Uni-Charm Corp. | 249,430 | 0.1 | |||
64,481 | Unilever NV | 2,467,289 | 0.6 | |||
51,238 | Unilever PLC | 1,991,678 | 0.5 | |||
38,847 | Wesfarmers Ltd. | 1,498,768 | 0.3 | |||
74,000 | Wilmar International Ltd. | 204,298 | 0.1 | |||
79,107 | WM Morrison Supermarkets PLC | 339,660 | 0.1 | |||
48,913 | Woolworths Ltd. | 1,500,576 | 0.3 | |||
3,400 | L | Yakult Honsha Co., Ltd. | 148,927 | 0.0 | ||
48,603,736 | 11.0 | |||||
Energy: 7.3% | ||||||
10,485 | @ | Subsea 7 SA | 251,979 | 0.1 | ||
6,237 | Aker Solutions ASA | 129,160 | 0.0 | |||
13,803 | Amec PLC | 228,178 | 0.1 | |||
129,982 | BG Group PLC | 2,168,086 | 0.5 | |||
729,034 | BP PLC | 5,068,935 | 1.1 | |||
6,698 | Caltex Australia Ltd. | 135,097 | 0.0 | |||
6,402 | @ | Cie Generale de Geophysique-Veritas | 194,534 | 0.0 | ||
92,527 | ENI S.p.A. | 2,266,694 | 0.5 | |||
2,539 | Fugro NV | 150,660 | 0.0 | |||
8,758 | Galp Energia SGPS SA | 135,948 | 0.1 | |||
1,100 | Idemitsu Kosan Co., Ltd. | 95,852 | 0.0 | |||
86 | Inpex Holdings, Inc. | 459,959 | 0.1 | |||
93,400 | JX Holdings, Inc. | 527,315 | 0.1 | |||
7,610 | @ | Lundin Petroleum AB | 176,112 | 0.0 | ||
6,214 | OMV AG | 225,172 | 0.1 | |||
41,132 | Origin Energy Ltd. | 505,625 | 0.1 | |||
9,682 | Petrofac Ltd. | 258,762 | 0.1 | |||
32,263 | Repsol YPF S.A. | 658,579 | 0.2 | |||
144,467 | Royal Dutch Shell PLC - Class A | 5,014,502 | 1.1 | |||
102,817 | Royal Dutch Shell PLC - Class B | 3,668,151 | 0.8 | |||
10,027 | Saipem S.p.A. | 390,584 | 0.1 | |||
35,995 | Santos Ltd. | 421,742 | 0.1 | |||
13,144 | SeaDrill Ltd. | 484,250 | 0.1 | |||
43,100 | Statoil ASA | 1,086,319 | 0.3 | |||
3,738 | Technip S.A. | 432,250 | 0.1 | |||
19,509 | Tenaris S.A. | 406,772 | 0.1 | |||
12,000 | TonenGeneral Sekiyu KK | 103,773 | 0.0 | |||
81,574 | Total S.A. | 4,244,556 | 1.0 | |||
13,216 | @ | Transocean Ltd. | 592,522 | 0.1 | ||
32,469 | Tullow Oil PLC | 676,898 | 0.2 | |||
24,092 | Woodside Petroleum Ltd. | 858,522 | 0.2 | |||
8,029 | WorleyParsons Ltd. | 197,779 | 0.0 | |||
32,215,267 | 7.3 | |||||
Financials: 23.3% | ||||||
39,761 | 3i Group PLC | 141,905 | 0.0 | |||
34,685 | Aberdeen Asset Management PLC | 208,715 | 0.1 | |||
8,168 | Admiral Group PLC | 155,589 | 0.0 | |||
64,369 | Aegon NV | 415,814 | 0.1 | |||
10,226 | Ageas | 302,152 | 0.1 | |||
390,600 | AIA Group Ltd. | 1,549,251 | 0.4 | |||
17,987 | Allianz AG | 2,507,346 | 0.6 | |||
113,994 | AMP Ltd. | 578,222 | 0.1 | |||
69,000 | Ascendas Real Estate Investment Trust | 135,028 | 0.0 | |||
45,422 | Assicurazioni Generali S.p.A. | 830,078 | 0.2 | |||
6,485 | ASX Ltd. | 211,634 | 0.1 | |||
103,277 | Australia & New Zealand Banking Group Ltd. | 2,719,965 | 0.6 | |||
113,089 | Aviva PLC | 699,792 | 0.2 | |||
68,400 | AXA S.A. | 1,228,182 | 0.3 | |||
2,190 | Baloise Holding AG | 189,156 | 0.0 | |||
86,610 | @ | Banco de Sabadell SA | 226,510 | 0.1 | ||
82,767 | @ | Banco Populare Scarl | 137,821 | 0.0 | ||
204,973 | Banco Popular Espanol S.A. | 160,214 | 0.0 | |||
396,861 | Banco Santander Central Hispano S.A. | 3,225,312 | 0.7 | |||
47,579 | @ | Bank Hapoalim BM | 204,135 | 0.1 | ||
52,422 | @ | Bank Leumi Le-Israel BM | 178,435 | 0.0 | ||
59,805 | L | Bank of East Asia Ltd. | 232,241 | 0.1 | ||
14,000 | Bank of Kyoto Ltd. | 118,567 | 0.0 | |||
47,000 | Bank of Yokohama Ltd. | 218,532 | 0.1 | |||
442,239 | Barclays PLC | 1,921,087 | 0.4 | |||
208,307 | Banco Bilbao Vizcaya Argentaria S.A. | 1,935,357 | 0.4 | |||
14,002 | Bendigo Bank Ltd. | 124,732 | 0.0 | |||
38,547 | BNP Paribas | 2,194,494 | 0.5 | |||
141,410 | BOC Hong Kong Holdings Ltd. | 444,845 | 0.1 | |||
29,882 | British Land Co. PLC | 276,070 | 0.1 | |||
53,000 | CapitaCommercial Trust | 73,549 | 0.0 | |||
21,141 | Capital Shopping Centres Group PLC | 121,626 | 0.0 | |||
115,000 | CapitaLand Ltd. | 353,983 | 0.1 | |||
94,000 | CapitaMall Trust | 165,184 | 0.0 | |||
22,000 | CapitaMalls Asia Ltd. | 35,432 | 0.0 | |||
40,293 | Centro Retail Australia | 95,387 | 0.0 | |||
72,576 | CFS Retail Property Trust | 145,187 | 0.0 | |||
57,383 | Cheung Kong Holdings Ltd. | 892,845 | 0.2 | |||
28,000 | Chiba Bank Ltd. | 164,029 | 0.0 | |||
6,000 | Chugoku Bank Ltd. | 83,747 | 0.0 | |||
137,560 | Sumitomo Mitsui Trust Holdings, Inc. | 484,666 | 0.1 | |||
21,000 | City Developments Ltd. | 224,595 | 0.1 | |||
8,254 | CNP Assurances | 127,052 | 0.0 | |||
135,477 | @ | Commerzbank AG | 259,542 | 0.1 | ||
60,610 | Commonwealth Bank of Australia | 3,947,328 | 0.9 | |||
3,687 | Corio NV | 169,072 | 0.0 | |||
36,480 | @ | Credit Agricole S.A. | 297,097 | 0.1 | ||
6,400 | Credit Saison Co., Ltd. | 160,081 | 0.0 | |||
45,591 | Credit Suisse Group | 1,112,711 | 0.3 | |||
704 | @ | CaixaBank | 2,450 | 0.0 | ||
37,069 | L | CaixaBank | 129,856 | 0.0 | ||
334 | Dai-ichi Life Insurance Co., Ltd. | 469,958 | 0.1 | |||
2,873 | Daito Trust Construction Co., Ltd. | 271,527 | 0.1 | |||
21,000 | Daiwa House Industry Co., Ltd. | 361,048 | 0.1 | |||
65,000 | Daiwa Securities Group, Inc. | 362,638 | 0.1 | |||
25,035 | @ | Danske Bank A/S | 425,199 | 0.1 | ||
73,000 | DBS Group Holdings Ltd. | 896,186 | 0.2 | |||
35,616 | Deutsche Bank AG | 1,566,927 | 0.4 | |||
7,412 | Deutsche Boerse AG | 454,521 | 0.1 | |||
186,290 | Dexus Property Group | 197,860 | 0.1 | |||
39,728 | DnB NOR ASA | 507,790 | 0.1 | |||
8,271 | @ | Erste Bank der Oesterreichischen Sparkassen AG | 262,974 | 0.1 | ||
82,000 | First Pacific Co. | 90,554 | 0.0 | |||
37,000 | Fukuoka Financial Group, Inc. | 148,177 | 0.0 | |||
788 | Gecina S.A. | 89,236 | 0.0 | |||
8,856 | Gjensidige Forsikring ASA | 127,266 | 0.0 | |||
83,700 | Global Logistic Properties Ltd. | 193,574 | 0.0 | |||
68,248 | Goodman Group | 310,977 | 0.1 | |||
874,585 | @,X | GPT Group | – | – | ||
53,334 | GPT Group | 205,293 | 0.1 | |||
3,200 | Groupe Bruxelles Lambert S.A. | 255,221 | 0.1 | |||
16,000 | Gunma Bank Ltd. | 78,281 | 0.0 | |||
15,000 | Hachijuni Bank Ltd. | 75,255 | 0.0 | |||
26,519 | Hammerson PLC | 212,650 | 0.1 | |||
83,682 | Hang Lung Properties Ltd. | 336,771 | 0.1 | |||
29,873 | Hang Seng Bank Ltd. | 461,148 | 0.1 | |||
2,438 | Hannover Rueckversicheru - Reg | 190,954 | 0.0 | |||
5,029 | Hargreaves Lansdown PLC | 56,247 | 0.0 | |||
36,656 | Henderson Land Development Co., Ltd. | 262,428 | 0.1 | |||
15,000 | Hiroshima Bank Ltd. | 62,902 | 0.0 | |||
39,854 | Hong Kong Exchanges and Clearing Ltd. | 689,720 | 0.2 | |||
690,698 | HSBC Holdings PLC | 7,319,205 | 1.7 | |||
20,101 | Hysan Development Co., Ltd. | 97,748 | 0.0 | |||
924 | ICADE | 82,497 | 0.0 | |||
15,722 | ICAP PLC | 79,501 | 0.0 | |||
46,759 | Immofinanz Immobilien Anlagen AG | 196,847 | 0.1 | |||
146,136 | **,@ | ING Groep NV | 1,388,005 | 0.3 | ||
77,679 | Insurance Australia Group | 382,597 | 0.1 | |||
391,913 | Intesa Sanpaolo S.p.A. | 677,744 | 0.2 | |||
24,374 | Investec PLC | 169,684 | 0.0 | |||
17,848 | Investor AB | 468,870 | 0.1 | |||
10,401 | Iyo Bank Ltd. | 82,448 | 0.0 | |||
25 | Japan Prime Realty Investment Corp. | 72,255 | 0.0 | |||
24 | Japan Real Estate Investment Corp. | 236,451 | 0.1 | |||
89 | Japan Retail Fund Investment Corp. | 163,606 | 0.0 | |||
27,000 | Joyo Bank Ltd. | 128,284 | 0.0 | |||
8,972 | Julius Baer Group Ltd. | 319,428 | 0.1 | |||
8,992 | KBC Groep NV | 313,393 | 0.1 | |||
39,000 | Keppel Land Ltd. | 130,621 | 0.0 | |||
35,818 | Kerry Properties Ltd. | 188,170 | 0.0 | |||
7,902 | Kinnevik Investment AB | 165,290 | 0.0 | |||
4,887 | Klepierre | 195,331 | 0.0 | |||
30,179 | Land Securities Group PLC | 402,621 | 0.1 | |||
225,490 | Legal & General Group PLC | 540,698 | 0.1 | |||
16,811 | Lend Lease Corp., Ltd. | 164,173 | 0.0 | |||
88,827 | Link Real Estate Investment Trust | 444,855 | 0.1 | |||
1,626,442 | @ | Lloyds TSB Group PLC | 1,296,110 | 0.3 | ||
5,404 | London Stock Exchange Group PLC | 96,398 | 0.0 | |||
12,963 | Macquarie Group Ltd. | 485,609 | 0.1 | |||
19,792 | L | Corp. Mapfre S.A. | 60,982 | 0.0 | ||
30,749 | Mediobanca S.p.A. | 189,939 | 0.0 | |||
125,534 | Mirvac Group | 195,362 | 0.1 | |||
48,000 | Mitsubishi Estate Co., Ltd. | 1,149,154 | 0.3 | |||
503,121 | Mitsubishi UFJ Financial Group, Inc. | 2,722,445 | 0.6 | |||
1,110 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 47,748 | 0.0 | |||
32,919 | Mitsui Fudosan Co., Ltd. | 805,300 | 0.2 | |||
21,669 | Mitsui Sumitomo Insurance Group Holdings, Inc. | 432,448 | 0.1 | |||
880,172 | Mizuho Financial Group, Inc. | 1,613,783 | 0.4 | |||
6,933 | Muenchener Rueckversicherungs AG | 1,251,606 | 0.3 | |||
86,167 | National Australia Bank Ltd. | 2,266,467 | 0.5 | |||
39,179 | Natixis | 133,919 | 0.0 | |||
149,257 | New World Development Ltd. | 236,300 | 0.1 | |||
26 | Nippon Building Fund, Inc. | 268,964 | 0.1 | |||
16,326 | NKSJ Holdings, Inc. | 350,177 | 0.1 | |||
141,400 | Nomura Holdings, Inc. | 836,988 | 0.2 | |||
106,065 | Nordea Bank AB | 1,020,231 | 0.2 | |||
175,803 | Old Mutual PLC | 516,342 | 0.1 | |||
4,090 | ORIX Corp. | 462,000 | 0.1 | |||
97,608 | Oversea-Chinese Banking Corp. | 786,524 | 0.2 | |||
707 | Partners Group | 163,444 | 0.0 | |||
97,117 | Prudential PLC | 1,385,609 | 0.3 | |||
40,777 | QBE Insurance Group Ltd. | 467,221 | 0.1 | |||
12,661 | Ratos AB | 121,935 | 0.0 | |||
54,946 | Resolution Ltd. | 223,545 | 0.1 | |||
74,100 | Resona Holdings, Inc. | 338,813 | 0.1 | |||
77,488 | @ | Royal Bank of Scotland Group PLC | 414,170 | 0.1 | ||
139,762 | Royal & Sun Alliance Insurance Group | 288,634 | 0.1 | |||
17,205 | Sampo OYJ | 557,199 | 0.1 | |||
4,621 | Schroders PLC | 128,393 | 0.0 | |||
6,566 | Scor S.A. | 177,470 | 0.0 | |||
23,860 | Segro PLC | 96,849 | 0.0 | |||
33,000 | Shinsei Bank Ltd. | 66,051 | 0.0 | |||
21,000 | Shizuoka Bank Ltd. | 205,131 | 0.1 | |||
39,000 | Singapore Exchange Ltd. | 226,633 | 0.1 | |||
107,843 | Sino Land Co. | 197,476 | 0.1 | |||
55,314 | Skandinaviska Enskilda Banken AB | 473,249 | 0.1 | |||
26,457 | @ | Societe Generale | 1,005,966 | 0.2 | ||
7,800 | Sony Financial Holdings, Inc. | 140,230 | 0.0 | |||
92,150 | Standard Chartered PLC | 2,384,830 | 0.5 | |||
89,688 | Standard Life PLC | 490,278 | 0.1 | |||
102,944 | Stockland | 380,639 | 0.1 | |||
51,800 | Sumitomo Mitsui Financial Group, Inc. | 1,882,506 | 0.4 | |||
14,000 | Sumitomo Realty & Development Co., Ltd. | 466,394 | 0.1 | |||
59,915 | Sun Hung Kai Properties Ltd. | 908,625 | 0.2 | |||
47,469 | Suncorp-Metway Ltd. | 506,916 | 0.1 | |||
7,000 | Suruga Bank Ltd. | 86,094 | 0.0 | |||
19,035 | Svenska Handelsbanken AB | 684,344 | 0.2 | |||
31,944 | Swedbank AB | 627,552 | 0.1 | |||
25,579 | Swire Pacific Ltd. | 319,966 | 0.1 | |||
17,800 | Swire Properties Ltd. | 59,951 | 0.0 | |||
1,255 | Swiss Life Holding | 167,513 | 0.0 | |||
1,963 | Swiss Prime Site AG | 163,860 | 0.0 | |||
13,888 | Swiss Re Ltd. | 1,006,864 | 0.2 | |||
22,900 | T&D Holdings, Inc. | 278,814 | 0.1 | |||
28,750 | Tokio Marine Holdings, Inc. | 800,954 | 0.2 | |||
20,000 | Tokyu Land Corp. | 146,542 | 0.0 | |||
139,020 | UBS AG - Reg | 2,175,508 | 0.5 | |||
3,562 | Unibail | 863,801 | 0.2 | |||
155,650 | @ | UniCredit SpA | 766,496 | 0.2 | ||
51,206 | Unione di Banche Italiane SCPA | 238,780 | 0.1 | |||
48,000 | United Overseas Bank Ltd. | 787,394 | 0.2 | |||
1,435 | Wendel | 147,923 | 0.0 | |||
83,908 | Westfield Group | 926,672 | 0.2 | |||
92,531 | Westfield Retail Trust | 291,933 | 0.1 | |||
119,752 | Westpac Banking Corp. | 3,281,193 | 0.7 | |||
57,264 | Wharf Holdings Ltd. | 456,378 | 0.1 | |||
36,882 | Wheelock & Co., Ltd. | 188,138 | 0.0 | |||
8,818 | Wing Hang Bank Ltd. | 92,883 | 0.0 | |||
6,000 | Yamaguchi Financial Group, Inc. | 52,988 | 0.0 | |||
5,694 | Zurich Financial Services AG | 1,525,753 | 0.3 | |||
103,611,500 | 23.3 | |||||
Health Care: 9.3% | ||||||
4,152 | Actelion Ltd. - Reg | 198,677 | 0.0 | |||
1,700 | Alfresa Holdings Corp. | 66,448 | 0.0 | |||
18,500 | Astellas Pharma, Inc. | 831,789 | 0.2 | |||
48,931 | AstraZeneca PLC | 2,318,838 | 0.5 | |||
31,656 | Bayer AG | 3,018,790 | 0.7 | |||
10,100 | Chugai Pharmaceutical Co., Ltd. | 193,517 | 0.0 | |||
2,639 | Cochlear Ltd. | 218,773 | 0.1 | |||
4,180 | Coloplast A/S | 204,988 | 0.1 | |||
21,300 | CSL Ltd. | 1,202,545 | 0.3 | |||
26,300 | Daiichi Sankyo Co., Ltd. | 403,763 | 0.1 | |||
10,900 | Eisai Co., Ltd. | 454,997 | 0.1 | |||
19,744 | @ | Elan Corp. PLC | 202,448 | 0.1 | ||
10,292 | Elekta AB | 160,477 | 0.0 | |||
8,174 | Cie Generale D'Optique Essilor International S.A. | 824,412 | 0.2 | |||
4,828 | Fresenius AG | 555,553 | 0.1 | |||
7,514 | Fresenius Medical Care AG & Co. KGaA | 518,560 | 0.1 | |||
7,415 | Getinge AB | 252,057 | 0.1 | |||
193,961 | GlaxoSmithKline PLC | 4,222,999 | 1.0 | |||
271 | @ | Grifols SA | 6,832 | 0.0 | ||
5,435 | @ | Grifols SA | 190,053 | 0.0 | ||
2,600 | Hisamitsu Pharmaceutical Co., Inc. | 129,403 | 0.0 | |||
11,000 | Kyowa Hakko Kogyo Co., Ltd. | 108,517 | 0.0 | |||
2,318 | Lonza Group AG | 125,604 | 0.0 | |||
5,200 | Medipal Holdings Corp. | 57,654 | 0.0 | |||
2,007 | Merck KGaA | 264,514 | 0.1 | |||
1,900 | Miraca Holdings, Inc. | 76,609 | 0.0 | |||
8,100 | Mitsubishi Tanabe Pharma Corp. | 105,638 | 0.0 | |||
88,362 | Novartis AG | 5,582,118 | 1.3 | |||
15,672 | Novo-Nordisk A/S | 2,551,976 | 0.6 | |||
8,800 | Olympus Corp. | 170,726 | 0.0 | |||
3,300 | Ono Pharmaceutical Co., Ltd. | 168,578 | 0.0 | |||
4,370 | Orion Oyj | 128,666 | 0.0 | |||
12,300 | Otsuka Holdings Co. Ltd. | 346,507 | 0.1 | |||
480 | @ | Prothena Corp. PLC | 3,518 | 0.0 | ||
8,862 | @ | Qiagen NV | 160,945 | 0.0 | ||
2,256 | Ramsay Health Care Ltd. | 64,346 | 0.0 | |||
26,992 | Roche Holding AG - Genusschein | 5,457,275 | 1.2 | |||
45,570 | Sanofi-Aventis SA | 4,321,421 | 1.0 | |||
2,700 | Santen Pharmaceutical Co., Ltd. | 103,715 | 0.0 | |||
15,300 | Shionogi & Co., Ltd. | 254,957 | 0.1 | |||
20,588 | Shire PLC | 633,313 | 0.1 | |||
35,078 | Smith & Nephew PLC | 387,750 | 0.1 | |||
14,766 | Sonic Healthcare Ltd. | 206,114 | 0.1 | |||
1,851 | Sonova Holding AG - Reg | 205,206 | 0.1 | |||
4,600 | Suzuken Co., Ltd. | 129,596 | 0.0 | |||
2,600 | Sysmex Corp. | 119,727 | 0.0 | |||
1,100 | Taisho Pharmaceutical Holdings Co. Ltd. | 75,551 | 0.0 | |||
31,100 | Takeda Pharmaceutical Co., Ltd. | 1,390,015 | 0.3 | |||
5,600 | Terumo Corp. | 222,376 | 0.1 | |||
36,318 | Teva Phaemaceutical Industries Ltd. | 1,349,558 | 0.3 | |||
5,039 | UCB S.A. | 288,678 | 0.1 | |||
838 | @ | William Demant Holding | 71,994 | 0.0 | ||
41,309,081 | 9.3 | |||||
Industrials: 12.0% | ||||||
83,938 | ABB Ltd. | 1,740,667 | 0.4 | |||
14,590 | Abertis Infraestructuras S.A. | 240,975 | 0.1 | |||
7,621 | ACS Actividades de Construccion y Servicios S.A. | 193,145 | 0.0 | |||
4,916 | Adecco S.A. | 260,343 | 0.1 | |||
992 | Aeroports de Paris | 76,804 | 0.0 | |||
10,052 | Aggreko PLC | 286,871 | 0.1 | |||
13,783 | Alfa Laval AB | 288,200 | 0.1 | |||
30,000 | L | All Nippon Airways Co., Ltd. | 63,027 | 0.0 | ||
15,303 | ALS Ltd./Queensland | 174,568 | 0.0 | |||
7,939 | Alstom | 319,816 | 0.1 | |||
14,000 | Amada Co., Ltd. | 91,099 | 0.0 | |||
2,764 | Andritz AG | 177,612 | 0.0 | |||
31 | AP Moller - Maersk A/S | 220,791 | 0.1 | |||
53 | AP Moller - Maersk A/S - Class B | 401,351 | 0.1 | |||
40,000 | L | Asahi Glass Co., Ltd. | 292,064 | 0.1 | ||
38,956 | Asciano Group | 190,573 | 0.0 | |||
12,466 | Assa Abloy AB | 469,254 | 0.1 | |||
15,421 | Altantia S.p.A. | 280,025 | 0.1 | |||
27,355 | Atlas Copco AB - Class A | 758,562 | 0.2 | |||
18,280 | Atlas Copco AB - Class B | 448,710 | 0.1 | |||
39,544 | Auckland International Airport Ltd. | 87,529 | 0.0 | |||
65,737 | Aurizon Holdings Ltd. | 258,504 | 0.1 | |||
14,280 | Babcock International Group | 225,411 | 0.1 | |||
125,723 | BAE Systems PLC | 698,796 | 0.2 | |||
34,079 | Balfour Beatty PLC | 153,388 | 0.0 | |||
6,685 | Bouygues S.A. | 198,928 | 0.1 | |||
59,340 | Brambles Ltd. | 470,526 | 0.1 | |||
1,720 | Brenntag AG | 226,603 | 0.1 | |||
12,261 | Bunzl PLC | 202,942 | 0.1 | |||
2,078 | Bureau Veritas SA | 233,007 | 0.1 | |||
25,692 | Capita Group PLC | 317,475 | 0.1 | |||
51,053 | Cathay Pacific Airways Ltd. | 94,826 | 0.0 | |||
6,000 | Central Japan Railway Co. | 486,957 | 0.1 | |||
6,000 | Chiyoda Corp. | 85,951 | 0.0 | |||
15,518 | Cie de Saint-Gobain | 666,406 | 0.2 | |||
43,287 | Cobham PLC | 157,286 | 0.0 | |||
64,000 | ComfortDelgro Corp., Ltd. | 94,152 | 0.0 | |||
26,000 | Dai Nippon Printing Co., Ltd. | 203,877 | 0.1 | |||
9,000 | Daikin Industries Ltd. | 309,142 | 0.1 | |||
12,910 | Deutsche Lufthansa AG | 244,056 | 0.1 | |||
31,746 | Deutsche Post AG | 699,226 | 0.2 | |||
6,971 | DSV A/S | 180,357 | 0.0 | |||
13,102 | East Japan Railway Co. | 847,230 | 0.2 | |||
6,400 | Edenred | 197,942 | 0.1 | |||
15,945 | European Aeronautic Defence and Space Co. NV | 628,575 | 0.1 | |||
38,072 | Experian Group Ltd. | 613,607 | 0.1 | |||
7,400 | Fanuc Ltd. | 1,376,767 | 0.3 | |||
16,172 | Ferrovial SA | 240,743 | 0.1 | |||
32,508 | Fiat Industrial SpA | 356,146 | 0.1 | |||
985 | Fraport AG Frankfurt Airport Services Worldwide | 57,461 | 0.0 | |||
41,000 | Fraser and Neave Ltd. | 327,613 | 0.1 | |||
55,656 | Group 4 Securicor PLC | 233,200 | 0.1 | |||
6,958 | GEA Group AG | 226,246 | 0.1 | |||
1,472 | Geberit AG - Reg | 326,306 | 0.1 | |||
16,997 | Groupe Eurotunnel S.A. | 132,080 | 0.0 | |||
42,000 | Hankyu Hanshin Holdings, Inc. | 217,153 | 0.1 | |||
8,719 | Hexagon AB | 220,488 | 0.1 | |||
13,000 | Hino Motors Ltd. | 117,505 | 0.0 | |||
4,100 | Hitachi Construction Machinery Co., Ltd. | 86,226 | 0.0 | |||
9,000 | Hopewell Holdings | 39,022 | 0.0 | |||
209,400 | Hutchison Port Holdings Trust | 165,426 | 0.0 | |||
87,615 | Hutchison Whampoa Ltd. | 928,452 | 0.2 | |||
54,000 | IHI Corp. | 140,028 | 0.0 | |||
11,845 | IMI PLC | 214,387 | 0.1 | |||
32,094 | @ | International Consolidated Airlines Group SA | 95,276 | 0.0 | ||
5,366 | Intertek Group PLC | 272,576 | 0.1 | |||
33,181 | Invensys PLC | 177,571 | 0.0 | |||
57,800 | Itochu Corp. | 610,894 | 0.1 | |||
2,500 | @ | Japan Airlines Co. Ltd. | 107,459 | 0.0 | ||
9,000 | JGC Corp. | 280,453 | 0.1 | |||
10,600 | LIXIL Group Corp. | 236,439 | 0.1 | |||
8,100 | JTEKT Corp. | 77,221 | 0.0 | |||
31,000 | Kajima Corp. | 102,569 | 0.0 | |||
10,000 | Kamigumi Co., Ltd. | 79,788 | 0.0 | |||
57,000 | Kawasaki Heavy Industries Ltd. | 155,013 | 0.0 | |||
18,000 | Keihin Electric Express Railway Co., Ltd. | 159,797 | 0.0 | |||
21,000 | Keio Corp. | 156,557 | 0.0 | |||
13,000 | Keisei Electric Railway Co., Ltd. | 109,704 | 0.0 | |||
54,700 | Keppel Corp., Ltd. | 499,497 | 0.1 | |||
61,000 | L | Kintetsu Corp. | 249,961 | 0.1 | ||
36,000 | Komatsu Ltd. | 923,774 | 0.2 | |||
6,089 | Kone OYJ | 450,343 | 0.1 | |||
3,281 | Koninklijke Boskalis Westminster NV | 148,522 | 0.0 | |||
39,250 | Koninklijke Philips Electronics NV | 1,039,353 | 0.2 | |||
2,584 | Koninklijke Vopak NV | 182,658 | 0.0 | |||
43,000 | Kubota Corp. | 494,388 | 0.1 | |||
2,358 | Kuehne & Nagel International AG | 284,279 | 0.1 | |||
5,800 | Kurita Water Industries Ltd. | 127,374 | 0.0 | |||
8,366 | Legrand S.A. | 355,022 | 0.1 | |||
5,312 | Leighton Holdings Ltd. | 100,275 | 0.0 | |||
4,100 | Makita Corp. | 190,463 | 0.0 | |||
1,557 | MAN AG | 167,255 | 0.0 | |||
64,000 | Marubeni Corp. | 459,215 | 0.1 | |||
29,970 | Meggitt PLC | 187,666 | 0.0 | |||
60,400 | Melrose Industries PLC | 221,864 | 0.1 | |||
4,873 | Metso OYJ | 208,038 | 0.1 | |||
53,800 | Mitsubishi Corp. | 1,035,809 | 0.2 | |||
75,000 | Mitsubishi Electric Corp. | 638,577 | 0.1 | |||
125,000 | Mitsubishi Heavy Industries Ltd. | 604,654 | 0.1 | |||
66,907 | Mitsui & Co., Ltd. | 1,002,860 | 0.2 | |||
37,000 | Mitsui OSK Lines Ltd. | 110,221 | 0.0 | |||
57,658 | MTR Corp. | 228,472 | 0.1 | |||
3,800 | Nabtesco Corp. | 84,878 | 0.0 | |||
13,000 | NGK Insulators Ltd. | 154,215 | 0.0 | |||
4,300 | Nidec Corp. | 251,115 | 0.1 | |||
34,000 | Nippon Express Co., Ltd. | 140,496 | 0.0 | |||
62,000 | Nippon Yusen KK | 145,938 | 0.0 | |||
154,727 | Noble Group Ltd. | 149,485 | 0.0 | |||
18,000 | NSK Ltd. | 128,082 | 0.0 | |||
49,072 | NWS Holdings Ltd. | 83,404 | 0.0 | |||
20,000 | Obayashi Corp. | 112,762 | 0.0 | |||
23,000 | L | Odakyu Electric Railway Co., Ltd. | 239,297 | 0.1 | ||
27,768 | Orkla ASA | 243,346 | 0.1 | |||
9,115 | Prysmian S.p.A. | 181,945 | 0.0 | |||
40,324 | @ | Qantas Airways Ltd. | 63,144 | 0.0 | ||
4,352 | Randstad Holdings NV | 161,535 | 0.0 | |||
4,333 | Rexel SA | 88,622 | 0.0 | |||
75,368 | @ | Rolls-Royce Holdings PLC | 1,081,038 | 0.2 | ||
8,602 | L | Safran S.A. | 372,528 | 0.1 | ||
39,008 | Sandvik AB | 626,927 | 0.1 | |||
11,867 | Scania AB - B Shares | 246,731 | 0.1 | |||
906 | Schindler Holding AG | 128,489 | 0.0 | |||
1,925 | Schindler Holding AG | 278,462 | 0.1 | |||
19,692 | Schneider Electric S.A. | 1,442,265 | 0.3 | |||
8,000 | Secom Co., Ltd. | 403,058 | 0.1 | |||
10,023 | Securitas AB | 87,868 | 0.0 | |||
36,000 | SembCorp Industries Ltd. | 156,972 | 0.0 | |||
34,000 | L | SembCorp Marine Ltd. | 129,887 | 0.0 | ||
14,534 | Serco Group PLC | 127,315 | 0.0 | |||
207 | SGS S.A. | 459,760 | 0.1 | |||
21,000 | Shimizu Corp. | 78,942 | 0.0 | |||
31,640 | Siemens AG | 3,459,871 | 0.8 | |||
21,000 | Singapore Airlines Ltd. | 186,261 | 0.0 | |||
16,101 | Skanska AB | 264,232 | 0.1 | |||
13,308 | SKF AB - B Shares | 337,060 | 0.1 | |||
2,200 | SMC Corp. | 399,640 | 0.1 | |||
15,032 | Smiths Group PLC | 294,443 | 0.1 | |||
63,348 | Snam Rete Gas S.p.A. | 295,682 | 0.1 | |||
1,136 | Societe BIC S.A. | 136,170 | 0.0 | |||
51,500 | Sojitz Corp. | 76,145 | 0.0 | |||
58,000 | Singapore Technologies Engineering Ltd. | 183,060 | 0.0 | |||
867 | Sulzer AG | 137,219 | 0.0 | |||
45,600 | Sumitomo Corp. | 585,039 | 0.1 | |||
28,300 | Sumitomo Electric Industries Ltd. | 327,115 | 0.1 | |||
19,000 | Sumitomo Heavy Industries | 91,058 | 0.0 | |||
39,000 | Taisei Corp. | 129,686 | 0.0 | |||
3,716 | Thales S.A. | 129,476 | 0.0 | |||
4,500 | THK Co., Ltd. | 80,936 | 0.0 | |||
11,902 | TNT Express NV | 132,436 | 0.0 | |||
37,000 | Tobu Railway Co., Ltd. | 196,216 | 0.0 | |||
44,000 | Tokyu Corp. | 247,884 | 0.1 | |||
29,874 | Toll Holdings Ltd. | 143,184 | 0.0 | |||
27,000 | Toppan Printing Co., Ltd. | 167,376 | 0.0 | |||
10,000 | Toto Ltd. | 75,181 | 0.0 | |||
8,500 | Toyota Tsusho Corp. | 209,804 | 0.1 | |||
49,105 | Transurban Group | 312,142 | 0.1 | |||
3,795 | Vallourec | 199,209 | 0.1 | |||
17,986 | Vinci S.A. | 865,979 | 0.2 | |||
53,708 | Volvo AB - B Shares | 740,587 | 0.2 | |||
6,236 | Wartsila OYJ | 271,491 | 0.1 | |||
8,376 | Weir Group PLC | 259,013 | 0.1 | |||
6,700 | West Japan Railway Co. | 263,958 | 0.1 | |||
10,277 | Wolseley PLC | 491,435 | 0.1 | |||
14,900 | Yamato Holdings Co., Ltd. | 226,435 | 0.1 | |||
1,378 | Zodiac Aerospace | 152,561 | 0.0 | |||
53,410,752 | 12.0 | |||||
Information Technology: 4.1% | ||||||
5,500 | Advantest Corp. | 86,862 | 0.0 | |||
12,374 | Amadeus IT Holding S.A. | 312,710 | 0.1 | |||
54,838 | ARM Holdings PLC | 692,538 | 0.2 | |||
3,600 | ASM Pacific Technology Ltd. | 44,197 | 0.0 | |||
11,960 | ASML Holding NV | 767,043 | 0.2 | |||
1,959 | Atos Origin | 137,575 | 0.0 | |||
8,300 | Brother Industries Ltd. | 89,353 | 0.0 | |||
44,400 | L | Canon, Inc. | 1,720,933 | 0.4 | ||
5,789 | Capgemini S.A. | 253,140 | 0.1 | |||
19,806 | Computershare Ltd. | 186,843 | 0.0 | |||
2,368 | Dassault Systemes SA | 264,761 | 0.1 | |||
116,268 | Telefonaktiebolaget LM Ericsson | 1,174,452 | 0.3 | |||
18,900 | Fuji Photo Film Co., Ltd. | 380,265 | 0.1 | |||
73,000 | Fujitsu Ltd. | 306,160 | 0.1 | |||
3,144 | Gemalto NV | 283,794 | 0.1 | |||
2,200 | Hamamatsu Photonics KK | 79,989 | 0.0 | |||
1,400 | Hirose Electric Co., Ltd. | 167,635 | 0.0 | |||
184,000 | Hitachi Ltd. | 1,082,750 | 0.3 | |||
17,100 | Hoya Corp. | 336,937 | 0.1 | |||
4,700 | Ibiden Co., Ltd. | 75,210 | 0.0 | |||
42,541 | Infineon Technologies AG | 346,560 | 0.1 | |||
1,807 | Keyence Corp. | 501,126 | 0.1 | |||
3,400 | Konami Corp. | 76,566 | 0.0 | |||
19,500 | Konica Minolta Holdings, Inc. | 140,329 | 0.0 | |||
6,200 | Kyocera Corp. | 562,125 | 0.1 | |||
1,200 | @ | Mellanox Technologies Ltd. | 74,330 | 0.0 | ||
8,700 | Murata Manufacturing Co., Ltd. | 513,225 | 0.1 | |||
105,000 | NEC Corp. | 221,480 | 0.1 | |||
1,992 | @ | NICE Systems Ltd. | 66,718 | 0.0 | ||
4,000 | Nintendo Co., Ltd. | 427,109 | 0.1 | |||
14,000 | Nippon Electric Glass Co., Ltd. | 79,716 | 0.0 | |||
152,560 | L | Nokia OYJ | 602,876 | 0.1 | ||
3,900 | Nomura Research Institute Ltd. | 81,240 | 0.0 | |||
52 | NTT Data Corp. | 162,772 | 0.0 | |||
7,800 | Omron Corp. | 187,226 | 0.1 | |||
30,000 | L | Ricoh Co., Ltd. | 318,433 | 0.1 | ||
4,000 | Rohm Co., Ltd. | 130,759 | 0.0 | |||
50,498 | Sage Group PLC | 242,821 | 0.1 | |||
35,410 | SAP AG | 2,847,428 | 0.6 | |||
10,000 | Shimadzu Corp. | 68,237 | 0.0 | |||
25,768 | @ | STMicroelectronics NV | 187,065 | 0.1 | ||
4,900 | L | TDK Corp. | 178,442 | 0.0 | ||
6,400 | Tokyo Electron Ltd. | 295,176 | 0.1 | |||
157,000 | Toshiba Corp. | 621,441 | 0.1 | |||
4,800 | L | Trend Micro, Inc. | 145,033 | 0.0 | ||
6,506 | United Internet AG | 140,695 | 0.0 | |||
583 | Yahoo! Japan Corp. | 188,773 | 0.1 | |||
10,300 | Yokogawa Electric Corp. | 112,942 | 0.0 | |||
17,963,790 | 4.1 | |||||
Materials: 9.3% | ||||||
12,018 | Air Liquide | 1,518,335 | 0.3 | |||
6,000 | Air Water, Inc. | 76,793 | 0.0 | |||
9,260 | Akzo Nobel NV | 612,985 | 0.1 | |||
88,666 | Alumina Ltd. | 85,097 | 0.0 | |||
46,964 | Amcor Ltd. | 396,929 | 0.1 | |||
50,687 | Anglo American PLC | 1,597,821 | 0.4 | |||
15,130 | Antofagasta PLC | 331,575 | 0.1 | |||
35,470 | ArcelorMittal | 618,439 | 0.1 | |||
2,310 | Arkema | 242,548 | 0.1 | |||
48,000 | Asahi Kasei Corp. | 283,829 | 0.1 | |||
35,325 | BASF AG | 3,340,347 | 0.8 | |||
125,254 | BHP Billiton Ltd. | 4,889,990 | 1.1 | |||
82,657 | BHP Billiton PLC | 2,915,615 | 0.7 | |||
10,994 | Boliden AB | 208,897 | 0.0 | |||
22,785 | Boral Ltd. | 104,548 | 0.0 | |||
26,859 | @ | CRH PLC | 546,210 | 0.1 | ||
5,385 | Croda International | 210,474 | 0.0 | |||
13,000 | Daicel Corp. | 86,012 | 0.0 | |||
25,824 | Fletcher Building Ltd. | 181,266 | 0.0 | |||
52,488 | Fortescue Metals Group Ltd. | 261,572 | 0.1 | |||
7,910 | Fresnillo PLC | 242,613 | 0.1 | |||
279 | Givaudan | 294,844 | 0.1 | |||
145,693 | L | Glencore International PLC | 841,648 | 0.2 | ||
5,546 | HeidelbergCement AG | 339,371 | 0.1 | |||
7,000 | Hitachi Metals Ltd. | 59,695 | 0.0 | |||
9,308 | Holcim Ltd. | 685,582 | 0.2 | |||
15,793 | Iluka Resources Ltd. | 152,624 | 0.0 | |||
2,039 | Imerys S.A. | 130,779 | 0.0 | |||
57,537 | Incitec Pivot Ltd. | 196,166 | 0.0 | |||
17,200 | Israel Chemicals Ltd. | 207,142 | 0.0 | |||
16,704 | James Hardie Industries SE | 161,726 | 0.0 | |||
18,100 | JFE Holdings, Inc. | 341,124 | 0.1 | |||
8,004 | Johnson Matthey PLC | 314,424 | 0.1 | |||
9,700 | JSR Corp. | 185,150 | 0.0 | |||
5,775 | K+S AG | 268,214 | 0.1 | |||
8,000 | Kansai Paint Co., Ltd. | 86,215 | 0.0 | |||
6,799 | Kazakhmys PLC | 87,875 | 0.0 | |||
87,000 | Kobe Steel Ltd. | 111,162 | 0.0 | |||
6,603 | Koninklijke DSM NV | 402,427 | 0.1 | |||
13,800 | Kuraray Co., Ltd. | 180,906 | 0.0 | |||
7,344 | Lafarge S.A. | 474,222 | 0.1 | |||
3,139 | Lanxess | 276,797 | 0.1 | |||
6,606 | Linde AG | 1,155,715 | 0.3 | |||
57,500 | Mitsubishi Chemical Holdings Corp. | 286,441 | 0.1 | |||
25,000 | Mitsubishi Gas Chemical Co., Inc. | 153,347 | 0.0 | |||
40,000 | Mitsubishi Materials Corp. | 136,747 | 0.0 | |||
29,309 | Newcrest Mining Ltd. | 685,619 | 0.2 | |||
315,790 | Nippon Steel Corp. | 777,530 | 0.2 | |||
7,000 | Nitto Denko Corp. | 344,741 | 0.1 | |||
34,165 | Norsk Hydro ASA | 173,406 | 0.0 | |||
9,588 | Novozymes A/S | 272,171 | 0.1 | |||
25,000 | OJI Paper Co., Ltd. | 86,234 | 0.0 | |||
14,103 | Orica Ltd. | 370,997 | 0.1 | |||
11,190 | OZ Minerals Ltd. | 79,467 | 0.0 | |||
3,332 | Randgold Resources Ltd. | 329,627 | 0.1 | |||
34,700 | Rexam PLC | 248,286 | 0.1 | |||
16,598 | Rio Tinto Ltd. | 1,166,994 | 0.3 | |||
51,500 | Rio Tinto PLC | 3,003,786 | 0.7 | |||
1,481 | Salzgitter AG | 77,618 | 0.0 | |||
16,686 | Shin-Etsu Chemical Co., Ltd. | 1,018,348 | 0.2 | |||
49,000 | L | Showa Denko KK | 74,893 | 0.0 | ||
100 | Sika AG | 231,295 | 0.1 | |||
6,750 | Sims Group Ltd. | 66,699 | 0.0 | |||
2,328 | Solvay S.A. | 338,754 | 0.1 | |||
26,805 | Stora Enso OYJ (Euro Denominated Security) | 187,620 | 0.0 | |||
57,000 | Sumitomo Chemical Co., Ltd. | 179,632 | 0.0 | |||
20,000 | Sumitomo Metal Mining Co., Ltd. | 282,318 | 0.1 | |||
3,636 | Syngenta AG | 1,468,894 | 0.3 | |||
36,000 | Taiheiyo Cement Corp. | 98,975 | 0.0 | |||
47,000 | Teijin Ltd. | 117,047 | 0.0 | |||
15,184 | ThyssenKrupp AG | 358,535 | 0.1 | |||
57,000 | Toray Industries, Inc. | 350,152 | 0.1 | |||
6,500 | Toyo Seikan Kaisha Ltd. | 87,591 | 0.0 | |||
37,000 | Ube Industries Ltd./Japan | 88,883 | 0.0 | |||
4,445 | Umicore | 246,134 | 0.1 | |||
24,043 | UPM-Kymmene OYJ | 282,861 | 0.1 | |||
4,474 | Voestalpine AG | 164,390 | 0.0 | |||
80,061 | Xstrata PLC | 1,397,536 | 0.3 | |||
6,758 | Yara International ASA | 336,945 | 0.1 | |||
41,276,216 | 9.3 | |||||
Telecommunication Services: 4.6% | ||||||
6,092 | Belgacom S.A. | 179,176 | 0.0 | |||
70,390 | Bezeq Israeli Telecommunication Corp., Ltd. | 81,533 | 0.0 | |||
300,599 | BT Group PLC | 1,146,852 | 0.3 | |||
108,415 | Deutsche Telekom AG | 1,234,085 | 0.3 | |||
5,777 | Elisa OYJ | 128,075 | 0.0 | |||
71,592 | France Telecom S.A. | 794,233 | 0.2 | |||
340 | Iliad SA | 58,365 | 0.0 | |||
16,163 | Inmarsat PLC | 155,796 | 0.0 | |||
11,200 | KDDI Corp. | 791,810 | 0.2 | |||
44,333 | Koninklijke KPN NV | 219,242 | 0.1 | |||
17,300 | Nippon Telegraph & Telephone Corp. | 728,381 | 0.2 | |||
583 | NTT DoCoMo, Inc. | 840,406 | 0.2 | |||
28,415 | Portugal Telecom SGPS S.A. | 141,502 | 0.0 | |||
306,000 | Singapore Telecommunications Ltd. | 832,635 | 0.2 | |||
34,300 | Softbank Corp. | 1,256,794 | 0.3 | |||
905 | Swisscom AG | 392,149 | 0.1 | |||
17,926 | TDC A/S | 127,008 | 0.0 | |||
11,746 | Tele2 AB - B Shares | 212,307 | 0.0 | |||
93,455 | Telecom Corp. of New Zealand Ltd. | 176,893 | 0.0 | |||
368,530 | Telecom Italia S.p.A. | 334,283 | 0.1 | |||
281,728 | Telecom Italia S.p.A. RNC | 224,226 | 0.1 | |||
162,345 | Telefonica S.A. | 2,198,010 | 0.5 | |||
11,815 | Telekom Austria AG | 89,714 | 0.0 | |||
1,478 | Telenet Group Holding NV | 69,549 | 0.1 | |||
27,547 | Telenor ASA | 560,907 | 0.1 | |||
84,999 | TeliaSonera AB | 577,058 | 0.1 | |||
178,064 | Telstra Corp., Ltd. | 811,393 | 0.2 | |||
48,460 | Vivendi | 1,095,975 | 0.2 | |||
1,913,918 | Vodafone Group PLC | 4,817,863 | 1.1 | |||
1,799 | Ziggo NV | 58,795 | 0.0 | |||
20,335,015 | 4.6 | |||||
Telecommunications: 0.0% | ||||||
2,332 | Millicom International Cellular S.A. | 202,420 | 0.0 | |||
Utilities: 3.5% | ||||||
21,131 | AGL Energy Ltd. | 339,705 | 0.1 | |||
28,599 | APA Group | 165,103 | 0.0 | |||
208,728 | Centrica PLC | 1,139,180 | 0.3 | |||
20,236 | Cheung Kong Infrastructure Holdings Ltd. | 124,998 | 0.0 | |||
25,800 | Chubu Electric Power Co., Inc. | 344,295 | 0.1 | |||
10,344 | Chugoku Electric Power Co., Inc. | 162,775 | 0.0 | |||
70,103 | CLP Holdings Ltd. | 588,994 | 0.1 | |||
68,723 | E.ON AG | 1,288,978 | 0.3 | |||
3,800 | Electric Power Development Co., Ltd. | 90,128 | 0.0 | |||
9,725 | Electricite de France SA | 180,210 | 0.0 | |||
6,765 | Enagas | 144,934 | 0.0 | |||
66,758 | Enel Green Power SpA | 124,355 | 0.0 | |||
265,364 | Enel S.p.A. | 1,103,783 | 0.3 | |||
76,142 | Energias de Portugal S.A. | 231,609 | 0.1 | |||
16,683 | Fortum OYJ | 312,323 | 0.1 | |||
13,909 | Gas Natural SDG S.A. | 250,744 | 0.1 | |||
49,994 | Gaz de France | 1,029,686 | 0.2 | |||
5,600 | Hokuriku Electric Power Co. | 66,459 | 0.0 | |||
216,692 | Hong Kong & China Gas | 595,363 | 0.1 | |||
54,302 | Power Assets Holdings Ltd. | 465,888 | 0.1 | |||
154,212 | Iberdrola S.A. | 861,233 | 0.2 | |||
29,100 | Kansai Electric Power Co., Inc. | 305,612 | 0.1 | |||
17,700 | Kyushu Electric Power Co., Inc. | 201,802 | 0.0 | |||
139,257 | National Grid PLC | 1,597,204 | 0.4 | |||
71,000 | Osaka Gas Co., Ltd. | 257,895 | 0.1 | |||
4,921 | L | Red Electrica de Espana | 243,079 | 0.1 | ||
19,023 | RWE AG | 789,030 | 0.2 | |||
36,498 | Scottish & Southern Energy PLC | 849,098 | 0.2 | |||
8,031 | Severn Trent PLC | 206,654 | 0.0 | |||
5,700 | Shikoku Electric Power Co., Inc. | 90,934 | 0.0 | |||
11,378 | Suez Environnement S.A. | 137,251 | 0.0 | |||
52,101 | Terna S.p.A | 208,496 | 0.1 | |||
9,000 | Toho Gas Co., Ltd. | 48,262 | 0.0 | |||
17,700 | Tohoku Electric Power Co., Inc. | 165,044 | 0.0 | |||
50,500 | Tokyo Electric Power Co., Inc. | 121,708 | 0.0 | |||
96,079 | Tokyo Gas Co., Ltd. | 438,990 | 0.1 | |||
26,033 | United Utilities Group PLC | 286,591 | 0.1 | |||
13,121 | Veolia Environnement | 159,067 | 0.0 | |||
15,717,460 | 3.5 | |||||
Total Common Stock | ||||||
(Cost $325,498,698) | 417,482,601 | 94.1 | ||||
PREFERRED STOCK: 0.4% | ||||||
Consumer Discretionary: 0.4% | ||||||
5,745 | Porsche AG | 472,901 | 0.1 | |||
3,150 | ProSieben SAT.1 Media AG | 89,725 | 0.0 | |||
5,822 | Volkswagen AG | 1,335,860 | 0.3 | |||
Total Preferred Stock | ||||||
(Cost $992,530) | 1,898,486 | 0.4 | ||||
RIGHTS: 0.0% | ||||||
Consumer Staples: 0.0% | ||||||
16,987 | @,X | Olam International Ltd. | 417 | 0.0 | ||
Energy: 0.0% | ||||||
32,263 | @ | Repsol SA | 19,675 | 0.0 | ||
Financials: –% | ||||||
15,860 | @,X | Immoeast AG | – | – | ||
Total Rights | ||||||
(Cost $–) | 20,092 | 0.0 | ||||
Total Long-Term Investments | ||||||
(Cost $326,491,228) | 419,401,179 | 94.5 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 6.5% | ||||||
Securities Lending Collateralcc(1): 1.4% | ||||||
1,473,951 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,473,975, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $1,503,430, due 08/01/27-01/01/43) | 1,473,951 | 0.4 | |||
1,473,951 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,473,967, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,503,430, due 10/01/16-12/20/42) | 1,473,951 | 0.3 | |||
1,473,951 | Daiwa Capital Markets, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,473,975, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,503,430, due 06/14/13-12/01/42) | 1,473,951 | 0.3 | |||
310,207 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $310,210, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $316,412, due 10/31/17-08/15/22) | 310,207 | 0.1 | |||
1,473,951 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $1,473,966, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $1,503,430, due 08/09/13-06/20/42) | 1,473,951 | 0.3 | |||
6,206,011 | 1.4 | |||||
Shares | Value | Percentage of Net Assets | ||||
Mutual Funds: 5.1% | ||||||
22,447,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $22,447,000) | 22,447,000 | 5.1 | ||||
Total Short-Term Investments | ||||||||||
(Cost $28,653,011) | 28,653,011 | 6.5 | ||||||||
Total Investments in Securities (Cost $355,144,239) | $ | 448,054,190 | 101.0 | |||||||
Liabilities in Excess of Other Assets | (4,254,810 | ) | (1.0 | ) | ||||||
Net Assets | $ | 443,799,380 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
** | Investment in affiliate |
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds' Board of Directors/Trustees. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $365,134,293. | ||||
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 107,091,654 | ||
Gross Unrealized Depreciation | (24,171,757 | ) | ||
Net Unrealized Appreciation | $ | 82,919,897 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs # (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 355,994 | $ | 42,481,370 | $ | – | $ | 42,837,364 | ||||||||
Consumer Staples | 1,864,062 | 46,739,674 | – | 48,603,736 | ||||||||||||
Energy | 135,948 | 32,079,319 | – | 32,215,267 | ||||||||||||
Financials | 163,860 | 103,447,640 | – | 103,611,500 | ||||||||||||
Health Care | 369,201 | 40,939,880 | – | 41,309,081 | ||||||||||||
Industrials | 297,862 | 53,112,890 | – | 53,410,752 | ||||||||||||
Information Technology | – | 17,963,790 | – | 17,963,790 | ||||||||||||
Materials | – | 41,276,216 | – | 41,276,216 | ||||||||||||
Telecommunication Services | 186,709 | 20,148,306 | – | 20,335,015 | ||||||||||||
Telecommunications | – | 202,420 | – | 202,420 | ||||||||||||
Utilities | – | 15,717,460 | – | 15,717,460 | ||||||||||||
Total Common Stock | 3,373,636 | 414,108,965 | – | 417,482,601 | ||||||||||||
Preferred Stock | – | 1,898,486 | – | 1,898,486 | ||||||||||||
Rights | 19,675 | 417 | – | 20,092 | ||||||||||||
Short-Term Investments | 22,447,000 | 6,206,011 | – | 28,653,011 | ||||||||||||
Total Investments, at fair value | $ | 25,840,311 | $ | 422,213,879 | $ | – | $ | 448,054,190 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 390,901 | – | – | 390,901 | ||||||||||||
Total Assets | $ | 26,231,212 | $ | 422,213,879 | $ | – | $ | 448,445,091 |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio's investments are categorized as Level 2 investments. |
ING International Index Portfolio Open Futures Contracts on December 31, 2012:
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
Mini MSCI EAFE Index | 332 | 03/15/13 | $ | 26,896,980 | $ | 390,901 | ||||||||
$ | 26,896,980 | $ | 390,901 | |||||||||||
See Accompanying Notes to Financial Statements |
ING Japan TOPIX Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 99.6% | ||||||
Consumer Discretionary: 19.5% | ||||||
4,000 | ABC-Mart, Inc. | 174,142 | 0.1 | |||
112 | L | Accordia Golf Co., Ltd. | 103,940 | 0.1 | ||
900 | Aeon Fantasy Co., Ltd. | 12,066 | 0.0 | |||
6,200 | Aigan Co., Ltd. | 22,238 | 0.0 | |||
2,500 | Aisan Industry Co., Ltd. | 20,955 | 0.0 | |||
27,200 | Aisin Seiki Co., Ltd. | 849,378 | 0.2 | |||
7,700 | Akebono Brake Industry Co., Ltd. | 36,111 | 0.0 | |||
4,500 | Alpen Co., Ltd. | 79,086 | 0.0 | |||
3,500 | Alpha Corp. | 39,051 | 0.0 | |||
3,200 | Alpine Electronics, Inc. | 29,585 | 0.0 | |||
12 | Amiyaki Tei Co., Ltd. | 29,338 | 0.0 | |||
500 | Amuse, Inc. | 9,644 | 0.0 | |||
900 | AOKI Holdings, Inc. | 20,506 | 0.0 | |||
4,600 | Aoyama Trading Co., Ltd. | 88,166 | 0.0 | |||
2,500 | Arc Land Sakamoto Co., Ltd. | 38,720 | 0.0 | |||
3,800 | Arnest One Corp. | 62,247 | 0.0 | |||
1,600 | Asahi Co., Ltd. | 22,933 | 0.0 | |||
4,100 | Asatsu-DK, Inc. | 97,755 | 0.0 | |||
6,000 | Ashimori Industry Co. Ltd | 8,653 | 0.0 | |||
28,900 | Asics Corp. | 441,493 | 0.1 | |||
1,800 | ASKUL Corp. | 24,086 | 0.0 | |||
3,300 | Autobacs Seven Co., Ltd. | 138,347 | 0.1 | |||
2,300 | Avex Group Holdings, Inc. | 46,409 | 0.0 | |||
6,150 | Belluna Co., Ltd. | 43,622 | 0.0 | |||
10,100 | Benesse Holdings, Inc. | 420,325 | 0.1 | |||
13,000 | @ | Best Denki Co., Ltd. | 21,661 | 0.0 | ||
111 | L | BIC Camera, Inc. | 55,023 | 0.0 | ||
3,100 | Bookoff Corp. | 24,313 | 0.0 | |||
100,600 | Bridgestone Corp. | 2,618,775 | 0.6 | |||
19,000 | Calsonic Kansei Corp. | 78,249 | 0.0 | |||
27 | Can Do Co., Ltd. | 32,383 | 0.0 | |||
7,500 | Canon Sales Co., Inc. | 107,474 | 0.0 | |||
35,500 | L | Casio Computer Co., Ltd. | 311,591 | 0.1 | ||
1,300 | Central Sports Co., Ltd. | 19,081 | 0.0 | |||
2,900 | @ | Maruzen CHI Holdings Co. Ltd. | 7,100 | 0.0 | ||
2,700 | Chiyoda Co., Ltd. | 67,580 | 0.0 | |||
2,900 | Chofu Seisakusho Co., Ltd. | 64,285 | 0.0 | |||
900 | Chori Co., Ltd. | 9,708 | 0.0 | |||
2,000 | Chuo Spring Co., Ltd. | 6,889 | 0.0 | |||
31,000 | @,L | Clarion Co., Ltd. | 53,822 | 0.0 | ||
3,500 | Cleanup Corp. | 24,972 | 0.0 | |||
8,000 | Colowide Co., Ltd. | 72,311 | 0.0 | |||
1,600 | Corona Corp. | 19,806 | 0.0 | |||
2,000 | Daido Metal Co., Ltd. | 17,469 | 0.0 | |||
7,400 | Daidoh Ltd. | 49,766 | 0.0 | |||
16,150 | @,L | Daiei, Inc. | 37,304 | 0.0 | ||
31,000 | Daihatsu Motor Co., Ltd. | 617,608 | 0.2 | |||
3,600 | Daikoku Denki Co., Ltd. | 75,267 | 0.0 | |||
3,700 | Dainichi Co., Ltd. | 41,436 | 0.0 | |||
2,700 | Daisyo Corp. | 33,243 | 0.0 | |||
11,000 | @ | Daito Woolen Spinning & Weaving Co., Ltd. | 8,952 | 0.0 | ||
1,500 | Daiyu Eight Co., Ltd. | 11,263 | 0.0 | |||
13,800 | DCM Japan Holdings Co., Ltd. | 90,747 | 0.0 | |||
15,500 | Dena Co., Ltd. | 508,467 | 0.1 | |||
76,500 | Denso Corp. | 2,664,053 | 0.6 | |||
31,300 | Dentsu, Inc. | 838,393 | 0.2 | |||
13,000 | Descente Ltd. | 79,937 | 0.0 | |||
8,400 | Don Quijote Co., Ltd. | 309,001 | 0.1 | |||
2,300 | Doshisha Co., Ltd. | 60,241 | 0.0 | |||
6,200 | Doutor Nichires Holdings Co., Ltd. | 80,842 | 0.0 | |||
7,000 | Dynic Corp. | 13,216 | 0.0 | |||
5,000 | Eagle Industry Co., Ltd. | 41,514 | 0.0 | |||
19,000 | @ | Econach Co., Ltd. | 9,301 | 0.0 | ||
11,200 | L | EDION Corp. | 49,643 | 0.0 | ||
4,100 | Exedy Corp. | 90,948 | 0.0 | |||
3,300 | F&A Aqua Holdings, Inc. | 33,775 | 0.0 | |||
6,300 | Fast Retailing Co., Ltd. | 1,607,828 | 0.4 | |||
4,200 | FCC Co., Ltd. | 87,233 | 0.0 | |||
1,300 | Felissimo Corp. | 16,303 | 0.0 | |||
3,200 | Foster Electric Co., Ltd. | 51,965 | 0.0 | |||
4,000 | France Bed Holdings Co., Ltd. | 7,789 | 0.0 | |||
1,500 | F-Tech, Inc. | 20,459 | 0.0 | |||
2,900 | Fuji Co., Ltd. | 61,016 | 0.0 | |||
101,000 | Fuji Heavy Industries Ltd. | 1,273,642 | 0.3 | |||
4,000 | @ | Fuji Kiko Co., Ltd. | 12,273 | 0.0 | ||
6,000 | Fuji Kyuko Co., Ltd. | 34,861 | 0.0 | |||
331 | Fuji Television Network, Inc. | 500,295 | 0.1 | |||
6,000 | Fujibo Holdings, Inc. | 21,362 | 0.0 | |||
2,500 | Fujikura Rubber Ltd. | 7,524 | 0.0 | |||
18,000 | Fujita Kanko, Inc. | 61,470 | 0.0 | |||
11,000 | Fujitsu General Ltd. | 104,338 | 0.0 | |||
4,100 | Funai Electric Co., Ltd. | 53,653 | 0.0 | |||
7,000 | Furukawa Battery Co., Ltd. | 43,603 | 0.0 | |||
4,600 | Futaba Industrial Co., Ltd. | 19,979 | 0.0 | |||
19,000 | Gakken Holdings Co., Ltd. | 48,993 | 0.0 | |||
5,200 | Genki Sushi Co., Ltd. | 63,574 | 0.0 | |||
36 | Geo Co., Ltd. | 37,663 | 0.0 | |||
23,000 | GLOBERIDE, Inc. | 26,667 | 0.0 | |||
11,000 | Goldwin, Inc. | 65,301 | 0.0 | |||
10,000 | L | Gourmet Kineya Co., Ltd. | 62,916 | 0.0 | ||
29,000 | GSI Creos Corp. | 38,400 | 0.0 | |||
300 | Gulliver International Co., Ltd. | 10,674 | 0.0 | |||
21,000 | Gunze Ltd. | 55,038 | 0.0 | |||
13,000 | H2O Retailing Corp. | 121,503 | 0.0 | |||
5,210 | Hakuhodo DY Holdings, Inc. | 337,146 | 0.1 | |||
3,300 | Hakuyosha Co., Ltd. | 7,961 | 0.0 | |||
5,600 | Happinet Corp. | 45,397 | 0.0 | |||
5,800 | Hard Off Corp. Co., Ltd. | 39,472 | 0.0 | |||
2,300 | Haruyama Trading Co., Ltd. | 13,350 | 0.0 | |||
183,500 | @ | Haseko Corp. | 145,915 | 0.1 | ||
3,200 | Heiwa Corp. | 52,148 | 0.0 | |||
3,020 | Hiday Hidaka Corp. | 56,710 | 0.0 | |||
2,700 | Hikari Tsushin, Inc. | 104,184 | 0.0 | |||
2,600 | HIS Co., Ltd. | 88,052 | 0.0 | |||
9,200 | Hitachi Koki Co., Ltd. | 75,506 | 0.0 | |||
261,200 | Honda Motor Co., Ltd. | 9,673,447 | 2.3 | |||
1,560 | Honeys Co., Ltd. | 20,541 | 0.0 | |||
70 | Hoosiers Corp. | 54,341 | 0.0 | |||
600 | House of Rose Co., Ltd. | 9,044 | 0.0 | |||
3,300 | Hurxley Corp. | 24,873 | 0.0 | |||
1,100 | Ichibanya Co., Ltd. | 34,282 | 0.0 | |||
6,000 | Ichikawa Co., Ltd. | 11,352 | 0.0 | |||
9,000 | @ | Ichikoh Industries Ltd. | 14,298 | 0.0 | ||
20 | Ikyu Corp. | 14,267 | 0.0 | |||
3,200 | Imasen Electric Industrial | 37,758 | 0.0 | |||
6,900 | Impress Holdings, Inc. | 10,161 | 0.0 | |||
2,700 | Intage, Inc. | 57,998 | 0.0 | |||
65,200 | Isetan Mitsukoshi Holdings Ltd. | 638,071 | 0.2 | |||
188,000 | Isuzu Motors Ltd. | 1,121,876 | 0.3 | |||
9,300 | Izumi Co., Ltd. | 197,147 | 0.1 | |||
26,000 | @ | Izutsuya Co., Ltd. | 17,871 | 0.0 | ||
80,000 | J Front Retailing Co., Ltd. | 443,388 | 0.1 | |||
38,000 | @ | Janome Sewing Machine Co., Ltd. | 41,531 | 0.0 | ||
2,000 | Japan Vilene Co. Ltd. | 8,355 | 0.0 | |||
10,000 | Japan Wool Textile Co., Ltd. | 65,071 | 0.0 | |||
5,700 | Joban Kosan Co. Ltd. | 8,856 | 0.0 | |||
7,000 | Joshin Denki Co., Ltd. | 68,530 | 0.0 | |||
20,170 | JVC Kenwood Holdings, Inc. | 75,011 | 0.0 | |||
2,900 | L | Kadokawa Group Holdings, Inc. | 77,416 | 0.0 | ||
2,950 | Kappa Create Co., Ltd. | 63,604 | 0.0 | |||
5,000 | Kasai Kogyo Co., Ltd. | 23,479 | 0.0 | |||
4,000 | Kawai Musical Instruments Manufacturing Co., Ltd. | 7,449 | 0.0 | |||
17,000 | KYB Co. Ltd. | 69,266 | 0.0 | |||
7,700 | Keihin Corp. | 110,443 | 0.0 | |||
8,600 | L | Keiyo Co., Ltd. | 47,622 | 0.0 | ||
4,300 | Kimoto Co., Ltd. | 35,288 | 0.0 | |||
23,000 | @,L | Kinki Nippon Tourist Co., Ltd. | 31,308 | 0.0 | ||
9,000 | Kinugawa Rubber Industrial Co., Ltd. | 56,636 | 0.0 | |||
2,300 | Kisoji Co., Ltd. | 44,923 | 0.0 | |||
3,700 | L | Kohnan Shoji Co., Ltd. | 45,241 | 0.0 | ||
18,000 | Koito Manufacturing Co., Ltd. | 262,514 | 0.1 | |||
4,900 | Kojima Co., Ltd. | 17,253 | 0.0 | |||
12,000 | Komatsu Seiren Co., Ltd. | 54,805 | 0.0 | |||
4,000 | Komeri Co., Ltd. | 101,051 | 0.0 | |||
3,500 | Konaka Co., Ltd. | 23,845 | 0.0 | |||
2,800 | Kourakuen Corp. | 39,785 | 0.0 | |||
7,960 | L | K'S Holdings Corp. | 202,627 | 0.1 | ||
1,200 | Kura Corp. | 16,618 | 0.0 | |||
11,000 | Kurabo Industries Ltd. | 18,784 | 0.0 | |||
700 | Kuraudia Co., Ltd. | 8,507 | 0.0 | |||
2,800 | Kyoritsu Maintenance Co., Ltd. | 60,484 | 0.0 | |||
2,800 | LEC, Inc. | 31,106 | 0.0 | |||
7,200 | Look, Inc. | 30,490 | 0.0 | |||
1,500 | Marche Corp. | 13,052 | 0.0 | |||
1,100 | Mars Engineering Corp. | 22,033 | 0.0 | |||
40,600 | Marui Group Co., Ltd. | 324,341 | 0.1 | |||
5,800 | Matsuya Co., Ltd. | 59,199 | 0.0 | |||
2,700 | L | Matsuya Foods Co., Ltd. | 48,353 | 0.0 | ||
425,000 | Mazda Motor Corp. | 872,234 | 0.2 | |||
4,650 | Megane TOP Co., Ltd. | 54,970 | 0.0 | |||
4,700 | Meiko Network Japan Co., Ltd. | 52,575 | 0.0 | |||
2,300 | Meiwa Estate Co., Ltd. | 12,790 | 0.0 | |||
6,700 | Misawa Homes Co., Ltd. | 98,689 | 0.0 | |||
9,000 | Mitsuba Corp. | 65,183 | 0.0 | |||
711,000 | @ | Mitsubishi Motors Corp. | 735,098 | 0.2 | ||
2,000 | Mitsui Home Co., Ltd. | 11,694 | 0.0 | |||
9,000 | Mizuno Corp. | 40,437 | 0.0 | |||
1,100 | Monogatari Corp. | 26,478 | 0.0 | |||
2,300 | MOS Food Services, Inc. | 42,322 | 0.0 | |||
5,300 | Mr Max Corp. | 21,562 | 0.0 | |||
3,300 | Musashi Seimitsu Industry Co., Ltd. | 69,450 | 0.0 | |||
27,000 | @ | Naigai Co., Ltd. | 16,651 | 0.0 | ||
2,300 | Nakayamafuku Co., Ltd. | 16,646 | 0.0 | |||
35,200 | Namco Bandai Holdings, Inc. | 456,269 | 0.1 | |||
2,700 | Next Co. Ltd | 26,328 | 0.0 | |||
31,000 | NGK Spark Plug Co., Ltd. | 412,961 | 0.1 | |||
25,300 | NHK Spring Co., Ltd. | 208,472 | 0.1 | |||
13,000 | Nice Holdings, Inc. | 33,689 | 0.0 | |||
3,900 | Nidec Copal Corp. | 30,449 | 0.0 | |||
3,700 | Nidec-Tosok Corp. | 27,020 | 0.0 | |||
8,700 | L | Nifco, Inc. | 192,983 | 0.1 | ||
1,700 | Nihon Eslead Corp. | 16,900 | 0.0 | |||
7,900 | Nihon Tokushu Toryo Co., Ltd. | 32,148 | 0.0 | |||
54,700 | Nikon Corp. | 1,614,985 | 0.4 | |||
53,000 | @ | Nippon Columbia Co. Ltd. | 18,469 | 0.0 | ||
1,800 | Nippon Felt Co., Ltd. | 8,627 | 0.0 | |||
12,000 | Nippon Piston Ring Co., Ltd. | 23,375 | 0.0 | |||
27,900 | Nippon Television Network Corp. | 372,962 | 0.1 | |||
9,100 | Nishimatsuya Chain Co., Ltd. | 72,000 | 0.0 | |||
389,000 | Nissan Motor Co., Ltd. | 3,691,174 | 0.9 | |||
10,000 | Nissan Shatai Co., Ltd. | 125,729 | 0.1 | |||
14,000 | Nissei Build Kogyo Co., Ltd. | 30,411 | 0.0 | |||
5,100 | Nissen Holdings Co., Ltd. | 19,248 | 0.0 | |||
22,000 | Nisshinbo Industries, Inc. | 186,216 | 0.1 | |||
6,500 | Nissin Kogyo Co., Ltd. | 100,653 | 0.0 | |||
5,850 | Nitori Co., Ltd. | 428,609 | 0.1 | |||
10,000 | Nitto Seimo Co., Ltd. | 15,240 | 0.0 | |||
16,200 | NOK Corp. | 253,679 | 0.1 | |||
6,300 | Noritsu Koki Co., Ltd. | 25,990 | 0.0 | |||
4,000 | Ohashi Technica, Inc. | 26,573 | 0.0 | |||
24,000 | Onward Kashiyama Co., Ltd. | 181,442 | 0.1 | |||
9,600 | Oriental Land Co., Ltd. | 1,162,602 | 0.3 | |||
10,000 | Pacific Industrial Co., Ltd. | 54,790 | 0.0 | |||
1,150 | Pal Co., Ltd. | 51,769 | 0.0 | |||
4,900 | Paltac Corp. | 55,696 | 0.0 | |||
7,000 | PanaHome Corp. | 47,002 | 0.0 | |||
351,200 | L | Panasonic Corp. | 2,146,332 | 0.5 | ||
1,100 | Parco Co., Ltd. | 11,936 | 0.0 | |||
5,700 | Paris Miki Holdings, Inc. | 30,167 | 0.0 | |||
3,000 | L | PIA Corp. | 39,796 | 0.0 | ||
2,300 | Piolax, Inc. | 53,039 | 0.0 | |||
36,700 | @ | Pioneer Corp. | 91,949 | 0.0 | ||
3,400 | Plenus Co., Ltd. | 55,032 | 0.0 | |||
2,110 | Point, Inc. | 77,080 | 0.0 | |||
16,000 | Press Kogyo Co., Ltd. | 72,879 | 0.0 | |||
1,300 | Renaissance, Inc. | 9,563 | 0.0 | |||
6,300 | @ | Renown, Inc. | 8,138 | 0.0 | ||
5,000 | Resort Solution Co., Ltd. | 9,963 | 0.0 | |||
1,500 | Resorttrust, Inc. | 29,531 | 0.0 | |||
5,200 | Right On Co., Ltd. | 39,678 | 0.0 | |||
10,000 | Riken Corp. | 37,128 | 0.0 | |||
2,100 | Ringer Hut Co., Ltd. | 25,929 | 0.0 | |||
4,900 | Rinnai Corp. | 332,925 | 0.1 | |||
537 | Riso Kyoiku Co. Ltd. | 43,037 | 0.0 | |||
1,200 | Roland Corp. | 9,611 | 0.0 | |||
11,100 | Round One Corp. | 63,696 | 0.0 | |||
4,700 | L | Royal Holdings Co., Ltd. | 54,219 | 0.0 | ||
3,000 | Ryohin Keikaku Co., Ltd. | 167,784 | 0.1 | |||
6,000 | @ | Sagami Chain Co., Ltd. | 46,263 | 0.0 | ||
12,000 | @ | Sagami Co., Ltd. | 17,290 | 0.0 | ||
2,500 | Saizeriya Co., Ltd. | 34,264 | 0.0 | |||
18,000 | Sakai Ovex Co., Ltd. | 25,833 | 0.0 | |||
1,700 | San Holdings, Inc. | 24,235 | 0.0 | |||
10,000 | Sanden Corp. | 42,470 | 0.0 | |||
6,000 | Sangetsu Co., Ltd. | 146,485 | 0.1 | |||
8,500 | Sankyo Co., Ltd. | 337,280 | 0.1 | |||
10,600 | Sankyo Seiko Co., Ltd. | 35,917 | 0.0 | |||
1,400 | Sanoh Industrial Co., Ltd. | 9,280 | 0.0 | |||
8,200 | L | Sanrio Co., Ltd. | 261,612 | 0.1 | ||
811,000 | @,L,X | Sansui Electric Co., Ltd. | – | – | ||
14,000 | Sanyo Shokai Ltd. | 37,336 | 0.0 | |||
10,000 | Scroll Corp. | 29,763 | 0.0 | |||
34,000 | Sega Sammy Holdings, Inc. | 573,897 | 0.2 | |||
15,000 | Seiko Holdings Corp. | 36,207 | 0.0 | |||
3,600 | Seiren Co., Ltd. | 22,471 | 0.0 | |||
65,000 | Sekisui Chemical Co., Ltd. | 567,041 | 0.2 | |||
101,000 | Sekisui House Ltd. | 1,105,917 | 0.3 | |||
8,700 | Senshukai Co., Ltd. | 53,412 | 0.0 | |||
153,000 | L | Sharp Corp. | 535,107 | 0.1 | ||
7,000 | Shikibo Ltd. | 8,868 | 0.0 | |||
7,500 | Shimachu Co., Ltd. | 157,568 | 0.1 | |||
3,700 | Shimamura Co., Ltd. | 359,550 | 0.1 | |||
11,900 | Shimano, Inc. | 761,994 | 0.2 | |||
3,100 | Shimojima Co., Ltd. | 33,600 | 0.0 | |||
5,000 | Shingakukai Co., Ltd. | 17,240 | 0.0 | |||
7,000 | Shinyei Kaisha | 9,501 | 0.0 | |||
7,000 | Shiroki Corp. | 17,923 | 0.0 | |||
1,800 | Shobunsha Publications, Inc. | 11,431 | 0.0 | |||
21,000 | Shochiku Co., Ltd. | 216,130 | 0.1 | |||
6,700 | Showa Corp. | 66,558 | 0.0 | |||
2,200 | Shuei Yobiko Co., Ltd. | 7,503 | 0.0 | |||
3,300 | SK Japan Co., Ltd. | 9,888 | 0.0 | |||
204 | Sky Perfect Jsat Corp. | 85,195 | 0.0 | |||
194,012 | Sony Corp. | 2,175,934 | 0.5 | |||
2,800 | Dunlop Sports Co. Ltd. | 32,856 | 0.0 | |||
1,500 | St. Marc Holdings Co., Ltd. | 53,340 | 0.0 | |||
22,000 | Stanley Electric Co., Ltd. | 312,689 | 0.1 | |||
3,900 | L | Start Today Co. Ltd. | 36,103 | 0.0 | ||
3,500 | Studio Alice Co., Ltd. | 50,338 | 0.0 | |||
13,000 | Suminoe Textile Co., Ltd. | 25,799 | 0.0 | |||
23,600 | Sumitomo Forestry Co., Ltd. | 223,148 | 0.1 | |||
27,900 | Sumitomo Rubber Industries, Inc. | 337,375 | 0.1 | |||
63,500 | Suzuki Motor Corp. | 1,661,688 | 0.4 | |||
25,000 | @,L | SxL Corp. | 41,889 | 0.0 | ||
11,000 | T RAD Co., Ltd. | 28,852 | 0.0 | |||
7,100 | Tac Co., Ltd. | 11,777 | 0.0 | |||
3,400 | Tachi-S Co., Ltd. | 58,307 | 0.0 | |||
31 | Tact Home Co., Ltd. | 38,679 | 0.0 | |||
5,900 | Taiho Kogyo Co., Ltd. | 63,843 | 0.0 | |||
3,800 | Takamatsu Construction Group Co., Ltd. | 59,236 | 0.0 | |||
45,000 | Takashimaya Co., Ltd. | 320,224 | 0.1 | |||
5,100 | Takata Corp. | 104,392 | 0.0 | |||
238 | Take And Give Needs Co., Ltd. | 23,512 | 0.0 | |||
2,000 | Takihyo Co., Ltd. | 9,986 | 0.0 | |||
3,200 | Tamron Co., Ltd. | 90,655 | 0.0 | |||
1,000 | Taya Co., Ltd. | 8,126 | 0.0 | |||
8,000 | TBK Co., Ltd. | 42,900 | 0.0 | |||
3,100 | TPR Co., Ltd. | 42,345 | 0.0 | |||
7,000 | Teikoku Sen-I Co., Ltd. | 51,384 | 0.0 | |||
3,800 | T-Gaia Corp. | 35,909 | 0.0 | |||
18,000 | Toabo Corp. | 12,965 | 0.0 | |||
7,000 | Toei Co., Ltd. | 36,431 | 0.0 | |||
23,000 | Toho Co., Ltd. | 404,813 | 0.1 | |||
41,000 | @ | AGORA Hospitality Group Co. Ltd. | 9,465 | 0.0 | ||
7,200 | Tokai Rika Co., Ltd. | 100,238 | 0.0 | |||
3,400 | Tokai Rubber Industries, Inc. | 34,294 | 0.0 | |||
8,000 | Tokai Senko KK | 8,723 | 0.0 | |||
430 | Token Corp. | 24,036 | 0.0 | |||
16,400 | Tokyo Broadcasting System, Inc. | 172,954 | 0.1 | |||
25,000 | L | Tokyo Dome Corp. | 90,828 | 0.0 | ||
7,800 | Tokyo Individualized Educational Institute, Inc. | 14,405 | 0.0 | |||
6,000 | Tokyotokeiba Co., Ltd. | 12,264 | 0.0 | |||
7,600 | Tomy Co., Ltd. | 42,144 | 0.0 | |||
9,000 | @ | Tonichi Carlife Group, Inc. | 33,762 | 0.0 | ||
6,800 | Top Culture Co. Ltd | 29,309 | 0.0 | |||
1,600 | Topre Corp. | 14,644 | 0.0 | |||
2,200 | Toridoll.corp | 23,408 | 0.0 | |||
3,000 | Totenko Co., Ltd. | 6,973 | 0.0 | |||
2,000 | Touei Housing Corp. | 27,673 | 0.0 | |||
7,400 | Tow Co., Ltd. | 40,415 | 0.0 | |||
21,000 | Toyo Tire & Rubber Co., Ltd. | 62,748 | 0.0 | |||
114,000 | Toyobo Co., Ltd. | 162,576 | 0.1 | |||
9,300 | Toyoda Gosei Co., Ltd. | 189,039 | 0.1 | |||
13,500 | Toyota Boshoku Corp. | 156,525 | 0.1 | |||
30,000 | Toyota Industries Corp. | 957,780 | 0.2 | |||
399,860 | Toyota Motor Corp. | 18,671,921 | 4.4 | |||
8,600 | TS Tech Co., Ltd. | 155,031 | 0.1 | |||
13,350 | TSI Holdings Co. Ltd. | 77,277 | 0.0 | |||
7,000 | Tsukamoto Corp. Co., Ltd. | 11,159 | 0.0 | |||
6,600 | TV Asahi Corp. | 91,781 | 0.0 | |||
4,900 | Tv Tokyo Holdings Corp. | 52,511 | 0.0 | |||
4,300 | Unipres Corp. | 94,652 | 0.0 | |||
700 | United Arrows Ltd. | 16,120 | 0.0 | |||
49,000 | @ | Unitika Ltd. | 26,758 | 0.0 | ||
4,900 | U-Shin Ltd. | 25,798 | 0.0 | |||
4,370 | USS Co., Ltd. | 455,046 | 0.1 | |||
17,000 | Wacoal Holdings Corp. | 176,638 | 0.1 | |||
2,100 | Watabe Wedding Corp. | 15,586 | 0.0 | |||
3,900 | WATAMI Co., Ltd. | 77,581 | 0.0 | |||
3,200 | Xebio Co., Ltd. | 65,260 | 0.0 | |||
15,500 | L | Yamada Denki Co., Ltd. | 599,090 | 0.2 | ||
24,600 | Yamaha Corp. | 260,905 | 0.1 | |||
54,300 | Yamaha Motor Co., Ltd. | 601,521 | 0.2 | |||
14,000 | Yamatane Corp. | 19,986 | 0.0 | |||
6,800 | Yamato International, Inc. | 29,228 | 0.0 | |||
1,000 | Yellow Hat Ltd. | 15,128 | 0.0 | |||
33,000 | Yokohama Rubber Co., Ltd. | 239,216 | 0.1 | |||
13,000 | Yomiuri Land Co., Ltd. | 48,524 | 0.0 | |||
2,100 | Yorozu Corp. | 31,027 | 0.0 | |||
53 | Yoshinoya D&C Co., Ltd. | 64,780 | 0.0 | |||
3,100 | Zenrin Co., Ltd. | 40,262 | 0.0 | |||
6,100 | Zensho Holdings Co., Ltd. | 70,380 | 0.0 | |||
84,192,503 | 19.5 | |||||
Consumer Staples: 7.0% | ||||||
109,000 | Aeon Co., Ltd. | 1,245,709 | 0.3 | |||
3,000 | Aeon Hokkaido Corp. | 14,112 | 0.0 | |||
1,800 | Ain Pharmaciez, Inc. | 98,463 | 0.0 | |||
92,000 | Ajinomoto Co., Inc. | 1,217,386 | 0.3 | |||
3,500 | Arcs Co., Ltd. | 71,619 | 0.0 | |||
1,900 | Ariake Japan Co., Ltd. | 34,769 | 0.0 | |||
66,400 | Asahi Group Holdings, Ltd. | 1,413,837 | 0.3 | |||
4,400 | Belc Co., Ltd. | 62,875 | 0.0 | |||
3,100 | Calbee, Inc. | 218,434 | 0.1 | |||
2,700 | Cawachi Ltd. | 53,723 | 0.0 | |||
6,300 | CFS Corp. | 28,091 | 0.0 | |||
4,300 | Chubu Shiryo Co., Ltd. | 25,995 | 0.0 | |||
4,300 | L | Coca-Cola Central Japan Co., Ltd. | 53,206 | 0.0 | ||
12,300 | Coca-Cola West Co., Ltd. | 189,916 | 0.1 | |||
2,220 | Cocokara Fine Holdings, Inc. | 69,495 | 0.0 | |||
1,300 | Cosmos Pharmaceutical Corp. | 129,193 | 0.1 | |||
2,500 | Create SD Holdings | 70,719 | 0.0 | |||
1,600 | Daikokutenbussan Co., Ltd. | 48,257 | 0.0 | |||
20 | L | Dr Ci:Labo Co., Ltd. | 62,549 | 0.0 | ||
1,500 | Dydo Drinco, Inc. | 60,941 | 0.0 | |||
2,200 | Echo Trading Co., Ltd. | 18,792 | 0.0 | |||
2,600 | Eco's Co., Ltd. | 16,105 | 0.0 | |||
10,000 | Ezaki Glico Co., Ltd. | 103,123 | 0.0 | |||
10,300 | FamilyMart Co., Ltd. | 424,340 | 0.1 | |||
6,700 | Fancl Corp. | 70,172 | 0.0 | |||
8,600 | Fuji Oil Co., Ltd. | 124,440 | 0.0 | |||
2,000 | Fujicco Co., Ltd. | 23,708 | 0.0 | |||
25,000 | @ | Fujiya Co., Ltd. | 56,308 | 0.0 | ||
1,700 | Genky Stores, Inc. | 37,499 | 0.0 | |||
5,300 | Harashin Narus Holdings Co., Ltd. | 92,911 | 0.0 | |||
15,000 | @ | Hayashikane Sangyo Co., Ltd. | 12,906 | 0.0 | ||
4,900 | Heiwado Co., Ltd. | 68,055 | 0.0 | |||
3,700 | Hokuto Corp. | 72,568 | 0.0 | |||
9,700 | House Foods Corp. | 146,160 | 0.1 | |||
4,800 | Inageya Co., Ltd. | 54,961 | 0.0 | |||
8,800 | Ito En Ltd. | 162,013 | 0.1 | |||
1,600 | Itochu-Shokuhin Co., Ltd. | 54,140 | 0.0 | |||
17,000 | Itoham Foods, Inc. | 74,394 | 0.0 | |||
12,000 | Izumiya Co., Ltd. | 61,249 | 0.0 | |||
152,600 | Japan Tobacco, Inc. | 4,310,855 | 1.0 | |||
28,000 | J-Oil Mills, Inc. | 78,127 | 0.0 | |||
11,900 | Kagome Co., Ltd. | 227,351 | 0.1 | |||
85,800 | Kao Corp. | 2,235,738 | 0.5 | |||
2,700 | Kasumi Co., Ltd. | 17,058 | 0.0 | |||
3,600 | Kato Sangyo Co., Ltd. | 64,356 | 0.0 | |||
17,300 | Kewpie Corp. | 238,727 | 0.1 | |||
3,400 | KEY Coffee, Inc. | 60,974 | 0.0 | |||
29,000 | Kikkoman Corp. | 414,096 | 0.1 | |||
143,000 | Kirin Brewery Co., Ltd. | 1,682,538 | 0.4 | |||
2,200 | Kirindo Co., Ltd. | 14,733 | 0.0 | |||
5,200 | Kobayashi Pharmaceutical Co., Ltd. | 246,832 | 0.1 | |||
5,800 | Kose Corp. | 121,298 | 0.0 | |||
14,000 | Kyodo Shiryo Co., Ltd. | 15,922 | 0.0 | |||
13,000 | Kyokuyo Co. Ltd. | 29,203 | 0.0 | |||
10,600 | Lawson, Inc. | 719,052 | 0.2 | |||
1,200 | Life Corp. | 17,471 | 0.0 | |||
42,000 | Lion Corp. | 213,673 | 0.1 | |||
1,100 | Mandom Corp. | 30,321 | 0.0 | |||
9,000 | Marudai Food Co., Ltd. | 29,835 | 0.0 | |||
14,000 | Maruetsu, Inc. | 46,271 | 0.0 | |||
63,000 | Maruha Nichiro Holdings, Inc. | 110,126 | 0.0 | |||
4,400 | Matsumotokiyoshi Holdings Co., Ltd. | 103,951 | 0.0 | |||
6,300 | Megmilk Snow Brand Co., Ltd. | 98,836 | 0.0 | |||
11,700 | MEIJI Holdings Co., Ltd. | 507,403 | 0.1 | |||
700 | Meito Sangyo Co., Ltd. | 8,007 | 0.0 | |||
3,900 | Mikuni Coca-Cola Bottling Co., Ltd. | 36,813 | 0.0 | |||
960 | Milbon Co., Ltd. | 30,328 | 0.0 | |||
900 | Ministop Co., Ltd. | 15,098 | 0.0 | |||
23,000 | Mitsui Sugar Co., Ltd. | 66,326 | 0.0 | |||
18,000 | Miyoshi Oil & Fat Co., Ltd. | 21,505 | 0.0 | |||
19,000 | Morinaga & Co., Ltd. | 40,715 | 0.0 | |||
39,000 | Morinaga Milk Industry Co., Ltd. | 124,837 | 0.0 | |||
17,000 | Morozoff Ltd. | 57,614 | 0.0 | |||
1,000 | Nagatanien Co., Ltd. | 9,608 | 0.0 | |||
2,000 | Nakamuraya Co., Ltd. | 9,140 | 0.0 | |||
5,300 | Natori Co., Ltd. | 50,583 | 0.0 | |||
21,000 | Nichimo Co. Ltd | 47,722 | 0.0 | |||
43,000 | Nichirei Corp. | 224,627 | 0.1 | |||
660 | L | Nihon Chouzai Co., Ltd. | 15,631 | 0.0 | ||
23,000 | Nippon Beet Sugar Manufacturing Co., Ltd. | 42,911 | 0.0 | |||
20,000 | Nippon Flour Mills Co., Ltd. | 81,143 | 0.0 | |||
30,000 | Nippon Formula Feed Manufacturing Co., Ltd. | 35,939 | 0.0 | |||
28,000 | Nippon Meat Packers, Inc. | 388,136 | 0.1 | |||
39,600 | Nippon Suisan Kaisha Ltd. | 81,896 | 0.0 | |||
5,000 | Nisshin Oillio Group Ltd. | 18,543 | 0.0 | |||
35,000 | Nisshin Seifun Group, Inc. | 437,995 | 0.1 | |||
13,800 | Nissin Food Products Co., Ltd. | 523,547 | 0.1 | |||
20,000 | Oenon Holdings, Inc. | 45,847 | 0.0 | |||
1,500 | OIE Sangyo Co., Ltd. | 14,302 | 0.0 | |||
3,000 | Okuwa Co., Ltd. | 37,856 | 0.0 | |||
2,900 | Olympic Corp. | 27,394 | 0.0 | |||
3,100 | Pigeon Corp. | 148,356 | 0.1 | |||
1,800 | Pola Orbis Holdings, Inc. | 51,682 | 0.0 | |||
5,800 | Poplar Co., Ltd. | 36,018 | 0.0 | |||
11,000 | Prima Meat Packers Ltd. | 18,642 | 0.0 | |||
1,900 | Rock Field Co., Ltd. | 31,654 | 0.0 | |||
3,200 | Mitsubishi Shokuhin Co. Ltd. | 80,907 | 0.0 | |||
7,500 | S Foods, Inc. | 69,967 | 0.0 | |||
1,700 | Sakata Seed Corp. | 21,344 | 0.0 | |||
900 | San-A Co., Ltd. | 33,629 | 0.0 | |||
50,000 | Sapporo Holdings Ltd. | 161,947 | 0.1 | |||
128,000 | Seven & I Holdings Co., Ltd. | 3,608,418 | 0.9 | |||
57,200 | Shiseido Co., Ltd. | 807,404 | 0.2 | |||
3,000 | Showa Sangyo Co., Ltd. | 9,759 | 0.0 | |||
1,300 | Sogo Medical Co., Ltd. | 43,823 | 0.0 | |||
3,100 | ST Corp. | 33,178 | 0.0 | |||
6,000 | Starzen Co., Ltd. | 16,939 | 0.0 | |||
5,100 | Sugi Pharmacy Co., Ltd. | 179,925 | 0.1 | |||
6,400 | Sundrug Co., Ltd. | 218,908 | 0.1 | |||
29,000 | Takara Holdings, Inc. | 230,760 | 0.1 | |||
10,000 | Tobu Store Co., Ltd. | 31,060 | 0.0 | |||
10,000 | Toho Co., Ltd./Hyogo | 37,705 | 0.0 | |||
24,000 | Tohto Suisan Co., Ltd. | 37,395 | 0.0 | |||
7,600 | Torigoe Co., Ltd. | 53,833 | 0.0 | |||
18,000 | Toyo Suisan Kaisha Ltd. | 479,588 | 0.1 | |||
2,800 | Tsuruha Holdings, Inc. | 220,819 | 0.1 | |||
18,500 | Uni-Charm Corp. | 961,345 | 0.2 | |||
5,200 | Aderans Co. Ltd. | 68,563 | 0.0 | |||
24,400 | UNY Co., Ltd. | 180,809 | 0.1 | |||
2,600 | Valor Co., Ltd. | 40,932 | 0.0 | |||
3,300 | Warabeya Nichiyo Co., Ltd. | 61,159 | 0.0 | |||
240 | Welcia Holdings Co. Ltd | 8,361 | 0.0 | |||
3,200 | Yaizu Suisankagaku Industry Co., Ltd. | 27,947 | 0.0 | |||
19,600 | L | Yakult Honsha Co., Ltd. | 858,522 | 0.2 | ||
1,930 | Yamaya Corp. | 26,059 | 0.0 | |||
27,000 | Yamazaki Baking Co., Ltd. | 300,853 | 0.1 | |||
3,900 | Yamazawa Co., Ltd. | 66,298 | 0.0 | |||
1,800 | Yaoko Co., Ltd. | 66,682 | 0.0 | |||
6,000 | Yomeishu Seizo Co., Ltd. | 50,557 | 0.0 | |||
2,800 | Yonekyu Corp. | 23,791 | 0.0 | |||
30,377,481 | 7.0 | |||||
Energy: 1.4% | ||||||
7,300 | AOC Holdings, Inc. | 33,531 | 0.0 | |||
67,000 | Cosmo Oil Co., Ltd. | 150,053 | 0.0 | |||
2,600 | @ | Fuji Kosan Co., Ltd. | 14,019 | 0.0 | ||
3,900 | Idemitsu Kosan Co., Ltd. | 339,840 | 0.1 | |||
428 | Inpex Holdings, Inc. | 2,289,098 | 0.5 | |||
3,400 | Itochu Enex Co., Ltd. | 17,676 | 0.0 | |||
1,100 | Japan Drilling Co. Ltd. | 33,014 | 0.0 | |||
5,000 | Japan Oil Transportation Co., Ltd. | 11,405 | 0.0 | |||
6,500 | Japan Petroleum Exploration Co. | 229,564 | 0.1 | |||
351,010 | JX Holdings, Inc. | 1,981,722 | 0.5 | |||
5,000 | Kanto Natural Gas Development Ltd | 27,310 | 0.0 | |||
9,000 | Kyoei Tanker Co., Ltd. | 20,890 | 0.0 | |||
4,900 | Mitsuuroko Co., Ltd. | 27,000 | 0.0 | |||
3,900 | Modec, Inc. | 85,079 | 0.0 | |||
4,600 | Nippon Gas Co., Ltd. | 63,007 | 0.0 | |||
4,500 | Sala Corp. | 25,547 | 0.0 | |||
5,000 | San-Ai Oil Co., Ltd. | 20,795 | 0.0 | |||
6,600 | Shinko Plantech Co., Ltd. | 52,239 | 0.0 | |||
28,900 | L | Showa Shell Sekiyu KK | 163,697 | 0.1 | ||
10,000 | Sinanen Co., Ltd. | 41,668 | 0.0 | |||
51,000 | L | TonenGeneral Sekiyu KK | 441,035 | 0.1 | ||
9,000 | Toyo Kanetsu K K | 18,640 | 0.0 | |||
6,086,829 | 1.4 | |||||
Financials: 19.2% | ||||||
54,000 | 77 Bank Ltd. | 216,354 | 0.1 | |||
7,640 | Acom Co., Ltd. | 220,058 | 0.1 | |||
11,000 | Aeon Credit Service Co., Ltd. | 222,580 | 0.1 | |||
14,500 | Aeon Mall Co., Ltd. | 356,715 | 0.1 | |||
1,400 | Aichi Bank Ltd. | 78,567 | 0.0 | |||
32,400 | L | Aiful Corp. | 221,668 | 0.1 | ||
8,700 | Airport Facilities Co., Ltd. | 40,670 | 0.0 | |||
18,000 | Akita Bank Ltd. | 51,512 | 0.0 | |||
29,000 | Aomori Bank Ltd. | 83,110 | 0.0 | |||
95,000 | Aozora Bank Ltd. | 292,099 | 0.1 | |||
27,000 | Awa Bank Ltd. | 154,165 | 0.1 | |||
2,100 | Bank of Iwate Ltd. | 91,879 | 0.0 | |||
60,000 | Bank of Kyoto Ltd. | 508,143 | 0.1 | |||
29,000 | Bank of Nagoya Ltd. | 105,030 | 0.0 | |||
2,800 | Bank of Okinawa Ltd. | 112,706 | 0.0 | |||
16,000 | Bank of Saga Ltd. | 36,986 | 0.0 | |||
700 | Bank of the Ryukyus Ltd. | 8,118 | 0.0 | |||
202,000 | Bank of Yokohama Ltd. | 939,222 | 0.2 | |||
8,300 | Century Leasing System, Inc. | 172,362 | 0.1 | |||
124,000 | Chiba Bank Ltd. | 726,412 | 0.2 | |||
6,500 | @ | Chiba Kogyo Bank Ltd. | 42,667 | 0.0 | ||
28,000 | Chugoku Bank Ltd. | 390,818 | 0.1 | |||
22,000 | Chukyo Bank Ltd. | 46,255 | 0.0 | |||
611,440 | Sumitomo Mitsui Trust Holdings, Inc. | 2,154,292 | 0.5 | |||
26,000 | Credit Saison Co., Ltd. | 650,329 | 0.2 | |||
9,700 | Daibiru Corp. | 90,264 | 0.0 | |||
1,634 | Dai-ichi Life Insurance Co., Ltd. | 2,299,134 | 0.5 | |||
5,800 | Daiko Clearing Services Corp. | 25,942 | 0.0 | |||
42,000 | Daikyo, Inc. | 114,926 | 0.0 | |||
29,000 | Daisan Bank Ltd. | 51,542 | 0.0 | |||
41,000 | Daishi Bank Ltd. | 129,383 | 0.0 | |||
13,000 | Daito Bank Ltd. | 12,683 | 0.0 | |||
13,100 | Daito Trust Construction Co., Ltd. | 1,238,082 | 0.3 | |||
90,000 | Daiwa House Industry Co., Ltd. | 1,547,349 | 0.4 | |||
311,000 | Daiwa Securities Group, Inc. | 1,735,082 | 0.4 | |||
27,000 | Ehime Bank Ltd. | 72,079 | 0.0 | |||
18,000 | Eighteenth Bank Ltd. | 47,411 | 0.0 | |||
29,600 | FIDEA Holdings Co., Ltd. | 65,611 | 0.0 | |||
75 | @ | Accretive Co. Ltd. | 9,662 | 0.0 | ||
29,000 | Fukui Bank Ltd. | 57,683 | 0.0 | |||
138,000 | Fukuoka Financial Group, Inc. | 552,658 | 0.1 | |||
13,000 | Fukushima Bank Ltd. | 11,662 | 0.0 | |||
2,800 | Fuyo General Lease Co., Ltd. | 91,154 | 0.0 | |||
3,820 | Goldcrest Co., Ltd. | 65,018 | 0.0 | |||
75,000 | Gunma Bank Ltd. | 366,942 | 0.1 | |||
63,000 | Hachijuni Bank Ltd. | 316,073 | 0.1 | |||
5,900 | Heiwa Real Estate Co., Ltd. | 80,743 | 0.0 | |||
16,000 | Higashi-Nippon Bank Ltd. | 35,250 | 0.0 | |||
17,000 | Higo Bank Ltd. | 94,812 | 0.0 | |||
79,000 | Hiroshima Bank Ltd. | 331,285 | 0.1 | |||
8,300 | Hitachi Capital Corp. | 171,202 | 0.1 | |||
40,000 | Hokkoku Bank Ltd. | 81,378 | 0.0 | |||
43,000 | Hokkoku Bank Ltd. | 158,846 | 0.1 | |||
209,000 | Hokugin Financial Group, Inc. | 308,399 | 0.1 | |||
32,000 | Hyakugo Bank Ltd. | 144,769 | 0.0 | |||
33,000 | Hyakujushi Bank Ltd. | 122,115 | 0.0 | |||
3,500 | IBJ Leasing Co., Ltd. | 98,284 | 0.0 | |||
4,400 | Ichiyoshi Securities Co., Ltd. | 31,288 | 0.0 | |||
1,200 | Iida Home Max | 14,236 | 0.0 | |||
6,400 | Iwai Securities Co., Ltd. | 34,722 | 0.0 | |||
35,000 | Iyo Bank Ltd. | 277,443 | 0.1 | |||
17,000 | Jaccs Co., Ltd. | 92,592 | 0.0 | |||
3,800 | Jafco Co., Ltd. | 112,485 | 0.0 | |||
77,000 | @ | Japan Asia Investment Co., Ltd. | 65,768 | 0.0 | ||
6,900 | Japan Securities Finance Co., Ltd. | 44,384 | 0.0 | |||
1,100 | Jowa Holdings Co. Ltd | 22,227 | 0.0 | |||
130,000 | Joyo Bank Ltd. | 617,666 | 0.2 | |||
34,000 | Juroku Bank Ltd. | 115,289 | 0.0 | |||
19,200 | kabu.com Securities Co., Ltd. | 88,304 | 0.0 | |||
19,000 | Kagoshima Bank Ltd. | 119,463 | 0.0 | |||
35,000 | Kansai Urban Banking Corp. | 47,150 | 0.0 | |||
9,000 | Keihanshin Building Co. Ltd. | 46,374 | 0.0 | |||
19,000 | Keiyo Bank Ltd. | 83,831 | 0.0 | |||
360 | @ | Kenedix, Inc. | 86,495 | 0.0 | ||
2,300 | Kita-Nippon Bank Ltd. | 62,054 | 0.0 | |||
134,000 | Kiyo Holdings, Inc. | 195,961 | 0.1 | |||
9,000 | Kosei Securities Co., Ltd. | 15,049 | 0.0 | |||
4,000 | Kyokuto Securities Co., Ltd. | 40,860 | 0.0 | |||
50 | Land Business Co., Ltd. | 21,989 | 0.0 | |||
21,800 | Leopalace21 Corp. | 90,465 | 0.0 | |||
12,200 | Marusan Securities Co., Ltd. | 65,980 | 0.0 | |||
15,000 | Matsui Securities Co., Ltd. | 137,030 | 0.0 | |||
22,000 | Michinoku Bank Ltd. | 44,198 | 0.0 | |||
7,000 | Mie Bank Ltd. | 15,040 | 0.0 | |||
10,000 | Minato Bank Ltd. | 17,384 | 0.0 | |||
211,000 | Mitsubishi Estate Co., Ltd. | 5,051,488 | 1.2 | |||
2,331,900 | Mitsubishi UFJ Financial Group, Inc. | 12,618,176 | 2.9 | |||
7,740 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 332,945 | 0.1 | |||
140,000 | Mitsui Fudosan Co., Ltd. | 3,424,831 | 0.8 | |||
89,711 | Mitsui Sumitomo Insurance Group Holdings, Inc. | 1,790,361 | 0.4 | |||
28,000 | Miyazaki Bank Ltd. | 68,277 | 0.0 | |||
3,909,900 | Mizuho Financial Group, Inc. | 7,168,746 | 1.7 | |||
379 | Monex Beans Holdings, Inc. | 95,529 | 0.0 | |||
5,100 | Musashino Bank Ltd. | 166,572 | 0.1 | |||
17,000 | Nagano Bank Ltd. | 29,963 | 0.0 | |||
29,000 | Nanto Bank Ltd. | 131,812 | 0.0 | |||
106,000 | Nishi-Nippon City Bank Ltd. | 263,022 | 0.1 | |||
4,200 | Nisshin Fudosan Co. | 26,236 | 0.0 | |||
63,650 | NKSJ Holdings, Inc. | 1,365,232 | 0.3 | |||
645,300 | Nomura Holdings, Inc. | 3,819,718 | 0.9 | |||
12,900 | Nomura Real Estate Holdings, Inc. | 246,680 | 0.1 | |||
44,000 | North Pacific Bank Ltd. | 123,850 | 0.0 | |||
219 | NTT Urban Development Corp. | 212,415 | 0.1 | |||
25,000 | Ogaki Kyoritsu Bank Ltd. | 85,322 | 0.0 | |||
22,000 | Oita Bank Ltd. | 71,830 | 0.0 | |||
13,000 | Okasan Securities Group, Inc. | 65,878 | 0.0 | |||
50,000 | @ | Orient Corp. | 190,844 | 0.1 | ||
15,600 | ORIX Corp. | 1,762,153 | 0.4 | |||
10,300 | Osaka Securities Finance Co., Ltd. | 29,523 | 0.0 | |||
3,800 | Pocket Card Co., Ltd. | 21,829 | 0.0 | |||
296,300 | Resona Holdings, Inc. | 1,354,793 | 0.3 | |||
500 | Ricoh Leasing Co., Ltd. | 12,651 | 0.0 | |||
20,000 | San-In Godo Bank Ltd. | 140,802 | 0.0 | |||
35,260 | L | Softbank Investment Corp. | 315,200 | 0.1 | ||
25,530 | Senshu Ikeda Holdings, Inc. | 146,045 | 0.0 | |||
88,600 | Seven Bank Ltd. | 233,708 | 0.1 | |||
32,000 | Shiga Bank Ltd. | 198,436 | 0.1 | |||
17,000 | Shikoku Bank Ltd. | 45,736 | 0.0 | |||
1,600 | Shimizu Bank Ltd. | 46,769 | 0.0 | |||
225,000 | Shinsei Bank Ltd. | 450,346 | 0.1 | |||
92,000 | Shizuoka Bank Ltd. | 898,668 | 0.2 | |||
40,500 | Hulic Co. Ltd. | 274,789 | 0.1 | |||
32,500 | Sony Financial Holdings, Inc. | 584,293 | 0.1 | |||
231,352 | Sumitomo Mitsui Financial Group, Inc. | 8,407,753 | 2.0 | |||
1,520 | Sumitomo Real Estate Sales Co., Ltd. | 71,953 | 0.0 | |||
72,000 | Sumitomo Realty & Development Co., Ltd. | 2,398,598 | 0.6 | |||
66 | Sun Frontier Fudousan Co., Ltd. | 33,637 | 0.0 | |||
37,000 | Suruga Bank Ltd. | 455,066 | 0.1 | |||
108,800 | T&D Holdings, Inc. | 1,324,669 | 0.3 | |||
9,000 | Taiko Bank Ltd. | 22,384 | 0.0 | |||
5,600 | Takara Leben Co., Ltd. | 60,940 | 0.0 | |||
13,800 | TOC Co., Ltd. | 85,403 | 0.0 | |||
13,000 | Tochigi Bank Ltd. | 45,020 | 0.0 | |||
20,000 | Toho Bank Ltd. | 65,098 | 0.0 | |||
31,000 | Tohoku Bank Ltd. | 49,342 | 0.0 | |||
33,000 | Tokai Tokyo Financial Holdings | 151,675 | 0.0 | |||
115,400 | Tokio Marine Holdings, Inc. | 3,214,960 | 0.8 | |||
7,000 | Tokyo Rakutenchi Co., Ltd. | 28,515 | 0.0 | |||
47,000 | Tokyo Tatemono Co., Ltd. | 242,099 | 0.1 | |||
5,900 | Tokyo Tatemono Real Estate Sales Co., Ltd. | 26,386 | 0.0 | |||
37,000 | L | Tokyo Theatres Co., Inc. | 49,308 | 0.0 | ||
5,600 | Tokyo Tomin Bank Ltd. | 50,822 | 0.0 | |||
53,000 | Tokyu Land Corp. | 388,337 | 0.1 | |||
2,800 | Tokyu Livable, Inc. | 45,551 | 0.0 | |||
14,000 | Tomato Bank Ltd. | 25,888 | 0.0 | |||
28,700 | TOMONY Holdings, Inc. | 127,015 | 0.0 | |||
80 | Tosei Corp. | 47,419 | 0.0 | |||
22,000 | Tottori Bank Ltd. | 44,250 | 0.0 | |||
29,000 | Towa Bank Ltd. | 31,649 | 0.0 | |||
25,000 | Toyo Securities Co., Ltd. | 69,890 | 0.0 | |||
8,700 | Tsukuba Bank Ltd. | 30,322 | 0.0 | |||
2,200 | Yachiyo Bank Ltd. | 46,862 | 0.0 | |||
15,000 | Yamagata Bank Ltd. | 67,053 | 0.0 | |||
31,000 | Yamaguchi Financial Group, Inc. | 273,773 | 0.1 | |||
11,000 | Yamanashi Chuo Bank Ltd. | 45,841 | 0.0 | |||
82,948,813 | 19.2 | |||||
Health Care: 5.9% | ||||||
9,500 | Alfresa Holdings Corp. | 371,330 | 0.1 | |||
900 | As One Corp. | 18,796 | 0.0 | |||
6,000 | ASKA Pharmaceutical Co., Ltd. | 32,711 | 0.0 | |||
70,500 | Astellas Pharma, Inc. | 3,169,792 | 0.8 | |||
2,300 | BML, Inc. | 56,109 | 0.0 | |||
38,900 | Chugai Pharmaceutical Co., Ltd. | 745,328 | 0.2 | |||
2,500 | CMIC Co., Ltd. | 35,251 | 0.0 | |||
1,200 | Create Medic Co., Ltd. | 10,937 | 0.0 | |||
107,500 | Daiichi Sankyo Co., Ltd. | 1,650,363 | 0.4 | |||
26,500 | Dainippon Sumitomo Pharma Co., Ltd. | 318,364 | 0.1 | |||
900 | Daito Pharmaceutical Co. Ltd | 14,046 | 0.0 | |||
3,600 | Eiken Chemical Co., Ltd. | 46,263 | 0.0 | |||
40,100 | Eisai Co., Ltd. | 1,673,887 | 0.4 | |||
30 | L | EPS Co., Ltd. | 77,201 | 0.0 | ||
4,000 | Falco Biosystems Ltd. | 45,494 | 0.0 | |||
10,400 | Hisamitsu Pharmaceutical Co., Inc. | 517,612 | 0.1 | |||
5,000 | Hitachi Medical Corp. | 71,919 | 0.0 | |||
1,800 | Hogy Medical Co., Ltd. | 85,672 | 0.0 | |||
520 | @ | I'rom Holdings Co., Ltd. | 31,187 | 0.0 | ||
2,800 | Japan Medical Dynamic Marketing, Inc. | 8,094 | 0.0 | |||
11,000 | Jeol Ltd. | 29,473 | 0.0 | |||
10,000 | Kaken Pharmaceutical Co., Ltd. | 147,121 | 0.1 | |||
4,500 | Kissei Pharmaceutical Co., Ltd. | 82,837 | 0.0 | |||
9,700 | Kyorin Co., Ltd. | 188,090 | 0.1 | |||
44,000 | Kyowa Hakko Kogyo Co., Ltd. | 434,069 | 0.1 | |||
67 | M3, Inc. | 106,937 | 0.0 | |||
32,100 | Medipal Holdings Corp. | 355,906 | 0.1 | |||
7,800 | Miraca Holdings, Inc. | 314,502 | 0.1 | |||
32,500 | Mitsubishi Tanabe Pharma Corp. | 423,854 | 0.1 | |||
10,000 | Mochida Pharmaceutical Co., Ltd. | 122,836 | 0.0 | |||
5,000 | Nagaileben Co., Ltd. | 66,505 | 0.0 | |||
3,500 | Nichii Gakkan Co. | 27,802 | 0.0 | |||
4,700 | Nichi-iko Pharmaceutical Co., Ltd. | 91,079 | 0.0 | |||
6,500 | Nihon Kohden Corp. | 197,495 | 0.1 | |||
10,000 | Nikkiso Co., Ltd. | 106,556 | 0.0 | |||
6,000 | Nippon Chemiphar Co., Ltd. | 35,585 | 0.0 | |||
5,000 | Nippon Shinyaku Co., Ltd. | 56,420 | 0.0 | |||
9,300 | L | Nipro Corp. | 65,942 | 0.0 | ||
2,900 | Nissui Pharmaceutical Co., Ltd. | 30,639 | 0.0 | |||
35,600 | Olympus Corp. | 690,666 | 0.2 | |||
16,000 | Ono Pharmaceutical Co., Ltd. | 817,346 | 0.2 | |||
63,600 | Otsuka Holdings Co. Ltd. | 1,791,694 | 0.4 | |||
2,100 | Paramount Bed Holdings Co. Ltd. | 62,905 | 0.0 | |||
12,000 | Rohto Pharmaceutical Co., Ltd. | 139,719 | 0.1 | |||
10,700 | Santen Pharmaceutical Co., Ltd. | 411,019 | 0.1 | |||
2,100 | Sawai Pharmaceutical Co., Ltd. | 210,642 | 0.0 | |||
5,800 | Seikagaku Corp. | 61,900 | 0.0 | |||
2,600 | L | Shin Nippon Biomedical Laboratories Ltd. | 9,394 | 0.0 | ||
51,800 | Shionogi & Co., Ltd. | 863,186 | 0.2 | |||
4,800 | Ship Healthcare Holdings, Inc. | 127,575 | 0.0 | |||
12,400 | Suzuken Co., Ltd. | 349,345 | 0.1 | |||
11,100 | �� | Sysmex Corp. | 511,142 | 0.1 | ||
2,300 | Taiko Pharmaceutical Co. Ltd. | 22,680 | 0.0 | |||
8,300 | Taisho Pharmaceutical Holdings Co. Ltd. | 570,068 | 0.1 | |||
120,800 | Takeda Pharmaceutical Co., Ltd. | 5,399,157 | 1.3 | |||
22,600 | Terumo Corp. | 897,444 | 0.2 | |||
7,800 | Toho Holdings Co., Ltd. | 136,666 | 0.0 | |||
2,000 | Tokai Corp./Gifu | 50,140 | 0.0 | |||
3,900 | Torii Pharmaceutical Co., Ltd. | 86,682 | 0.0 | |||
1,900 | Towa Pharmaceutical Co., Ltd. | 99,631 | 0.0 | |||
400 | Tsukui Corp. | 7,510 | 0.0 | |||
10,400 | Tsumura & Co. | 314,398 | 0.1 | |||
9,600 | Vital KSK Holdings, Inc. | 88,689 | 0.0 | |||
6,000 | Wakamoto Pharmaceutical Co., Ltd. | 16,730 | 0.0 | |||
2,000 | ZERIA Pharmaceutical Co., Ltd. | 33,206 | 0.0 | |||
25,633,538 | 5.9 | |||||
Industrials: 21.6% | ||||||
2,300 | Advan Co., Ltd. | 23,911 | 0.0 | |||
2,800 | Aeon Delight Co., Ltd. | 54,810 | 0.0 | |||
8,300 | Aica Kogyo Co., Ltd. | 134,141 | 0.0 | |||
11,300 | Aichi Corp. | 58,179 | 0.0 | |||
1,300 | Aida Engineering Ltd. | 10,314 | 0.0 | |||
1,900 | Airtech Japan Ltd. | 8,034 | 0.0 | |||
604,000 | L | All Nippon Airways Co., Ltd. | 1,268,943 | 0.3 | ||
49,000 | Amada Co., Ltd. | 318,846 | 0.1 | |||
4,000 | Anest Iwata Corp. | 16,393 | 0.0 | |||
19,900 | @ | Arrk Corp. | 37,112 | 0.0 | ||
7,200 | Asahi Diamond Industrial Co., Ltd. | 71,249 | 0.0 | |||
156,000 | L | Asahi Glass Co., Ltd. | 1,139,049 | 0.3 | ||
4,600 | Asahi Kogyosha Co., Ltd. | 15,567 | 0.0 | |||
27,000 | Asanuma Corp. | 24,617 | 0.0 | |||
2,000 | Asunaro Aoki Construction Co., Ltd. | 12,753 | 0.0 | |||
3,200 | Azuma Shipping Co. Ltd | 10,220 | 0.0 | |||
3,000 | Bando Chemical Industries Ltd. | 10,080 | 0.0 | |||
3,000 | Bunka Shutter Co., Ltd. | 13,997 | 0.0 | |||
30,000 | Central Glass Co., Ltd. | 101,342 | 0.0 | |||
26,000 | Central Japan Railway Co. | 2,110,147 | 0.5 | |||
1,900 | Central Security Patrols Co., Ltd. | 17,808 | 0.0 | |||
28,000 | Chiyoda Corp. | 401,105 | 0.1 | |||
2,800 | Chiyoda Integre Co., Ltd. | 28,072 | 0.0 | |||
6,800 | Chudenko Corp. | 63,366 | 0.0 | |||
6,000 | Chugai Ro Co., Ltd. | 15,540 | 0.0 | |||
7,600 | CKD Corp. | 47,998 | 0.0 | |||
17,000 | COMSYS Holdings Corp. | 218,341 | 0.1 | |||
5,100 | Cosel Co., Ltd. | 62,865 | 0.0 | |||
5,300 | CTI Engineering Co., Ltd. | 37,051 | 0.0 | |||
101,000 | Dai Nippon Printing Co., Ltd. | 791,985 | 0.2 | |||
11,000 | Dai-Dan Co., Ltd. | 69,901 | 0.0 | |||
5,000 | Daido Kogyo Co., Ltd. | 8,160 | 0.0 | |||
12,500 | Daifuku Co., Ltd. | 80,498 | 0.0 | |||
10,000 | Daihen Corp. | 29,458 | 0.0 | |||
21,000 | Daiho Corp. | 31,297 | 0.0 | |||
54,000 | L | Daiichi Chuo KK | 50,766 | 0.0 | ||
12,000 | Daiichi Jitsugyo Co., Ltd. | 55,652 | 0.0 | |||
42,100 | Daikin Industries Ltd. | 1,446,099 | 0.4 | |||
1,300 | Daiohs Corp. | 7,875 | 0.0 | |||
4,500 | Daiseki Co., Ltd. | 62,239 | 0.0 | |||
11,000 | @ | Danto Holdings Corp. | 12,030 | 0.0 | ||
1,600 | Denyo Co., Ltd. | 19,631 | 0.0 | |||
4,000 | Dijet Industrial Co., Ltd. | 7,060 | 0.0 | |||
13 | @ | Dream Incubator, Inc. | 14,401 | 0.0 | ||
9,300 | Duskin Co., Ltd. | 168,511 | 0.1 | |||
56,600 | East Japan Railway Co. | 3,659,991 | 0.9 | |||
54,000 | Ebara Corp. | 227,251 | 0.1 | |||
700 | Ebara Jitsugyo Co. Ltd. | 9,857 | 0.0 | |||
23,000 | @ | Enshu Ltd. | 29,518 | 0.0 | ||
32,000 | Fanuc Ltd. | 5,953,587 | 1.4 | |||
17,700 | @ | Fudo Tetra Corp. | 35,392 | 0.0 | ||
87,000 | Fuji Electric Holdings Co., Ltd. | 214,056 | 0.1 | |||
50,000 | Fujikura Ltd. | 156,070 | 0.1 | |||
9,000 | Fujitec Co., Ltd. | 65,361 | 0.0 | |||
8,000 | Fukuda Corp. | 38,016 | 0.0 | |||
1,700 | Fukushima Industries Corp. | 35,435 | 0.0 | |||
15,000 | Fukuyama Transporting Co., Ltd. | 76,278 | 0.0 | |||
196 | @,L | FULLCAST Holdings Co., Ltd. | 32,347 | 0.0 | ||
9,700 | Funai Consulting Co., Ltd. | 60,119 | 0.0 | |||
38,000 | Furukawa Co., Ltd. | 38,560 | 0.0 | |||
106,000 | Furukawa Electric Co., Ltd. | 238,406 | 0.1 | |||
6,700 | Futaba Corp. | 75,827 | 0.0 | |||
2,300 | Gakujo Co., Ltd. | 7,745 | 0.0 | |||
10,900 | Glory Ltd. | 252,613 | 0.1 | |||
61,000 | L | GS Yuasa Corp. | 245,940 | 0.1 | ||
1,500 | Hamakyorex Co., Ltd. | 48,135 | 0.0 | |||
210,000 | Hankyu Hanshin Holdings, Inc. | 1,085,767 | 0.3 | |||
30,000 | Hanwa Co., Ltd. | 117,495 | 0.0 | |||
17,800 | Hazama Corp. | 56,058 | 0.0 | |||
5,200 | Hibiya Engineering Ltd. | 59,415 | 0.0 | |||
40,000 | Hino Motors Ltd. | 361,552 | 0.1 | |||
2,700 | Hirakawa Hewtech Corp. | 21,077 | 0.0 | |||
7,000 | Hisaka Works Ltd. | 57,897 | 0.0 | |||
21,000 | Hitachi Cable Ltd. | 34,373 | 0.0 | |||
17,200 | Hitachi Construction Machinery Co., Ltd. | 361,729 | 0.1 | |||
5,300 | Hitachi Transport System Ltd. | 77,433 | 0.0 | |||
96,000 | Hitachi Zosen Corp. | 135,295 | 0.0 | |||
7,000 | Hoshizaki Electric Co., Ltd. | 186,126 | 0.1 | |||
6,000 | Hosokawa Micron Corp. | 37,423 | 0.0 | |||
30,000 | Howa Machinery Ltd. | 31,412 | 0.0 | |||
6,800 | Ichinen Holdings Co., Ltd. | 40,393 | 0.0 | |||
1,000 | Idec Corp. | 9,297 | 0.0 | |||
223,000 | IHI Corp. | 578,263 | 0.2 | |||
9,400 | Iino Kaiun Kaisha Ltd. | 34,471 | 0.0 | |||
2,500 | Inaba Denki Sangyo Co., Ltd. | 71,818 | 0.0 | |||
6,100 | Inaba Seisakusho Co., Ltd. | 75,921 | 0.0 | |||
9,200 | Inabata & Co., Ltd. | 62,032 | 0.0 | |||
8,400 | Inui Steamship Co., Ltd. | 26,645 | 0.0 | |||
28,000 | Iseki & Co., Ltd. | 72,924 | 0.0 | |||
10,000 | Ishii Iron Works Co., Ltd. | 18,956 | 0.0 | |||
244,100 | Itochu Corp. | 2,579,918 | 0.6 | |||
5,700 | Itoki Corp. | 28,121 | 0.0 | |||
8,000 | @ | Iwasaki Electric Co., Ltd. | 17,169 | 0.0 | ||
20,000 | Iwatani International Corp. | 74,406 | 0.0 | |||
900 | Jalux, Inc. | 8,859 | 0.0 | |||
26,000 | @ | Japan Airlines Co. Ltd. | 1,117,574 | 0.3 | ||
7,600 | Japan Airport Terminal Co., Ltd. | 78,458 | 0.0 | |||
3,300 | @ | Japan Bridge Corp. | 15,039 | 0.0 | ||
20,000 | Japan Pulp & Paper Co., Ltd. | 65,910 | 0.0 | |||
46,000 | Japan Steel Works Ltd. | 299,687 | 0.1 | |||
14,000 | Japan Transcity Corp. | 51,286 | 0.0 | |||
2,000 | J-COM Holdings Co. Ltd | 15,775 | 0.0 | |||
33,000 | JGC Corp. | 1,028,328 | 0.3 | |||
6,000 | JK Holdings Co., Ltd. | 31,264 | 0.0 | |||
43,570 | LIXIL Group Corp. | 971,852 | 0.2 | |||
27,900 | JTEKT Corp. | 265,983 | 0.1 | |||
36,000 | L | Juki Corp. | 52,183 | 0.0 | ||
172,000 | Kajima Corp. | 569,094 | 0.2 | |||
1,000 | Kamei Corp. | 9,042 | 0.0 | |||
35,000 | Kamigumi Co., Ltd. | 279,259 | 0.1 | |||
2,000 | Kanaden Corp. | 11,922 | 0.0 | |||
4,000 | Kanagawa Chuo Kotsu Co., Ltd. | 21,708 | 0.0 | |||
4,000 | Kandenko Co., Ltd. | 17,985 | 0.0 | |||
69,000 | @ | Kanematsu Corp. | 95,133 | 0.0 | ||
6,200 | Katakura Industries Co., Ltd. | 54,930 | 0.0 | |||
12,000 | Kato Works Co., Ltd. | 37,369 | 0.0 | |||
2,300 | Kawada Technologies, Inc. | 34,083 | 0.0 | |||
242,000 | Kawasaki Heavy Industries Ltd. | 658,126 | 0.2 | |||
81,000 | L | Kawasaki Kisen Kaisha Ltd. | 124,385 | 0.0 | ||
63,000 | L | Keihan Electric Railway Co., Ltd. | 285,154 | 0.1 | ||
78,000 | Keihin Electric Express Railway Co., Ltd. | 692,455 | 0.2 | |||
90,000 | Keio Corp. | 670,960 | 0.2 | |||
50,000 | Keisei Electric Railway Co., Ltd. | 421,940 | 0.1 | |||
6,400 | Kimura Chemical Plants Co., Ltd. | 26,273 | 0.0 | |||
900 | Kimura Unity Co., Ltd. | 8,133 | 0.0 | |||
30,000 | Kinden Corp. | 195,504 | 0.1 | |||
4,300 | King Jim Co., Ltd. | 31,570 | 0.0 | |||
4,000 | Kinki Sharyo Co., Ltd. | 13,448 | 0.0 | |||
274,000 | L | Kintetsu Corp. | 1,122,775 | 0.3 | ||
3,200 | Kintetsu World Express, Inc. | 107,009 | 0.0 | |||
18,000 | Kitagawa Iron Works Co., Ltd. | 30,539 | 0.0 | |||
19,000 | Kitano Construction Corp. | 46,997 | 0.0 | |||
6,000 | Kitazawa Sangyo Co., Ltd. | 11,382 | 0.0 | |||
13,900 | Kitz Corp. | 65,737 | 0.0 | |||
11,400 | Kokuyo Co., Ltd. | 81,789 | 0.0 | |||
5,950 | Komai Tekko, Inc. | 17,826 | 0.0 | |||
152,500 | Komatsu Ltd. | 3,913,211 | 0.9 | |||
4,000 | Komatsu Wall Industry Co., Ltd. | 53,612 | 0.0 | |||
6,000 | Komori Corp. | 49,930 | 0.0 | |||
9,300 | @,L | Kosaido Co., Ltd. | 32,802 | 0.0 | ||
1,900 | KRS Corp. | 20,008 | 0.0 | |||
165,000 | Kubota Corp. | 1,897,070 | 0.5 | |||
10,000 | @ | Kumagai Gumi Co., Ltd. | 11,734 | 0.0 | ||
17,700 | Kurita Water Industries Ltd. | 388,710 | 0.1 | |||
1,100 | Kuroda Electric Co., Ltd. | 13,010 | 0.0 | |||
4,000 | Kyodo Printing Co., Ltd. | 10,320 | 0.0 | |||
5,000 | Kyoei Sangyo Co., Ltd./Tokyo | 8,456 | 0.0 | |||
1,000 | Kyokuto Kaihatsu Kogyo Co. Ltd. | 11,006 | 0.0 | |||
11,500 | Kyowa Exeo Corp. | 115,667 | 0.0 | |||
9,000 | Kyudenko Corp. | 46,451 | 0.0 | |||
5,100 | Mabuchi Motor Co., Ltd. | 217,485 | 0.1 | |||
19,000 | Maeda Corp. | 100,491 | 0.0 | |||
9,000 | Maeda Road Construction Co., Ltd. | 137,507 | 0.1 | |||
3,600 | Maezawa Industries, Inc. | 8,390 | 0.0 | |||
3,700 | Maezawa Kasei Industries Co., Ltd. | 37,983 | 0.0 | |||
1,900 | Maezawa Kyuso Industries Co., Ltd. | 23,581 | 0.0 | |||
15,000 | L | Makino Milling Machine Co. | 93,217 | 0.0 | ||
19,900 | Makita Corp. | 924,442 | 0.2 | |||
263,000 | Marubeni Corp. | 1,887,089 | 0.5 | |||
1,200 | Maruka Machinery Co. Ltd. | 13,208 | 0.0 | |||
3,700 | Maruwn Corp. | 9,124 | 0.0 | |||
4,000 | Maruyama Manufacturing Co., Inc. | 7,727 | 0.0 | |||
16,000 | Maruzen Showa Unyu Co., Ltd. | 46,038 | 0.0 | |||
3,500 | Matsuda Sangyo Co., Ltd. | 42,558 | 0.0 | |||
5,000 | Matsui Construction Co., Ltd. | 19,923 | 0.0 | |||
3,000 | Max Co., Ltd. | 36,537 | 0.0 | |||
30,000 | Meidensha Corp. | 101,735 | 0.0 | |||
2,100 | Meitec Corp. | 46,236 | 0.0 | |||
3,300 | Meito Transportation Co., Ltd. | 22,933 | 0.0 | |||
4,000 | Meiwa Corp. | 17,104 | 0.0 | |||
54,000 | L | Minebea Co., Ltd. | 191,840 | 0.1 | ||
15,110 | Mirait Holdings Corp. | 137,177 | 0.1 | |||
10,400 | MISUMI Group, Inc. | 284,230 | 0.1 | |||
233,900 | Mitsubishi Corp. | 4,503,268 | 1.1 | |||
306,000 | Mitsubishi Electric Corp. | 2,605,393 | 0.6 | |||
518,000 | Mitsubishi Heavy Industries Ltd. | 2,505,685 | 0.6 | |||
12,000 | Mitsubishi Kakoki Kaisha Ltd. | 21,515 | 0.0 | |||
26,000 | Mitsubishi Logistics Corp. | 373,079 | 0.1 | |||
3,100 | Mitsubishi Pencil Co., Ltd. | 51,851 | 0.0 | |||
4,000 | Mitsuboshi Belting Co., Ltd. | 22,246 | 0.0 | |||
263,100 | Mitsui & Co., Ltd. | 3,943,571 | 0.9 | |||
131,000 | Mitsui Engineering & Shipbuilding Co., Ltd. | 202,104 | 0.1 | |||
22,000 | L | Mitsui Matsushima Co., Ltd. | 36,938 | 0.0 | ||
166,000 | Mitsui OSK Lines Ltd. | 494,506 | 0.1 | |||
3,000 | Mitsui-Soko Co., Ltd. | 12,013 | 0.0 | |||
10,000 | Mitsumura Printing Co., Ltd. | 28,731 | 0.0 | |||
5,100 | Miura Co., Ltd. | 133,933 | 0.0 | |||
2,600 | Miyachi Corp. | 17,745 | 0.0 | |||
24,000 | @ | Miyaji Engineering Group, Inc. | 50,022 | 0.0 | ||
3,100 | @ | Miyakoshi Holdings, Inc. | 10,974 | 0.0 | ||
900 | MonotaRO Co. Ltd. | 28,996 | 0.0 | |||
18,700 | Mori Seiki Co., Ltd. | 163,736 | 0.1 | |||
10,000 | Morita Holdings Corp. | 83,566 | 0.0 | |||
7,300 | Moshi Moshi Hotline, Inc. | 92,975 | 0.0 | |||
15,300 | Nabtesco Corp. | 341,745 | 0.1 | |||
2,000 | NAC Co., Ltd. | 47,683 | 0.0 | |||
32,000 | Nachi-Fujikoshi Corp. | 130,750 | 0.0 | |||
18,100 | Nagase & Co., Ltd. | 200,551 | 0.1 | |||
117,000 | Nagoya Railroad Co., Ltd. | 311,406 | 0.1 | |||
57,000 | Nankai Electric Railway Co., Ltd. | 257,260 | 0.1 | |||
1,600 | NEC Capital Solutions Ltd. | 24,110 | 0.0 | |||
43,000 | NGK Insulators Ltd. | 510,095 | 0.1 | |||
13,000 | Nichias Corp. | 71,108 | 0.0 | |||
3,000 | Nichiban Co. Ltd | 9,240 | 0.0 | |||
1,400 | L | Nichiden Corp. | 34,005 | 0.0 | ||
4,300 | Nichiha Corp. | 49,897 | 0.0 | |||
11,000 | Nichireki Co., Ltd. | 64,490 | 0.0 | |||
17,112 | Nidec Corp. | 999,322 | 0.2 | |||
1,800 | Nihon M&A Center, Inc. | 60,066 | 0.0 | |||
1,800 | Nihon Trim Co., Ltd. | 48,574 | 0.0 | |||
5,000 | Nikko Co. Ltd./Hyogo | 21,986 | 0.0 | |||
10,000 | Nippo Corp. | 138,281 | 0.1 | |||
21,000 | Nippon Carbon Co., Ltd. | 43,672 | 0.0 | |||
22,300 | Nippon Conveyor Co., Ltd. | 19,925 | 0.0 | |||
9,000 | Nippon Densetsu Kogyo Co., Ltd. | 85,445 | 0.0 | |||
132,000 | Nippon Express Co., Ltd. | 545,456 | 0.1 | |||
1,700 | Nippon Filcon Co., Ltd./Tokyo | 7,264 | 0.0 | |||
4,100 | Nippon Kanzai Co., Ltd. | 72,521 | 0.0 | |||
16,000 | Nippon Koei Co. Ltd. | 58,931 | 0.0 | |||
12,300 | Nippon Konpo Unyu Soko Co., Ltd. | 144,051 | 0.1 | |||
2,500 | Nippon Kucho Service Co., Ltd. | 21,729 | 0.0 | |||
17,000 | Nippon Road Co., Ltd. | 79,605 | 0.0 | |||
2,000 | Nippon Seisen Co., Ltd. | 7,310 | 0.0 | |||
10,000 | Nippon Sharyo Ltd. | 38,330 | 0.0 | |||
128,000 | L | Nippon Sheet Glass Co., Ltd. | 169,235 | 0.1 | ||
7,300 | Nippon Signal Co., Ltd. | 51,643 | 0.0 | |||
15,000 | Nippon Steel Trading Co., Ltd. | 40,103 | 0.0 | |||
9,000 | Nippon Thompson Co., Ltd. | 40,430 | 0.0 | |||
262,880 | Nippon Yusen KK | 618,775 | 0.2 | |||
9,000 | Nippon Yusoki Co., Ltd. | 39,931 | 0.0 | |||
44,000 | Nishimatsu Construction Co., Ltd. | 92,243 | 0.0 | |||
34,000 | Nishi-Nippon Railroad Co., Ltd. | 134,636 | 0.0 | |||
4,200 | Nissei Plastic Industrial Co., Ltd. | 20,362 | 0.0 | |||
7,700 | Nissha Printing Co., Ltd. | 91,670 | 0.0 | |||
16,000 | Nissin Corp. | 39,488 | 0.0 | |||
7,000 | Nissin Electric Co., Ltd. | 35,950 | 0.0 | |||
3,100 | Nitta Corp. | 49,723 | 0.0 | |||
19,000 | Nitto Boseki Co., Ltd. | 75,098 | 0.0 | |||
3,900 | Nitto Kogyo Corp. | 53,044 | 0.0 | |||
500 | Nitto Kohki Co., Ltd. | 10,614 | 0.0 | |||
3,000 | Nitto Seiko Co., Ltd. | 8,818 | 0.0 | |||
13,000 | Nomura Co., Ltd. | 50,320 | 0.0 | |||
4,000 | Noritake Co., Ltd. | 9,729 | 0.0 | |||
6,500 | Noritz Corp. | 108,694 | 0.0 | |||
42,000 | NS United Kaiun Kaisha Ltd. | 61,451 | 0.0 | |||
74,000 | NSK Ltd. | 526,558 | 0.1 | |||
67,000 | NTN Corp. | 181,594 | 0.1 | |||
4,000 | Obara Corp. | 44,743 | 0.0 | |||
112,000 | Obayashi Corp. | 631,469 | 0.2 | |||
16,000 | Obayashi Road Corp. | 69,912 | 0.0 | |||
102,000 | L | Odakyu Electric Railway Co., Ltd. | 1,061,229 | 0.3 | ||
2,500 | Oiles Corp. | 50,381 | 0.0 | |||
13,000 | Okamura Corp. | 93,472 | 0.0 | |||
9,000 | OKK Corp. | 11,944 | 0.0 | |||
16,000 | Okuma Corp. | 110,420 | 0.0 | |||
30,000 | Okumura Corp. | 122,821 | 0.0 | |||
2,500 | Onoken Co., Ltd. | 22,198 | 0.0 | |||
5,000 | Organo Corp. | 28,421 | 0.0 | |||
12,300 | OSG Corp. | 170,689 | 0.1 | |||
4,300 | Oyo Corp. | 52,218 | 0.0 | |||
11,500 | Park24 Co., Ltd. | 181,619 | 0.1 | |||
3,000 | Pasco Corp. | 9,142 | 0.0 | |||
73 | Pasona Group, Inc. | 42,644 | 0.0 | |||
4,400 | Pegasus Sewing Machine Manufacturing Co., Ltd. | 9,577 | 0.0 | |||
39,500 | L | Penta-Ocean Construction Co., Ltd. | 106,847 | 0.0 | ||
33 | Pilot Corp. | 61,468 | 0.0 | |||
6,800 | Pronexus, Inc. | 38,635 | 0.0 | |||
7,000 | PS Mitsubishi Construction Co., Ltd. | 45,211 | 0.0 | |||
7,100 | Raito Kogyo Co., Ltd. | 40,926 | 0.0 | |||
13,000 | @ | Rasa Industries Ltd. | 14,229 | 0.0 | ||
6,200 | Rheon Automatic Machinery Co., Ltd. | 14,387 | 0.0 | |||
12,000 | Ryobi Ltd. | 32,561 | 0.0 | |||
9,000 | L | Sakai Heavy Industries Ltd. | 31,173 | 0.0 | ||
1,300 | Sakai Moving Service Co., Ltd. | 27,960 | 0.0 | |||
13,700 | @ | Sanix, Inc. | 39,949 | 0.0 | ||
4,000 | Sanki Engineering Co., Ltd. | 19,576 | 0.0 | |||
8,000 | Sanko Metal Industrial Co. Ltd. | 21,497 | 0.0 | |||
4,200 | @ | Sankyo Tateyama, Inc. | 74,658 | 0.1 | ||
34,000 | Sankyu, Inc. | 128,746 | 0.0 | |||
30,000 | Sanwa Shutter Corp. | 132,432 | 0.0 | |||
29,000 | Sasebo Heavy Industries Co., Ltd. | 34,565 | 0.0 | |||
12,000 | @ | Sata Construction Co., Ltd. | 12,022 | 0.0 | ||
700 | Sato Holding Corp. | 11,317 | 0.0 | |||
3,000 | Sato Shoji Corp. | 20,333 | 0.0 | |||
32,100 | Secom Co., Ltd. | 1,617,270 | 0.4 | |||
3,000 | Seibu Electric Industry Co., Ltd. | 12,916 | 0.0 | |||
3,000 | Seika Corp. | 8,284 | 0.0 | |||
37,000 | @ | Seikitokyu Kogyo Co., Ltd. | 38,521 | 0.0 | ||
18,000 | Seino Holdings Co., Ltd. | 114,194 | 0.0 | |||
2,000 | Sekisui Jushi Corp. | 20,978 | 0.0 | |||
17,000 | L | Senko Co., Ltd. | 74,524 | 0.0 | ||
12,000 | Shibusawa Warehouse Co., Ltd. | 37,333 | 0.0 | |||
3,600 | Shibuya Kogyo Co., Ltd. | 37,347 | 0.0 | |||
2,200 | Shima Seiki Manufacturing Ltd. | 35,886 | 0.0 | |||
117,000 | Shimizu Corp. | 439,817 | 0.1 | |||
2,500 | Shin Nippon Air Technologies Co. Ltd. | 13,983 | 0.0 | |||
7,000 | Shin-Keisei Electric Railway Co., Ltd. | 28,764 | 0.0 | |||
13,000 | Shinmaywa Industries Ltd. | 88,107 | 0.0 | |||
10,600 | Shinnihon Corp. | 30,462 | 0.0 | |||
17,000 | Shinsho Corp. | 33,458 | 0.0 | |||
1,700 | Shinwa Co., Ltd./Nagoya | 18,772 | 0.0 | |||
2,600 | L | SHO-BOND Holdings Co., Ltd. | 97,316 | 0.0 | ||
6,000 | Sinfonia Technology Co. Ltd. | 11,398 | 0.0 | |||
6,300 | Sintokogio Ltd. | 50,100 | 0.0 | |||
9,400 | SMC Corp. | 1,707,552 | 0.4 | |||
3,000 | Soda Nikka Co., Ltd. | 12,641 | 0.0 | |||
12,100 | Sohgo Security Services Co., Ltd. | 150,510 | 0.1 | |||
213,700 | Sojitz Corp. | 315,964 | 0.1 | |||
43,000 | Sotetsu Holdings, Inc. | 149,876 | 0.1 | |||
4,000 | Subaru Enterprise Co., Ltd. | 14,080 | 0.0 | |||
2,800 | Sugimoto & Co., Ltd. | 25,152 | 0.0 | |||
21,000 | Sumikin Bussan Corp. | 54,356 | 0.0 | |||
17,000 | @ | Sumiseki Holdings, Inc. | 16,409 | 0.0 | ||
177,600 | Sumitomo Corp. | 2,278,573 | 0.5 | |||
1,500 | Sumitomo Densetsu Co., Ltd. | 16,354 | 0.0 | |||
112,500 | Sumitomo Electric Industries Ltd. | 1,300,368 | 0.3 | |||
91,700 | Sumitomo Heavy Industries | 439,475 | 0.1 | |||
13,500 | @ | Sumitomo Mitsui Construction Co., Ltd. | 16,372 | 0.0 | ||
9,000 | Sumitomo Precision Products | 43,560 | 0.0 | |||
17,000 | Sumitomo Warehouse Co., Ltd. | 87,741 | 0.0 | |||
26,000 | SWCC Showa Holdings Co., Ltd. | 22,379 | 0.0 | |||
17,000 | Tadano Ltd. | 142,711 | 0.1 | |||
1,000 | Taihei Dengyo Kaisha Ltd. | 6,168 | 0.0 | |||
4,000 | Taihei Kogyo Co., Ltd. | 16,491 | 0.0 | |||
32,000 | Taiheiyo Kouhatsu, Inc. | 31,169 | 0.0 | |||
4,300 | Taikisha Ltd. | 81,212 | 0.0 | |||
190,500 | Taisei Corp. | 633,465 | 0.2 | |||
1,700 | Takano Co., Ltd. | 8,278 | 0.0 | |||
3,500 | @ | Takaoka Toko Holdings Co. Ltd. | 51,348 | 0.0 | ||
5,100 | Takara Printing Co., Ltd. | 34,141 | 0.0 | |||
11,000 | Takara Standard Co., Ltd. | 77,948 | 0.0 | |||
5,800 | Takasago Thermal Engineering Co., Ltd. | 45,611 | 0.0 | |||
11,000 | Takashima & Co., Ltd. | 34,334 | 0.0 | |||
1,900 | Takeei Corp. | 43,353 | 0.0 | |||
12,000 | Takuma Co., Ltd. | 68,069 | 0.0 | |||
2,200 | Tanaka Co., Ltd./Tokyo | 11,518 | 0.0 | |||
13,000 | Tanseisha Co., Ltd. | 49,136 | 0.0 | |||
1,000 | Tatsuta Electric Wire and Cable Co., Ltd. | 8,725 | 0.0 | |||
1,800 | Teikoku Electric Manufacturing Co., Ltd. | 28,345 | 0.0 | |||
6,000 | Tekken Corp. | 9,102 | 0.0 | |||
2,500 | Temp Holdings Co., Ltd. | 30,913 | 0.0 | |||
21,100 | THK Co., Ltd. | 379,498 | 0.1 | |||
34,000 | Toa Corp. | 56,223 | 0.0 | |||
6,000 | TOA Road Corp. | 21,044 | 0.0 | |||
37,800 | @ | Tobishima Corp. | 51,905 | 0.0 | ||
180,000 | Tobu Railway Co., Ltd. | 954,566 | 0.2 | |||
3,100 | Tocalo Co., Ltd. | 51,962 | 0.0 | |||
37,000 | Toda Corp. | 112,820 | 0.0 | |||
11,000 | Toenec Corp. | 57,871 | 0.0 | |||
14,900 | TOKAI Holdings Corp. | 47,944 | 0.0 | |||
2,000 | Tokyo Energy & Systems, Inc. | 11,473 | 0.0 | |||
10,000 | TOKYO KEIKI INC. | 17,931 | 0.0 | |||
2,500 | Tokyo Sangyo Co. Ltd | 7,921 | 0.0 | |||
400 | Tokyu Community Corp. | 13,624 | 0.0 | |||
4,610 | Tokyu Construction Co., Ltd. | 13,275 | 0.0 | |||
192,000 | Tokyu Corp. | 1,081,675 | 0.3 | |||
20,000 | Toli Corp. | 42,706 | 0.0 | |||
2,500 | Tomoe Corp. | 8,356 | 0.0 | |||
12,000 | Tonami Holdings Co., Ltd. | 24,744 | 0.0 | |||
10,000 | Toppan Forms Co., Ltd. | 89,857 | 0.0 | |||
94,000 | Toppan Printing Co., Ltd. | 582,718 | 0.2 | |||
5,000 | Torishima Pump Manufacturing Co., Ltd. | 40,272 | 0.0 | |||
17,000 | Toshiba Machine Co., Ltd. | 84,340 | 0.0 | |||
6,000 | Toshiba Plant Systems & Services Corp. | 86,444 | 0.0 | |||
12,000 | Tosho Printing Co., Ltd. | 18,660 | 0.0 | |||
7,000 | Totetsu Kogyo Co., Ltd. | 95,900 | 0.0 | |||
50,000 | Toto Ltd. | 375,903 | 0.1 | |||
24,500 | @,L | Totoku Electric Co., Ltd. | 25,996 | 0.0 | ||
9,600 | Toyo Construction Co., Ltd. | 34,171 | 0.0 | |||
3,000 | Toyo Denki Seizo - Toyo Electric Manufacturing Co. Ltd. | 8,459 | 0.0 | |||
21,000 | Toyo Engineering Corp. | 99,491 | 0.0 | |||
10,000 | Toyo Logistics Co., Ltd. | 24,946 | 0.0 | |||
1,500 | Toyo Tanso Co., Ltd. | 30,801 | 0.0 | |||
7,000 | Toyo Wharf & Warehouse Co., Ltd. | 11,848 | 0.0 | |||
35,900 | Toyota Tsusho Corp. | 886,112 | 0.2 | |||
3,500 | Trusco Nakayama Corp. | 64,043 | 0.0 | |||
9,000 | Tsubakimoto Chain Co. | 50,793 | 0.0 | |||
4,000 | Tsubakimoto Kogyo Co., Ltd. | 11,276 | 0.0 | |||
28,000 | @ | Tsudakoma Corp. | 48,154 | 0.0 | ||
9,000 | L | Tsugami Corp. | 59,423 | 0.0 | ||
4,000 | Tsukishima Kikai Co., Ltd. | 34,705 | 0.0 | |||
4,000 | Tsurumi Manufacturing Co., Ltd. | 31,627 | 0.0 | |||
5,000 | Uchida Yoko Co., Ltd. | 14,427 | 0.0 | |||
15,100 | Ueki Corp. | 33,116 | 0.0 | |||
1,300 | Union Tool Co. | 20,169 | 0.0 | |||
20,600 | Ushio, Inc. | 225,894 | 0.1 | |||
11,300 | Utoc Corp. | 32,966 | 0.0 | |||
16,000 | @ | Wakachiku Construction Co., Ltd. | 19,642 | 0.0 | ||
1,200 | Weathernews, Inc. | 33,042 | 0.0 | |||
26,500 | West Japan Railway Co. | 1,044,012 | 0.3 | |||
2,000 | Yahagi Construction Co., Ltd. | 10,094 | 0.0 | |||
3,500 | YAMABIKO Corp. | 54,554 | 0.0 | |||
3,000 | Yamato Corp. | 10,839 | 0.0 | |||
63,900 | Yamato Holdings Co., Ltd. | 971,089 | 0.2 | |||
6,900 | Yamazen Corp. | 51,768 | 0.0 | |||
3,200 | Yasuda Warehouse Co., Ltd. | 22,371 | 0.0 | |||
5,000 | Yondenko Corp. | 19,785 | 0.0 | |||
14,000 | Yuasa Trading Co., Ltd. | 25,111 | 0.0 | |||
5,000 | Yuken Kogyo Co., Ltd. | 8,596 | 0.0 | |||
2,000 | Yurtec Corp. | 7,040 | 0.0 | |||
1,900 | Yusen Logistics Co. Ltd. | 18,983 | 0.0 | |||
2,600 | Yushin Precision Equipment Co., Ltd. | 50,854 | 0.0 | |||
92,982,383 | 21.6 | |||||
Information Technology: 10.9% | ||||||
2,900 | A&D Co., Ltd. | 11,067 | 0.0 | |||
21,600 | Advantest Corp. | 341,130 | 0.1 | |||
1,500 | Agrex, Inc. | 13,533 | 0.0 | |||
11,700 | Ai Holdings Corp. | 83,346 | 0.0 | |||
5,000 | Aichi Tokei Denki Co., Ltd. | 16,732 | 0.0 | |||
3,800 | Aiphone Co., Ltd. | 63,846 | 0.0 | |||
3,480 | Alpha Systems, Inc. | 44,100 | 0.0 | |||
25,600 | Alps Electric Co., Ltd. | 154,976 | 0.0 | |||
9,200 | Amano Corp. | 80,397 | 0.0 | |||
14,000 | Anritsu Corp. | 166,320 | 0.1 | |||
700 | Argo Graphics, Inc. | 9,092 | 0.0 | |||
5,000 | Asahi Net, Inc. | 24,297 | 0.0 | |||
2,825 | Axell Corp. | 62,404 | 0.0 | |||
45,300 | Brother Industries Ltd. | 487,675 | 0.1 | |||
8,800 | CAC Corp. | 69,317 | 0.0 | |||
2,100 | Canon Electronics, Inc. | 45,986 | 0.0 | |||
193,366 | L | Canon, Inc. | 7,494,819 | 1.8 | ||
4,400 | Capcom Co., Ltd. | 67,270 | 0.0 | |||
3,900 | Computer Institute of Japan Ltd. | 14,719 | 0.0 | |||
36,900 | Citizen Holdings Co., Ltd. | 194,922 | 0.1 | |||
8,000 | CMK Corp. | 31,460 | 0.0 | |||
1,400 | Computer Engineering & Consulting Ltd. | 8,709 | 0.0 | |||
1,900 | Cresco Ltd. | 14,376 | 0.0 | |||
39 | Cybernet Systems Co., Ltd. | 10,118 | 0.0 | |||
45 | Cybozu, Inc. | 12,864 | 0.0 | |||
1,500 | Dai-ichi Seiko Co. Ltd | 24,024 | 0.0 | |||
27,000 | Dainippon Screen Manufacturing Co., Ltd. | 165,953 | 0.1 | |||
27,000 | Daiwabo Holdings Co., Ltd. | 55,346 | 0.0 | |||
2,000 | Denki Kogyo Co., Ltd. | 8,114 | 0.0 | |||
3,100 | Disco Corp. | 161,594 | 0.1 | |||
1,100 | DTS Corp. | 13,493 | 0.0 | |||
27 | Dwango Co., Ltd. | 52,352 | 0.0 | |||
3,500 | Eizo Nanao Corp. | 56,031 | 0.0 | |||
1,700 | Enplas Corp. | 76,276 | 0.0 | |||
1,000 | ESPEC Corp. | 7,629 | 0.0 | |||
1,000 | Excel Co., Ltd. | 8,562 | 0.0 | |||
111 | Faith, Inc. | 11,590 | 0.0 | |||
600 | Fuji Soft, Inc. | 11,414 | 0.0 | |||
68,500 | Fuji Photo Film Co., Ltd. | 1,378,210 | 0.3 | |||
293,000 | Fujitsu Ltd. | 1,228,835 | 0.3 | |||
119 | Future Architect, Inc. | 47,446 | 0.0 | |||
11,300 | GMO internet, Inc. | 73,406 | 0.0 | |||
2,200 | GMO Payment Gateway, Inc. | 33,427 | 0.0 | |||
4,900 | Gurunavi, Inc. | 50,218 | 0.0 | |||
15,900 | Gree, Inc. | 246,760 | 0.1 | |||
11,800 | Hamamatsu Photonics KK | 429,034 | 0.1 | |||
2,800 | Hioki EE Corp. | 44,482 | 0.0 | |||
5,800 | Hirose Electric Co., Ltd. | 694,488 | 0.2 | |||
8,700 | Hitachi High-Technologies Corp. | 180,035 | 0.1 | |||
7,000 | Hitachi Kokusai Electric, Inc. | 51,530 | 0.0 | |||
709,146 | Hitachi Ltd. | 4,172,975 | 1.0 | |||
5,000 | Hochiki Corp. | 25,307 | 0.0 | |||
10,000 | Hokuriku Electric Industry Co., Ltd. | 12,208 | 0.0 | |||
5,500 | Horiba Ltd. | 159,515 | 0.1 | |||
8,200 | Hosiden Corp. | 50,482 | 0.0 | |||
73,000 | Hoya Corp. | 1,438,387 | 0.3 | |||
21,000 | Ibiden Co., Ltd. | 336,044 | 0.1 | |||
3,400 | Icom, Inc. | 75,919 | 0.0 | |||
40,000 | @ | Ikegami Tsushinki Co., Ltd. | 27,440 | 0.0 | ||
6,000 | Ines Corp. | 37,375 | 0.0 | |||
2,200 | I-Net Corp. | 16,398 | 0.0 | |||
6,100 | Innotech Corp. | 29,809 | 0.0 | |||
3,600 | L | Internet Initiative Japan, Inc. | 82,571 | 0.0 | ||
5,300 | Information Services International-Dentsu Ltd. | 51,537 | 0.0 | |||
7,900 | IT Holdings Corp. | 95,368 | 0.0 | |||
8,000 | Itfor, Inc. | 30,529 | 0.0 | |||
4,000 | Itochu Techno-Solutions Corp. | 164,713 | 0.1 | |||
12,000 | Iwatsu Electric Co., Ltd. | 10,152 | 0.0 | |||
7,000 | Japan Aviation Electronics Industry Ltd. | 52,047 | 0.0 | |||
4,900 | Japan Cash Machine Co., Ltd. | 40,693 | 0.0 | |||
2,800 | Japan Digital Laboratory Co. | 31,437 | 0.0 | |||
7,000 | Japan Radio Co., Ltd. | 19,365 | 0.0 | |||
4,800 | Jastec Co., Ltd. | 28,554 | 0.0 | |||
3,200 | JBCC Holdings, Inc. | 23,321 | 0.0 | |||
4,900 | Kaga Electronics Co., Ltd. | 43,419 | 0.0 | |||
3,800 | Kakaku.com, Inc. | 125,450 | 0.0 | |||
3,100 | Kanematsu Electronics Ltd. | 35,773 | 0.0 | |||
7,700 | Keyence Corp. | 2,135,400 | 0.5 | |||
5,800 | @ | KLab, Inc. | 34,920 | 0.0 | ||
1,900 | Koa Corp. | 15,349 | 0.0 | |||
14,223 | Konami Corp. | 320,292 | 0.1 | |||
87,000 | Konica Minolta Holdings, Inc. | 626,081 | 0.2 | |||
25,400 | Kyocera Corp. | 2,302,899 | 0.5 | |||
1,000 | Macnica, Inc. | 19,849 | 0.0 | |||
5,900 | Macromill, Inc. | 63,383 | 0.0 | |||
2,000 | Marubun Corp. | 8,609 | 0.0 | |||
1,200 | Maruwa Co., Ltd./Aichi | 40,809 | 0.0 | |||
400 | Panasonic Information Systems | 8,828 | 0.0 | |||
3,300 | Megachips Corp. | 63,828 | 0.0 | |||
1,700 | L | Melco Holdings, Inc. | 29,984 | 0.0 | ||
4,900 | Mimasu Semiconductor Industry Co., Ltd. | 40,033 | 0.0 | |||
1,100 | Mitsui High-Tec, Inc. | 7,853 | 0.0 | |||
3,800 | Mitsumi Electric Co., Ltd. | 22,235 | 0.0 | |||
31,900 | Murata Manufacturing Co., Ltd. | 1,881,826 | 0.5 | |||
4,200 | Mutoh Holdings Co., Ltd. | 10,340 | 0.0 | |||
3,000 | Nagano Keiki Co., Ltd. | 24,176 | 0.0 | |||
446,000 | NEC Corp. | 940,765 | 0.2 | |||
3,800 | NEC Fielding Ltd. | 45,510 | 0.0 | |||
1,500 | NEC Fielding Ltd. | 60,938 | 0.0 | |||
4,700 | NEC Networks & System Integration Corp. | 83,543 | 0.0 | |||
13,600 | Net One systems Co., Ltd. | 134,291 | 0.0 | |||
5,000 | New Japan Radio Co., Ltd. | 10,275 | 0.0 | |||
24,600 | @ | Nexon Co. Ltd. | 249,150 | 0.1 | ||
7,500 | Nichicon Corp. | 64,458 | 0.0 | |||
7,900 | Nidec Copal Electronics Corp. | 37,727 | 0.0 | |||
2,600 | Nihon Dempa Kogyo Co., Ltd. | 34,126 | 0.0 | |||
8,400 | Nihon Unisys Ltd. | 56,049 | 0.0 | |||
17,600 | Nintendo Co., Ltd. | 1,879,280 | 0.4 | |||
3,300 | Nippon Ceramic Co., Ltd. | 50,184 | 0.0 | |||
32,000 | Nippon Chemi-Con Corp. | 68,517 | 0.0 | |||
61,000 | Nippon Electric Glass Co., Ltd. | 347,333 | 0.1 | |||
5,000 | Nohmi Bosai Ltd. | 33,908 | 0.0 | |||
18,400 | Nomura Research Institute Ltd. | 383,285 | 0.1 | |||
2,100 | NSD CO., Ltd. | 18,382 | 0.0 | |||
208 | NTT Data Corp. | 651,086 | 0.2 | |||
1,000 | OBIC Business Consultants Ltd. | 56,418 | 0.0 | |||
970 | Obic Co., Ltd. | 194,178 | 0.1 | |||
9,100 | Oizumi Corp. | 31,618 | 0.0 | |||
2,100 | Okaya Electric Industries Co., Ltd. | 7,760 | 0.0 | |||
123,000 | @ | Oki Electric Industry Ltd. | 150,865 | 0.0 | ||
36,800 | Omron Corp. | 883,323 | 0.2 | |||
900 | Optex Co., Ltd. | 10,437 | 0.0 | |||
4,500 | Oracle Corp. Japan | 187,460 | 0.1 | |||
4,000 | Origin Electric Co. Ltd | 19,672 | 0.0 | |||
5,000 | Osaki Electric Co., Ltd. | 27,495 | 0.0 | |||
2,400 | Otsuka Corp. | 181,586 | 0.1 | |||
5,600 | @,L | Renesas Electronics Corp. | 20,030 | 0.0 | ||
99,000 | L | Ricoh Co., Ltd. | 1,050,830 | 0.3 | ||
2,600 | Riso Kagaku Corp. | 48,754 | 0.0 | |||
15,700 | Rohm Co., Ltd. | 513,230 | 0.1 | |||
3,500 | Roland DG Corp. | 41,351 | 0.0 | |||
4,000 | Ryosan Co., Ltd. | 70,953 | 0.0 | |||
2,600 | Ryoyo Electro Corp. | 24,262 | 0.0 | |||
9,000 | Sanken Electric Co., Ltd. | 34,848 | 0.0 | |||
2,300 | Sanshin Electronics Co., Ltd. | 15,522 | 0.0 | |||
5,800 | Satori Electric Co., Ltd. | 28,576 | 0.0 | |||
9,000 | Saxa Holdings, Inc. | 16,840 | 0.0 | |||
24,100 | L | Seiko Epson Corp. | 196,577 | 0.1 | ||
7,000 | Shibaura Mechatronics Corp. | 14,709 | 0.0 | |||
41,000 | Shimadzu Corp. | 279,773 | 0.1 | |||
4,000 | Shindengen Electric Manufacturing Co., Ltd. | 11,222 | 0.0 | |||
1,900 | Shinkawa Ltd. | 9,227 | 0.0 | |||
8,000 | Shinko Electric Industries | 63,692 | 0.0 | |||
1,700 | Shinko Shoji Co., Ltd. | 14,221 | 0.0 | |||
3,300 | Siix Corp. | 38,326 | 0.0 | |||
138 | Simplex Technology, Inc. | 39,797 | 0.0 | |||
9,000 | SMK Corp. | 24,376 | 0.0 | |||
800 | Softbank Technology Corp. | 7,382 | 0.0 | |||
168 | @ | Softbrain Co., Ltd. | 22,170 | 0.0 | ||
4,200 | Soshin Electric Co., Ltd. | 15,124 | 0.0 | |||
3,500 | @ | Sourcenext Corp. | 13,126 | 0.0 | ||
8,100 | Square Enix Holdings Co., Ltd. | 103,040 | 0.0 | |||
2,300 | SRA Holdings | 24,466 | 0.0 | |||
2,200 | Star Micronics Co., Ltd. | 22,090 | 0.0 | |||
18,900 | @ | Sumco Corp. | 185,909 | 0.1 | ||
4,844 | SCSK Corp. | 75,861 | 0.0 | |||
1,500 | Suzuden Corp. | 7,951 | 0.0 | |||
30 | SystemPro Co., Ltd. | 26,475 | 0.0 | |||
2,800 | Tachibana Eletech Co., Ltd. | 22,682 | 0.0 | |||
13,200 | L | Taiyo Yuden Co., Ltd. | 116,843 | 0.0 | ||
800 | Takachiho Koheki Co. Ltd | 8,170 | 0.0 | |||
11,000 | Tamura Corp. | 24,704 | 0.0 | |||
900 | TDC Software Engineering, Inc. | 7,823 | 0.0 | |||
17,500 | L | TDK Corp. | 637,293 | 0.2 | ||
26,000 | @ | Teac Corp. | 10,504 | 0.0 | ||
7,800 | TECMO KOEI HOLDINGS CO., Ltd. | 65,670 | 0.0 | |||
2,500 | TKC Corp. | 43,536 | 0.0 | |||
5,000 | @ | Toko, Inc. | 12,740 | 0.0 | ||
1,600 | Tokyo Denpa Co., Ltd. | 8,053 | 0.0 | |||
25,500 | Tokyo Electron Ltd. | 1,176,092 | 0.3 | |||
5,100 | Tokyo Seimitsu Co., Ltd. | 83,595 | 0.0 | |||
600 | Tomen Devices Corp. | 12,442 | 0.0 | |||
3,900 | Tomen Electronics Corp. | 48,726 | 0.0 | |||
9,200 | Topcon Corp. | 79,146 | 0.0 | |||
1,300 | Tose Co., Ltd. | 8,230 | 0.0 | |||
614,000 | Toshiba Corp. | 2,430,349 | 0.6 | |||
25,000 | Toshiba Tec Corp. | 127,306 | 0.0 | |||
900 | Toukei Computer Co., Ltd. | 12,580 | 0.0 | |||
5,600 | Towa Corp. | 35,214 | 0.0 | |||
4,600 | Toyo Corp./Chuo-ku | 51,576 | 0.0 | |||
3,000 | Trans Cosmos, Inc. | 32,359 | 0.0 | |||
13,300 | L | Trend Micro, Inc. | 401,861 | 0.1 | ||
1,600 | UKC Holdings Corp. | 31,877 | 0.0 | |||
7,300 | Ulvac, Inc. | 68,314 | 0.0 | |||
10,000 | Uniden Corp. | 22,766 | 0.0 | |||
18 | L | V Technology Co. Ltd | 45,348 | 0.0 | ||
2,900 | Voltage, Inc. | 28,982 | 0.0 | |||
76 | Wacom Co., Ltd. | 200,089 | 0.1 | |||
3,200 | Y.A.C. Co., Ltd. | 18,222 | 0.0 | |||
2,275 | Yahoo! Japan Corp. | 736,635 | 0.2 | |||
5,300 | Yamatake Corp. | 107,187 | 0.0 | |||
40,000 | Yaskawa Electric Corp. | 386,000 | 0.1 | |||
30,200 | Yokogawa Electric Corp. | 331,150 | 0.1 | |||
2,800 | Yokowo Co., Ltd. | 13,100 | 0.0 | |||
46,914,699 | 10.9 | |||||
Materials: 7.5% | ||||||
13,000 | Achilles Corp. | 17,365 | 0.0 | |||
9,800 | ADEKA Corp. | 84,677 | 0.0 | |||
7,000 | Aichi Steel Corp. | 32,927 | 0.0 | |||
26,000 | Air Water, Inc. | 332,769 | 0.1 | |||
900 | Alconix Corp. | 14,751 | 0.0 | |||
19,000 | Araya Industrial Co., Ltd. | 26,727 | 0.0 | |||
4,900 | Asahi Holdings, Inc. | 82,854 | 0.0 | |||
197,000 | Asahi Kasei Corp. | 1,164,883 | 0.3 | |||
13,000 | Asahi Organic Chemicals Industry Co., Ltd. | 30,935 | 0.0 | |||
9,000 | Chuetsu Pulp & Paper Co., Ltd. | 15,459 | 0.0 | |||
9,000 | Chugoku Marine Paints Ltd. | 54,154 | 0.0 | |||
8,000 | @ | Chugokukogyo Co., Ltd. | 8,057 | 0.0 | ||
16,000 | Co-Op Chemical Co., Ltd. | 19,353 | 0.0 | |||
29,000 | Dai Nippon Toryo Co., Ltd. | 43,490 | 0.0 | |||
49,000 | Daicel Corp. | 324,201 | 0.1 | |||
60,000 | Daido Steel Co., Ltd. | 304,245 | 0.1 | |||
5,000 | Dai-Ichi Kogyo Seiyaku Co., Ltd. | 12,921 | 0.0 | |||
19,000 | Daiken Corp. | 51,569 | 0.0 | |||
6,000 | Daiki Aluminium Industry Co., Ltd. | 15,210 | 0.0 | |||
2,000 | Dainichiseika Color & Chemicals Manufacturing Co., Ltd. | 8,367 | 0.0 | |||
17,000 | Daio Paper Corp. | 125,462 | 0.0 | |||
12,000 | Daiso Co., Ltd. | 32,571 | 0.0 | |||
15,800 | DC Co., Ltd. | 59,487 | 0.0 | |||
74,000 | Denki Kagaku Kogyo K K | 253,360 | 0.1 | |||
99,000 | Dainippon Ink & Chemicals | 183,698 | 0.1 | |||
37,000 | Dowa Holdings Co., Ltd. | 239,509 | 0.1 | |||
1,300 | Earth Chemical Co., Ltd. | 43,563 | 0.0 | |||
1,000 | Ebara-Udylite Co., Ltd. | 38,508 | 0.0 | |||
1,000 | FP Corp. | 66,526 | 0.0 | |||
1,300 | Fuji Seal International, Inc. | 26,265 | 0.0 | |||
2,800 | Fujikura Kasei Co., Ltd. | 11,878 | 0.0 | |||
1,800 | Fujimi, Inc. | 32,040 | 0.0 | |||
2,300 | Fujimori Kogyo Co., Ltd. | 62,038 | 0.0 | |||
9,000 | Furukawa-Sky Aluminum Corp. | 25,915 | 0.0 | |||
28,000 | Godo Steel Ltd. | 55,961 | 0.0 | |||
7,000 | Gun-Ei Chemical Industry Co., Ltd. | 16,259 | 0.0 | |||
1,400 | Hakudo Co., Ltd. | 12,940 | 0.0 | |||
6,200 | Harima Chemicals, Inc. | 31,585 | 0.0 | |||
17,800 | Hitachi Chemical Co., Ltd. | 268,304 | 0.1 | |||
23,000 | Hitachi Metals Ltd. | 196,141 | 0.1 | |||
4,000 | Hodogaya Chemical Co., Ltd. | 7,828 | 0.0 | |||
11,000 | Hokkan Holdings Ltd. | 31,328 | 0.0 | |||
25,000 | L | Hokuetsu Kishu Paper Co. Ltd. | 145,093 | 0.1 | ||
7,600 | Hokushin Co. Ltd. | 16,745 | 0.0 | |||
2,000 | Ihara Chemical Industry Co., Ltd. | 10,882 | 0.0 | |||
34,000 | @ | Ishihara Sangyo Kaisha Ltd. | 26,960 | 0.0 | ||
2,300 | Japan Carlit Co., Ltd. | 11,806 | 0.0 | |||
6 | Japan Pure Chemical Co. Ltd. | 13,520 | 0.0 | |||
80,747 | JFE Holdings, Inc. | 1,521,810 | 0.4 | |||
2,000 | JSP Corp. | 27,674 | 0.0 | |||
29,900 | JSR Corp. | 570,720 | 0.1 | |||
49,000 | Kaneka Corp. | 247,923 | 0.1 | |||
39,000 | Kansai Paint Co., Ltd. | 420,298 | 0.1 | |||
11,000 | Kanto Denka Kogyo Co., Ltd. | 23,637 | 0.0 | |||
2,000 | Koatsu Gas Kogyo Co., Ltd. | 10,614 | 0.0 | |||
463,000 | Kobe Steel Ltd. | 591,589 | 0.2 | |||
1,900 | Kohsoku Corp. | 16,502 | 0.0 | |||
3,000 | Konishi Co., Ltd. | 51,689 | 0.0 | |||
11,000 | Krosaki Harima Corp. | 29,692 | 0.0 | |||
6,000 | Kumiai Chemical Industry Co., Ltd. | 33,591 | 0.0 | |||
53,100 | Kuraray Co., Ltd. | 696,097 | 0.2 | |||
30,000 | Kureha Corp. | 109,076 | 0.0 | |||
15,000 | Kurimoto Ltd. | 53,335 | 0.0 | |||
4,700 | Kyoei Steel Ltd. | 89,667 | 0.0 | |||
2,600 | Kyowa Leather Cloth Co. Ltd | 8,118 | 0.0 | |||
4,400 | Lintec Corp. | 82,345 | 0.0 | |||
10,900 | Maruichi Steel Tube Ltd. | 251,213 | 0.1 | |||
13,000 | Mitsubishi Steel Manufacturing Co., Ltd. | 26,101 | 0.0 | |||
201,100 | Mitsubishi Chemical Holdings Corp. | 1,001,796 | 0.2 | |||
60,000 | Mitsubishi Gas Chemical Co., Inc. | 368,032 | 0.1 | |||
213,520 | Mitsubishi Materials Corp. | 729,955 | 0.2 | |||
65,000 | Mitsubishi Paper Mills Ltd. | 65,006 | 0.0 | |||
147,000 | Mitsui Chemicals, Inc. | 383,091 | 0.1 | |||
96,000 | Mitsui Mining & Smelting Co., Ltd. | 236,996 | 0.1 | |||
1,400 | MORESCO Corp. | 13,176 | 0.0 | |||
5,000 | Nakabayashi Co. Ltd. | 10,784 | 0.0 | |||
30,000 | Nakayama Steel Works Ltd. | 16,406 | 0.0 | |||
6,000 | Neturen Co., Ltd. | 39,674 | 0.0 | |||
11,000 | Nihon Nohyaku Co., Ltd. | 58,423 | 0.0 | |||
7,000 | Nihon Parkerizing Co., Ltd. | 100,693 | 0.0 | |||
27,000 | Nihon Yamamura Glass Co., Ltd. | 57,609 | 0.0 | |||
6,000 | Nippon Carbide Industries Co., Inc. | 21,390 | 0.0 | |||
4,000 | Nippon Chutetsukan KK | 11,182 | 0.0 | |||
12,500 | Nippon Coke & Engineering Co., Ltd. | 16,198 | 0.0 | |||
11,000 | Nippon Concrete Industries Co., Ltd. | 41,324 | 0.0 | |||
14,000 | Nippon Denko Co., Ltd. | 42,014 | 0.0 | |||
4,800 | Nippon Fine Chemical Co., Ltd. | 32,041 | 0.0 | |||
14,000 | Nippon Kasei Chemical Co., Ltd. | 18,239 | 0.0 | |||
26,000 | Nippon Kayaku Co., Ltd. | 286,611 | 0.1 | |||
9,000 | Nippon Kinzoku Co., Ltd. | 12,915 | 0.0 | |||
35,000 | Nippon Koshuha Steel Co., Ltd. | 35,892 | 0.0 | |||
75,800 | Nippon Light Metal Holdings Co. Ltd. | 90,239 | 0.0 | |||
33,000 | Nippon Paint Co., Ltd. | 283,847 | 0.1 | |||
15,929 | L | Nippon Paper Group, Inc. | 221,321 | 0.1 | ||
4,000 | Nippon Pillar Packing Co., Ltd. | 26,681 | 0.0 | |||
27,000 | Nippon Shokubai Co., Ltd. | 276,564 | 0.1 | |||
22,000 | Nippon Soda Co., Ltd. | 101,287 | 0.0 | |||
1,333,605 | Nippon Steel Corp. | 3,283,567 | 0.8 | |||
6,000 | Nippon Synthetic Chemical Industry Co., Ltd. | 43,673 | 0.0 | |||
18,000 | Nippon Valqua Industries Ltd. | 45,550 | 0.0 | |||
56,000 | Nippon Yakin Kogyo Co., Ltd. | 74,135 | 0.0 | |||
27,500 | Nissan Chemical Industries Ltd. | 325,564 | 0.1 | |||
12,876 | @ | Nisshin Steel Holdings Co. Ltd. | 117,413 | 0.0 | ||
8,000 | Nittetsu Mining Co., Ltd. | 35,387 | 0.0 | |||
28,200 | Nitto Denko Corp. | 1,388,812 | 0.3 | |||
17,000 | NOF Corp. | 76,425 | 0.0 | |||
2,800 | Ohara, Inc. | 21,090 | 0.0 | |||
145,000 | OJI Paper Co., Ltd. | 500,156 | 0.1 | |||
4,300 | Okabe Co., Ltd. | 28,051 | 0.0 | |||
12,000 | Okamoto Industries, Inc. | 42,280 | 0.0 | |||
10,000 | Okura Industrial Co., Ltd. | 31,028 | 0.0 | |||
2,800 | Osaka Steel Co., Ltd. | 51,894 | 0.0 | |||
3,300 | L | OSAKA Titanium Technologies Co. | 73,826 | 0.0 | ||
21,000 | Pacific Metals Co., Ltd. | 99,514 | 0.0 | |||
2,800 | Pack Corp. | 46,893 | 0.0 | |||
24,000 | Rengo Co., Ltd. | 121,209 | 0.0 | |||
2,000 | Sakata INX Corp. | 10,322 | 0.0 | |||
9,000 | Sanyo Chemical Industries Ltd. | 53,434 | 0.0 | |||
16,000 | L | Sanyo Special Steel Co., Ltd. | 57,396 | 0.0 | ||
12,000 | Sekisui Plastics Co., Ltd. | 30,176 | 0.0 | |||
5,000 | Shinagawa Refractories Co., Ltd. | 11,358 | 0.0 | |||
58,200 | Shin-Etsu Chemical Co., Ltd. | 3,551,950 | 0.8 | |||
8,400 | Shin-Etsu Polymer Co., Ltd. | 32,003 | 0.0 | |||
218,000 | L | Showa Denko KK | 333,197 | 0.1 | ||
2,000 | Stella Chemifa Corp. | 39,337 | 0.0 | |||
23,000 | Sumitomo Bakelite Co., Ltd. | 96,318 | 0.0 | |||
236,000 | Sumitomo Chemical Co., Ltd. | 743,739 | 0.2 | |||
68,000 | Sumitomo Light Metal Industries Ltd. | 66,500 | 0.0 | |||
84,000 | Sumitomo Metal Mining Co., Ltd. | 1,185,734 | 0.3 | |||
68,000 | Sumitomo Osaka Cement Co., Ltd. | 247,646 | 0.1 | |||
7,800 | Sumitomo Pipe & Tube Co., Ltd. | 63,799 | 0.0 | |||
9,000 | Sumitomo Seika Chemicals Co., Ltd. | 33,564 | 0.0 | |||
4,500 | T Hasegawa Co., Ltd. | 58,873 | 0.0 | |||
177,000 | Taiheiyo Cement Corp. | 486,626 | 0.1 | |||
1,900 | Taisei Lamick Co., Ltd. | 52,220 | 0.0 | |||
44,000 | Taiyo Nippon Sanso Corp. | 253,142 | 0.1 | |||
16,000 | Takasago International Corp. | 85,822 | 0.0 | |||
17,000 | Takiron Co., Ltd. | 59,222 | 0.0 | |||
9,000 | Tayca Corp. | 25,203 | 0.0 | |||
143,000 | Teijin Ltd. | 356,120 | 0.1 | |||
2,800 | Tenma Corp. | 29,959 | 0.0 | |||
5,000 | Titan Kogyo KK | 14,075 | 0.0 | |||
23,000 | Toagosei Co., Ltd. | 90,282 | 0.0 | |||
5,000 | Toda Kogyo Corp. | 23,032 | 0.0 | |||
4,900 | Toho Titanium Co., Ltd. | 48,778 | 0.0 | |||
12,000 | Toho Zinc Co., Ltd. | 52,690 | 0.0 | |||
34,000 | Tokai Carbon Co., Ltd. | 143,069 | 0.0 | |||
22,000 | Tokushu Tokai Holdings Co., Ltd. | 55,506 | 0.0 | |||
38,000 | L | Tokuyama Corp. | 83,798 | 0.0 | ||
6,300 | Tokyo Ohka Kogyo Co., Ltd. | 124,599 | 0.0 | |||
16,000 | Tokyo Rope Manufacturing Co., Ltd. | 24,684 | 0.0 | |||
11,500 | Tokyo Steel Manufacturing Co., Ltd. | 56,269 | 0.0 | |||
15,000 | Tokyo Tekko Co., Ltd. | 56,106 | 0.0 | |||
6,000 | Tomoegawa Co., Ltd. | 11,138 | 0.0 | |||
21,000 | Tomoku Co., Ltd. | 57,076 | 0.0 | |||
16,000 | Topy Industries Ltd. | 38,081 | 0.0 | |||
237,000 | Toray Industries, Inc. | 1,455,897 | 0.4 | |||
82,000 | Tosoh Corp. | 197,293 | 0.1 | |||
26,000 | Toyo Ink Manufacturing Co., Ltd. | 111,728 | 0.0 | |||
12,000 | Toyo Kohan Co., Ltd. | 42,951 | 0.0 | |||
25,900 | Toyo Seikan Kaisha Ltd. | 349,016 | 0.1 | |||
4,000 | TYK Corp. | 7,749 | 0.0 | |||
147,000 | Ube Industries Ltd./Japan | 353,128 | 0.1 | |||
11,000 | Wood One Co., Ltd. | 35,329 | 0.0 | |||
7,200 | Yamato Kogyo Co., Ltd. | 210,869 | 0.1 | |||
17,000 | Yodogawa Steel Works Ltd. | 58,325 | 0.0 | |||
3,000 | Yuki Gosei Kogyo Co. Ltd | 8,141 | 0.0 | |||
1,400 | Yushiro Chemical Industry Co., Ltd. | 14,803 | 0.0 | |||
29,000 | Zeon Corp. | 251,464 | 0.1 | |||
32,498,166 | 7.5 | |||||
Telecommunication Services: 4.1% | ||||||
44,100 | KDDI Corp. | 3,117,751 | 0.7 | |||
130,300 | Nippon Telegraph & Telephone Corp. | 5,486,017 | 1.3 | |||
2,489 | NTT DoCoMo, Inc. | 3,587,944 | 0.9 | |||
144,950 | Softbank Corp. | 5,311,155 | 1.2 | |||
17,502,867 | 4.1 | |||||
Utilities: 2.5% | ||||||
98,900 | Chubu Electric Power Co., Inc. | 1,319,797 | 0.3 | |||
45,500 | Chugoku Electric Power Co., Inc. | 715,997 | 0.2 | |||
19,900 | Electric Power Development Co., Ltd. | 471,986 | 0.1 | |||
31,400 | Hokkaido Electric Power Co., Inc. | 381,188 | 0.1 | |||
8,000 | L | Hokkaido Gas Co., Ltd. | 21,756 | 0.0 | ||
32,300 | Hokuriku Electric Power Co. | 383,323 | 0.1 | |||
120,900 | Kansai Electric Power Co., Inc. | 1,269,709 | 0.3 | |||
71,300 | Kyushu Electric Power Co., Inc. | 812,907 | 0.2 | |||
1,700 | Okinawa Electric Power Co., Inc. | 53,002 | 0.0 | |||
301,000 | Osaka Gas Co., Ltd. | 1,093,330 | 0.3 | |||
16,000 | Saibu Gas Co., Ltd. | 40,889 | 0.0 | |||
29,200 | Shikoku Electric Power Co., Inc. | 465,836 | 0.1 | |||
6,000 | Shizuoka Gas Co., Ltd. | 40,646 | 0.0 | |||
80,000 | Toho Gas Co., Ltd. | 428,998 | 0.1 | |||
81,300 | Tohoku Electric Power Co., Inc. | 758,084 | 0.2 | |||
252,600 | Tokyo Electric Power Co., Inc. | 608,780 | 0.1 | |||
371,000 | Tokyo Gas Co., Ltd. | 1,695,120 | 0.4 | |||
10,561,348 | 2.5 | |||||
Total Common Stock | ||||||
(Cost $441,802,730) | 429,698,627 | 99.6 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 5.3% | ||||||
Securities Lending Collateralcc(1): 5.3% | ||||||
5,393,944 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $5,394,033, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $5,501,823, due 08/01/27-01/01/43) | 5,393,944 | 1.2 | |||
5,393,944 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $5,394,003, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $5,501,823, due 10/01/16-12/20/42) | 5,393,944 | 1.2 | |||
5,393,944 | Daiwa Capital Markets, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $5,394,033, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $5,501,823, due 06/14/13-12/01/42) | 5,393,944 | 1.3 | |||
1,135,205 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $1,135,216, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $1,157,911, due 10/31/17-08/15/22) | 1,135,205 | 0.3 | |||
5,393,944 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $5,393,999, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $5,501,824, due 08/09/13-06/20/42) | 5,393,944 | 1.3 | |||
22,710,981 | 5.3 | |||||
Total Short-Term Investments | ||||||||||
(Cost $22,710,981) | 22,710,981 | 5.3 | ||||||||
Total Investments in Securities (Cost $464,513,711) | $ | 452,409,608 | 104.9 | |||||||
Liabilities in Excess of Other Assets | (21,219,069 | ) | (4.9 | ) | ||||||
Net Assets | $ | 431,190,539 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds' Board of Directors/Trustees. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $469,710,638. | ||||
Net unrealized depreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 38,038,502 | ||
Gross Unrealized Depreciation | (55,339,532 | ) | ||
Net Unrealized Depreciation | $ | (17,301,030 | ) | |
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs # (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 1,523,442 | $ | 82,669,061 | $ | – | $ | 84,192,503 | ||||||||
Consumer Staples | 134,832 | 30,242,649 | – | 30,377,481 | ||||||||||||
Energy | – | 6,086,829 | – | 6,086,829 | ||||||||||||
Financials | 21,989 | 82,926,824 | – | 82,948,813 | ||||||||||||
Health Care | 220,036 | 25,413,502 | – | 25,633,538 | ||||||||||||
Industrials | 227,960 | 92,754,423 | – | 92,982,383 | ||||||||||||
Information Technology | 64,032 | 46,850,667 | – | 46,914,699 | ||||||||||||
Materials | 117,413 | 32,380,753 | – | 32,498,166 | ||||||||||||
Telecommunication Services | – | 17,502,867 | – | 17,502,867 | ||||||||||||
Utilities | – | 10,561,348 | – | 10,561,348 | ||||||||||||
Total Common Stock | 2,309,704 | 427,388,923 | – | 429,698,627 | ||||||||||||
Short-Term Investments | – | 22,710,981 | – | 22,710,981 | ||||||||||||
Total Investments, at fair value | $ | 2,309,704 | $ | 450,099,904 | $ | – | $ | 452,409,608 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 300,696 | – | – | 300,696 | ||||||||||||
Forward Foreign Currency Contracts | – | 5,953 | – | 5,953 | ||||||||||||
Total Assets | $ | 2,610,400 | $ | 450,105,857 | $ | – | $ | 452,716,257 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Forward Foreign Currency Contracts | $ | – | $ | (100,085 | ) | $ | – | $ | (100,085 | ) | ||||||
Total Liabilities | $ | – | $ | (100,085 | ) | $ | – | $ | (100,085 | ) |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio's investments are categorized as Level 2 investments. |
At December 31, 2012, the following forward foreign currency contracts were outstanding for the ING Japan TOPIX Index Portfolio:
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
JPMorgan Chase & Co. | Japanese Yen | 260,000,000 | Buy | 03/21/13 | $ | 3,103,055 | $ | 3,002,970 | $ | (100,085 | ) | |||||||||||||
$ | (100,085 | ) | ||||||||||||||||||||||
The Bank of New York Mellon Corp. | Japanese Yen | 130,000,000 | Sell | 03/21/13 | $ | 1,503,184 | $ | 1,501,485 | $ | 1,699 | ||||||||||||||
JPMorgan Chase & Co. | Japanese Yen | 48,000,000 | Sell | 03/21/13 | 558,648 | 554,394 | 4,254 | |||||||||||||||||
$ | 5,953 | |||||||||||||||||||||||
ING Japan TOPIX Index Portfolio Open Futures Contracts on December 31, 2012:
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
Tokyo Price Index (TOPIX) | 36 | 03/07/13 | $ | 3,579,846 | $ | 300,696 | ||||||||
$ | 3,579,846 | $ | 300,696 | |||||||||||
See Accompanying Notes to Financial Statements |
ING Russell™ Large Cap Growth Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 98.9% | ||||||
Consumer Discretionary: 13.3% | ||||||
27,836 | @ | Amazon.com, Inc. | 6,990,733 | 1.8 | ||
8,732 | CBS Corp. - Class B | 332,253 | 0.1 | |||
22,115 | Coach, Inc. | 1,227,604 | 0.3 | |||
98,346 | Comcast Corp. – Class A | 3,676,173 | 0.9 | |||
46,483 | @ | DIRECTV | 2,331,587 | 0.6 | ||
117,771 | Home Depot, Inc. | 7,284,136 | 1.9 | |||
30,572 | Las Vegas Sands Corp. | 1,411,204 | 0.4 | |||
11,344 | Lowe's Cos., Inc. | 402,939 | 0.1 | |||
78,191 | McDonald's Corp. | 6,897,228 | 1.8 | |||
55,437 | News Corp. - Class A | 1,415,861 | 0.4 | |||
55,650 | Nike, Inc. | 2,871,540 | 0.7 | |||
3,832 | @ | Priceline.com, Inc. | 2,380,438 | 0.6 | ||
58,362 | Starbucks Corp. | 3,129,370 | 0.8 | |||
2,934 | Target Corp. | 173,605 | 0.0 | |||
24,046 | Time Warner Cable, Inc. | 2,337,031 | 0.6 | |||
57,006 | TJX Cos., Inc. | 2,419,905 | 0.6 | |||
40,615 | Viacom - Class B | 2,142,035 | 0.5 | |||
50,605 | Walt Disney Co. | 2,519,623 | 0.6 | |||
35,437 | Yum! Brands, Inc. | 2,353,017 | 0.6 | |||
52,296,282 | 13.3 | |||||
Consumer Staples: 14.2% | ||||||
121,494 | Altria Group, Inc. | 3,817,342 | 1.0 | |||
298,893 | Coca-Cola Co. | 10,834,871 | 2.7 | |||
33,673 | Colgate-Palmolive Co. | 3,520,176 | 0.9 | |||
33,335 | Costco Wholesale Corp. | 3,292,498 | 0.8 | |||
19,920 | CVS Caremark Corp. | 963,132 | 0.2 | |||
17,707 | Estee Lauder Cos, Inc. | 1,059,941 | 0.3 | |||
39,002 | General Mills, Inc. | 1,576,071 | 0.4 | |||
17,573 | Kellogg Co. | 981,452 | 0.2 | |||
26,973 | Kimberly-Clark Corp. | 2,277,330 | 0.6 | |||
2,441 | Kraft Foods Group, Inc. | 110,992 | 0.0 | |||
7,303 | Mondelez International, Inc. | 186,007 | 0.0 | |||
120,331 | PepsiCo, Inc. | 8,234,250 | 2.1 | |||
120,596 | Philip Morris International, Inc. | 10,086,650 | 2.6 | |||
15,392 | Procter & Gamble Co. | 1,044,963 | 0.3 | |||
8,768 | Reynolds American, Inc. | 363,258 | 0.1 | |||
23,762 | Sysco Corp. | 752,305 | 0.2 | |||
102,603 | Wal-Mart Stores, Inc. | 7,000,603 | 1.8 | |||
56,101,841 | 14.2 | |||||
Energy: 3.5% | ||||||
20,744 | EOG Resources, Inc. | 2,505,668 | 0.6 | |||
22,658 | Halliburton Co. | 786,006 | 0.2 | |||
37,593 | Kinder Morgan, Inc./Delaware | 1,328,161 | 0.4 | |||
7,708 | National Oilwell Varco, Inc. | 526,842 | 0.1 | |||
102,606 | Schlumberger Ltd. | 7,109,570 | 1.8 | |||
51,863 | Williams Cos., Inc. | 1,697,994 | 0.4 | |||
13,954,241 | 3.5 | |||||
Financials: 3.4% | ||||||
49,539 | American Express Co. | 2,847,502 | 0.7 | |||
30,359 | American Tower Corp. | 2,345,840 | 0.6 | |||
5,244 | Blackrock, Inc. | 1,083,987 | 0.3 | |||
1,884 | Equity Residential | 106,766 | 0.0 | |||
2,560 | Franklin Resources, Inc. | 321,792 | 0.1 | |||
33,291 | Marsh & McLennan Cos., Inc. | 1,147,541 | 0.3 | |||
10,978 | Public Storage, Inc. | 1,591,371 | 0.4 | |||
19,620 | Simon Property Group, Inc. | 3,101,726 | 0.8 | |||
12,991 | Travelers Cos., Inc. | 933,013 | 0.2 | |||
13,479,538 | 3.4 | |||||
Health Care: 11.5% | ||||||
114,760 | Abbott Laboratories | 7,516,780 | 1.9 | |||
23,350 | Allergan, Inc. | 2,141,895 | 0.5 | |||
59,838 | Amgen, Inc. | 5,165,216 | 1.3 | |||
38,763 | Baxter International, Inc. | 2,583,942 | 0.7 | |||
14,534 | Becton Dickinson & Co. | 1,136,413 | 0.3 | |||
18,433 | @ | Biogen Idec, Inc. | 2,703,568 | 0.7 | ||
118,007 | Bristol-Myers Squibb Co. | 3,845,848 | 1.0 | |||
14,387 | Cardinal Health, Inc. | 592,457 | 0.2 | |||
33,891 | @ | Celgene Corp. | 2,667,900 | 0.7 | ||
1,948 | @ | Covidien PLC | 112,478 | 0.0 | ||
28,697 | Eli Lilly & Co. | 1,415,336 | 0.4 | |||
61,974 | @ | Express Scripts Holding Co. | 3,346,596 | 0.8 | ||
58,269 | @ | Gilead Sciences, Inc. | 4,279,858 | 1.1 | ||
3,056 | @ | Intuitive Surgical, Inc. | 1,498,571 | 0.4 | ||
47,545 | Johnson & Johnson | 3,332,904 | 0.8 | |||
18,112 | McKesson Corp. | 1,756,140 | 0.4 | |||
5,014 | Medtronic, Inc. | 205,674 | 0.1 | |||
17,539 | Stryker Corp. | 961,488 | 0.2 | |||
1,624 | WellPoint, Inc. | 98,934 | 0.0 | |||
45,361,998 | 11.5 | |||||
Industrials: 11.6% | ||||||
47,995 | 3M Co. | 4,456,336 | 1.1 | |||
52,042 | Boeing Co. | 3,921,885 | 1.0 | |||
50,203 | Caterpillar, Inc. | 4,497,185 | 1.1 | |||
54,129 | CSX Corp. | 1,067,965 | 0.3 | |||
14,787 | Cummins, Inc. | 1,602,171 | 0.4 | |||
15,230 | Danaher Corp. | 851,357 | 0.2 | |||
30,604 | Deere & Co. | 2,644,798 | 0.7 | |||
47,472 | Emerson Electric Co. | 2,514,117 | 0.6 | |||
1,578 | FedEx Corp. | 144,734 | 0.0 | |||
59,952 | Honeywell International, Inc. | 3,805,153 | 1.0 | |||
30,925 | Illinois Tool Works, Inc. | 1,880,549 | 0.5 | |||
17,871 | Lockheed Martin Corp. | 1,649,315 | 0.4 | |||
11,182 | Precision Castparts Corp. | 2,118,094 | 0.5 | |||
36,641 | Union Pacific Corp. | 4,606,507 | 1.2 | |||
55,738 | United Parcel Service, Inc. - Class B | 4,109,563 | 1.1 | |||
70,121 | United Technologies Corp. | 5,750,623 | 1.5 | |||
45,620,352 | 11.6 | |||||
Information Technology: 36.1% | ||||||
49,542 | @ | Accenture PLC | 3,294,543 | 0.8 | ||
21,875 | @ | Adobe Systems, Inc. | 824,250 | 0.2 | ||
71,981 | Apple, Inc. | 38,368,033 | 9.7 | |||
37,629 | Automatic Data Processing, Inc. | 2,145,229 | 0.6 | |||
26,285 | Broadcom Corp. | 872,925 | 0.2 | |||
23,429 | @ | Cognizant Technology Solutions Corp. | 1,734,918 | 0.4 | ||
89,117 | @ | eBay, Inc. | 4,546,749 | 1.2 | ||
161,549 | @ | EMC Corp. | 4,087,190 | 1.0 | ||
32,411 | @ | Facebook, Inc. | 863,105 | 0.2 | ||
19,917 | @ | Google, Inc. - Class A | 14,128,522 | 3.6 | ||
83,869 | International Business Machines Corp. | 16,065,107 | 4.1 | |||
287,613 | Intel Corp. | 5,933,456 | 1.5 | |||
8,344 | Mastercard, Inc. | 4,099,240 | 1.0 | |||
579,141 | Microsoft Corp. | 15,480,439 | 3.9 | |||
22,469 | Motorola Solutions, Inc. | 1,251,074 | 0.3 | |||
293,984 | Oracle Corp. | 9,795,547 | 2.5 | |||
131,895 | Qualcomm, Inc. | 8,180,128 | 2.1 | |||
10,674 | @ | Salesforce.com, Inc. | 1,794,299 | 0.5 | ||
59,167 | Texas Instruments, Inc. | 1,830,627 | 0.5 | |||
40,207 | Visa, Inc. | 6,094,577 | 1.6 | |||
6,807 | @ | VMware, Inc. | 640,811 | 0.2 | ||
142,030,769 | 36.1 | |||||
Materials: 2.9% | ||||||
20,009 | Ecolab, Inc. | 1,438,647 | 0.4 | |||
72,101 | EI Du Pont de Nemours & Co. | 3,242,382 | 0.8 | |||
1,857 | @ | LyondellBasell Industries N.V. Cl A | 106,016 | 0.0 | ||
41,044 | Monsanto Co. | 3,884,815 | 1.0 | |||
22,983 | Praxair, Inc. | 2,515,489 | 0.6 | |||
9,628 | Southern Copper Corp. | 364,516 | 0.1 | |||
11,551,865 | 2.9 | |||||
Telecommunication Services: 2.4% | ||||||
218,587 | Verizon Communications, Inc. | 9,458,259 | 2.4 | |||
Total Common Stock | ||||||
(Cost $260,556,263) | 389,855,145 | 98.9 | ||||
SHORT-TERM INVESTMENTS: 0.6% | ||||||
Mutual Funds: 0.6% | ||||||
2,198,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $2,198,000) | 2,198,000 | 0.6 | ||||
Total Short-Term Investments | ||||||||||
(Cost $2,198,000) | 2,198,000 | 0.6 | ||||||||
Total Investments in Securities (Cost $262,754,263) | $ | 392,053,145 | 99.5 | |||||||
Assets in Excess of Other Liabilities | 1,986,107 | 0.5 | ||||||||
Net Assets | $ | 394,039,252 | 100.0 | |||||||
@ | Non-income producing security |
Cost for federal income tax purposes is $262,800,596. | ||||
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 132,801,469 | ||
Gross Unrealized Depreciation | (3,548,920 | ) | ||
Net Unrealized Appreciation | $ | 129,252,549 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock* | $ | 389,855,145 | $ | – | $ | – | $ | 389,855,145 | ||||||||
Short-Term Investments | 2,198,000 | – | – | 2,198,000 | ||||||||||||
Total Investments, at fair value | $ | 392,053,145 | $ | – | $ | – | $ | 392,053,145 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 22,395 | – | – | 22,395 | ||||||||||||
Total Assets | $ | 392,075,540 | $ | – | $ | – | $ | 392,075,540 |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
ING Russell™ Large Cap Growth Index Portfolio Open Futures Contracts on December 31, 2012:
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
S&P 500 E-Mini | 42 | 03/15/13 | $ | 2,982,210 | $ | 22,395 | ||||||||
$ | 2,982,210 | $ | 22,395 | |||||||||||
See Accompanying Notes to Financial Statements |
ING Russell™ Large Cap Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 96.3% | ||||||
Consumer Discretionary: 10.3% | ||||||
13,284 | ADT Corp. | 617,573 | 0.1 | |||
20,765 | @ | Amazon.com, Inc. | 5,214,922 | 0.9 | ||
24,159 | Carnival Corp. | 888,326 | 0.1 | |||
37,206 | CBS Corp. - Class B | 1,415,688 | 0.2 | |||
16,634 | Coach, Inc. | 923,353 | 0.1 | |||
154,126 | Comcast Corp. – Class A | 5,761,230 | 0.9 | |||
34,679 | @ | DIRECTV | 1,739,499 | 0.3 | ||
215,312 | Ford Motor Co. | 2,788,290 | 0.5 | |||
43,947 | @ | General Motors Co. | 1,266,992 | 0.2 | ||
87,848 | Home Depot, Inc. | 5,433,399 | 0.9 | |||
39,038 | Johnson Controls, Inc. | 1,198,467 | 0.2 | |||
22,809 | Las Vegas Sands Corp. | 1,052,864 | 0.2 | |||
64,561 | Lowe's Cos., Inc. | 2,293,207 | 0.4 | |||
58,330 | McDonald's Corp. | 5,145,289 | 0.8 | |||
120,218 | News Corp. - Class A | 3,070,368 | 0.5 | |||
41,514 | Nike, Inc. | 2,142,122 | 0.4 | |||
2,858 | @ | Priceline.com, Inc. | 1,775,390 | 0.3 | ||
43,537 | Starbucks Corp. | 2,334,454 | 0.4 | |||
37,946 | Target Corp. | 2,245,265 | 0.4 | |||
21,316 | @ | Thomson Reuters Corp. | 619,443 | 0.1 | ||
55,098 | Time Warner, Inc. | 2,635,337 | 0.4 | |||
17,937 | Time Warner Cable, Inc. | 1,743,297 | 0.3 | |||
42,522 | TJX Cos., Inc. | 1,805,059 | 0.3 | |||
30,291 | Viacom - Class B | 1,597,547 | 0.3 | |||
102,580 | Walt Disney Co. | 5,107,458 | 0.8 | |||
26,377 | Yum! Brands, Inc. | 1,751,433 | 0.3 | |||
62,566,272 | 10.3 | |||||
Consumer Staples: 10.9% | ||||||
116,780 | Altria Group, Inc. | 3,669,228 | 0.6 | |||
37,791 | Archer-Daniels-Midland Co. | 1,035,095 | 0.2 | |||
222,964 | Coca-Cola Co. | 8,082,445 | 1.3 | |||
27,393 | Colgate-Palmolive Co. | 2,863,664 | 0.5 | |||
24,748 | Costco Wholesale Corp. | 2,444,360 | 0.4 | |||
73,315 | CVS Caremark Corp. | 3,544,780 | 0.6 | |||
13,205 | Estee Lauder Cos, Inc. | 790,451 | 0.1 | |||
37,155 | General Mills, Inc. | 1,501,433 | 0.3 | |||
13,936 | Kellogg Co. | 778,326 | 0.1 | |||
22,504 | Kimberly-Clark Corp. | 1,900,013 | 0.3 | |||
33,919 | Kraft Foods Group, Inc. | 1,542,297 | 0.3 | |||
101,759 | Mondelez International, Inc. | 2,591,802 | 0.4 | |||
89,760 | PepsiCo, Inc. | 6,142,277 | 1.0 | |||
97,890 | Philip Morris International, Inc. | 8,187,520 | 1.3 | |||
157,268 | Procter & Gamble Co. | 10,676,924 | 1.8 | |||
18,985 | Reynolds American, Inc. | 786,549 | 0.1 | |||
33,624 | Sysco Corp. | 1,064,536 | 0.2 | |||
49,441 | Walgreen Co. | 1,829,811 | 0.3 | |||
97,001 | Wal-Mart Stores, Inc. | 6,618,378 | 1.1 | |||
66,049,889 | 10.9 | |||||
Energy: 11.1% | ||||||
28,672 | Anadarko Petroleum Corp. | 2,130,616 | 0.3 | |||
22,431 | Apache Corp. | 1,760,834 | 0.3 | |||
25,172 | Baker Hughes, Inc. | 1,028,025 | 0.2 | |||
113,219 | Chevron Corp. | 12,243,503 | 2.0 | |||
72,577 | ConocoPhillips | 4,208,740 | 0.7 | |||
23,206 | Devon Energy Corp. | 1,207,640 | 0.2 | |||
15,474 | EOG Resources, Inc. | 1,869,104 | 0.3 | |||
268,387 | ExxonMobil Corp. | 23,228,895 | 3.8 | |||
52,967 | Halliburton Co. | 1,837,425 | 0.3 | |||
17,467 | Hess Corp. | 925,052 | 0.1 | |||
27,914 | Kinder Morgan, Inc./Delaware | 986,202 | 0.2 | |||
40,351 | Marathon Oil Corp. | 1,237,162 | 0.2 | |||
24,461 | National Oilwell Varco, Inc. | 1,671,909 | 0.3 | |||
46,550 | Occidental Petroleum Corp. | 3,566,196 | 0.6 | |||
35,889 | Phillips 66 | 1,905,706 | 0.3 | |||
76,541 | Schlumberger Ltd. | 5,303,526 | 0.9 | |||
37,472 | Spectra Energy Corp. | 1,025,983 | 0.2 | |||
38,653 | Williams Cos., Inc. | 1,265,499 | 0.2 | |||
67,402,017 | 11.1 | |||||
Financials: 14.3% | ||||||
19,443 | ACE Ltd. | 1,551,551 | 0.2 | |||
26,837 | Aflac, Inc. | 1,425,581 | 0.2 | |||
36,996 | @ | American International Group, Inc. | 1,305,959 | 0.2 | ||
28,281 | Allstate Corp. | 1,136,048 | 0.2 | |||
57,467 | American Express Co. | 3,303,203 | 0.5 | |||
22,647 | American Tower Corp. | 1,749,934 | 0.3 | |||
618,537 | Bank of America Corp. | 7,175,029 | 1.2 | |||
68,464 | Bank of New York Mellon Corp. | 1,759,525 | 0.3 | |||
40,101 | BB&T Corp. | 1,167,340 | 0.2 | |||
102,208 | @ | Berkshire Hathaway, Inc. | 9,168,058 | 1.5 | ||
7,312 | Blackrock, Inc. | 1,511,463 | 0.2 | |||
26,300 | Capital One Financial Corp. | 1,523,559 | 0.2 | |||
61,671 | Charles Schwab Corp. | 885,596 | 0.1 | |||
15,497 | Chubb Corp. | 1,167,234 | 0.2 | |||
168,294 | Citigroup, Inc. | 6,657,711 | 1.1 | |||
18,998 | CME Group, Inc. | 963,389 | 0.2 | |||
30,437 | Discover Financial Services | 1,173,346 | 0.2 | |||
18,612 | Equity Residential | 1,054,742 | 0.2 | |||
7,991 | Franklin Resources, Inc. | 1,004,469 | 0.2 | |||
28,231 | Goldman Sachs Group, Inc. | 3,601,146 | 0.6 | |||
218,481 | JPMorgan Chase & Co. | 9,606,610 | 1.6 | |||
17,952 | Loews Corp. | 731,544 | 0.1 | |||
31,356 | Marsh & McLennan Cos., Inc. | 1,080,841 | 0.2 | |||
48,824 | Metlife, Inc. | 1,608,263 | 0.3 | |||
88,426 | Morgan Stanley | 1,690,705 | 0.3 | |||
30,353 | PNC Financial Services Group, Inc. | 1,769,883 | 0.3 | |||
26,811 | Prudential Financial, Inc. | 1,429,831 | 0.2 | |||
8,192 | Public Storage, Inc. | 1,187,512 | 0.2 | |||
17,403 | Simon Property Group, Inc. | 2,751,240 | 0.4 | |||
28,043 | State Street Corp. | 1,318,301 | 0.2 | |||
22,273 | Travelers Cos., Inc. | 1,599,647 | 0.3 | |||
108,719 | US Bancorp. | 3,472,485 | 0.6 | |||
281,194 | Wells Fargo & Co. | 9,611,211 | 1.6 | |||
87,142,956 | 14.3 | |||||
Health Care: 12.1% | ||||||
90,303 | Abbott Laboratories | 5,914,846 | 1.0 | |||
19,946 | Aetna, Inc. | 923,500 | 0.2 | |||
17,418 | Allergan, Inc. | 1,597,753 | 0.3 | |||
44,633 | Amgen, Inc. | 3,852,721 | 0.6 | |||
31,597 | Baxter International, Inc. | 2,106,256 | 0.3 | |||
11,632 | Becton Dickinson & Co. | 909,506 | 0.1 | |||
13,689 | @ | Biogen Idec, Inc. | 2,007,766 | 0.3 | ||
96,652 | Bristol-Myers Squibb Co. | 3,149,889 | 0.5 | |||
19,866 | Cardinal Health, Inc. | 818,082 | 0.1 | |||
25,279 | @ | Celgene Corp. | 1,989,963 | 0.3 | ||
27,676 | @ | Covidien PLC | 1,598,012 | 0.3 | ||
58,805 | Eli Lilly & Co. | 2,900,263 | 0.5 | |||
46,231 | @ | Express Scripts Holding Co. | 2,496,474 | 0.4 | ||
43,472 | @ | Gilead Sciences, Inc. | 3,193,018 | 0.5 | ||
2,279 | @ | Intuitive Surgical, Inc. | 1,117,553 | 0.2 | ||
157,628 | Johnson & Johnson | 11,049,723 | 1.8 | |||
13,511 | McKesson Corp. | 1,310,027 | 0.2 | |||
59,527 | Medtronic, Inc. | 2,441,797 | 0.4 | |||
174,561 | Merck & Co., Inc. | 7,146,527 | 1.2 | |||
429,775 | Pfizer, Inc. | 10,778,757 | 1.8 | |||
17,760 | Stryker Corp. | 973,603 | 0.2 | |||
21,081 | Thermo Fisher Scientific, Inc. | 1,344,546 | 0.2 | |||
59,543 | UnitedHealth Group, Inc. | 3,229,612 | 0.5 | |||
17,437 | WellPoint, Inc. | 1,062,262 | 0.2 | |||
73,912,456 | 12.1 | |||||
Industrials: 9.4% | ||||||
39,823 | 3M Co. | 3,697,566 | 0.6 | |||
42,989 | Boeing Co. | 3,239,651 | 0.5 | |||
37,450 | Caterpillar, Inc. | 3,354,771 | 0.5 | |||
59,585 | CSX Corp. | 1,175,612 | 0.2 | |||
11,116 | Cummins, Inc. | 1,204,419 | 0.2 | |||
33,321 | Danaher Corp. | 1,862,644 | 0.3 | |||
22,832 | Deere & Co. | 1,973,141 | 0.3 | |||
42,107 | Emerson Electric Co. | 2,229,987 | 0.4 | |||
18,103 | FedEx Corp. | 1,660,407 | 0.3 | |||
18,238 | General Dynamics Corp. | 1,263,346 | 0.2 | |||
608,107 | General Electric Co. | 12,764,166 | 2.1 | |||
44,590 | Honeywell International, Inc. | 2,830,127 | 0.5 | |||
24,439 | Illinois Tool Works, Inc. | 1,486,136 | 0.2 | |||
15,016 | Lockheed Martin Corp. | 1,385,827 | 0.2 | |||
18,705 | Norfolk Southern Corp. | 1,156,717 | 0.2 | |||
14,437 | Northrop Grumman Corp. | 975,653 | 0.2 | |||
8,341 | Precision Castparts Corp. | 1,579,952 | 0.3 | |||
19,315 | Raytheon Co. | 1,111,771 | 0.2 | |||
26,568 | Tyco International Ltd. | 777,114 | 0.1 | |||
27,332 | Union Pacific Corp. | 3,436,179 | 0.6 | |||
41,626 | United Parcel Service, Inc. - Class B | 3,069,085 | 0.5 | |||
52,308 | United Technologies Corp. | 4,289,779 | 0.7 | |||
26,865 | Waste Management, Inc. | 906,425 | 0.1 | |||
57,430,475 | 9.4 | |||||
Information Technology: 19.7% | ||||||
36,951 | @ | Accenture PLC | 2,457,242 | 0.4 | ||
28,586 | @ | Adobe Systems, Inc. | 1,077,120 | 0.2 | ||
53,667 | Apple, Inc. | 28,606,121 | 4.7 | |||
28,075 | Automatic Data Processing, Inc. | 1,600,556 | 0.3 | |||
31,620 | Broadcom Corp. | 1,050,100 | 0.2 | |||
307,453 | Cisco Systems, Inc. | 6,041,451 | 1.0 | |||
17,478 | @ | Cognizant Technology Solutions Corp. | 1,294,246 | 0.2 | ||
87,099 | Corning, Inc. | 1,099,189 | 0.2 | |||
84,617 | Dell, Inc. | 857,170 | 0.1 | |||
66,471 | @ | eBay, Inc. | 3,391,350 | 0.6 | ||
120,521 | @ | EMC Corp. | 3,049,181 | 0.5 | ||
24,171 | @ | Facebook, Inc. | 643,674 | 0.1 | ||
14,858 | @ | Google, Inc. - Class A | 10,539,819 | 1.7 | ||
113,499 | Hewlett-Packard Co. | 1,617,361 | 0.3 | |||
62,564 | International Business Machines Corp. | 11,984,134 | 2.0 | |||
288,747 | Intel Corp. | 5,956,851 | 1.0 | |||
6,224 | Mastercard, Inc. | 3,057,727 | 0.5 | |||
432,015 | Microsoft Corp. | 11,547,761 | 1.9 | |||
16,768 | Motorola Solutions, Inc. | 933,642 | 0.1 | |||
219,287 | Oracle Corp. | 7,306,643 | 1.2 | |||
98,385 | Qualcomm, Inc. | 6,101,838 | 1.0 | |||
7,963 | @ | Salesforce.com, Inc. | 1,338,580 | 0.2 | ||
65,788 | Texas Instruments, Inc. | 2,035,481 | 0.3 | |||
29,994 | Visa, Inc. | 4,546,491 | 0.7 | |||
5,078 | @ | VMware, Inc. | 478,043 | 0.1 | ||
70,446 | @ | Yahoo!, Inc. | 1,401,875 | 0.2 | ||
120,013,646 | 19.7 | |||||
Materials: 2.8% | ||||||
12,009 | Air Products & Chemicals, Inc. | 1,008,996 | 0.2 | |||
68,603 | Dow Chemical Co. | 2,217,249 | 0.4 | |||
14,928 | Ecolab, Inc. | 1,073,323 | 0.2 | |||
53,786 | EI Du Pont de Nemours & Co. | 2,418,756 | 0.4 | |||
54,467 | Freeport-McMoRan Copper & Gold, Inc. | 1,862,771 | 0.3 | |||
18,441 | @ | LyondellBasell Industries N.V. Cl A | 1,052,797 | 0.2 | ||
30,616 | Monsanto Co. | 2,897,804 | 0.5 | |||
17,023 | Mosaic Co. | 964,013 | 0.1 | |||
28,156 | Newmont Mining Corp. | 1,307,565 | 0.2 | |||
17,186 | Praxair, Inc. | 1,881,008 | 0.3 | |||
9,310 | Southern Copper Corp. | 352,477 | 0.0 | |||
17,036,759 | 2.8 | |||||
Telecommunication Services: 3.3% | ||||||
336,493 | AT&T, Inc. | 11,343,179 | 1.9 | |||
35,654 | CenturyTel, Inc. | 1,394,785 | 0.2 | |||
163,060 | Verizon Communications, Inc. | 7,055,606 | 1.2 | |||
19,793,570 | 3.3 | |||||
Utilities: 2.4% | ||||||
27,796 | American Electric Power Co., Inc. | 1,186,333 | 0.2 | |||
16,815 | Consolidated Edison, Inc. | 933,905 | 0.2 | |||
32,618 | Dominion Resources, Inc. | 1,689,613 | 0.3 | |||
40,300 | Duke Energy Corp. | 2,571,140 | 0.4 | |||
48,917 | Exelon Corp. | 1,454,792 | 0.2 | |||
24,000 | FirstEnergy Corp. | 1,002,240 | 0.2 | |||
23,907 | NextEra Energy, Inc. | 1,654,125 | 0.3 | |||
24,245 | Pacific Gas & Electric Co. | 974,164 | 0.2 | |||
29,037 | Public Service Enterprise Group, Inc. | 888,532 | 0.1 | |||
49,854 | Southern Co. | 2,134,250 | 0.3 | |||
14,489,094 | 2.4 | |||||
Total Common Stock | ||||||
(Cost $358,003,457) | 585,837,134 | 96.3 | ||||
SHORT-TERM INVESTMENTS: 5.5% | ||||||
Mutual Funds: 5.5% | ||||||
33,486,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $33,486,000) | 33,486,000 | 5.5 | ||||
Total Short-Term Investments | ||||||||||
(Cost $33,486,000) | 33,486,000 | 5.5 | ||||||||
Total Investments in Securities (Cost $391,489,457) | $ | 619,323,134 | 101.8 | |||||||
Liabilities in Excess of Other Assets | (11,219,151 | ) | (1.8 | ) | ||||||
Net Assets | $ | 608,103,983 | 100.0 | |||||||
@ | Non-income producing security |
Cost for federal income tax purposes is $397,180,136. | ||||
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 231,322,636 | ||
Gross Unrealized Depreciation | (9,179,638 | ) | ||
Net Unrealized Appreciation | $ | 222,142,998 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock* | $ | 585,837,134 | $ | – | $ | – | $ | 585,837,134 | ||||||||
Short-Term Investments | 33,486,000 | – | – | 33,486,000 | ||||||||||||
Total Investments, at fair value | $ | 619,323,134 | $ | – | $ | – | $ | 619,323,134 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | $ | (89,933 | ) | $ | – | $ | – | $ | (89,933 | ) | ||||||
Total Liabilities | $ | (89,933 | ) | $ | – | $ | – | $ | (89,933 | ) | ||||||
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
ING Russell™ Large Cap Index Portfolio Open Futures Contracts on December 31, 2012:
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
S&P 500 E-Mini | 519 | 03/15/13 | $ | 36,851,595 | $ | (89,933 | ) | |||||||
$ | 36,851,595 | $ | (89,933 | ) | ||||||||||
See Accompanying Notes to Financial Statements |
ING Russell™ Large Cap Value Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 97.5% | ||||||
Consumer Discretionary: 7.8% | ||||||
5,024 | ADT Corp. | 233,566 | 0.2 | |||
9,488 | Carnival Corp. | 348,874 | 0.3 | |||
12,281 | CBS Corp. - Class B | 467,292 | 0.4 | |||
32,118 | Comcast Corp. – Class A | 1,200,571 | 1.0 | |||
85,627 | Ford Motor Co. | 1,108,870 | 0.9 | |||
17,479 | @ | General Motors Co. | 503,920 | 0.4 | ||
15,527 | Johnson Controls, Inc. | 476,679 | 0.4 | |||
22,311 | Lowe's Cos., Inc. | 792,487 | 0.6 | |||
31,365 | News Corp. - Class A | 801,062 | 0.7 | |||
14,247 | Target Corp. | 842,995 | 0.7 | |||
8,476 | @ | Thomson Reuters Corp. | 246,312 | 0.2 | ||
21,912 | Time Warner, Inc. | 1,048,051 | 0.9 | |||
25,783 | Walt Disney Co. | 1,283,735 | 1.1 | |||
9,354,414 | 7.8 | |||||
Consumer Staples: 8.0% | ||||||
10,406 | Altria Group, Inc. | 326,957 | 0.3 | |||
15,031 | Archer-Daniels-Midland Co. | 411,699 | 0.3 | |||
860 | Colgate-Palmolive Co. | 89,904 | 0.1 | |||
23,342 | CVS Caremark Corp. | 1,128,586 | 0.9 | |||
3,051 | General Mills, Inc. | 123,291 | 0.1 | |||
300 | Kellogg Co. | 16,755 | 0.0 | |||
903 | Kimberly-Clark Corp. | 76,240 | 0.1 | |||
12,789 | Kraft Foods Group, Inc. | 581,516 | 0.5 | |||
38,366 | Mondelez International, Inc. | 977,182 | 0.8 | |||
3,154 | Philip Morris International, Inc. | 263,801 | 0.2 | |||
57,978 | Procter & Gamble Co. | 3,936,126 | 3.3 | |||
4,746 | Reynolds American, Inc. | 196,627 | 0.2 | |||
6,014 | Sysco Corp. | 190,403 | 0.1 | |||
19,695 | Walgreen Co. | 728,912 | 0.6 | |||
8,141 | Wal-Mart Stores, Inc. | 555,460 | 0.5 | |||
9,603,459 | 8.0 | |||||
Energy: 18.8% | ||||||
11,404 | Anadarko Petroleum Corp. | 847,431 | 0.7 | |||
8,922 | Apache Corp. | 700,377 | 0.6 | |||
10,010 | Baker Hughes, Inc. | 408,809 | 0.3 | |||
44,914 | Chevron Corp. | 4,857,000 | 4.1 | |||
28,866 | ConocoPhillips | 1,673,939 | 1.4 | |||
9,231 | Devon Energy Corp. | 480,381 | 0.4 | |||
106,467 | ExxonMobil Corp. | 9,214,719 | 7.7 | |||
14,346 | Halliburton Co. | 497,663 | 0.4 | |||
6,949 | Hess Corp. | 368,019 | 0.3 | |||
16,099 | Marathon Oil Corp. | 493,595 | 0.4 | |||
7,511 | National Oilwell Varco, Inc. | 513,377 | 0.4 | |||
18,514 | Occidental Petroleum Corp. | 1,418,358 | 1.2 | |||
14,272 | Phillips 66 | 757,843 | 0.6 | |||
14,898 | Spectra Energy Corp. | 407,907 | 0.3 | |||
22,639,418 | 18.8 | |||||
�� | Financials: 25.5% | |||||
7,731 | ACE Ltd. | 616,934 | 0.5 | |||
10,676 | Aflac, Inc. | 567,109 | 0.5 | |||
14,717 | @ | American International Group, Inc. | 519,510 | 0.4 | ||
11,197 | Allstate Corp. | 449,784 | 0.4 | |||
8,161 | American Express Co. | 469,094 | 0.4 | |||
245,972 | Bank of America Corp. | 2,853,275 | 2.4 | |||
27,222 | Bank of New York Mellon Corp. | 699,606 | 0.6 | |||
15,949 | BB&T Corp. | 464,275 | 0.4 | |||
40,649 | @ | Berkshire Hathaway, Inc. | 3,646,215 | 3.0 | ||
1,353 | Blackrock, Inc. | 279,679 | 0.2 | |||
10,500 | Capital One Financial Corp. | 608,265 | 0.5 | |||
24,528 | Charles Schwab Corp. | 352,222 | 0.3 | |||
6,163 | Chubb Corp. | 464,197 | 0.4 | |||
66,929 | Citigroup, Inc. | 2,647,711 | 2.2 | |||
7,586 | CME Group, Inc. | 384,686 | 0.3 | |||
12,106 | Discover Financial Services | 466,686 | 0.4 | |||
6,824 | Equity Residential | 386,716 | 0.3 | |||
2,442 | Franklin Resources, Inc. | 306,959 | 0.3 | |||
11,228 | Goldman Sachs Group, Inc. | 1,432,244 | 1.2 | |||
86,888 | JPMorgan Chase & Co. | 3,820,465 | 3.2 | |||
7,120 | Loews Corp. | 290,140 | 0.2 | |||
2,466 | Marsh & McLennan Cos., Inc. | 85,003 | 0.1 | |||
19,417 | Metlife, Inc. | 639,596 | 0.5 | |||
35,164 | Morgan Stanley | 672,336 | 0.6 | |||
12,070 | PNC Financial Services Group, Inc. | 703,802 | 0.6 | |||
10,662 | Prudential Financial, Inc. | 568,605 | 0.5 | |||
1,047 | Simon Property Group, Inc. | 165,520 | 0.1 | |||
11,154 | State Street Corp. | 524,350 | 0.4 | |||
5,027 | Travelers Cos., Inc. | 361,039 | 0.3 | |||
43,236 | US Bancorp. | 1,380,958 | 1.1 | |||
111,830 | Wells Fargo & Co. | 3,822,349 | 3.2 | |||
30,649,330 | 25.5 | |||||
Health Care: 13.3% | ||||||
1,777 | Abbott Laboratories | 116,394 | 0.1 | |||
7,931 | Aetna, Inc. | 367,205 | 0.3 | |||
1,016 | Baxter International, Inc. | 67,727 | 0.1 | |||
300 | Becton Dickinson & Co. | 23,457 | 0.0 | |||
3,373 | Bristol-Myers Squibb Co. | 109,926 | 0.1 | |||
3,455 | Cardinal Health, Inc. | 142,277 | 0.1 | |||
10,447 | Covidien PLC | 603,210 | 0.5 | |||
14,876 | Eli Lilly & Co. | 733,684 | 0.6 | |||
48,583 | Johnson & Johnson | 3,405,668 | 2.8 | |||
22,230 | Medtronic, Inc. | 911,875 | 0.8 | |||
69,424 | Merck & Co., Inc. | 2,842,219 | 2.4 | |||
170,491 | Pfizer, Inc. | 4,275,914 | 3.6 | |||
1,776 | Stryker Corp. | 97,360 | 0.1 | |||
8,384 | Thermo Fisher Scientific, Inc. | 534,732 | 0.4 | |||
23,680 | UnitedHealth Group, Inc. | 1,284,403 | 1.1 | |||
6,497 | WellPoint, Inc. | 395,797 | 0.3 | |||
15,911,848 | 13.3 | |||||
Industrials: 7.7% | ||||||
1,522 | 3M Co. | 141,318 | 0.1 | |||
1,578 | Boeing Co. | 118,918 | 0.1 | |||
7,290 | CSX Corp. | 143,832 | 0.1 | |||
8,733 | Danaher Corp. | 488,175 | 0.4 | |||
2,533 | Emerson Electric Co. | 134,148 | 0.1 | |||
6,746 | FedEx Corp. | 618,743 | 0.5 | |||
7,252 | General Dynamics Corp. | 502,346 | 0.4 | |||
241,236 | General Electric Co. | 5,063,543 | 4.2 | |||
518 | Illinois Tool Works, Inc. | 31,499 | 0.0 | |||
617 | Lockheed Martin Corp. | 56,943 | 0.1 | |||
7,437 | Norfolk Southern Corp. | 459,904 | 0.4 | |||
5,741 | Northrop Grumman Corp. | 387,977 | 0.3 | |||
7,609 | Raytheon Co. | 437,974 | 0.4 | |||
10,567 | Tyco International Ltd. | 309,085 | 0.3 | |||
10,567 | Waste Management, Inc. | 356,530 | 0.3 | |||
9,250,935 | 7.7 | |||||
Information Technology: 4.6% | ||||||
4,600 | @ | Adobe Systems, Inc. | 173,328 | 0.1 | ||
4,547 | Broadcom Corp. | 151,006 | 0.1 | |||
122,269 | Cisco Systems, Inc. | 2,402,586 | 2.0 | |||
34,645 | Corning, Inc. | 437,220 | 0.4 | |||
33,649 | Dell, Inc. | 340,864 | 0.3 | |||
45,137 | Hewlett-Packard Co. | 643,202 | 0.5 | |||
29,513 | Intel Corp. | 608,853 | 0.5 | |||
8,569 | Texas Instruments, Inc. | 265,125 | 0.2 | |||
27,821 | @ | Yahoo!, Inc. | 553,638 | 0.5 | ||
5,575,822 | 4.6 | |||||
Materials: 2.8% | ||||||
4,826 | Air Products & Chemicals, Inc. | 405,480 | 0.4 | |||
27,284 | Dow Chemical Co. | 881,819 | 0.8 | |||
21,666 | Freeport-McMoRan Copper & Gold, Inc. | 740,977 | 0.6 | |||
6,798 | @ | LyondellBasell Industries N.V. Cl A | 388,098 | 0.3 | ||
6,769 | Mosaic Co. | 383,328 | 0.3 | |||
11,199 | Newmont Mining Corp. | 520,082 | 0.4 | |||
887 | Southern Copper Corp. | 33,582 | 0.0 | |||
3,353,366 | 2.8 | |||||
Telecommunication Services: 4.2% | ||||||
133,488 | AT&T, Inc. | 4,499,880 | 3.7 | |||
14,180 | CenturyTel, Inc. | 554,722 | 0.5 | |||
5,054,602 | 4.2 | |||||
Utilities: 4.8% | ||||||
11,054 | American Electric Power Co., Inc. | 471,785 | 0.4 | |||
6,687 | Consolidated Edison, Inc. | 371,396 | 0.3 | |||
13,045 | Dominion Resources, Inc. | 675,731 | 0.6 | |||
16,066 | Duke Energy Corp. | 1,025,011 | 0.9 | |||
19,456 | Exelon Corp. | 578,621 | 0.5 | |||
9,547 | FirstEnergy Corp. | 398,683 | 0.3 | |||
9,522 | NextEra Energy, Inc. | 658,827 | 0.5 | |||
9,639 | Pacific Gas & Electric Co. | 387,295 | 0.3 | |||
11,547 | Public Service Enterprise Group, Inc. | 353,338 | 0.3 | |||
19,828 | Southern Co. | 848,837 | 0.7 | |||
5,769,524 | 4.8 | |||||
Total Common Stock | ||||||
(Cost $90,213,185) | 117,162,718 | 97.5 | ||||
SHORT-TERM INVESTMENTS: 2.1% | ||||||
Mutual Funds: 2.1% | ||||||
2,514,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $2,514,000) | 2,514,000 | 2.1 | ||||
Total Short-Term Investments | ||||||||||
(Cost $2,514,000) | 2,514,000 | 2.1 | ||||||||
Total Investments in Securities (Cost $92,727,185) | $ | 119,676,718 | 99.6 | |||||||
Assets in Excess of Other Liabilities | 464,785 | 0.4 | ||||||||
Net Assets | $ | 120,141,503 | 100.0 | |||||||
@ | Non-income producing security |
Cost for federal income tax purposes is $96,566,072. | ||||
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 28,361,287 | ||
Gross Unrealized Depreciation | (5,250,642 | ) | ||
Net Unrealized Appreciation | $ | 23,110,645 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock* | $ | 117,162,718 | $ | – | $ | – | $ | 117,162,718 | ||||||||
Short-Term Investments | 2,514,000 | – | – | 2,514,000 | ||||||||||||
Total Investments, at fair value | $ | 119,676,718 | $ | – | $ | – | $ | 119,676,718 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 21,742 | – | – | 21,742 | ||||||||||||
Total Assets | $ | 119,698,460 | $ | – | $ | – | $ | 119,698,460 |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
ING Russell™ Large Cap Value Index Portfolio Open Futures Contracts on December 31, 2012:
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
S&P 500 E-Mini | 41 | 03/15/13 | $ | 2,911,205 | $ | 21,742 | ||||||||
$ | 2,911,205 | $ | 21,742 | |||||||||||
See Accompanying Notes to Financial Statements |
ING Russell™Mid Cap Growth Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 99.0% | ||||||
Consumer Discretionary: 24.9% | ||||||
7,931 | Aaron's, Inc. | 224,289 | 0.1 | |||
10,090 | Advance Auto Parts, Inc. | 730,011 | 0.3 | |||
3,622 | Allison Transmission Holdings, Inc. | 73,961 | 0.0 | |||
7,841 | @ | AMC Networks, Inc. | 388,129 | 0.1 | ||
20,874 | American Eagle Outfitters | 428,126 | 0.2 | |||
13,188 | @ | Apollo Group, Inc. - Class A | 275,893 | 0.1 | ||
16,860 | @ | Ascena Retail Group, Inc. | 311,741 | 0.1 | ||
2,591 | @ | Autonation, Inc. | 102,863 | 0.0 | ||
5,226 | @ | Autozone, Inc. | 1,852,251 | 0.7 | ||
5,619 | @ | Bally Technologies, Inc. | 251,225 | 0.1 | ||
31,915 | @ | Bed Bath & Beyond, Inc. | 1,784,368 | 0.6 | ||
8,181 | @ | Big Lots, Inc. | 232,831 | 0.1 | ||
15,733 | @ | BorgWarner, Inc. | 1,126,797 | 0.4 | ||
10,345 | Brinker International, Inc. | 320,592 | 0.1 | |||
3,090 | Cablevision Systems Corp. | 46,165 | 0.0 | |||
5,706 | @ | Carmax, Inc. | 214,203 | 0.1 | ||
6,641 | @ | Carter's, Inc. | 369,572 | 0.1 | ||
6,694 | @ | Charter Communications, Inc. | 510,351 | 0.2 | ||
16,164 | Chico's FAS, Inc. | 298,387 | 0.1 | |||
4,352 | @ | Chipotle Mexican Grill, Inc. | 1,294,546 | 0.5 | ||
340 | Choice Hotels International, Inc. | 11,431 | 0.0 | |||
15,772 | Cinemark Holdings, Inc. | 409,757 | 0.1 | |||
3,443 | @ | Clear Channel Outdoor Holdings, Inc. | 24,170 | 0.0 | ||
17,663 | Darden Restaurants, Inc. | 796,071 | 0.3 | |||
3,321 | @ | Deckers Outdoor Corp. | 133,737 | 0.0 | ||
45,058 | @ | Delphi Automotive PLC | 1,723,469 | 0.6 | ||
12,745 | Dick's Sporting Goods, Inc. | 579,770 | 0.2 | |||
32,788 | @ | Discovery Communications, Inc. - Class A | 2,081,382 | 0.7 | ||
21,893 | @ | Dish Network Corp. - Class A | 796,905 | 0.3 | ||
25,358 | @ | Dollar General Corp. | 1,118,034 | 0.4 | ||
31,843 | @ | Dollar Tree, Inc. | 1,291,552 | 0.5 | ||
2,823 | D.R. Horton, Inc. | 55,839 | 0.0 | |||
4,245 | DSW, Inc. | 278,854 | 0.1 | |||
9,772 | Dunkin' Brands Group, Inc. | 324,235 | 0.1 | |||
7,502 | Expedia, Inc. | 460,998 | 0.2 | |||
13,269 | Family Dollar Stores, Inc. | 841,387 | 0.3 | |||
4,294 | Foot Locker, Inc. | 137,923 | 0.1 | |||
7,499 | @ | Fossil, Inc. | 698,157 | 0.3 | ||
41,585 | Gap, Inc. | 1,290,798 | 0.5 | |||
1,080 | L | Garmin Ltd. | 44,086 | 0.0 | ||
19,802 | Gentex Corp. | 372,674 | 0.1 | |||
21,403 | Genuine Parts Co. | 1,360,803 | 0.5 | |||
9,461 | GNC Holdings, Inc. | 314,862 | 0.1 | |||
33,601 | @ | Goodyear Tire & Rubber Co. | 464,030 | 0.2 | ||
6,006 | @ | Groupon, Inc. | 29,309 | 0.0 | ||
23,620 | H&R Block, Inc. | 438,623 | 0.2 | |||
13,392 | @ | Hanesbrands, Inc. | 479,701 | 0.2 | ||
31,781 | Harley-Davidson, Inc. | 1,552,184 | 0.6 | |||
14,308 | L | Hasbro, Inc. | 513,657 | 0.2 | ||
3,967 | @,L | HomeAway, Inc. | 87,274 | 0.0 | ||
20,321 | International Game Technology | 287,949 | 0.1 | |||
3,690 | Interpublic Group of Cos., Inc. | 40,664 | 0.0 | |||
3,357 | @ | ITT Educational Services, Inc. | 58,110 | 0.0 | ||
2,505 | @ | Jarden Corp. | 129,508 | 0.0 | ||
2,821 | John Wiley & Sons, Inc. | 109,822 | 0.0 | |||
2,329 | Kohl's Corp. | 100,100 | 0.0 | |||
9,127 | @ | Lamar Advertising Co. | 353,671 | 0.1 | ||
36,012 | @ | Liberty Global, Inc. | 2,268,396 | 0.8 | ||
10,966 | @ | Liberty Media Corp. - Interactive | 215,811 | 0.1 | ||
979 | @ | Liberty Media Corp. - Liberty Capital | 113,574 | 0.0 | ||
579 | @ | Liberty Ventures | 39,233 | 0.0 | ||
33,149 | Limited Brands, Inc. | 1,559,992 | 0.6 | |||
40,473 | @ | LKQ Corp. | 853,980 | 0.3 | ||
7,680 | Macy's, Inc. | 299,674 | 0.1 | |||
490 | @ | The Madison Square Garden, Inc. | 21,731 | 0.0 | ||
32,175 | Marriott International, Inc. | 1,199,162 | 0.4 | |||
36,187 | Mattel, Inc. | 1,325,168 | 0.5 | |||
38,397 | McGraw-Hill Cos., Inc. | 2,099,164 | 0.8 | |||
11,639 | @ | Michael Kors Holdings Ltd. | 593,938 | 0.2 | ||
3,295 | Morningstar, Inc. | 207,025 | 0.1 | |||
7,622 | @ | NetFlix, Inc. | 707,169 | 0.3 | ||
21,588 | Nordstrom, Inc. | 1,154,958 | 0.4 | |||
621 | @ | NVR, Inc. | 571,320 | 0.2 | ||
37,426 | Omnicom Group, Inc. | 1,869,803 | 0.7 | |||
16,321 | @ | O'Reilly Automotive, Inc. | 1,459,424 | 0.5 | ||
14,161 | @,L | Pandora Media, Inc. | 129,998 | 0.0 | ||
3,891 | @ | Panera Bread Co. | 618,008 | 0.2 | ||
734 | @ | Penn National Gaming, Inc. | 36,047 | 0.0 | ||
14,881 | Petsmart, Inc. | 1,016,968 | 0.4 | |||
8,883 | Polaris Industries, Inc. | 747,504 | 0.3 | |||
8,914 | PVH Corp. | 989,543 | 0.4 | |||
8,463 | Ralph Lauren Corp. | 1,268,773 | 0.5 | |||
3,960 | L | Regal Entertainment Group | 55,242 | 0.0 | ||
31,100 | Ross Stores, Inc. | 1,684,065 | 0.6 | |||
19,924 | @ | Sally Beauty Holdings, Inc. | 469,609 | 0.2 | ||
11,662 | Scripps Networks Interactive - Class A | 675,463 | 0.2 | |||
521,774 | @ | Sirius XM Radio, Inc. | 1,507,924 | 0.5 | ||
27,130 | Starwood Hotels & Resorts Worldwide, Inc. | 1,556,177 | 0.6 | |||
8,179 | @ | Tempur-Pedic International, Inc. | 257,557 | 0.1 | ||
9,714 | @,L | Tesla Motors, Inc. | 329,013 | 0.1 | ||
420 | Thor Industries, Inc. | 15,721 | 0.0 | |||
14,611 | Tiffany & Co. | 837,795 | 0.3 | |||
9,892 | Tractor Supply Co. | 874,057 | 0.3 | |||
11,726 | @ | TripAdvisor, Inc. | 492,023 | 0.2 | ||
7,674 | Tupperware Corp. | 491,903 | 0.2 | |||
8,631 | @ | Ulta Salon Cosmetics & Fragrance, Inc. | 848,082 | 0.3 | ||
10,665 | @ | Under Armour, Inc. | 517,572 | 0.2 | ||
14,608 | @ | Urban Outfitters, Inc. | 574,971 | 0.2 | ||
12,033 | VF Corp. | 1,816,622 | 0.7 | |||
38,133 | L | Virgin Media, Inc. | 1,401,388 | 0.5 | ||
400 | @ | Visteon Corp. | 21,528 | 0.0 | ||
3,653 | Weight Watchers International, Inc. | 191,271 | 0.1 | |||
6,812 | Williams-Sonoma, Inc. | 298,161 | 0.1 | |||
20,030 | Wyndham Worldwide Corp. | 1,065,796 | 0.4 | |||
10,942 | Wynn Resorts Ltd. | 1,230,866 | 0.4 | |||
69,206,966 | 24.9 | |||||
Consumer Staples: 7.6% | ||||||
45,706 | Avon Products, Inc. | 656,338 | 0.2 | |||
17,947 | Brown-Forman Corp. | 1,135,148 | 0.4 | |||
18,845 | Campbell Soup Co. | 657,502 | 0.2 | |||
11,767 | Church & Dwight Co., Inc. | 630,358 | 0.2 | |||
1,120 | Clorox Co. | 82,006 | 0.0 | |||
3,039 | Coca-Cola Enterprises, Inc. | 96,428 | 0.0 | |||
21,733 | @ | Dean Foods Co. | 358,812 | 0.1 | ||
29,078 | Dr Pepper Snapple Group, Inc. | 1,284,666 | 0.5 | |||
15,387 | Flowers Foods, Inc. | 358,056 | 0.1 | |||
3,771 | @ | Fresh Market, Inc. | 181,347 | 0.1 | ||
15,984 | @,L | Green Mountain Coffee Roasters, Inc. | 661,098 | 0.2 | ||
14,827 | @ | Herbalife Ltd. | 488,401 | 0.2 | ||
20,602 | Hershey Co. | 1,487,876 | 0.5 | |||
13,882 | Hillshire Brands Co. | 390,640 | 0.2 | |||
27,359 | HJ Heinz Co. | 1,578,067 | 0.6 | |||
10,536 | Hormel Foods Corp. | 328,829 | 0.1 | |||
2,245 | Ingredion, Inc. | 144,645 | 0.1 | |||
72,424 | Kroger Co. | 1,884,473 | 0.7 | |||
17,917 | Lorillard, Inc. | 2,090,376 | 0.8 | |||
18,202 | McCormick & Co., Inc. | 1,156,373 | 0.4 | |||
27,990 | Mead Johnson Nutrition Co. | 1,844,261 | 0.7 | |||
19,787 | @ | Monster Beverage Corp. | 1,046,337 | 0.4 | ||
7,365 | L | Nu Skin Enterprises, Inc. | 272,873 | 0.1 | ||
4,598 | L | Safeway, Inc. | 83,178 | 0.0 | ||
1,809 | @ | WhiteWave Foods Co. | 28,112 | 0.0 | ||
25,198 | Whole Foods Market, Inc. | 2,301,333 | 0.8 | |||
21,227,533 | 7.6 | |||||
Energy: 5.2% | ||||||
2,492 | @ | Atwood Oceanics, Inc. | 114,109 | 0.0 | ||
28,806 | Cabot Oil & Gas Corp. | 1,432,811 | 0.5 | |||
25,964 | @ | Cameron International Corp. | 1,465,928 | 0.5 | ||
2,710 | L | CARBO Ceramics, Inc. | 212,301 | 0.1 | ||
19,250 | @ | Cheniere Energy, Inc. | 361,515 | 0.1 | ||
23,792 | @ | Cobalt International Energy, Inc. | 584,332 | 0.2 | ||
14,279 | @ | Concho Resources, Inc. | 1,150,316 | 0.4 | ||
5,792 | @ | Continental Resources, Inc. | 425,654 | 0.2 | ||
10,383 | @ | Dresser-Rand Group, Inc. | 582,902 | 0.2 | ||
32,824 | @ | FMC Technologies, Inc. | 1,405,852 | 0.5 | ||
5,969 | @,L | Golar LNG Ltd. | 219,540 | 0.1 | ||
3,043 | Helmerich & Payne, Inc. | 170,438 | 0.1 | |||
9,802 | @ | Kosmos Energy, LLC | 121,055 | 0.1 | ||
2,648 | @ | Laredo Petroleum Holdings, Inc. | 48,088 | 0.0 | ||
5,418 | Noble Energy, Inc. | 551,227 | 0.2 | |||
14,865 | Oceaneering International, Inc. | 799,588 | 0.3 | |||
6,486 | @ | Oil States International, Inc. | 464,008 | 0.2 | ||
14,102 | Pioneer Natural Resources Co. | 1,503,132 | 0.6 | |||
22,263 | Range Resources Corp. | 1,398,784 | 0.5 | |||
7,458 | L | RPC, Inc. | 91,286 | 0.0 | ||
1,316 | @ | SEACOR Holdings, Inc. | 110,281 | 0.0 | ||
7,339 | SM Energy Co. | 383,169 | 0.1 | |||
16,579 | @ | Southwestern Energy Co. | 553,904 | 0.2 | ||
2,319 | @ | Whiting Petroleum Corp. | 100,575 | 0.0 | ||
3,158 | World Fuel Services Corp. | 130,015 | 0.1 | |||
14,380,810 | 5.2 | |||||
Financials: 7.4% | ||||||
5,261 | @ | Affiliated Managers Group, Inc. | 684,719 | 0.2 | ||
415 | @ | Alexander & Baldwin, Inc. | 12,189 | 0.0 | ||
2,545 | @ | Allied World Assurance Co. Holdings Ltd. | 200,546 | 0.1 | ||
1,261 | American Campus Communities, Inc. | 58,170 | 0.0 | |||
3,808 | @ | Aon PLC | 211,725 | 0.1 | ||
14,046 | Apartment Investment & Management Co. | 380,085 | 0.1 | |||
2,106 | @ | Arch Capital Group Ltd. | 92,706 | 0.0 | ||
16,270 | Arthur J. Gallagher & Co. | 563,755 | 0.2 | |||
3,476 | Boston Properties, Inc. | 367,796 | 0.1 | |||
2,992 | BRE Properties, Inc. | 152,083 | 0.1 | |||
1,447 | Brown & Brown, Inc. | 36,841 | 0.0 | |||
8,298 | Camden Property Trust | 566,007 | 0.2 | |||
10,381 | CBOE Holdings, Inc. | 305,824 | 0.1 | |||
45,034 | @ | CBRE Group, Inc. | 896,177 | 0.3 | ||
16,715 | Digital Realty Trust, Inc. | 1,134,781 | 0.4 | |||
15,851 | Eaton Vance Corp. | 504,854 | 0.2 | |||
619 | @ | Endurance Specialty Holdings Ltd. | 24,568 | 0.0 | ||
4,682 | Equity Lifestyle Properties, Inc. | 315,052 | 0.1 | |||
3,546 | Erie Indemnity Co. | 245,454 | 0.1 | |||
4,834 | Essex Property Trust, Inc. | 708,906 | 0.3 | |||
9,529 | Extra Space Storage, Inc. | 346,760 | 0.1 | |||
6,889 | Federal Realty Investment Trust | 716,594 | 0.3 | |||
10,512 | L | Federated Investors, Inc. | 212,658 | 0.1 | ||
2,844 | Hanover Insurance Group, Inc. | 110,177 | 0.0 | |||
4,177 | HCP, Inc. | 188,717 | 0.1 | |||
3,566 | Home Properties, Inc. | 218,631 | 0.1 | |||
9,986 | @ | IntercontinentalExchange, Inc. | 1,236,367 | 0.4 | ||
763 | Kilroy Realty Corp. | 36,143 | 0.0 | |||
15,697 | Lazard Ltd. | 468,398 | 0.2 | |||
6,399 | Leucadia National Corp. | 152,232 | 0.1 | |||
5,987 | LPL Financial Holdings, Inc. | 168,594 | 0.1 | |||
5,305 | Mid-America Apartment Communities, Inc. | 343,499 | 0.1 | |||
26,926 | Moody's Corp. | 1,354,916 | 0.5 | |||
16,682 | @ | MSCI, Inc. - Class A | 516,975 | 0.2 | ||
10,003 | People's United Financial, Inc. | 120,936 | 0.0 | |||
22,170 | Plum Creek Timber Co., Inc. | 983,683 | 0.4 | |||
3,052 | Post Properties, Inc. | 152,447 | 0.1 | |||
13,315 | Rayonier, Inc. | 690,116 | 0.2 | |||
1,722 | @ | Realogy Holdings Corp. | 72,255 | 0.0 | ||
7,434 | Regency Centers Corp. | 350,290 | 0.1 | |||
18,839 | SEI Investments Co. | 439,702 | 0.2 | |||
1,161 | @ | Signature Bank | 82,826 | 0.0 | ||
1,070 | @,L | St. Joe Co. | 24,696 | 0.0 | ||
35,020 | T. Rowe Price Group, Inc. | 2,280,853 | 0.8 | |||
12,716 | Tanger Factory Outlet Centers, Inc. | 434,887 | 0.2 | |||
2,510 | Taubman Centers, Inc. | 197,587 | 0.1 | |||
1,958 | @ | Validus Holdings Ltd. | 67,708 | 0.0 | ||
11,852 | Waddell & Reed Financial, Inc. | 412,687 | 0.2 | |||
23,607 | Weyerhaeuser Co. | 656,747 | 0.2 | |||
20,500,319 | 7.4 | |||||
Health Care: 12.8% | ||||||
47,718 | Agilent Technologies, Inc. | 1,953,575 | 0.7 | |||
26,370 | @ | Alexion Pharmaceuticals, Inc. | 2,473,770 | 0.9 | ||
32,322 | AmerisourceBergen Corp. | 1,395,664 | 0.5 | |||
22,749 | @ | Ariad Pharmaceuticals, Inc. | 436,326 | 0.2 | ||
16,771 | @ | BioMarin Pharmaceuticals, Inc. | 825,972 | 0.3 | ||
12,791 | @ | Bruker BioSciences Corp. | 195,319 | 0.1 | ||
28,090 | @ | Catamaran Corp. | 1,323,320 | 0.5 | ||
19,888 | @ | Cerner Corp. | 1,544,104 | 0.6 | ||
4,265 | @ | Charles River Laboratories International, Inc. | 159,810 | 0.1 | ||
1,937 | Cooper Cos., Inc. | 179,134 | 0.1 | |||
488 | @ | Covance, Inc. | 28,192 | 0.0 | ||
11,522 | CR Bard, Inc. | 1,126,160 | 0.4 | |||
12,905 | @ | DaVita, Inc. | 1,426,390 | 0.5 | ||
8,677 | Densply International, Inc. | 343,696 | 0.1 | |||
15,733 | @ | Edwards Lifesciences Corp. | 1,418,645 | 0.5 | ||
10,114 | @ | Endo Pharmaceuticals Holdings, Inc. | 265,695 | 0.1 | ||
14,679 | @ | HCA Holdings, Inc. | 442,865 | 0.2 | ||
7,007 | @ | Henry Schein, Inc. | 563,783 | 0.2 | ||
7,556 | @ | Idexx Laboratories, Inc. | 701,197 | 0.3 | ||
16,944 | @,L | Illumina, Inc. | 941,917 | 0.3 | ||
13,215 | @,L | Incyte Corp., Ltd. | 219,501 | 0.1 | ||
13,287 | @ | Laboratory Corp. of America Holdings | 1,150,920 | 0.4 | ||
2,329 | @ | Life Technologies Corp. | 114,307 | 0.0 | ||
9,955 | @ | Medivation, Inc. | 509,298 | 0.2 | ||
4,318 | @ | Mettler Toledo International, Inc. | 834,669 | 0.3 | ||
51,205 | @ | Mylan Laboratories | 1,407,113 | 0.5 | ||
11,654 | @ | Myriad Genetics, Inc. | 317,572 | 0.1 | ||
8,836 | @ | Onyx Pharmaceuticals, Inc. | 667,383 | 0.2 | ||
11,879 | Patterson Cos., Inc. | 406,618 | 0.1 | |||
12,824 | Perrigo Co. | 1,334,081 | 0.5 | |||
2,572 | Quest Diagnostics | 149,870 | 0.1 | |||
10,603 | @ | Regeneron Pharmaceuticals, Inc. | 1,813,855 | 0.7 | ||
19,600 | Resmed, Inc. | 814,772 | 0.3 | |||
7,971 | @ | Salix Pharmaceuticals Ltd. | 322,666 | 0.1 | ||
1,429 | @ | Sirona Dental Systems, Inc. | 92,113 | 0.0 | ||
33,215 | St. Jude Medical, Inc. | 1,200,390 | 0.4 | |||
5,057 | Techne Corp. | 345,595 | 0.1 | |||
851 | @ | Tenet Healthcare Corp. | 27,632 | 0.0 | ||
8,056 | @ | Thoratec Corp. | 302,261 | 0.1 | ||
6,563 | @ | United Therapeutics Corp. | 350,596 | 0.1 | ||
717 | Universal Health Services, Inc. | 34,667 | 0.0 | |||
15,306 | @ | Varian Medical Systems, Inc. | 1,075,093 | 0.4 | ||
28,971 | @ | Vertex Pharmaceuticals, Inc. | 1,215,044 | 0.4 | ||
23,007 | @ | Warner Chilcott PLC | 277,004 | 0.1 | ||
12,200 | @ | Waters Corp. | 1,062,864 | 0.4 | ||
17,492 | @ | Watson Pharmaceuticals, Inc. | 1,504,312 | 0.5 | ||
2,418 | Zimmer Holdings, Inc. | 161,184 | 0.1 | |||
35,456,914 | 12.8 | |||||
Industrials: 15.1% | ||||||
33,101 | Ametek, Inc. | 1,243,605 | 0.5 | |||
2,904 | @ | Armstrong World Industries, Inc. | 147,320 | 0.1 | ||
16,286 | Babcock & Wilcox Co. | 426,693 | 0.2 | |||
13,438 | @ | BE Aerospace, Inc. | 663,837 | 0.2 | ||
720 | Carlisle Cos., Inc. | 42,307 | 0.0 | |||
22,325 | CH Robinson Worldwide, Inc. | 1,411,386 | 0.5 | |||
8,201 | Chicago Bridge & Iron Co. NV | 380,116 | 0.1 | |||
6,774 | Cintas Corp. | 277,057 | 0.1 | |||
7,374 | @ | Clean Harbors, Inc. | 405,644 | 0.2 | ||
1,306 | @ | Colfax Corp. | 52,697 | 0.0 | ||
4,249 | Con-way, Inc. | 118,207 | 0.0 | |||
3,673 | @ | Copa Holdings S.A. | 365,280 | 0.1 | ||
13,982 | @ | Copart, Inc. | 412,469 | 0.2 | ||
1,057 | Covanta Holding Corp. | 19,470 | 0.0 | |||
74,539 | @ | Delta Airlines, Inc. | 884,778 | 0.3 | ||
20,443 | Donaldson Co., Inc. | 671,348 | 0.2 | |||
4,148 | Dun & Bradstreet Corp. | 326,240 | 0.1 | |||
11,645 | @ | Eaton Corp. PLC | 631,159 | 0.2 | ||
14,873 | Equifax, Inc. | 804,927 | 0.3 | |||
26,357 | Expeditors International Washington, Inc. | 1,042,419 | 0.4 | |||
40,643 | Fastenal Co. | 1,897,622 | 0.7 | |||
6,478 | Flowserve Corp. | 950,970 | 0.3 | |||
17,343 | Fluor Corp. | 1,018,728 | 0.4 | |||
3,652 | @ | Fortune Brands Home & Security, Inc. | 106,711 | 0.0 | ||
421 | @ | General Cable Corp. | 12,803 | 0.0 | ||
8,299 | Graco, Inc. | 427,315 | 0.2 | |||
19,311 | @ | Hertz Global Holdings, Inc. | 314,190 | 0.1 | ||
6,733 | Hubbell, Inc. | 569,814 | 0.2 | |||
2,264 | IDEX Corp. | 105,344 | 0.0 | |||
6,912 | @ | IHS, Inc. | 663,552 | 0.2 | ||
33,627 | Ingersoll-Rand PLC | 1,612,751 | 0.6 | |||
21,294 | Iron Mountain, Inc. | 661,179 | 0.2 | |||
3,029 | ITT Corp. | 71,060 | 0.0 | |||
12,328 | JB Hunt Transport Services, Inc. | 736,105 | 0.3 | |||
14,527 | Joy Global, Inc. | 926,532 | 0.3 | |||
11,776 | Kansas City Southern | 983,060 | 0.4 | |||
5,682 | @ | Kirby Corp. | 351,659 | 0.1 | ||
6,443 | Landstar System, Inc. | 338,000 | 0.1 | |||
6,999 | Lennox International, Inc. | 367,587 | 0.1 | |||
11,488 | Lincoln Electric Holdings, Inc. | 559,236 | 0.2 | |||
13,831 | Manitowoc Co., Inc. | 216,870 | 0.1 | |||
49,016 | Masco Corp. | 816,607 | 0.3 | |||
409 | Matson, Inc. | 10,110 | 0.0 | |||
1,934 | @ | MRC Global, Inc. | 53,727 | 0.0 | ||
6,253 | MSC Industrial Direct Co. | 471,351 | 0.2 | |||
4,154 | @ | Nielsen Holdings NV | 127,071 | 0.1 | ||
8,185 | Nordson Corp. | 516,637 | 0.2 | |||
11,065 | Paccar, Inc. | 500,249 | 0.2 | |||
15,896 | Pall Corp. | 957,893 | 0.3 | |||
9,333 | Parker Hannifin Corp. | 793,865 | 0.3 | |||
14,407 | L | Pitney Bowes, Inc. | 153,290 | 0.1 | ||
6,390 | @,L | Polypore International, Inc. | 297,135 | 0.1 | ||
19,628 | Robert Half International, Inc. | 624,563 | 0.2 | |||
19,594 | Rockwell Automation, Inc. | 1,645,700 | 0.6 | |||
19,910 | Rockwell Collins, Inc. | 1,158,165 | 0.4 | |||
8,765 | Rollins, Inc. | 193,181 | 0.1 | |||
13,376 | Roper Industries, Inc. | 1,491,156 | 0.5 | |||
1,600 | Snap-On, Inc. | 126,384 | 0.1 | |||
20,445 | Southwest Airlines Co. | 209,357 | 0.1 | |||
3,744 | @ | Spirit Aerosystems Holdings, Inc. | 63,536 | 0.0 | ||
2,122 | SPX Corp. | 148,858 | 0.1 | |||
11,680 | @ | Stericycle, Inc. | 1,089,394 | 0.4 | ||
2,300 | Textron, Inc. | 57,017 | 0.0 | |||
1,064 | Timken Co. | 50,891 | 0.0 | |||
8,216 | Toro Co. | 353,124 | 0.1 | |||
7,012 | @ | TransDigm Group, Inc. | 956,156 | 0.3 | ||
2,334 | Triumph Group, Inc. | 152,410 | 0.1 | |||
45,589 | @ | United Continental Holdings, Inc. | 1,065,871 | 0.4 | ||
12,870 | @ | United Rentals, Inc. | 585,842 | 0.2 | ||
3,204 | Valmont Industries, Inc. | 437,506 | 0.2 | |||
17,414 | @ | Verisk Analytics, Inc. | 888,114 | 0.3 | ||
8,209 | @ | WABCO Holdings, Inc. | 535,145 | 0.2 | ||
6,612 | Wabtec Corp. | 578,814 | 0.2 | |||
1,011 | Waste Connections, Inc. | 34,162 | 0.0 | |||
8,021 | WW Grainger, Inc. | 1,623,210 | 0.6 | |||
2,806 | Xylem, Inc. | 76,043 | 0.0 | |||
42,060,581 | 15.1 | |||||
Information Technology: 16.8% | ||||||
7,991 | @ | Acme Packet, Inc. | 176,761 | 0.1 | ||
86,210 | @,L | Advanced Micro Devices, Inc. | 206,904 | 0.1 | ||
22,727 | @ | Akamai Technologies, Inc. | 929,762 | 0.3 | ||
6,914 | @ | Alliance Data Systems Corp. | 1,000,871 | 0.4 | ||
44,285 | Altera Corp. | 1,525,175 | 0.5 | |||
22,239 | Amphenol Corp. | 1,438,863 | 0.5 | |||
3,482 | Analog Devices, Inc. | 146,453 | 0.1 | |||
12,788 | @ | Ansys, Inc. | 861,144 | 0.3 | ||
2,971 | @ | AOL, Inc. | 87,971 | 0.0 | ||
5,258 | @ | Atmel Corp. | 34,440 | 0.0 | ||
31,721 | @ | Autodesk, Inc. | 1,121,337 | 0.4 | ||
31,510 | @ | Avago Technologies Ltd. | 997,607 | 0.4 | ||
22,110 | @ | BMC Software, Inc. | 876,883 | 0.3 | ||
17,142 | Broadridge Financial Solutions ADR | 392,209 | 0.1 | |||
2,810 | CA, Inc. | 61,764 | 0.0 | |||
37,704 | @ | Cadence Design Systems, Inc. | 509,381 | 0.2 | ||
25,558 | @ | Citrix Systems, Inc. | 1,680,438 | 0.6 | ||
1,594 | @ | Compuware Corp. | 17,327 | 0.0 | ||
6,257 | @ | Concur Technologies, Inc. | 422,473 | 0.2 | ||
12,291 | Cypress Semiconductor Corp. | 133,234 | 0.0 | |||
681 | Diebold, Inc. | 20,845 | 0.0 | |||
4,040 | @ | Dolby Laboratories, Inc. | 118,493 | 0.0 | ||
720 | DST Systems, Inc. | 43,632 | 0.0 | |||
1,448 | @ | EchoStar Corp. | 49,551 | 0.0 | ||
6,601 | @ | Equinix, Inc. | 1,361,126 | 0.5 | ||
10,898 | @ | F5 Networks, Inc. | 1,058,741 | 0.4 | ||
6,166 | Factset Research Systems, Inc. | 542,978 | 0.2 | |||
15,494 | @ | Fiserv, Inc. | 1,224,491 | 0.4 | ||
6,686 | @ | FleetCor Technologies, Inc. | 358,704 | 0.1 | ||
17,141 | Flir Systems, Inc. | 382,416 | 0.1 | |||
17,926 | @ | Fortinet, Inc. | 377,701 | 0.1 | ||
6,568 | @,L | Freescale Semiconductor Holdings Ltd. | 72,314 | 0.0 | ||
9,258 | @,L | Fusion-io, Inc. | 212,286 | 0.1 | ||
12,804 | @ | Gartner, Inc. | 589,240 | 0.2 | ||
13,954 | @ | Genpact Ltd. | 216,287 | 0.1 | ||
10,788 | Global Payments, Inc. | 488,696 | 0.2 | |||
4,637 | Harris Corp. | 227,028 | 0.1 | |||
1,623 | IAC/InterActiveCorp | 76,768 | 0.0 | |||
14,862 | @ | Informatica Corp. | 450,616 | 0.2 | ||
40,315 | Intuit, Inc. | 2,398,742 | 0.9 | |||
4,373 | @ | IPG Photonics Corp. | 291,460 | 0.1 | ||
4,704 | Jabil Circuit, Inc. | 90,740 | 0.0 | |||
11,987 | Jack Henry & Associates, Inc. | 470,610 | 0.2 | |||
7,434 | @ | Lam Research Corp. | 268,590 | 0.1 | ||
11,599 | Lender Processing Services, Inc. | 285,567 | 0.1 | |||
31,606 | Linear Technology Corp. | 1,084,086 | 0.4 | |||
8,494 | @ | LinkedIn Corp. | 975,281 | 0.4 | ||
78,100 | @ | LSI Logic Corp. | 552,948 | 0.2 | ||
20,055 | Maxim Integrated Products | 589,617 | 0.2 | |||
26,575 | Microchip Technology, Inc. | 866,079 | 0.3 | |||
11,030 | @ | Micros Systems, Inc. | 468,113 | 0.2 | ||
12,812 | National Instruments Corp. | 330,678 | 0.1 | |||
21,795 | @ | NCR Corp. | 555,337 | 0.2 | ||
33,439 | @ | NetApp, Inc. | 1,121,878 | 0.4 | ||
4,307 | @ | NetSuite, Inc. | 289,861 | 0.1 | ||
9,185 | @ | NeuStar, Inc. | 385,127 | 0.1 | ||
33,173 | @ | Nuance Communications, Inc. | 740,421 | 0.3 | ||
759 | @,L | Palo Alto Networks, Inc. | 40,622 | 0.0 | ||
41,468 | Paychex, Inc. | 1,291,314 | 0.5 | |||
14,974 | @ | Rackspace Hosting, Inc. | 1,112,119 | 0.4 | ||
26,476 | @ | Red Hat, Inc. | 1,402,169 | 0.5 | ||
21,758 | @ | Riverbed Technolgoy, Inc. | 429,068 | 0.2 | ||
3,163 | @ | Rovi Corp. | 48,805 | 0.0 | ||
13,806 | SAIC, Inc. | 156,284 | 0.1 | |||
1,549 | @,L | ServiceNow, Inc. | 46,516 | 0.0 | ||
5,366 | @ | Silicon Laboratories, Inc. | 224,352 | 0.1 | ||
23,201 | @ | Skyworks Solutions, Inc. | 470,980 | 0.2 | ||
8,456 | @ | SolarWinds, Inc. | 443,517 | 0.2 | ||
9,540 | Solera Holdings, Inc. | 510,104 | 0.2 | |||
2,150 | @ | Splunk, Inc. | 62,393 | 0.0 | ||
1,630 | @ | Stratasys Ltd. | 130,645 | 0.0 | ||
5,702 | @ | Symantec Corp. | 107,255 | 0.0 | ||
1,500 | @ | Synopsys, Inc. | 47,760 | 0.0 | ||
23,159 | @ | Teradata Corp. | 1,433,311 | 0.5 | ||
3,128 | @ | Teradyne, Inc. | 52,832 | 0.0 | ||
22,640 | @ | TIBCO Software, Inc. | 498,306 | 0.2 | ||
19,091 | Total System Services, Inc. | 408,929 | 0.1 | |||
17,174 | @ | Trimble Navigation Ltd. | 1,026,662 | 0.4 | ||
5,469 | @ | Vantiv, Inc. | 111,677 | 0.0 | ||
14,775 | @ | VeriFone Holdings, Inc. | 438,522 | 0.2 | ||
19,953 | @ | VeriSign, Inc. | 774,575 | 0.3 | ||
12,353 | Western Digital Corp. | 524,879 | 0.2 | |||
84,147 | Western Union Co. | 1,145,241 | 0.4 | |||
2,678 | @ | Workday, Inc. | 145,951 | 0.1 | ||
36,227 | Xilinx, Inc. | 1,300,549 | 0.5 | |||
1,134 | @ | Zebra Technologies Corp. | 44,544 | 0.0 | ||
18,163 | @ | Zynga, Inc. | 43,046 | 0.0 | ||
46,730,972 | 16.8 | |||||
Materials: 6.6% | ||||||
9,428 | Airgas, Inc. | 860,682 | 0.3 | |||
6,906 | Albemarle Corp. | 429,001 | 0.2 | |||
12,342 | @ | Allied Nevada Gold Corp. | 371,865 | 0.1 | ||
3,071 | Aptargroup, Inc. | 146,548 | 0.1 | |||
21,511 | Ball Corp. | 962,617 | 0.4 | |||
480 | Carpenter Technology Corp. | 24,782 | 0.0 | |||
21,468 | Celanese Corp. | 955,970 | 0.3 | |||
2,000 | CF Industries Holdings, Inc. | 406,320 | 0.1 | |||
4,541 | Compass Minerals International, Inc. | 339,258 | 0.1 | |||
4,907 | @ | Crown Holdings, Inc. | 180,627 | 0.1 | ||
17,188 | Eastman Chemical Co. | 1,169,643 | 0.4 | |||
18,826 | FMC Corp. | 1,101,698 | 0.4 | |||
11,129 | International Flavors & Fragrances, Inc. | 740,524 | 0.3 | |||
3,558 | @ | Intrepid Potash, Inc. | 75,750 | 0.0 | ||
3,203 | Martin Marietta Materials, Inc. | 301,979 | 0.1 | |||
2,412 | @,L | Molycorp, Inc. | 22,769 | 0.0 | ||
1,202 | NewMarket Corp. | 315,164 | 0.1 | |||
16,748 | @ | Owens-Illinois, Inc. | 356,230 | 0.1 | ||
12,358 | Packaging Corp. of America | 475,412 | 0.2 | |||
20,906 | PPG Industries, Inc. | 2,829,627 | 1.0 | |||
1,127 | Rock-Tenn Co. | 78,789 | 0.0 | |||
2,840 | Rockwood Holdings, Inc. | 140,466 | 0.1 | |||
8,795 | Royal Gold, Inc. | 715,121 | 0.3 | |||
7,020 | RPM International, Inc. | 206,107 | 0.1 | |||
5,097 | Scotts Miracle-Gro Co. | 224,523 | 0.1 | |||
11,923 | Sherwin-Williams Co. | 1,833,996 | 0.7 | |||
16,594 | Sigma-Aldrich Corp. | 1,220,987 | 0.4 | |||
6,740 | Silgan Holdings, Inc. | 280,317 | 0.1 | |||
6,565 | Steel Dynamics, Inc. | 90,137 | 0.0 | |||
2,519 | @ | Tahoe Resources, Inc. | 46,148 | 0.0 | ||
12,782 | Valspar Corp. | 797,597 | 0.3 | |||
600 | Westlake Chemical Corp. | 47,580 | 0.0 | |||
9,362 | @ | WR Grace & Co. | 629,407 | 0.2 | ||
18,377,641 | 6.6 | |||||
Telecommunication Services: 1.9% | ||||||
40,223 | @ | Crown Castle International Corp. | 2,902,492 | 1.1 | ||
11,473 | @ | Level 3 Communications, Inc. | 265,141 | 0.1 | ||
16,647 | @ | SBA Communications Corp. | 1,182,270 | 0.4 | ||
20,659 | @ | TW Telecom, Inc. | 526,185 | 0.2 | ||
47,966 | L | Windstream Corp. | 397,158 | 0.1 | ||
5,273,246 | 1.9 | |||||
Utilities: 0.7% | ||||||
2,100 | Aqua America, Inc. | 53,382 | 0.0 | |||
7,053 | ITC Holdings Corp. | 542,446 | 0.2 | |||
28,535 | Oneok, Inc. | 1,219,871 | 0.4 | |||
5,559 | Questar Corp. | 109,846 | 0.1 | |||
1,925,545 | 0.7 | |||||
Total Common Stock | ||||||
(Cost $183,906,701) | 275,140,527 | 99.0 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 3.2% | ||||||
Securities Lending Collateralcc(1): 2.2% | ||||||
1,450,754 | Cantor Fitzgerald, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,450,778, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-7.500%, Market Value plus accrued interest $1,479,769, due 07/15/13-08/01/46) | 1,450,754 | 0.6 | |||
1,450,754 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,450,770, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,479,769, due 10/01/16-12/20/42) | 1,450,754 | 0.5 | |||
305,315 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $305,318, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $311,422, due 10/31/17-08/15/22) | 305,315 | 0.1 | |||
1,450,754 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $1,450,769, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $1,479,769, due 08/09/13-06/20/42) | 1,450,754 | 0.5 | |||
1,450,754 | Royal Bank of Canada, Repurchase Agreement dated 12/26/12, 0.18%, due 01/02/13 (Repurchase Amount $1,450,804, collateralized by various U.S. Government Agency Obligations, 2.000%-4.500%, Market Value plus accrued interest $1,479,769, due 10/01/32-01/01/43) | 1,450,754 | 0.5 | |||
6,108,331 | 2.2 | |||||
Shares | Value | Percentage of Net Assets | ||||
Mutual Funds: 1.0% | ||||||
2,661,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $2,661,000) | 2,661,000 | 1.0 | ||||
Total Short-Term Investments | ||||||||||
(Cost $8,769,331) | 8,769,331 | 3.2 | ||||||||
Total Investments in Securities (Cost $192,676,032) | $ | 283,909,858 | 102.2 | |||||||
Liabilities in Excess of Other Assets | (6,128,702 | ) | (2.2 | ) | ||||||
Net Assets | $ | 277,781,156 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $193,428,723. | ||||
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 97,016,024 | ||
Gross Unrealized Depreciation | (6,534,889 | ) | ||
Net Unrealized Appreciation | $ | 90,481,135 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock* | $ | 275,140,527 | $ | – | $ | – | $ | 275,140,527 | ||||||||
Short-Term Investments | 2,661,000 | 6,108,331 | – | 8,769,331 | ||||||||||||
Total Investments, at fair value | $ | 277,801,527 | $ | 6,108,331 | $ | – | $ | 283,909,858 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 23,459 | – | – | 23,459 | ||||||||||||
Total Assets | $ | 277,824,986 | $ | 6,108,331 | $ | – | $ | 283,933,317 |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
ING Russell™ Mid Cap Growth Index Portfolio Open Futures Contracts on December 31, 2012: | ||||||||||||||
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
S&P Mid 400 E-Mini | 30 | 03/15/13 | $ | 3,054,300 | $ | 23,459 | ||||||||
$ | 3,054,300 | $ | 23,459 | |||||||||||
See Accompanying Notes to Financial Statements |
ING Russell™ Mid Cap Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 95.5% | ||||||
Consumer Discretionary: 15.9% | ||||||
28,529 | Aaron's, Inc. | 806,800 | 0.0 | |||
29,855 | Abercrombie & Fitch Co. | 1,432,144 | 0.1 | |||
27,571 | Advance Auto Parts, Inc. | 1,994,762 | 0.1 | |||
9,765 | Allison Transmission Holdings, Inc. | 199,401 | 0.0 | |||
21,410 | @ | AMC Networks, Inc. | 1,059,795 | 0.1 | ||
73,510 | American Eagle Outfitters | 1,507,690 | 0.1 | |||
36,028 | @ | Apollo Group, Inc. - Class A | 753,706 | 0.0 | ||
46,058 | @ | Ascena Retail Group, Inc. | 851,612 | 0.1 | ||
13,167 | @ | Autonation, Inc. | 522,730 | 0.0 | ||
14,275 | @ | Autozone, Inc. | 5,059,488 | 0.3 | ||
16,150 | @ | Bally Technologies, Inc. | 722,066 | 0.0 | ||
87,166 | @ | Bed Bath & Beyond, Inc. | 4,873,451 | 0.3 | ||
100,944 | Best Buy Co., Inc. | 1,196,186 | 0.1 | |||
24,835 | @ | Big Lots, Inc. | 706,804 | 0.0 | ||
42,977 | @ | BorgWarner, Inc. | 3,078,013 | 0.2 | ||
28,263 | Brinker International, Inc. | 875,870 | 0.1 | |||
75,403 | Cablevision Systems Corp. | 1,126,521 | 0.1 | |||
85,557 | @ | Carmax, Inc. | 3,211,810 | 0.2 | ||
18,145 | @ | Carter's, Inc. | 1,009,769 | 0.1 | ||
18,290 | @ | Charter Communications, Inc. | 1,394,430 | 0.1 | ||
62,907 | Chico's FAS, Inc. | 1,161,263 | 0.1 | |||
11,900 | @ | Chipotle Mexican Grill, Inc. | 3,539,774 | 0.2 | ||
10,014 | Choice Hotels International, Inc. | 336,671 | 0.0 | |||
43,085 | Cinemark Holdings, Inc. | 1,119,348 | 0.1 | |||
15,550 | @ | Clear Channel Outdoor Holdings, Inc. | 109,161 | 0.0 | ||
48,240 | Darden Restaurants, Inc. | 2,174,177 | 0.1 | |||
14,431 | @,L | Deckers Outdoor Corp. | 581,136 | 0.0 | ||
123,058 | @ | Delphi Automotive PLC | 4,706,969 | 0.3 | ||
24,552 | DeVry, Inc. | 582,619 | 0.0 | |||
34,827 | Dick's Sporting Goods, Inc. | 1,584,280 | 0.1 | |||
11,037 | Dillard's, Inc. | 924,569 | 0.1 | |||
89,566 | @ | Discovery Communications, Inc. - Class A | 5,685,650 | 0.3 | ||
76,500 | @ | Dish Network Corp. - Class A | 2,784,600 | 0.2 | ||
69,250 | @ | Dollar General Corp. | 3,053,232 | 0.2 | ||
86,958 | @ | Dollar Tree, Inc. | 3,527,016 | 0.2 | ||
104,208 | D.R. Horton, Inc. | 2,061,234 | 0.1 | |||
25,435 | @ | DreamWorks Animation SKG, Inc. | 421,458 | 0.0 | ||
12,371 | DSW, Inc. | 812,651 | 0.0 | |||
26,750 | Dunkin' Brands Group, Inc. | 887,565 | 0.1 | |||
32,794 | Expedia, Inc. | 2,015,191 | 0.1 | |||
36,240 | Family Dollar Stores, Inc. | 2,297,978 | 0.1 | |||
56,975 | Foot Locker, Inc. | 1,830,037 | 0.1 | |||
20,471 | @ | Fossil, Inc. | 1,905,850 | 0.1 | ||
49,462 | L | GameStop Corp. | 1,241,002 | 0.1 | ||
88,113 | Gannett Co., Inc. | 1,586,915 | 0.1 | |||
113,559 | Gap, Inc. | 3,524,871 | 0.2 | |||
41,050 | L | Garmin Ltd. | 1,675,661 | 0.1 | ||
54,600 | Gentex Corp. | 1,027,572 | 0.1 | |||
58,465 | Genuine Parts Co. | 3,717,205 | 0.2 | |||
27,756 | GNC Holdings, Inc. | 923,720 | 0.1 | |||
91,736 | @ | Goodyear Tire & Rubber Co. | 1,266,874 | 0.1 | ||
16,216 | @ | Groupon, Inc. | 79,134 | 0.0 | ||
24,700 | Guess ?, Inc. | 606,138 | 0.0 | |||
102,893 | H&R Block, Inc. | 1,910,723 | 0.1 | |||
37,000 | @ | Hanesbrands, Inc. | 1,325,340 | 0.1 | ||
86,796 | Harley-Davidson, Inc. | 4,239,117 | 0.2 | |||
26,700 | Harman International Industries, Inc. | 1,191,888 | 0.1 | |||
43,266 | L | Hasbro, Inc. | 1,553,249 | 0.1 | ||
12,052 | @,L | HomeAway, Inc. | 265,144 | 0.0 | ||
16,900 | @ | Hyatt Hotels Corp. | 651,833 | 0.0 | ||
100,262 | International Game Technology | 1,420,713 | 0.1 | |||
166,050 | Interpublic Group of Cos., Inc. | 1,829,871 | 0.1 | |||
9,053 | @ | ITT Educational Services, Inc. | 156,707 | 0.0 | ||
29,871 | @ | Jarden Corp. | 1,544,331 | 0.1 | ||
59,837 | L | JC Penney Co., Inc. | 1,179,387 | 0.1 | ||
17,850 | John Wiley & Sons, Inc. | 694,900 | 0.0 | |||
86,343 | Kohl's Corp. | 3,711,022 | 0.2 | |||
28,872 | @ | Lamar Advertising Co. | 1,118,790 | 0.1 | ||
37,346 | Lear Corp. | 1,749,287 | 0.1 | |||
52,532 | Leggett & Platt, Inc. | 1,429,921 | 0.1 | |||
60,654 | L | Lennar Corp. | 2,345,490 | 0.1 | ||
98,339 | @ | Liberty Global, Inc. | 6,194,374 | 0.4 | ||
209,475 | @ | Liberty Media Corp. - Interactive | 4,122,468 | 0.2 | ||
40,690 | @ | Liberty Media Corp. - Liberty Capital | 4,720,447 | 0.3 | ||
13,970 | @ | Liberty Ventures | 946,607 | 0.1 | ||
90,511 | Limited Brands, Inc. | 4,259,448 | 0.3 | |||
110,574 | @ | LKQ Corp. | 2,333,111 | 0.1 | ||
155,431 | Macy's, Inc. | 6,064,918 | 0.4 | |||
23,075 | @ | The Madison Square Garden, Inc. | 1,023,376 | 0.1 | ||
95,306 | Marriott International, Inc. | 3,552,055 | 0.2 | |||
127,673 | Mattel, Inc. | 4,675,385 | 0.3 | |||
104,878 | McGraw-Hill Cos., Inc. | 5,733,680 | 0.3 | |||
149,026 | @ | MGM Resorts International | 1,734,663 | 0.1 | ||
31,776 | @ | Michael Kors Holdings Ltd. | 1,621,529 | 0.1 | ||
21,355 | @ | Mohawk Industries, Inc. | 1,931,987 | 0.1 | ||
9,012 | Morningstar, Inc. | 566,224 | 0.0 | |||
20,818 | @,L | NetFlix, Inc. | 1,931,494 | 0.1 | ||
108,677 | Newell Rubbermaid, Inc. | 2,420,237 | 0.1 | |||
58,945 | Nordstrom, Inc. | 3,153,557 | 0.2 | |||
1,900 | @ | NVR, Inc. | 1,748,000 | 0.1 | ||
102,223 | Omnicom Group, Inc. | 5,107,061 | 0.3 | |||
44,618 | @ | O'Reilly Automotive, Inc. | 3,989,742 | 0.2 | ||
38,181 | @,L | Pandora Media, Inc. | 350,502 | 0.0 | ||
10,625 | @ | Panera Bread Co. | 1,687,569 | 0.1 | ||
24,720 | @ | Penn National Gaming, Inc. | 1,213,999 | 0.1 | ||
40,629 | Petsmart, Inc. | 2,776,586 | 0.2 | |||
24,264 | Polaris Industries, Inc. | 2,041,816 | 0.1 | |||
128,370 | @ | Pulte Homes, Inc. | 2,331,199 | 0.1 | ||
26,373 | PVH Corp. | 2,927,667 | 0.2 | |||
23,115 | Ralph Lauren Corp. | 3,465,401 | 0.2 | |||
30,900 | L | Regal Entertainment Group | 431,055 | 0.0 | ||
84,934 | Ross Stores, Inc. | 4,599,176 | 0.3 | |||
56,768 | @ | Royal Caribbean Cruises Ltd. | 1,930,112 | 0.1 | ||
58,087 | @ | Sally Beauty Holdings, Inc. | 1,369,111 | 0.1 | ||
31,852 | Scripps Networks Interactive - Class A | 1,844,868 | 0.1 | |||
13,572 | @,L | Sears Holding Corp. | 561,338 | 0.0 | ||
2,959 | @ | Sears Hometown and Outlet Stores, Inc. | 96,345 | 0.0 | ||
81,416 | Service Corp. International | 1,124,355 | 0.1 | |||
31,908 | Signet Jewelers Ltd. | 1,703,887 | 0.1 | |||
1,425,059 | @ | Sirius XM Radio, Inc. | 4,118,421 | 0.2 | ||
258,399 | Staples, Inc. | 2,945,749 | 0.2 | |||
74,092 | Starwood Hotels & Resorts Worldwide, Inc. | 4,249,917 | 0.2 | |||
23,814 | @ | Tempur-Pedic International, Inc. | 749,903 | 0.0 | ||
26,573 | @,L | Tesla Motors, Inc. | 900,028 | 0.1 | ||
16,053 | Thor Industries, Inc. | 600,864 | 0.0 | |||
47,499 | Tiffany & Co. | 2,723,593 | 0.2 | |||
53,896 | @ | Toll Brothers, Inc. | 1,742,458 | 0.1 | ||
27,013 | Tractor Supply Co. | 2,386,869 | 0.1 | |||
32,552 | @ | TripAdvisor, Inc. | 1,365,882 | 0.1 | ||
37,749 | @ | TRW Automotive Holdings Corp. | 2,023,724 | 0.1 | ||
20,970 | Tupperware Corp. | 1,344,177 | 0.1 | |||
23,571 | @ | Ulta Salon Cosmetics & Fragrance, Inc. | 2,316,086 | 0.1 | ||
29,116 | @ | Under Armour, Inc. | 1,412,999 | 0.1 | ||
39,919 | @ | Urban Outfitters, Inc. | 1,571,212 | 0.1 | ||
32,869 | VF Corp. | 4,962,233 | 0.3 | |||
104,127 | Virgin Media, Inc. | 3,826,667 | 0.2 | |||
19,500 | @ | Visteon Corp. | 1,049,490 | 0.1 | ||
1,591 | Washington Post | 581,049 | 0.0 | |||
9,977 | Weight Watchers International, Inc. | 522,396 | 0.0 | |||
105,202 | Wendy's Company | 494,449 | 0.0 | |||
29,100 | Whirlpool Corp. | 2,960,925 | 0.2 | |||
33,165 | Williams-Sonoma, Inc. | 1,451,632 | 0.1 | |||
54,692 | Wyndham Worldwide Corp. | 2,910,161 | 0.2 | |||
29,881 | Wynn Resorts Ltd. | 3,361,314 | 0.2 | |||
271,309,829 | 15.9 | |||||
Consumer Staples: 5.9% | ||||||
161,940 | Avon Products, Inc. | 2,325,458 | 0.1 | |||
59,000 | Beam, Inc. | 3,604,310 | 0.2 | |||
56,139 | Brown-Forman Corp. | 3,550,792 | 0.2 | |||
54,705 | Bunge Ltd. | 3,976,506 | 0.2 | |||
65,505 | Campbell Soup Co. | 2,285,469 | 0.1 | |||
52,071 | Church & Dwight Co., Inc. | 2,789,444 | 0.2 | |||
48,773 | Clorox Co. | 3,571,159 | 0.2 | |||
112,469 | Coca-Cola Enterprises, Inc. | 3,568,641 | 0.2 | |||
155,727 | ConAgra Foods, Inc. | 4,593,947 | 0.3 | |||
55,321 | @ | Constellation Brands, Inc. | 1,957,810 | 0.1 | ||
70,050 | @ | Dean Foods Co. | 1,156,526 | 0.1 | ||
79,428 | Dr Pepper Snapple Group, Inc. | 3,509,129 | 0.2 | |||
23,243 | Energizer Holdings, Inc. | 1,858,975 | 0.1 | |||
42,019 | Flowers Foods, Inc. | 977,782 | 0.1 | |||
10,300 | @ | Fresh Market, Inc. | 495,327 | 0.0 | ||
51,632 | @,L | Green Mountain Coffee Roasters, Inc. | 2,135,500 | 0.1 | ||
40,563 | @,L | Herbalife Ltd. | 1,336,145 | 0.1 | ||
56,277 | Hershey Co. | 4,064,325 | 0.2 | |||
44,513 | Hillshire Brands Co. | 1,252,596 | 0.1 | |||
119,939 | HJ Heinz Co. | 6,918,082 | 0.4 | |||
50,404 | Hormel Foods Corp. | 1,573,109 | 0.1 | |||
28,663 | Ingredion, Inc. | 1,846,757 | 0.1 | |||
41,997 | JM Smucker Co. | 3,621,821 | 0.2 | |||
197,938 | Kroger Co. | 5,150,347 | 0.3 | |||
48,938 | Lorillard, Inc. | 5,709,596 | 0.3 | |||
49,708 | McCormick & Co., Inc. | 3,157,949 | 0.2 | |||
76,449 | Mead Johnson Nutrition Co. | 5,037,225 | 0.3 | |||
48,014 | Molson Coors Brewing Co. | 2,054,519 | 0.1 | |||
54,047 | @ | Monster Beverage Corp. | 2,858,005 | 0.2 | ||
21,216 | L | Nu Skin Enterprises, Inc. | 786,053 | 0.1 | ||
20,713 | @ | Ralcorp Holdings, Inc. | 1,856,920 | 0.1 | ||
90,167 | L | Safeway, Inc. | 1,631,121 | 0.1 | ||
52,037 | @ | Smithfield Foods, Inc. | 1,122,438 | 0.1 | ||
108,938 | Tyson Foods, Inc. | 2,113,397 | 0.1 | |||
8,585 | @ | WhiteWave Foods Co. | 133,411 | 0.0 | ||
68,817 | Whole Foods Market, Inc. | 6,285,057 | 0.4 | |||
100,865,648 | 5.9 | |||||
Energy: 6.9% | ||||||
82,564 | @ | Alpha Natural Resources, Inc. | 804,173 | 0.0 | ||
21,600 | @ | Atwood Oceanics, Inc. | 989,064 | 0.1 | ||
78,660 | Cabot Oil & Gas Corp. | 3,912,548 | 0.2 | |||
92,348 | @ | Cameron International Corp. | 5,213,968 | 0.3 | ||
7,400 | L | CARBO Ceramics, Inc. | 579,716 | 0.0 | ||
80,394 | @ | Cheniere Energy, Inc. | 1,509,799 | 0.1 | ||
248,325 | Chesapeake Energy Corp. | 4,127,161 | 0.2 | |||
32,140 | Cimarex Energy Co. | 1,855,442 | 0.1 | |||
68,986 | @ | Cobalt International Energy, Inc. | 1,694,296 | 0.1 | ||
39,007 | @ | Concho Resources, Inc. | 3,142,404 | 0.2 | ||
85,295 | Consol Energy, Inc. | 2,737,969 | 0.2 | |||
16,000 | @ | Continental Resources, Inc. | 1,175,840 | 0.1 | ||
146,451 | @ | Denbury Resources, Inc. | 2,372,506 | 0.1 | ||
25,806 | L | Diamond Offshore Drilling | 1,753,776 | 0.1 | ||
28,344 | @ | Dresser-Rand Group, Inc. | 1,591,232 | 0.1 | ||
49,358 | EQT Corp. | 2,911,135 | 0.2 | |||
46,432 | L | EXCO Resources, Inc. | 314,345 | 0.0 | ||
89,660 | @ | FMC Technologies, Inc. | 3,840,138 | 0.2 | ||
16,295 | @ | Golar LNG Ltd. | 599,330 | 0.0 | ||
35,962 | Helmerich & Payne, Inc. | 2,014,232 | 0.1 | |||
77,534 | HollyFrontier Corp. | 3,609,208 | 0.2 | |||
26,435 | @ | Kosmos Energy, LLC | 326,472 | 0.0 | ||
7,770 | @ | Laredo Petroleum Holdings, Inc. | 141,103 | 0.0 | ||
127,749 | Marathon Petroleum Corp. | 8,048,187 | 0.5 | |||
89,650 | @ | McDermott International, Inc. | 987,943 | 0.1 | ||
72,895 | Murphy Oil Corp. | 4,340,897 | 0.3 | |||
109,900 | @ | Nabors Industries Ltd. | 1,588,055 | 0.1 | ||
50,567 | @ | Newfield Exploration Co. | 1,354,184 | 0.1 | ||
66,655 | Noble Energy, Inc. | 6,781,480 | 0.4 | |||
40,601 | Oceaneering International, Inc. | 2,183,928 | 0.1 | |||
20,540 | @ | Oil States International, Inc. | 1,469,432 | 0.1 | ||
59,100 | Patterson-UTI Energy, Inc. | 1,101,033 | 0.1 | |||
102,138 | Peabody Energy Corp. | 2,717,892 | 0.2 | |||
46,130 | Pioneer Natural Resources Co. | 4,916,997 | 0.3 | |||
48,310 | @ | Plains Exploration & Production Co. | 2,267,671 | 0.1 | ||
66,876 | QEP Resources, Inc. | 2,024,337 | 0.1 | |||
60,801 | Range Resources Corp. | 3,820,127 | 0.2 | |||
46,539 | @ | Rowan Companies PLC | 1,455,275 | 0.1 | ||
23,003 | L | RPC, Inc. | 281,557 | 0.0 | ||
183,546 | @,L | SandRidge Energy, Inc. | 1,165,517 | 0.1 | ||
7,926 | @ | SEACOR Holdings, Inc. | 664,199 | 0.0 | ||
24,038 | SM Energy Co. | 1,255,024 | 0.1 | |||
130,882 | @ | Southwestern Energy Co. | 4,372,768 | 0.3 | ||
59,031 | @ | Superior Energy Services | 1,223,122 | 0.1 | ||
13,614 | Teekay Corp. | 437,009 | 0.0 | |||
52,617 | Tesoro Corp. | 2,317,779 | 0.1 | |||
19,210 | Tidewater, Inc. | 858,303 | 0.0 | |||
57,363 | @,L | Ultra Petroleum Corp. | 1,039,991 | 0.1 | ||
18,228 | @ | Unit Corp. | 821,171 | 0.0 | ||
207,294 | Valero Energy Corp. | 7,072,871 | 0.4 | |||
44,087 | @ | Whiting Petroleum Corp. | 1,912,053 | 0.1 | ||
26,951 | World Fuel Services Corp. | 1,109,573 | 0.1 | |||
74,454 | @ | WPX Energy, Inc. | 1,107,876 | 0.1 | ||
117,912,108 | 6.9 | |||||
Financials: 18.8% | ||||||
19,260 | @ | Affiliated Managers Group, Inc. | 2,506,689 | 0.1 | ||
15,850 | @ | Alexander & Baldwin, Inc. | 465,514 | 0.0 | ||
23,286 | Alexandria Real Estate Equities, Inc. | 1,614,186 | 0.1 | |||
6,347 | @ | Alleghany Corp. | 2,128,911 | 0.1 | ||
13,627 | @ | Allied World Assurance Co. Holdings Ltd. | 1,073,808 | 0.1 | ||
38,817 | American Campus Communities, Inc. | 1,790,628 | 0.1 | |||
128,115 | American Capital Agency Corp. | 3,707,648 | 0.2 | |||
124,735 | @ | American Capital Ltd. | 1,496,820 | 0.1 | ||
29,878 | American Financial Group, Inc. | 1,180,779 | 0.1 | |||
2,600 | American National Insurance | 177,554 | 0.0 | |||
77,829 | Ameriprise Financial, Inc. | 4,874,430 | 0.3 | |||
365,392 | Annaly Capital Management, Inc. | 5,130,104 | 0.3 | |||
122,392 | Aon PLC | 6,804,995 | 0.4 | |||
53,838 | Apartment Investment & Management Co. | 1,456,856 | 0.1 | |||
50,450 | @ | Arch Capital Group Ltd. | 2,220,809 | 0.1 | ||
93,038 | Ares Capital Corp. | 1,628,165 | 0.1 | |||
44,425 | Arthur J. Gallagher & Co. | 1,539,326 | 0.1 | |||
27,100 | @ | Aspen Insurance Holdings Ltd. | 869,368 | 0.0 | ||
66,250 | Associated Banc-Corp. | 869,200 | 0.0 | |||
32,138 | Assurant, Inc. | 1,115,189 | 0.1 | |||
64,382 | @ | Assured Guaranty Ltd. | 916,156 | 0.1 | ||
42,891 | AvalonBay Communities, Inc. | 5,815,591 | 0.3 | |||
41,032 | @ | Axis Capital Holdings Ltd. | 1,421,348 | 0.1 | ||
17,084 | Bank of Hawaii Corp. | 752,550 | 0.0 | |||
12,800 | BankUnited, Inc. | 312,832 | 0.0 | |||
57,802 | BioMed Realty Trust, Inc. | 1,117,313 | 0.1 | |||
9,850 | BOK Financial Corp. | 536,431 | 0.0 | |||
56,173 | Boston Properties, Inc. | 5,943,665 | 0.3 | |||
53,701 | Brandywine Realty Trust | 654,615 | 0.0 | |||
28,500 | BRE Properties, Inc. | 1,448,655 | 0.1 | |||
43,821 | Brown & Brown, Inc. | 1,115,683 | 0.1 | |||
30,107 | Camden Property Trust | 2,053,598 | 0.1 | |||
87,064 | CapitalSource, Inc. | 659,945 | 0.0 | |||
61,453 | Capitol Federal Financial, Inc. | 718,386 | 0.0 | |||
55,738 | CBL & Associates Properties, Inc. | 1,182,203 | 0.1 | |||
32,778 | CBOE Holdings, Inc. | 965,640 | 0.1 | |||
123,017 | @ | CBRE Group, Inc. | 2,448,038 | 0.1 | ||
385,016 | Chimera Investment Corp. | 1,004,892 | 0.1 | |||
54,733 | Cincinnati Financial Corp. | 2,143,344 | 0.1 | |||
75,312 | @ | CIT Group, Inc. | 2,910,056 | 0.2 | ||
17,497 | City National Corp. | 866,451 | 0.0 | |||
10,250 | CNA Financial Corp. | 287,102 | 0.0 | |||
73,719 | Comerica, Inc. | 2,236,634 | 0.1 | |||
29,566 | Commerce Bancshares, Inc. | 1,036,584 | 0.1 | |||
31,393 | CommonWealth REIT | 497,265 | 0.0 | |||
30,360 | Corporate Office Properties Trust SBI MD | 758,393 | 0.0 | |||
19,970 | Cullen/Frost Bankers, Inc. | 1,083,772 | 0.1 | |||
89,134 | DDR Corp. | 1,395,838 | 0.1 | |||
45,680 | Digital Realty Trust, Inc. | 3,101,215 | 0.2 | |||
52,326 | Douglas Emmett, Inc. | 1,219,196 | 0.1 | |||
99,254 | Duke Realty Corp. | 1,376,653 | 0.1 | |||
107,198 | @ | E*Trade Financial Corp. | 959,422 | 0.1 | ||
54,230 | East-West Bancorp., Inc. | 1,165,403 | 0.1 | |||
43,301 | Eaton Vance Corp. | 1,379,137 | 0.1 | |||
16,254 | @ | Endurance Specialty Holdings Ltd. | 645,121 | 0.0 | ||
15,495 | Equity Lifestyle Properties, Inc. | 1,042,659 | 0.1 | |||
9,694 | Erie Indemnity Co. | 671,019 | 0.0 | |||
13,200 | Essex Property Trust, Inc. | 1,935,780 | 0.1 | |||
19,770 | @ | Everest Re Group Ltd. | 2,173,712 | 0.1 | ||
41,426 | Extra Space Storage, Inc. | 1,507,492 | 0.1 | |||
23,960 | Federal Realty Investment Trust | 2,492,319 | 0.1 | |||
34,550 | L | Federated Investors, Inc. | 698,947 | 0.0 | ||
83,574 | Fidelity National Financial, Inc. | 1,968,168 | 0.1 | |||
344,969 | Fifth Third Bancorp. | 5,240,079 | 0.3 | |||
1,898 | First Citizens BancShares, Inc. | 310,323 | 0.0 | |||
94,671 | First Horizon National Corp. | 938,190 | 0.1 | |||
132,156 | First Niagara Financial Group, Inc. | 1,047,997 | 0.1 | |||
38,255 | First Republic Bank | 1,253,999 | 0.1 | |||
56,253 | @ | Forest City Enterprises, Inc. | 908,486 | 0.1 | ||
76,250 | Fulton Financial Corp. | 732,763 | 0.0 | |||
197,996 | General Growth Properties, Inc. | 3,930,221 | 0.2 | |||
184,406 | @ | Genworth Financial, Inc. | 1,384,889 | 0.1 | ||
16,883 | Hanover Insurance Group, Inc. | 654,047 | 0.0 | |||
165,284 | Hartford Financial Services Group, Inc. | 3,708,973 | 0.2 | |||
36,637 | Hatteras Financial Corp. | 908,964 | 0.1 | |||
37,930 | HCC Insurance Holdings, Inc. | 1,411,375 | 0.1 | |||
169,613 | HCP, Inc. | 7,663,115 | 0.4 | |||
97,372 | Health Care Real Estate Investment Trust, Inc. | 5,967,930 | 0.3 | |||
19,252 | Home Properties, Inc. | 1,180,340 | 0.1 | |||
46,329 | Hospitality Properties Trust | 1,085,025 | 0.1 | |||
269,590 | Host Hotels & Resorts, Inc. | 4,224,475 | 0.2 | |||
10,294 | @ | Howard Hughes Corp. | 751,668 | 0.0 | ||
197,990 | Hudson City Bancorp., Inc. | 1,609,659 | 0.1 | |||
324,181 | Huntington Bancshares, Inc. | 2,071,517 | 0.1 | |||
14,000 | Interactive Brokers Group, Inc. | 191,520 | 0.0 | |||
27,279 | @ | IntercontinentalExchange, Inc. | 3,377,413 | 0.2 | ||
168,079 | @ | Invesco Ltd. | 4,385,181 | 0.3 | ||
71,250 | Janus Capital Group, Inc. | 607,050 | 0.0 | |||
53,018 | Jefferies Group, Inc. | 984,544 | 0.1 | |||
16,400 | Jones Lang LaSalle, Inc. | 1,376,616 | 0.1 | |||
18,481 | Kemper Corp. | 545,190 | 0.0 | |||
357,329 | Keycorp | 3,008,710 | 0.2 | |||
28,034 | Kilroy Realty Corp. | 1,327,971 | 0.1 | |||
152,541 | Kimco Realty Corp. | 2,947,092 | 0.2 | |||
42,400 | Lazard Ltd. | 1,265,216 | 0.1 | |||
49,469 | Legg Mason, Inc. | 1,272,343 | 0.1 | |||
74,032 | Leucadia National Corp. | 1,761,221 | 0.1 | |||
38,844 | Liberty Property Trust | 1,389,450 | 0.1 | |||
107,036 | Lincoln National Corp. | 2,772,232 | 0.2 | |||
18,917 | LPL Financial Holdings, Inc. | 532,703 | 0.0 | |||
47,446 | M&T Bank Corp. | 4,672,008 | 0.3 | |||
49,703 | Macerich Co. | 2,897,685 | 0.2 | |||
33,300 | Mack-Cali Realty Corp. | 869,463 | 0.1 | |||
3,621 | @ | Markel Corp. | 1,569,414 | 0.1 | ||
53,059 | @,L | MBIA, Inc. | 416,513 | 0.0 | ||
10,250 | Mercury General Corp. | 406,823 | 0.0 | |||
133,875 | MFA Mortgage Investments, Inc. | 1,085,726 | 0.1 | |||
15,357 | Mid-America Apartment Communities, Inc. | 994,366 | 0.1 | |||
73,562 | Moody's Corp. | 3,701,640 | 0.2 | |||
45,552 | @ | MSCI, Inc. - Class A | 1,411,656 | 0.1 | ||
43,648 | Nasdaq Stock Market, Inc. | 1,091,636 | 0.1 | |||
40,125 | National Retail Properties, Inc. | 1,251,900 | 0.1 | |||
164,599 | New York Community Bancorp., Inc. | 2,156,247 | 0.1 | |||
80,837 | Northern Trust Corp. | 4,054,784 | 0.2 | |||
95,209 | NYSE Euronext | 3,002,892 | 0.2 | |||
97,319 | Old Republic International Corp. | 1,036,447 | 0.1 | |||
22,989 | @ | PartnerRe Ltd. | 1,850,385 | 0.1 | ||
126,097 | People's United Financial, Inc. | 1,524,513 | 0.1 | |||
64,803 | Piedmont Office Realty Trust, Inc. | 1,169,694 | 0.1 | |||
60,531 | Plum Creek Timber Co., Inc. | 2,685,760 | 0.2 | |||
39,170 | @ | Popular, Inc. | 814,344 | 0.0 | ||
20,271 | Post Properties, Inc. | 1,012,536 | 0.1 | |||
112,551 | Principal Financial Group, Inc. | 3,209,955 | 0.2 | |||
22,978 | ProAssurance Corp. | 969,442 | 0.1 | |||
229,123 | Progressive Corp. | 4,834,495 | 0.3 | |||
172,340 | ProLogis, Inc. | 6,288,687 | 0.4 | |||
30,345 | Protective Life Corp. | 867,260 | 0.0 | |||
42,638 | Raymond James Financial, Inc. | 1,642,842 | 0.1 | |||
45,927 | Rayonier, Inc. | 2,380,396 | 0.1 | |||
18,415 | @ | Realogy Holdings Corp. | 772,693 | 0.0 | ||
50,003 | Realty Income Corp. | 2,010,621 | 0.1 | |||
33,721 | Regency Centers Corp. | 1,588,934 | 0.1 | |||
529,850 | Regions Financial Corp. | 3,772,532 | 0.2 | |||
27,631 | Reinsurance Group of America, Inc. | 1,478,811 | 0.1 | |||
18,069 | @ | RenaissanceRe Holdings Ltd. | 1,468,287 | 0.1 | ||
31,818 | Retail Properties of America, Inc. | 380,861 | 0.0 | |||
51,427 | SEI Investments Co. | 1,200,306 | 0.1 | |||
66,186 | Senior Housing Properties Trust | 1,564,637 | 0.1 | |||
18,221 | @ | Signature Bank | 1,299,886 | 0.1 | ||
33,609 | SL Green Realty Corp. | 2,576,130 | 0.2 | |||
173,495 | SLM Corp. | 2,971,969 | 0.2 | |||
24,900 | @ | St. Joe Co. | 574,692 | 0.0 | ||
16,631 | Stancorp Financial Group, Inc. | 609,859 | 0.0 | |||
201,753 | SunTrust Bank | 5,719,698 | 0.3 | |||
16,584 | @ | SVB Financial Group | 928,206 | 0.1 | ||
300,700 | Synovus Financial Corp. | 736,715 | 0.0 | |||
95,640 | T. Rowe Price Group, Inc. | 6,229,033 | 0.4 | |||
34,732 | Tanger Factory Outlet Centers, Inc. | 1,187,834 | 0.1 | |||
22,038 | Taubman Centers, Inc. | 1,734,831 | 0.1 | |||
60,750 | TCF Financial Corp. | 738,113 | 0.0 | |||
86,974 | TD Ameritrade Holding Corp. | 1,462,033 | 0.1 | |||
30,550 | @ | TFS Financial Corp. | 293,891 | 0.0 | ||
36,919 | Torchmark Corp. | 1,907,605 | 0.1 | |||
92,767 | UDR, Inc. | 2,205,999 | 0.1 | |||
107,179 | UnumProvident Corp. | 2,231,467 | 0.1 | |||
38,778 | @ | Validus Holdings Ltd. | 1,340,943 | 0.1 | ||
73,897 | Valley National Bancorp. | 687,242 | 0.0 | |||
108,374 | Ventas, Inc. | 7,013,965 | 0.4 | |||
69,600 | Vornado Realty Trust | 5,573,568 | 0.3 | |||
32,368 | Waddell & Reed Financial, Inc. | 1,127,054 | 0.1 | |||
40,110 | Washington Federal, Inc. | 676,656 | 0.0 | |||
45,466 | Weingarten Realty Investors | 1,217,125 | 0.1 | |||
201,483 | Weyerhaeuser Co. | 5,605,257 | 0.3 | |||
2,229 | @ | White Mountains Insurance Group Ltd. | 1,147,935 | 0.1 | ||
41,577 | WR Berkley Corp. | 1,569,116 | 0.1 | |||
116,853 | @ | XL Group PLC | 2,928,336 | 0.2 | ||
69,065 | Zions Bancorp. | 1,477,991 | 0.1 | |||
319,879,029 | 18.8 | |||||
Health Care: 9.3% | ||||||
130,319 | Agilent Technologies, Inc. | 5,335,260 | 0.3 | |||
30,136 | @ | Alere, Inc. | 557,516 | 0.0 | ||
72,017 | @ | Alexion Pharmaceuticals, Inc. | 6,755,915 | 0.4 | ||
72,800 | @ | Allscripts Healthcare Solutions, Inc. | 685,776 | 0.0 | ||
88,250 | AmerisourceBergen Corp. | 3,810,635 | 0.2 | |||
62,123 | @ | Ariad Pharmaceuticals, Inc. | 1,191,519 | 0.1 | ||
45,808 | @ | BioMarin Pharmaceuticals, Inc. | 2,256,044 | 0.1 | ||
7,600 | @ | Bio-Rad Laboratories, Inc. | 798,380 | 0.0 | ||
535,893 | @ | Boston Scientific Corp. | 3,070,667 | 0.2 | ||
36,414 | @ | Brookdale Senior Living, Inc. | 922,002 | 0.1 | ||
34,910 | @ | Bruker BioSciences Corp. | 533,076 | 0.0 | ||
83,218 | @ | CareFusion Corp. | 2,378,370 | 0.1 | ||
76,714 | @ | Catamaran Corp. | 3,613,997 | 0.2 | ||
54,400 | @ | Cerner Corp. | 4,223,616 | 0.3 | ||
18,358 | @ | Charles River Laboratories International, Inc. | 687,874 | 0.0 | ||
108,084 | Cigna Corp. | 5,778,171 | 0.3 | |||
34,073 | @ | Community Health Systems, Inc. | 1,047,404 | 0.1 | ||
17,750 | Cooper Cos., Inc. | 1,641,520 | 0.1 | |||
20,791 | @ | Covance, Inc. | 1,201,096 | 0.1 | ||
50,235 | Coventry Health Care, Inc. | 2,252,035 | 0.1 | |||
31,471 | CR Bard, Inc. | 3,075,976 | 0.2 | |||
35,246 | @ | DaVita, Inc. | 3,895,740 | 0.2 | ||
53,127 | Densply International, Inc. | 2,104,360 | 0.1 | |||
42,967 | @ | Edwards Lifesciences Corp. | 3,874,334 | 0.2 | ||
43,925 | @ | Endo Pharmaceuticals Holdings, Inc. | 1,153,910 | 0.1 | ||
99,610 | @ | Forest Laboratories, Inc. | 3,518,225 | 0.2 | ||
61,853 | @ | HCA Holdings, Inc. | 1,866,105 | 0.1 | ||
96,750 | @ | Health Management Associates, Inc. | 901,710 | 0.1 | ||
31,206 | @ | Health Net, Inc. | 758,306 | 0.0 | ||
33,685 | @ | Henry Schein, Inc. | 2,710,295 | 0.2 | ||
23,277 | Hill-Rom Holdings, Inc. | 663,394 | 0.0 | |||
99,950 | @ | Hologic, Inc. | 2,001,998 | 0.1 | ||
61,929 | @ | Hospira, Inc. | 1,934,662 | 0.1 | ||
61,176 | Humana, Inc. | 4,198,509 | 0.2 | |||
20,628 | @ | Idexx Laboratories, Inc. | 1,914,278 | 0.1 | ||
46,266 | @,L | Illumina, Inc. | 2,571,927 | 0.2 | ||
36,066 | @,L | Incyte Corp., Ltd. | 599,056 | 0.0 | ||
36,286 | @ | Laboratory Corp. of America Holdings | 3,143,093 | 0.2 | ||
66,952 | @ | Life Technologies Corp. | 3,286,004 | 0.2 | ||
18,278 | @ | LifePoint Hospitals, Inc. | 689,995 | 0.0 | ||
27,172 | @ | Medivation, Inc. | 1,390,120 | 0.1 | ||
18,350 | @ | Mednax, Inc. | 1,459,192 | 0.1 | ||
11,790 | @ | Mettler Toledo International, Inc. | 2,279,007 | 0.1 | ||
152,321 | @ | Mylan Laboratories | 4,185,781 | 0.2 | ||
31,838 | @ | Myriad Genetics, Inc. | 867,586 | 0.1 | ||
42,342 | Omnicare, Inc. | 1,528,546 | 0.1 | |||
24,145 | @ | Onyx Pharmaceuticals, Inc. | 1,823,672 | 0.1 | ||
34,945 | Patterson Cos., Inc. | 1,196,167 | 0.1 | |||
43,050 | PerkinElmer, Inc. | 1,366,407 | 0.1 | |||
35,024 | Perrigo Co. | 3,643,547 | 0.2 | |||
87,166 | @,L | Qiagen NV | 1,582,063 | 0.1 | ||
59,493 | Quest Diagnostics | 3,466,657 | 0.2 | |||
28,957 | @ | Regeneron Pharmaceuticals, Inc. | 4,953,674 | 0.3 | ||
53,514 | Resmed, Inc. | 2,224,577 | 0.1 | |||
21,754 | @ | Salix Pharmaceuticals Ltd. | 880,602 | 0.1 | ||
20,853 | @ | Sirona Dental Systems, Inc. | 1,344,184 | 0.1 | ||
117,643 | St. Jude Medical, Inc. | 4,251,618 | 0.3 | |||
13,815 | Techne Corp. | 944,117 | 0.1 | |||
15,350 | Teleflex, Inc. | 1,094,609 | 0.1 | |||
38,808 | @ | Tenet Healthcare Corp. | 1,260,096 | 0.1 | ||
21,800 | @ | Thoratec Corp. | 817,936 | 0.1 | ||
18,935 | @ | United Therapeutics Corp. | 1,011,508 | 0.1 | ||
33,546 | Universal Health Services, Inc. | 1,621,949 | 0.1 | |||
41,815 | @ | Varian Medical Systems, Inc. | 2,937,086 | 0.2 | ||
33,150 | @ | VCA Antech, Inc. | 697,808 | 0.0 | ||
79,132 | @ | Vertex Pharmaceuticals, Inc. | 3,318,796 | 0.2 | ||
62,852 | @ | Warner Chilcott PLC | 756,738 | 0.0 | ||
33,319 | @ | Waters Corp. | 2,902,751 | 0.2 | ||
47,765 | @ | Watson Pharmaceuticals, Inc. | 4,107,790 | 0.2 | ||
66,033 | Zimmer Holdings, Inc. | 4,401,760 | 0.3 | |||
157,919,094 | 9.3 | |||||
Industrials: 12.6% | ||||||
42,294 | @ | Aecom Technology Corp. | 1,006,597 | 0.1 | ||
36,300 | @ | AGCO Corp. | 1,783,056 | 0.1 | ||
25,249 | @ | Air Lease Corp. | 542,853 | 0.0 | ||
12,420 | Alliant Techsystems, Inc. | 769,543 | 0.0 | |||
90,393 | Ametek, Inc. | 3,396,065 | 0.2 | |||
8,100 | @ | Armstrong World Industries, Inc. | 410,913 | 0.0 | ||
38,851 | Avery Dennison Corp. | 1,356,677 | 0.1 | |||
44,875 | Babcock & Wilcox Co. | 1,175,725 | 0.1 | |||
36,682 | @ | BE Aerospace, Inc. | 1,812,091 | 0.1 | ||
23,400 | Carlisle Cos., Inc. | 1,374,984 | 0.1 | |||
60,977 | CH Robinson Worldwide, Inc. | 3,854,966 | 0.2 | |||
36,370 | Chicago Bridge & Iron Co. NV | 1,685,749 | 0.1 | |||
41,218 | Cintas Corp. | 1,685,816 | 0.1 | |||
20,173 | @ | Clean Harbors, Inc. | 1,109,717 | 0.1 | ||
10,200 | @ | CNH Global NV | 410,958 | 0.0 | ||
16,365 | @ | Colfax Corp. | 660,328 | 0.0 | ||
21,150 | Con-way, Inc. | 588,393 | 0.0 | |||
12,400 | @ | Copa Holdings S.A. | 1,233,180 | 0.1 | ||
38,215 | @ | Copart, Inc. | 1,127,342 | 0.1 | ||
37,508 | Corrections Corp. of America | 1,330,409 | 0.1 | |||
40,836 | Covanta Holding Corp. | 752,199 | 0.0 | |||
18,600 | Crane Co. | 860,808 | 0.0 | |||
318,517 | @ | Delta Airlines, Inc. | 3,780,797 | 0.2 | ||
55,834 | Donaldson Co., Inc. | 1,833,589 | 0.1 | |||
68,848 | Dover Corp. | 4,524,002 | 0.3 | |||
16,855 | Dun & Bradstreet Corp. | 1,325,646 | 0.1 | |||
172,818 | Eaton Corp. PLC | 9,366,736 | 0.5 | |||
6,087 | @ | Engility Holdings, Inc. | 117,236 | 0.0 | ||
45,120 | Equifax, Inc. | 2,441,894 | 0.1 | |||
70,350 | Exelis, Inc. | 792,844 | 0.0 | |||
79,626 | Expeditors International Washington, Inc. | 3,149,208 | 0.2 | |||
111,013 | Fastenal Co. | 5,183,197 | 0.3 | |||
19,186 | Flowserve Corp. | 2,816,505 | 0.2 | |||
63,398 | Fluor Corp. | 3,723,999 | 0.2 | |||
59,847 | @ | Fortune Brands Home & Security, Inc. | 1,748,729 | 0.1 | ||
18,785 | Gardner Denver, Inc. | 1,286,772 | 0.1 | |||
17,850 | GATX Corp. | 772,905 | 0.0 | |||
18,666 | @ | General Cable Corp. | 567,633 | 0.0 | ||
22,677 | Graco, Inc. | 1,167,639 | 0.1 | |||
47,392 | @ | GrafTech International Ltd. | 445,011 | 0.0 | ||
30,950 | Harsco Corp. | 727,325 | 0.0 | |||
93,450 | @ | Hertz Global Holdings, Inc. | 1,520,431 | 0.1 | ||
22,198 | Hubbell, Inc. | 1,878,617 | 0.1 | |||
18,600 | Huntington Ingalls Industries, Inc. | 806,124 | 0.0 | |||
31,650 | IDEX Corp. | 1,472,674 | 0.1 | |||
18,850 | @ | IHS, Inc. | 1,809,600 | 0.1 | ||
111,980 | Ingersoll-Rand PLC | 5,370,561 | 0.3 | |||
61,766 | Iron Mountain, Inc. | 1,917,834 | 0.1 | |||
35,175 | ITT Corp. | 825,205 | 0.0 | |||
48,550 | @ | Jacobs Engineering Group, Inc. | 2,066,773 | 0.1 | ||
33,669 | JB Hunt Transport Services, Inc. | 2,010,376 | 0.1 | |||
39,675 | Joy Global, Inc. | 2,530,472 | 0.1 | |||
41,227 | Kansas City Southern | 3,441,630 | 0.2 | |||
11,000 | KAR Auction Services, Inc. | 222,640 | 0.0 | |||
55,645 | KBR, Inc. | 1,664,898 | 0.1 | |||
29,989 | Kennametal, Inc. | 1,199,560 | 0.1 | |||
20,963 | @ | Kirby Corp. | 1,297,400 | 0.1 | ||
36,522 | L-3 Communications Holdings, Inc. | 2,798,316 | 0.2 | |||
17,596 | Landstar System, Inc. | 923,086 | 0.1 | |||
19,108 | Lennox International, Inc. | 1,003,552 | 0.1 | |||
31,393 | Lincoln Electric Holdings, Inc. | 1,528,211 | 0.1 | |||
50,450 | Manitowoc Co., Inc. | 791,056 | 0.0 | |||
30,064 | Manpower, Inc. | 1,275,916 | 0.1 | |||
133,850 | Masco Corp. | 2,229,941 | 0.1 | |||
15,850 | Matson, Inc. | 391,812 | 0.0 | |||
8,539 | @ | MRC Global, Inc. | 237,213 | 0.0 | ||
16,950 | MSC Industrial Direct Co. | 1,277,691 | 0.1 | |||
26,658 | @,L | Navistar International Corp. | 580,345 | 0.0 | ||
45,598 | @ | Nielsen Holdings NV | 1,394,843 | 0.1 | ||
24,119 | Nordson Corp. | 1,522,391 | 0.1 | |||
34,800 | @ | Oshkosh Truck Corp. | 1,031,820 | 0.1 | ||
45,593 | @ | Owens Corning, Inc. | 1,686,485 | 0.1 | ||
133,744 | Paccar, Inc. | 6,046,566 | 0.4 | |||
43,413 | Pall Corp. | 2,616,067 | 0.2 | |||
56,641 | Parker Hannifin Corp. | 4,817,883 | 0.3 | |||
79,012 | @ | Pentair Ltd. | 3,883,440 | 0.2 | ||
63,729 | L | Pitney Bowes, Inc. | 678,077 | 0.0 | ||
17,459 | @,L | Polypore International, Inc. | 811,844 | 0.0 | ||
78,375 | @ | Quanta Services, Inc. | 2,138,854 | 0.1 | ||
15,727 | Regal-Beloit Corp. | 1,108,282 | 0.1 | |||
113,707 | Republic Services, Inc. | 3,335,026 | 0.2 | |||
53,584 | Robert Half International, Inc. | 1,705,043 | 0.1 | |||
53,501 | Rockwell Automation, Inc. | 4,493,549 | 0.3 | |||
54,378 | Rockwell Collins, Inc. | 3,163,168 | 0.2 | |||
23,948 | Rollins, Inc. | 527,814 | 0.0 | |||
36,522 | Roper Industries, Inc. | 4,071,473 | 0.2 | |||
67,651 | L | RR Donnelley & Sons Co. | 608,859 | 0.0 | ||
19,207 | Ryder System, Inc. | 959,006 | 0.1 | |||
24,718 | @ | Shaw Group, Inc. | 1,152,106 | 0.1 | ||
21,774 | Snap-On, Inc. | 1,719,928 | 0.1 | |||
287,805 | Southwest Airlines Co. | 2,947,123 | 0.2 | |||
44,850 | @ | Spirit Aerosystems Holdings, Inc. | 761,105 | 0.0 | ||
18,982 | SPX Corp. | 1,331,587 | 0.1 | |||
64,277 | Stanley Black & Decker, Inc. | 4,754,570 | 0.3 | |||
31,907 | @ | Stericycle, Inc. | 2,975,966 | 0.2 | ||
41,950 | @ | Terex Corp. | 1,179,215 | 0.1 | ||
105,091 | Textron, Inc. | 2,605,206 | 0.1 | |||
32,752 | Timken Co. | 1,566,528 | 0.1 | |||
22,448 | Toro Co. | 964,815 | 0.1 | |||
22,764 | Towers Watson & Co. | 1,279,564 | 0.1 | |||
19,100 | @ | TransDigm Group, Inc. | 2,604,476 | 0.1 | ||
30,600 | Trinity Industries, Inc. | 1,096,092 | 0.1 | |||
18,687 | Triumph Group, Inc. | 1,220,261 | 0.1 | |||
124,474 | @ | United Continental Holdings, Inc. | 2,910,202 | 0.2 | ||
35,147 | @ | United Rentals, Inc. | 1,599,891 | 0.1 | ||
28,402 | URS Corp. | 1,115,063 | 0.1 | |||
39,250 | @ | UTI Worldwide, Inc. | 525,950 | 0.0 | ||
8,752 | Valmont Industries, Inc. | 1,195,086 | 0.1 | |||
55,106 | @ | Verisk Analytics, Inc. | 2,810,406 | 0.2 | ||
24,158 | @ | WABCO Holdings, Inc. | 1,574,860 | 0.1 | ||
18,065 | Wabtec Corp. | 1,581,410 | 0.1 | |||
46,249 | Waste Connections, Inc. | 1,562,754 | 0.1 | |||
16,450 | @ | Wesco International, Inc. | 1,109,224 | 0.1 | ||
21,908 | WW Grainger, Inc. | 4,433,522 | 0.3 | |||
69,496 | Xylem, Inc. | 1,883,342 | 0.1 | |||
214,832,712 | 12.6 | |||||
Information Technology: 12.7% | ||||||
21,812 | @ | Acme Packet, Inc. | 482,481 | 0.0 | ||
158,778 | Activision Blizzard, Inc. | 1,686,222 | 0.1 | |||
235,100 | @,L | Advanced Micro Devices, Inc. | 564,240 | 0.0 | ||
67,159 | @ | Akamai Technologies, Inc. | 2,747,475 | 0.2 | ||
18,878 | @ | Alliance Data Systems Corp. | 2,732,779 | 0.2 | ||
120,982 | Altera Corp. | 4,166,620 | 0.2 | |||
63,259 | @ | Amdocs Ltd. | 2,150,173 | 0.1 | ||
60,754 | Amphenol Corp. | 3,930,784 | 0.2 | |||
111,864 | Analog Devices, Inc. | 4,705,000 | 0.3 | |||
35,050 | @ | Ansys, Inc. | 2,360,267 | 0.1 | ||
31,431 | @ | AOL, Inc. | 930,672 | 0.1 | ||
448,987 | Applied Materials, Inc. | 5,136,411 | 0.3 | |||
41,818 | @ | Arrow Electronics, Inc. | 1,592,429 | 0.1 | ||
166,398 | @ | Atmel Corp. | 1,089,907 | 0.1 | ||
86,648 | @ | Autodesk, Inc. | 3,063,007 | 0.2 | ||
91,425 | @ | Avago Technologies Ltd. | 2,894,516 | 0.2 | ||
51,491 | @ | Avnet, Inc. | 1,576,140 | 0.1 | ||
18,350 | AVX Corp. | 197,813 | 0.0 | |||
60,395 | @ | BMC Software, Inc. | 2,395,266 | 0.1 | ||
8,900 | Booz Allen Hamilton Holding Corp. | 123,888 | 0.0 | |||
47,250 | Broadridge Financial Solutions ADR | 1,081,080 | 0.1 | |||
171,981 | @ | Brocade Communications Systems, Inc. | 916,659 | 0.1 | ||
133,016 | CA, Inc. | 2,923,692 | 0.2 | |||
102,750 | @ | Cadence Design Systems, Inc. | 1,388,152 | 0.1 | ||
69,809 | @ | Citrix Systems, Inc. | 4,589,942 | 0.3 | ||
58,184 | Computer Sciences Corp. | 2,330,269 | 0.1 | |||
81,737 | @ | Compuware Corp. | 888,481 | 0.1 | ||
17,093 | @ | Concur Technologies, Inc. | 1,154,119 | 0.1 | ||
36,594 | @ | CoreLogic, Inc. | 985,110 | 0.1 | ||
43,578 | @ | Cree, Inc. | 1,480,780 | 0.1 | ||
57,060 | Cypress Semiconductor Corp. | 618,530 | 0.0 | |||
23,610 | Diebold, Inc. | 722,702 | 0.0 | |||
18,914 | @,L | Dolby Laboratories, Inc. | 554,748 | 0.0 | ||
12,498 | DST Systems, Inc. | 757,379 | 0.0 | |||
14,650 | @ | EchoStar Corp. | 501,323 | 0.0 | ||
119,128 | @ | Electronic Arts, Inc. | 1,730,930 | 0.1 | ||
18,026 | @ | Equinix, Inc. | 3,716,961 | 0.2 | ||
29,761 | @ | F5 Networks, Inc. | 2,891,281 | 0.2 | ||
16,847 | Factset Research Systems, Inc. | 1,483,547 | 0.1 | |||
47,736 | @ | Fairchild Semiconductor International, Inc. | 687,398 | 0.0 | ||
94,074 | Fidelity National Information Services, Inc. | 3,274,716 | 0.2 | |||
51,167 | @ | Fiserv, Inc. | 4,043,728 | 0.2 | ||
18,248 | @ | FleetCor Technologies, Inc. | 979,005 | 0.1 | ||
57,809 | Flir Systems, Inc. | 1,289,719 | 0.1 | |||
48,964 | @ | Fortinet, Inc. | 1,031,671 | 0.1 | ||
18,896 | @,L | Freescale Semiconductor Holdings Ltd. | 208,045 | 0.0 | ||
25,278 | @,L | Fusion-io, Inc. | 579,625 | 0.0 | ||
34,967 | @ | Gartner, Inc. | 1,609,181 | 0.1 | ||
48,100 | @ | Genpact Ltd. | 745,550 | 0.0 | ||
29,470 | Global Payments, Inc. | 1,334,991 | 0.1 | |||
42,665 | Harris Corp. | 2,088,878 | 0.1 | |||
29,501 | IAC/InterActiveCorp | 1,395,397 | 0.1 | |||
40,400 | @ | Informatica Corp. | 1,224,928 | 0.1 | ||
57,112 | @ | Ingram Micro, Inc. | 966,335 | 0.1 | ||
110,091 | Intuit, Inc. | 6,550,414 | 0.4 | |||
11,954 | @,L | IPG Photonics Corp. | 796,734 | 0.0 | ||
14,981 | @ | Itron, Inc. | 667,404 | 0.0 | ||
69,436 | Jabil Circuit, Inc. | 1,339,420 | 0.1 | |||
32,749 | Jack Henry & Associates, Inc. | 1,285,726 | 0.1 | |||
86,650 | @ | JDS Uniphase Corp. | 1,173,241 | 0.1 | ||
198,506 | @ | Juniper Networks, Inc. | 3,904,613 | 0.2 | ||
62,723 | KLA-Tencor Corp. | 2,995,650 | 0.2 | |||
64,334 | @ | Lam Research Corp. | 2,324,387 | 0.1 | ||
31,688 | Lender Processing Services, Inc. | 780,159 | 0.0 | |||
26,657 | Lexmark International, Inc. | 618,176 | 0.0 | |||
86,302 | Linear Technology Corp. | 2,960,159 | 0.2 | |||
23,199 | @ | LinkedIn Corp. | 2,663,709 | 0.2 | ||
213,387 | @ | LSI Logic Corp. | 1,510,780 | 0.1 | ||
164,735 | @ | Marvell Technology Group Ltd. | 1,195,976 | 0.1 | ||
109,571 | Maxim Integrated Products | 3,221,387 | 0.2 | |||
72,850 | Microchip Technology, Inc. | 2,374,182 | 0.1 | |||
371,022 | @ | Micron Technology, Inc. | 2,355,990 | 0.1 | ||
30,127 | @ | Micros Systems, Inc. | 1,278,590 | 0.1 | ||
51,650 | Molex, Inc. | 1,411,595 | 0.1 | |||
34,650 | National Instruments Corp. | 894,317 | 0.1 | |||
59,560 | @ | NCR Corp. | 1,517,589 | 0.1 | ||
136,106 | @ | NetApp, Inc. | 4,566,356 | 0.3 | ||
11,767 | @ | NetSuite, Inc. | 791,919 | 0.0 | ||
25,078 | @ | NeuStar, Inc. | 1,051,521 | 0.1 | ||
91,150 | @ | Nuance Communications, Inc. | 2,034,468 | 0.1 | ||
232,002 | Nvidia Corp. | 2,851,305 | 0.2 | |||
170,200 | @ | ON Semiconductor Corp. | 1,199,910 | 0.1 | ||
2,663 | @,L | Palo Alto Networks, Inc. | 142,524 | 0.0 | ||
121,530 | Paychex, Inc. | 3,784,444 | 0.2 | |||
86,858 | @ | PMC - Sierra, Inc. | 452,530 | 0.0 | ||
67,500 | @ | Polycom, Inc. | 706,050 | 0.0 | ||
40,892 | @ | Rackspace Hosting, Inc. | 3,037,049 | 0.2 | ||
72,302 | @ | Red Hat, Inc. | 3,829,114 | 0.2 | ||
58,700 | @ | Riverbed Technolgoy, Inc. | 1,157,564 | 0.1 | ||
41,599 | @ | Rovi Corp. | 641,873 | 0.0 | ||
106,536 | SAIC, Inc. | 1,205,988 | 0.1 | |||
91,200 | @ | Sandisk Corp. | 3,972,672 | 0.2 | ||
5,462 | @,L | ServiceNow, Inc. | 164,024 | 0.0 | ||
16,094 | @ | Silicon Laboratories, Inc. | 672,890 | 0.0 | ||
71,098 | @ | Skyworks Solutions, Inc. | 1,443,289 | 0.1 | ||
23,111 | @ | SolarWinds, Inc. | 1,212,172 | 0.1 | ||
26,041 | Solera Holdings, Inc. | 1,392,412 | 0.1 | |||
5,800 | @ | Splunk, Inc. | 168,316 | 0.0 | ||
11,120 | @ | Stratasys Ltd. | 891,268 | 0.1 | ||
270,264 | @ | Symantec Corp. | 5,083,666 | 0.3 | ||
54,646 | @ | Synopsys, Inc. | 1,739,929 | 0.1 | ||
14,941 | @ | Tech Data Corp. | 680,264 | 0.0 | ||
63,250 | @ | Teradata Corp. | 3,914,543 | 0.2 | ||
70,950 | @ | Teradyne, Inc. | 1,198,346 | 0.1 | ||
61,821 | @ | TIBCO Software, Inc. | 1,360,680 | 0.1 | ||
60,758 | Total System Services, Inc. | 1,301,436 | 0.1 | |||
46,950 | @ | Trimble Navigation Ltd. | 2,806,671 | 0.2 | ||
14,820 | @ | Vantiv, Inc. | 302,624 | 0.0 | ||
40,349 | @ | VeriFone Holdings, Inc. | 1,197,558 | 0.1 | ||
59,241 | @ | VeriSign, Inc. | 2,299,736 | 0.1 | ||
49,566 | @ | Vishay Intertechnology, Inc. | 526,887 | 0.0 | ||
83,182 | Western Digital Corp. | 3,534,403 | 0.2 | |||
229,804 | Western Union Co. | 3,127,632 | 0.2 | |||
9,558 | @ | Workday, Inc. | 520,911 | 0.0 | ||
477,537 | Xerox Corp. | 3,256,802 | 0.2 | |||
98,959 | Xilinx, Inc. | 3,552,628 | 0.2 | |||
19,456 | @ | Zebra Technologies Corp. | 764,232 | 0.0 | ||
49,132 | @ | Zynga, Inc. | 116,443 | 0.0 | ||
215,176,189 | 12.7 | |||||
Materials: 6.2% | ||||||
25,756 | Airgas, Inc. | 2,351,265 | 0.1 | |||
33,436 | Albemarle Corp. | 2,077,044 | 0.1 | |||
399,946 | Alcoa, Inc. | 3,471,531 | 0.2 | |||
40,550 | Allegheny Technologies, Inc. | 1,231,098 | 0.1 | |||
34,200 | @ | Allied Nevada Gold Corp. | 1,030,446 | 0.1 | ||
24,972 | Aptargroup, Inc. | 1,191,664 | 0.1 | |||
29,411 | Ashland, Inc. | 2,364,939 | 0.1 | |||
58,734 | Ball Corp. | 2,628,346 | 0.2 | |||
38,661 | Bemis Co., Inc. | 1,293,597 | 0.1 | |||
23,752 | Cabot Corp. | 945,092 | 0.1 | |||
16,850 | Carpenter Technology Corp. | 869,965 | 0.1 | |||
58,636 | Celanese Corp. | 2,611,061 | 0.2 | |||
24,606 | CF Industries Holdings, Inc. | 4,998,955 | 0.3 | |||
53,425 | L | Cliffs Natural Resources, Inc. | 2,060,068 | 0.1 | ||
44,150 | Commercial Metals Co. | 656,069 | 0.0 | |||
12,600 | Compass Minerals International, Inc. | 941,346 | 0.1 | |||
55,797 | @ | Crown Holdings, Inc. | 2,053,888 | 0.1 | ||
17,243 | Cytec Industries, Inc. | 1,186,836 | 0.1 | |||
13,549 | Domtar Corp. | 1,131,612 | 0.1 | |||
57,238 | Eastman Chemical Co. | 3,895,046 | 0.2 | |||
51,428 | FMC Corp. | 3,009,567 | 0.2 | |||
11,762 | Greif, Inc. - Class A | 523,409 | 0.0 | |||
71,750 | Huntsman Corp. | 1,140,825 | 0.1 | |||
30,386 | International Flavors & Fragrances, Inc. | 2,021,884 | 0.1 | |||
163,950 | International Paper Co. | 6,531,768 | 0.4 | |||
20,100 | @ | Intrepid Potash, Inc. | 427,929 | 0.0 | ||
8,300 | L | Kronos Worldwide, Inc. | 161,850 | 0.0 | ||
17,147 | Martin Marietta Materials, Inc. | 1,616,619 | 0.1 | |||
64,850 | MeadWestvaco Corp. | 2,066,769 | 0.1 | |||
24,711 | @,L | Molycorp, Inc. | 233,272 | 0.0 | ||
3,281 | NewMarket Corp. | 860,278 | 0.0 | |||
118,870 | Nucor Corp. | 5,132,807 | 0.3 | |||
61,831 | @ | Owens-Illinois, Inc. | 1,315,145 | 0.1 | ||
36,750 | Packaging Corp. of America | 1,413,772 | 0.1 | |||
57,093 | PPG Industries, Inc. | 7,727,538 | 0.5 | |||
28,168 | Reliance Steel & Aluminum Co. | 1,749,233 | 0.1 | |||
26,500 | Rock-Tenn Co. | 1,852,615 | 0.1 | |||
25,756 | Rockwood Holdings, Inc. | 1,273,892 | 0.1 | |||
24,031 | Royal Gold, Inc. | 1,953,961 | 0.1 | |||
49,300 | RPM International, Inc. | 1,447,448 | 0.1 | |||
15,740 | Scotts Miracle-Gro Co. | 693,347 | 0.0 | |||
72,731 | Sealed Air Corp. | 1,273,520 | 0.1 | |||
32,568 | Sherwin-Williams Co. | 5,009,610 | 0.3 | |||
45,314 | Sigma-Aldrich Corp. | 3,334,204 | 0.2 | |||
18,396 | Silgan Holdings, Inc. | 765,090 | 0.0 | |||
38,150 | Sonoco Products Co. | 1,134,200 | 0.1 | |||
82,093 | Steel Dynamics, Inc. | 1,127,137 | 0.1 | |||
30,360 | @ | Tahoe Resources, Inc. | 556,195 | 0.0 | ||
54,009 | L | United States Steel Corp. | 1,289,195 | 0.1 | ||
34,912 | Valspar Corp. | 2,178,509 | 0.1 | |||
48,506 | Vulcan Materials Co. | 2,524,737 | 0.1 | |||
23,436 | Walter Industries, Inc. | 840,884 | 0.0 | |||
7,700 | Westlake Chemical Corp. | 610,610 | 0.0 | |||
28,100 | @ | WR Grace & Co. | 1,889,163 | 0.1 | ||
104,676,850 | 6.2 | |||||
Telecommunication Services: 1.6% | ||||||
131,601 | @ | Clearwire Corp. | 380,327 | 0.0 | ||
109,848 | @ | Crown Castle International Corp. | 7,926,632 | 0.5 | ||
374,494 | L | Frontier Communications Corp. | 1,602,834 | 0.1 | ||
60,924 | @ | Level 3 Communications, Inc. | 1,407,954 | 0.1 | ||
113,938 | @ | MetroPCS Communications, Inc. | 1,132,544 | 0.1 | ||
65,100 | @,L | NII Holdings, Inc. | 464,163 | 0.0 | ||
45,458 | @ | SBA Communications Corp. | 3,228,427 | 0.2 | ||
1,124,127 | @ | Sprint Nextel Corp. | 6,373,800 | 0.4 | ||
35,574 | Telephone & Data Systems, Inc. | 787,608 | 0.0 | |||
56,446 | @ | TW Telecom, Inc. | 1,437,680 | 0.1 | ||
5,500 | @ | United States Cellular Corp. | 193,820 | 0.0 | ||
220,594 | L | Windstream Corp. | 1,826,518 | 0.1 | ||
26,762,307 | 1.6 | |||||
Utilities: 5.6% | ||||||
240,552 | AES Corp. | 2,573,906 | 0.1 | |||
43,977 | AGL Resources, Inc. | 1,757,761 | 0.1 | |||
41,613 | Alliant Energy Corp. | 1,827,227 | 0.1 | |||
90,982 | Ameren Corp. | 2,794,967 | 0.2 | |||
66,083 | American Water Works Co., Inc. | 2,453,662 | 0.1 | |||
52,136 | Aqua America, Inc. | 1,325,297 | 0.1 | |||
33,761 | Atmos Energy Corp. | 1,185,686 | 0.1 | |||
151,706 | @ | Calpine Corp. | 2,750,430 | 0.2 | ||
160,180 | CenterPoint Energy, Inc. | 3,083,465 | 0.2 | |||
98,057 | CMS Energy Corp. | 2,390,630 | 0.1 | |||
63,780 | DTE Energy Co. | 3,829,989 | 0.2 | |||
122,160 | Edison International | 5,520,410 | 0.3 | |||
27,029 | Energen Corp. | 1,218,738 | 0.1 | |||
66,414 | Entergy Corp. | 4,233,892 | 0.2 | |||
51,087 | Great Plains Energy, Inc. | 1,037,577 | 0.0 | |||
36,450 | Hawaiian Electric Industries | 916,353 | 0.0 | |||
29,363 | Integrys Energy Group, Inc. | 1,533,336 | 0.1 | |||
19,271 | ITC Holdings Corp. | 1,482,133 | 0.1 | |||
70,803 | MDU Resources Group, Inc. | 1,503,856 | 0.1 | |||
27,183 | National Fuel Gas Co. | 1,377,906 | 0.1 | |||
116,288 | NiSource, Inc. | 2,894,408 | 0.2 | |||
117,562 | Northeast Utilities | 4,594,323 | 0.3 | |||
120,636 | NRG Energy, Inc. | 2,773,422 | 0.2 | |||
88,475 | NV Energy, Inc. | 1,604,936 | 0.1 | |||
36,966 | OGE Energy Corp. | 2,081,555 | 0.1 | |||
77,946 | Oneok, Inc. | 3,332,192 | 0.2 | |||
85,561 | Pepco Holdings, Inc. | 1,677,851 | 0.1 | |||
41,038 | Pinnacle West Capital Corp. | 2,092,117 | 0.1 | |||
217,462 | PPL Corp. | 6,225,937 | 0.4 | |||
66,784 | Questar Corp. | 1,319,652 | 0.1 | |||
44,050 | SCANA Corp. | 2,010,442 | 0.1 | |||
90,344 | Sempra Energy | 6,409,003 | 0.4 | |||
80,861 | TECO Energy, Inc. | 1,355,230 | 0.1 | |||
42,650 | UGI Corp. | 1,395,082 | 0.1 | |||
31,200 | Vectren Corp. | 917,280 | 0.0 | |||
47,314 | Westar Energy, Inc. | 1,354,127 | 0.1 | |||
86,389 | Wisconsin Energy Corp. | 3,183,435 | 0.2 | |||
182,593 | Xcel Energy, Inc. | 4,877,059 | 0.3 | |||
94,895,272 | 5.6 | |||||
Total Common Stock | ||||||
(Cost $1,131,483,154) | 1,624,229,038 | 95.5 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 7.1% | ||||||
Securities Lending Collateralcc(1): 2.0% | ||||||
8,357,028 | Cantor Fitzgerald, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $8,357,165, collateralized by various U.S. Government and U.S. Government Agency Obligations, 0.000%-7.500%, Market Value plus accrued interest $8,524,170, due 07/15/13-08/01/46) | 8,357,028 | 0.4 | |||
8,357,028 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $8,357,120, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $8,524,169, due 10/01/16-12/20/42) | 8,357,028 | 0.5 | |||
1,758,734 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $1,758,751, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $1,793,912, due 10/31/17-08/15/22) | 1,758,734 | 0.1 | |||
8,357,028 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $8,357,114, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $8,524,170, due 08/09/13-06/20/42) | 8,357,028 | 0.5 | |||
8,357,028 | Royal Bank of Canada, Repurchase Agreement dated 12/26/12, 0.18%, due 01/02/13 (Repurchase Amount $8,357,316, collateralized by various U.S. Government Agency Obligations, 2.000%-4.500%, Market Value plus accrued interest $8,524,169, due 10/01/32-01/01/43) | 8,357,028 | 0.5 | |||
35,186,846 | 2.0 | |||||
Shares | Value | Percentage of Net Assets | ||||
Mutual Funds: 5.1% | ||||||
86,464,187 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $86,464,187) | 86,464,187 | 5.1 | ||||
Total Short-Term Investments | ||||||||||
(Cost $121,651,033) | 121,651,033 | 7.1 | ||||||||
Total Investments in Securities (Cost $1,253,134,187) | $ | 1,745,880,071 | 102.6 | |||||||
Liabilities in Excess of Other Assets | (43,847,592 | ) | (2.6 | ) | ||||||
Net Assets | $ | 1,702,032,479 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $1,261,094,786. | ||||
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 546,966,033 | ||
Gross Unrealized Depreciation | (62,180,748 | ) | ||
Net Unrealized Appreciation | $ | 484,785,285 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock* | $ | 1,624,229,038 | $ | – | $ | – | $ | 1,624,229,038 | ||||||||
Short-Term Investments | 86,464,187 | 35,186,846 | – | 121,651,033 | ||||||||||||
Total Investments, at fair value | $ | 1,710,693,225 | $ | 35,186,846 | $ | – | $ | 1,745,880,071 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 1,297,985 | – | – | 1,297,985 | ||||||||||||
Total Assets | $ | 1,711,991,210 | $ | 35,186,846 | $ | – | $ | 1,747,178,056 |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
ING Russell™ Mid Cap Index Portfolio Open Futures Contracts on December 31, 2012: | ||||||||||||||
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
S&P Mid 400 E-Mini | 864 | 03/15/13 | $ | 87,963,840 | $ | 1,297,985 | ||||||||
$ | 87,963,840 | $ | 1,297,985 | |||||||||||
See Accompanying Notes to Financial Statements |
ING Russell™ Small Cap Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 95.9% | ||||||
Consumer Discretionary: 13.5% | ||||||
43,900 | @ | Aeropostale, Inc. | 571,139 | 0.1 | ||
22,380 | @ | AFC Enterprises | 584,789 | 0.1 | ||
41,330 | @ | Allos Therapeutic | – | – | ||
46,660 | @ | American Axle & Manufacturing Holdings, Inc. | 522,592 | 0.1 | ||
25,220 | L | American Greetings Corp. | 425,966 | 0.1 | ||
13,530 | @,L | American Public Education, Inc. | 488,568 | 0.1 | ||
8,660 | @ | America's Car-Mart, Inc. | 350,903 | 0.1 | ||
20,280 | Ameristar Casinos, Inc. | 532,147 | 0.1 | |||
32,620 | @ | ANN, Inc. | 1,103,861 | 0.1 | ||
18,690 | Arbitron, Inc. | 872,449 | 0.1 | |||
9,700 | @ | Arctic Cat, Inc. | 323,883 | 0.0 | ||
20,580 | @ | Asbury Automotive Group, Inc. | 659,177 | 0.1 | ||
11,660 | @ | Ascent Capital Group, Inc. | 722,220 | 0.1 | ||
24,200 | @,L | Barnes & Noble, Inc. | 365,178 | 0.1 | ||
13,220 | @,L | Beazer Homes USA, Inc. | 223,286 | 0.0 | ||
34,460 | Bebe Stores, Inc. | 137,495 | 0.0 | |||
64,600 | Belo Corp. | 495,482 | 0.1 | |||
871 | @ | Biglari Holdings, Inc. | 339,708 | 0.0 | ||
11,680 | @ | BJ's Restaurants, Inc. | 384,272 | 0.1 | ||
26,000 | @ | Black Diamond, Inc. | 213,200 | 0.0 | ||
7,520 | @ | Blue Nile, Inc. | 289,520 | 0.0 | ||
7,400 | L | Blyth, Inc. | 115,070 | 0.0 | ||
20,750 | Bob Evans Farms, Inc. | 834,150 | 0.1 | |||
27,500 | @ | Body Central Corp. | 273,900 | 0.0 | ||
36,600 | @,L | Boyd Gaming Corp. | 243,024 | 0.0 | ||
13,550 | @,L | Bridgepoint Education, Inc. | 139,565 | 0.0 | ||
26,160 | Brown Shoe Co., Inc. | 480,559 | 0.1 | |||
63,360 | Brunswick Corp. | 1,843,142 | 0.2 | |||
17,080 | Buckle, Inc. | 762,451 | 0.1 | |||
13,200 | @,L | Buffalo Wild Wings, Inc. | 961,224 | 0.1 | ||
23,680 | @ | Cabela's, Inc. | 988,640 | 0.1 | ||
27,500 | @,L | Caesars Entertainment Co. | 190,300 | 0.0 | ||
44,250 | Callaway Golf Co. | 287,625 | 0.0 | |||
12,180 | @ | Capella Education Co. | 343,841 | 0.0 | ||
12,370 | @ | Carmike Cinemas, Inc. | 185,550 | 0.0 | ||
21,220 | Cato Corp. | 582,065 | 0.1 | |||
5,560 | @ | Cavco Industries, Inc. | 277,889 | 0.0 | ||
14,240 | CEC Entertainment, Inc. | 472,626 | 0.1 | |||
34,810 | Cheesecake Factory | 1,138,983 | 0.1 | |||
15,470 | @ | Childrens Place Retail Stores, Inc. | 685,166 | 0.1 | ||
6,027 | Churchill Downs, Inc. | 400,494 | 0.1 | |||
6,600 | @ | Chuy's Holdings, Inc. | 147,444 | 0.0 | ||
18,610 | @ | Citi Trends, Inc. | 256,074 | 0.0 | ||
22,800 | @,L | Coinstar, Inc. | 1,185,828 | 0.2 | ||
7,610 | L | Columbia Sportswear Co. | 406,070 | 0.1 | ||
16,120 | @,L | Conn's, Inc. | 494,562 | 0.1 | ||
33,490 | Cooper Tire & Rubber Co. | 849,306 | 0.1 | |||
9,250 | Core-Mark Holding Co., Inc. | 437,988 | 0.1 | |||
99,060 | @ | Corinthian Colleges, Inc. | 241,706 | 0.0 | ||
15,330 | Cracker Barrel Old Country Store | 985,106 | 0.1 | |||
57,370 | @ | CROCS, Inc. | 825,554 | 0.1 | ||
8,490 | CSS Industries, Inc. | 185,846 | 0.0 | |||
45,600 | @ | Cumulus Media, Inc. | 121,752 | 0.0 | ||
98,710 | Dana Holding Corp. | 1,540,863 | 0.2 | |||
72,660 | @ | Denny's Corp. | 354,581 | 0.1 | ||
19,450 | @,L | Digital Generation, Inc. | 211,227 | 0.0 | ||
11,300 | @ | DineEquity, Inc. | 757,100 | 0.1 | ||
33,460 | @ | Domino's Pizza, Inc. | 1,457,183 | 0.2 | ||
17,760 | @ | Dorman Products, Inc. | 627,638 | 0.1 | ||
13,310 | @ | Drew Industries, Inc. | 429,248 | 0.1 | ||
32,300 | @ | Entercom Communications Corp. | 225,454 | 0.0 | ||
14,140 | Ethan Allen Interiors, Inc. | 363,539 | 0.1 | |||
28,050 | @ | EW Scripps Co. | 303,221 | 0.0 | ||
48,420 | @ | Exide Technologies | 165,596 | 0.0 | ||
58,600 | @ | Express, Inc. | 884,274 | 0.1 | ||
25,600 | @ | Fiesta Restaurant Group, Inc. | 392,192 | 0.1 | ||
70,220 | @ | Fifth & Pacific Co., Inc. | 874,239 | 0.1 | ||
36,889 | Finish Line | 698,309 | 0.1 | |||
5,870 | Fisher Communications, Inc. | 158,431 | 0.0 | |||
8,200 | @ | Five Below, Inc. | 262,728 | 0.0 | ||
22,600 | @,L | Francesca's Holdings Corp. | 586,696 | 0.1 | ||
17,890 | Fred's, Inc. | 238,116 | 0.0 | |||
12,220 | @ | Fuel Systems Solutions, Inc. | 179,634 | 0.0 | ||
14,430 | @ | Genesco, Inc. | 793,650 | 0.1 | ||
20,400 | @ | Gentherm, Inc. | 271,320 | 0.0 | ||
10,410 | @ | G-III Apparel Group Ltd. | 356,334 | 0.1 | ||
26,310 | @ | Grand Canyon Education, Inc. | 617,496 | 0.1 | ||
12,560 | Group 1 Automotive, Inc. | 778,594 | 0.1 | |||
27,960 | Harte-Hanks, Inc. | 164,964 | 0.0 | |||
12,850 | Haverty Furniture Cos., Inc. | 209,584 | 0.0 | |||
19,210 | @ | Helen of Troy Ltd. | 641,422 | 0.1 | ||
18,650 | @ | Hibbett Sporting Goods, Inc. | 982,855 | 0.1 | ||
28,900 | Hillenbrand, Inc. | 653,429 | 0.1 | |||
34,480 | HOT Topic, Inc. | 332,732 | 0.0 | |||
88,260 | @,L | Hovnanian Enterprises, Inc. | 617,820 | 0.1 | ||
27,100 | HSN, Inc. | 1,492,668 | 0.2 | |||
48,250 | @ | Iconix Brand Group, Inc. | 1,076,940 | 0.1 | ||
10,000 | International Speedway Corp. | 276,200 | 0.0 | |||
26,350 | Interval Leisure Group, Inc. | 510,927 | 0.1 | |||
14,480 | @ | iRobot Corp. | 271,355 | 0.0 | ||
33,720 | @ | Jack in the Box, Inc. | 964,392 | 0.1 | ||
18,051 | Jakks Pacific, Inc. | 225,999 | 0.0 | |||
124,900 | @ | Jamba, Inc. | 279,776 | 0.0 | ||
56,340 | Jones Group, Inc. | 623,120 | 0.1 | |||
18,530 | @ | JoS. A Bank Clothiers, Inc. | 789,007 | 0.1 | ||
44,000 | @ | Journal Communications, Inc. | 238,040 | 0.0 | ||
15,310 | @,L | K12, Inc. | 312,936 | 0.0 | ||
3,200 | @ | Kayak Software Corp. | 127,104 | 0.0 | ||
38,000 | L | KB Home | 600,400 | 0.1 | ||
37,300 | @ | Krispy Kreme Doughnuts, Inc. | 349,874 | 0.1 | ||
42,500 | La-Z-Boy, Inc. | 601,375 | 0.1 | |||
35,500 | @ | Leapfrog Enterprises, Inc. | 306,365 | 0.0 | ||
16,500 | @ | Libbey, Inc. | 319,275 | 0.0 | ||
27,800 | @ | Life Time Fitness, Inc. | 1,368,038 | 0.2 | ||
15,700 | Lifetime Brands, Inc. | 166,577 | 0.0 | |||
49,090 | Lincoln Educational Services Corp. | 274,413 | 0.0 | |||
46,200 | @ | Lions Gate Entertainment Corp. | 757,680 | 0.1 | ||
10,400 | Lithia Motors, Inc. | 389,168 | 0.1 | |||
104,827 | @ | Live Nation, Inc. | 975,939 | 0.1 | ||
17,480 | @,L | Lumber Liquidators | 923,468 | 0.1 | ||
15,780 | @ | M/I Homes, Inc. | 418,170 | 0.1 | ||
18,500 | Mac-Gray Corp. | 232,175 | 0.0 | |||
13,480 | @ | Maidenform Brands, Inc. | 262,725 | 0.0 | ||
16,980 | Marcus Corp. | 211,741 | 0.0 | |||
20,700 | @ | MarineMax, Inc. | 185,058 | 0.0 | ||
19,800 | @ | Marriott Vacations Worldwide Corp. | 825,066 | 0.1 | ||
20,380 | Matthews International Corp. | 654,198 | 0.1 | |||
10,600 | @,L | Mattress Firm Holding Corp. | 260,018 | 0.0 | ||
75,500 | @,L | McClatchy Co. | 246,885 | 0.0 | ||
18,800 | MDC Holdings, Inc. | 691,088 | 0.1 | |||
26,200 | @ | MDC Partners, Inc. | 296,060 | 0.0 | ||
32,100 | Men's Wearhouse, Inc. | 1,000,236 | 0.1 | |||
19,600 | L | Meredith Corp. | 675,220 | 0.1 | ||
21,110 | @ | Meritage Homes Corp. | 788,459 | 0.1 | ||
34,800 | @ | Modine Manufacturing Co. | 282,924 | 0.0 | ||
19,665 | L | Monro Muffler, Inc. | 687,685 | 0.1 | ||
46,000 | @ | Morgans Hotel Group Co. | 254,840 | 0.0 | ||
8,850 | Movado Group, Inc. | 271,518 | 0.0 | |||
15,200 | @ | Multimedia Games, Inc. | 223,592 | 0.0 | ||
3,750 | Nacco Industries, Inc. | 227,588 | 0.0 | |||
33,800 | National CineMedia, Inc. | 477,594 | 0.1 | |||
57,200 | @ | New York Times Co. | 487,916 | 0.1 | ||
20,940 | Nutri/System, Inc. | 171,499 | 0.0 | |||
170,900 | @ | Office Depot, Inc. | 560,552 | 0.1 | ||
52,050 | OfficeMax, Inc. | 508,008 | 0.1 | |||
57,400 | @ | Orient-Express Hotels Ltd. | 671,006 | 0.1 | ||
4,970 | Oxford Industries, Inc. | 230,409 | 0.0 | |||
15,910 | @ | Papa John's International, Inc. | 874,095 | 0.1 | ||
26,200 | Penske Auto Group, Inc. | 788,358 | 0.1 | |||
31,450 | PEP Boys-Manny Moe & Jack | 309,154 | 0.0 | |||
9,760 | @ | Perry Ellis International, Inc. | 194,224 | 0.0 | ||
64,310 | Pier 1 Imports, Inc. | 1,286,200 | 0.2 | |||
42,840 | @ | Pinnacle Entertainment, Inc. | 678,157 | 0.1 | ||
35,370 | Pool Corp. | 1,496,858 | 0.2 | |||
63,310 | @ | Quiksilver, Inc. | 269,068 | 0.0 | ||
11,200 | @ | Red Robin Gourmet Burgers, Inc. | 395,248 | 0.1 | ||
36,110 | Regis Corp. | 610,981 | 0.1 | |||
36,240 | Rent-A-Center, Inc. | 1,245,206 | 0.2 | |||
15,100 | @ | Rentrak Corp. | 294,299 | 0.0 | ||
47,480 | @ | Ruby Tuesday, Inc. | 373,193 | 0.1 | ||
8,600 | @ | Rue21, Inc. | 244,154 | 0.0 | ||
46,602 | @ | Ruth's Hospitality Group, Inc. | 338,797 | 0.0 | ||
29,150 | Ryland Group, Inc. | 1,063,975 | 0.1 | |||
89,200 | @,L | Saks, Inc. | 937,492 | 0.1 | ||
17,420 | Scholastic Corp. | 514,935 | 0.1 | |||
45,300 | @ | Scientific Games Corp. | 392,751 | 0.1 | ||
36,800 | @ | Select Comfort Corp. | 963,056 | 0.1 | ||
35,480 | @ | SHFL Entertainment, Inc. | 514,460 | 0.1 | ||
19,810 | @ | Shutterfly, Inc. | 591,725 | 0.1 | ||
5,300 | @ | Shutterstock, Inc. | 137,800 | 0.0 | ||
41,950 | Sinclair Broadcast Group, Inc. | 529,409 | 0.1 | |||
24,200 | Six Flags Entertainment Corp. | 1,481,040 | 0.2 | |||
23,840 | @ | Skechers USA, Inc. | 441,040 | 0.1 | ||
16,400 | @ | Skullcandy, Inc. | 127,756 | 0.0 | ||
66,020 | @,L | Smith & Wesson Holding Corp. | 557,209 | 0.1 | ||
30,760 | Sonic Automotive, Inc. | 642,576 | 0.1 | |||
38,380 | @ | Sonic Corp. | 399,536 | 0.1 | ||
45,580 | Sotheby's | 1,532,400 | 0.2 | |||
38,830 | Spartan Motors, Inc. | 191,432 | 0.0 | |||
11,360 | Speedway Motorsports, Inc. | 202,662 | 0.0 | |||
24,960 | Stage Stores, Inc. | 618,509 | 0.1 | |||
15,750 | Standard Motor Products, Inc. | 349,965 | 0.1 | |||
75,180 | @,L | Standard-Pacific Corp. | 552,573 | 0.1 | ||
9,780 | @ | Steiner Leisure Ltd. | 471,298 | 0.1 | ||
25,165 | @ | Steven Madden Ltd. | 1,063,725 | 0.1 | ||
6,800 | Strayer Education, Inc. | 381,956 | 0.1 | |||
11,340 | L | Sturm Ruger & Co., Inc. | 514,836 | 0.1 | ||
15,060 | Superior Industries International | 307,224 | 0.0 | |||
9,900 | @,L | Teavana Holdings, Inc. | 153,450 | 0.0 | ||
36,560 | @ | Tenneco, Inc. | 1,283,622 | 0.2 | ||
34,920 | Texas Roadhouse, Inc. | 586,656 | 0.1 | |||
7,400 | @ | Tilly's, Inc. | 99,826 | 0.0 | ||
12,800 | @ | Town Sports International Holdings, Inc. | 136,320 | 0.0 | ||
16,230 | True Religion Apparel, Inc. | 412,567 | 0.1 | |||
40,260 | @ | Tuesday Morning Corp. | 251,625 | 0.0 | ||
18,700 | @,L | Tumi Holdings, Inc. | 389,895 | 0.1 | ||
24,150 | @ | Universal Electronics, Inc. | 467,303 | 0.1 | ||
14,470 | Universal Technical Institute, Inc. | 145,279 | 0.0 | |||
19,660 | Vail Resorts, Inc. | 1,063,409 | 0.1 | |||
34,840 | L | Valassis Communications, Inc. | 898,175 | 0.1 | ||
14,700 | @,L | Vera Bradley, Inc. | 368,970 | 0.1 | ||
14,600 | @ | Vitamin Shoppe, Inc. | 837,456 | 0.1 | ||
26,981 | @ | Warnaco Group, Inc. | 1,931,030 | 0.2 | ||
79,520 | @ | Wet Seal, Inc. | 219,475 | 0.0 | ||
7,490 | Weyco Group, Inc. | 174,966 | 0.0 | |||
19,680 | @ | Winnebago Industries | 337,118 | 0.0 | ||
23,800 | @ | WMS Industries, Inc. | 416,500 | 0.1 | ||
37,960 | Wolverine World Wide, Inc. | 1,555,601 | 0.2 | |||
14,550 | @,L | Zumiez, Inc. | 282,416 | 0.0 | ||
106,994,061 | 13.5 | |||||
Consumer Staples: 3.5% | ||||||
7,490 | Alico, Inc. | 274,359 | 0.0 | |||
87,940 | @ | Alliance One International, Inc. | 320,102 | 0.1 | ||
13,940 | Andersons, Inc. | 598,026 | 0.1 | |||
28,490 | B&G Foods, Inc. | 806,552 | 0.1 | |||
6,650 | @,L | Boston Beer Co., Inc. | 894,092 | 0.1 | ||
9,570 | Calavo Growers, Inc. | 241,260 | 0.0 | |||
11,400 | Cal-Maine Foods, Inc. | 458,508 | 0.1 | |||
20,073 | Casey's General Stores, Inc. | 1,065,876 | 0.1 | |||
50,700 | @,L | Central European Distribution Corp. | 110,019 | 0.0 | ||
26,800 | @ | Central Garden & Pet Co. | 280,060 | 0.0 | ||
27,820 | @ | Chiquita Brands International, Inc. | 229,515 | 0.0 | ||
4,300 | Coca-Cola Bottling Co. Consolidated | 285,950 | 0.0 | |||
76,070 | @ | Darling International, Inc. | 1,220,163 | 0.2 | ||
14,680 | L | Diamond Foods, Inc. | 200,676 | 0.0 | ||
26,200 | @ | Dole Food Co., Inc. | 300,514 | 0.0 | ||
17,090 | @ | Elizabeth Arden, Inc. | 769,221 | 0.1 | ||
26,110 | @ | Fresh Del Monte Produce, Inc. | 687,999 | 0.1 | ||
27,030 | @ | Hain Celestial Group, Inc. | 1,465,567 | 0.2 | ||
31,470 | Harris Teeter Supermarkets, Inc. | 1,213,483 | 0.2 | |||
89,880 | @,L | Heckmann Corp. | 362,216 | 0.1 | ||
18,040 | Ingles Markets, Inc. | 311,370 | 0.0 | |||
10,120 | J&J Snack Foods Corp. | 647,073 | 0.1 | |||
13,793 | Lancaster Colony Corp. | 954,338 | 0.1 | |||
4,100 | @ | Medifast, Inc. | 108,199 | 0.0 | ||
16,030 | Nash Finch Co. | 341,118 | 0.1 | |||
17,810 | @ | Pantry, Inc. | 216,035 | 0.0 | ||
41,166 | @ | Pilgrim's Pride Corp. | 298,453 | 0.0 | ||
16,500 | @ | Post Holdings, Inc. | 565,125 | 0.1 | ||
29,480 | @ | Prestige Brands Holdings, Inc. | 590,484 | 0.1 | ||
12,260 | Pricesmart, Inc. | 944,633 | 0.1 | |||
410,500 | @ | Rite Aid Corp. | 558,280 | 0.1 | ||
30,500 | L | Roundy's, Inc. | 135,725 | 0.0 | ||
17,640 | Sanderson Farms, Inc. | 838,782 | 0.1 | |||
9,630 | @ | Seneca Foods Corp. | 292,752 | 0.0 | ||
49,110 | @ | Smart Balance, Inc. | 633,519 | 0.1 | ||
21,000 | Snyders-Lance, Inc. | 506,310 | 0.1 | |||
20,340 | Spartan Stores, Inc. | 312,422 | 0.0 | |||
16,400 | Spectrum Brands Holdings, Inc. | 736,852 | 0.1 | |||
91,450 | @,L | Star Scientific, Inc. | 245,086 | 0.0 | ||
129,200 | L | Supervalu, Inc. | 319,124 | 0.1 | ||
7,500 | @ | Susser Holdings Corp. | 258,675 | 0.0 | ||
19,710 | L | Tootsie Roll Industries, Inc. | 510,883 | 0.1 | ||
24,710 | @ | TreeHouse Foods, Inc. | 1,288,132 | 0.2 | ||
32,330 | @ | United Natural Foods, Inc. | 1,732,565 | 0.2 | ||
15,870 | Universal Corp. | 792,072 | 0.1 | |||
5,050 | @,L | USANA Health Sciences, Inc. | 166,296 | 0.0 | ||
30,850 | Vector Group Ltd. | 458,740 | 0.1 | |||
10,690 | WD-40 Co. | 503,606 | 0.1 | |||
8,100 | Weis Markets, Inc. | 317,277 | 0.0 | |||
27,368,084 | 3.5 | |||||
Energy: 5.6% | ||||||
90,900 | @,L | Abraxas Petroleum Corp. | 199,071 | 0.0 | ||
11,070 | L | Apco Oil and Gas International, Inc. | 136,272 | 0.0 | ||
19,800 | @ | Approach Resources, Inc. | 495,198 | 0.1 | ||
118,800 | Arch Coal, Inc. | 869,616 | 0.1 | |||
41,470 | @ | ATP Oil & Gas Corp. | 3,940 | 0.0 | ||
24,520 | @,L | Basic Energy Services, Inc. | 279,773 | 0.0 | ||
37,270 | Berry Petroleum Co. | 1,250,408 | 0.2 | |||
29,660 | @ | Bill Barrett Corp. | 527,651 | 0.1 | ||
71,870 | @,L | BPZ Energy, Inc. | 226,390 | 0.0 | ||
27,030 | Bristow Group, Inc. | 1,450,430 | 0.2 | |||
28,100 | @ | C&J Energy Services, Inc. | 602,464 | 0.1 | ||
87,380 | @ | Cal Dive International, Inc. | 151,167 | 0.0 | ||
56,300 | @ | Callon Petroleum Co. | 264,610 | 0.0 | ||
19,600 | @ | Carrizo Oil & Gas, Inc. | 410,032 | 0.1 | ||
3,900 | @ | Clayton Williams Energy, Inc. | 156,000 | 0.0 | ||
35,340 | @,L | Clean Energy Fuels Corp. | 439,983 | 0.1 | ||
26,200 | @ | Cloud Peak Energy, Inc. | 506,446 | 0.1 | ||
27,800 | @ | Comstock Resources, Inc. | 420,614 | 0.1 | ||
9,120 | @ | Contango Oil & Gas Co. | 386,323 | 0.1 | ||
47,300 | @ | Crimson Exploration, Inc. | 129,602 | 0.0 | ||
27,420 | Crosstex Energy, Inc. | 393,203 | 0.1 | |||
8,800 | @ | CVR Energy, Inc. | 429,352 | 0.1 | ||
53,800 | @,X | CVR Energy Inc Escrow | – | – | ||
10,670 | @ | Dawson Geophysical Co. | 281,475 | 0.0 | ||
20,400 | Delek US Holdings, Inc. | 516,528 | 0.1 | |||
8,696 | @ | Diamondback Energy, Inc. | 166,268 | 0.0 | ||
25,420 | @ | Dril-Quip, Inc. | 1,856,931 | 0.2 | ||
31,550 | @,L | Endeavour International Corp. | 163,429 | 0.0 | ||
50,500 | Energy XXI Bermuda Ltd. | 1,625,595 | 0.2 | |||
22,200 | @ | EPL Oil & Gas, Inc. | 500,610 | 0.1 | ||
31,600 | @ | Exterran Holdings, Inc. | 692,672 | 0.1 | ||
51,800 | @ | Forest Oil Corp. | 346,542 | 0.0 | ||
7,100 | @ | Forum Energy Technologies, Inc. | 175,725 | 0.0 | ||
45,990 | @ | FX Energy, Inc. | 189,019 | 0.0 | ||
25,500 | @ | GasLog Ltd. | 316,965 | 0.0 | ||
119,800 | @ | Gastar Exploration Ltd. | 144,958 | 0.0 | ||
5,600 | @ | Geospace Technologies Corp. | 497,672 | 0.1 | ||
17,190 | @,L | Goodrich Petroleum Corp. | 160,211 | 0.0 | ||
23,600 | @,L | Green Plains Renewable Energy, Inc. | 186,676 | 0.0 | ||
6,490 | Gulf Island Fabrication, Inc. | 155,955 | 0.0 | |||
14,020 | Gulfmark Offshore, Inc. | 482,989 | 0.1 | |||
30,100 | @ | Gulfport Energy Corp. | 1,150,422 | 0.1 | ||
64,733 | @ | Halcon Resources Corp. | 447,952 | 0.1 | ||
42,900 | @,L | Harvest Natural Resources, Inc. | 389,103 | 0.1 | ||
77,500 | @ | Helix Energy Solutions Group, Inc. | 1,599,600 | 0.2 | ||
90,490 | @ | Hercules Offshore, Inc. | 559,228 | 0.1 | ||
17,140 | @ | Hornbeck Offshore Services, Inc. | 588,588 | 0.1 | ||
84,580 | @ | ION Geophysical Corp. | 550,616 | 0.1 | ||
92,610 | @ | Key Energy Services, Inc. | 643,639 | 0.1 | ||
23,000 | @,L | KiOR, Inc. | 147,430 | 0.0 | ||
174,300 | @ | Kodiak Oil & Gas Corp. | 1,542,555 | 0.2 | ||
21,020 | Lufkin Industries, Inc. | 1,221,893 | 0.2 | |||
88,100 | @,L | Magnum Hunter Resources Corp. | 351,519 | 0.0 | ||
21,300 | @ | Matador Resources Co. | 174,660 | 0.0 | ||
18,860 | @ | Matrix Service Co. | 216,890 | 0.0 | ||
67,970 | @ | McMoRan Exploration Co. | 1,090,918 | 0.1 | ||
34,000 | @ | Midstates Petroleum Co., Inc. | 234,260 | 0.0 | ||
33,700 | @,L | Miller Energy Resources, Inc. | 133,452 | 0.0 | ||
16,510 | @ | Natural Gas Services Group, Inc. | 271,094 | 0.0 | ||
53,740 | @ | Newpark Resources | 421,859 | 0.1 | ||
30,480 | L | Nordic American Tankers Ltd. | 266,700 | 0.0 | ||
33,420 | @ | Northern Oil And Gas, Inc. | 562,124 | 0.1 | ||
45,100 | @ | Oasis Petroleum, Inc. | 1,434,180 | 0.2 | ||
6,090 | Panhandle Oil and Gas, Inc. | 171,921 | 0.0 | |||
51,900 | @ | Parker Drilling Co. | 238,740 | 0.0 | ||
12,910 | @ | PDC Energy, Inc. | 428,741 | 0.1 | ||
28,880 | Penn Virginia Corp. | 127,361 | 0.0 | |||
31,710 | @ | Petroquest Energy, Inc. | 156,965 | 0.0 | ||
8,960 | @ | PHI, Inc. | 300,070 | 0.0 | ||
35,200 | @ | Pioneer Energy Services Corp. | 255,552 | 0.0 | ||
89,700 | @,L | Quicksilver Resources, Inc. | 256,542 | 0.0 | ||
193,200 | @ | Rentech, Inc. | 508,116 | 0.1 | ||
49,700 | @,L | Resolute Energy Corp. | 404,061 | 0.1 | ||
26,730 | @ | Rex Energy Corp. | 348,025 | 0.0 | ||
32,520 | @ | Rosetta Resources, Inc. | 1,475,107 | 0.2 | ||
57,700 | @ | Scorpio Tankers, Inc. | 410,247 | 0.1 | ||
23,500 | @ | SemGroup Corp. | 918,380 | 0.1 | ||
25,140 | @ | Ship Finance International Ltd. | 418,078 | 0.1 | ||
21,000 | @,L | Solazyme, Inc. | 165,060 | 0.0 | ||
26,980 | @ | Stone Energy Corp. | 553,630 | 0.1 | ||
22,660 | @ | Swift Energy Co. | 348,737 | 0.0 | ||
28,569 | @ | Synergy Resources Corp. | 153,987 | 0.0 | ||
13,400 | Targa Resources Corp. | 708,056 | 0.1 | |||
19,500 | @ | Tesco Corp. | 222,105 | 0.0 | ||
50,570 | @ | Tetra Technologies, Inc. | 383,826 | 0.1 | ||
25,200 | TGC Industries, Inc. | 206,388 | 0.0 | |||
42,300 | @ | Triangle Petroleum Corp. | 253,377 | 0.0 | ||
45,370 | @ | Vaalco Energy, Inc. | 392,451 | 0.1 | ||
172,950 | @ | Vantage Drilling Co. | 316,499 | 0.0 | ||
17,040 | W&T Offshore, Inc. | 273,151 | 0.0 | |||
96,020 | @ | Warren Resources, Inc. | 269,816 | 0.0 | ||
45,080 | L | Western Refining, Inc. | 1,270,805 | 0.2 | ||
24,800 | @ | Willbros Group, Inc. | 132,928 | 0.0 | ||
44,256,169 | 5.6 | |||||
Financials: 21.4% | ||||||
12,150 | 1st Source Corp. | 268,393 | 0.0 | |||
48,400 | @ | 1st United Bancorp, Inc. | 302,500 | 0.0 | ||
23,696 | Acadia Realty Trust | 594,296 | 0.1 | |||
4,900 | AG Mortgage Investment Trust, Inc. | 115,052 | 0.0 | |||
12,300 | Agree Realty Corp. | 329,517 | 0.0 | |||
1,450 | Alexander's, Inc. | 479,660 | 0.1 | |||
62,580 | Alterra Capital Holdings Ltd. | 1,764,130 | 0.2 | |||
24,200 | American Assets Trust, Inc. | 675,906 | 0.1 | |||
17,500 | American Capital Mortgage Investment Corp. | 412,475 | 0.1 | |||
36,920 | American Equity Investment Life Holding Co. | 450,793 | 0.1 | |||
96,900 | American Realty Capital Trust, Inc. | 1,119,195 | 0.1 | |||
27,705 | @ | Ameris Bancorp. | 346,035 | 0.0 | ||
13,520 | @ | Amerisafe, Inc. | 368,420 | 0.1 | ||
13,673 | Amtrust Financial Services, Inc. | 392,278 | 0.1 | |||
111,480 | Anworth Mortgage Asset Corp. | 644,354 | 0.1 | |||
23,000 | Apollo Commercial Real Estate Finance, Inc. | 373,290 | 0.1 | |||
137,410 | Apollo Investment Corp. | 1,148,748 | 0.2 | |||
10,000 | Apollo Residential Mortgage, Inc. | 201,900 | 0.0 | |||
16,800 | Ares Commercial Real Estate Corp. | 275,856 | 0.0 | |||
19,090 | @ | Argo Group International Holdings Ltd. | 641,233 | 0.1 | ||
186,320 | ARMOUR Residential REIT, Inc. | 1,205,490 | 0.2 | |||
6,675 | Arrow Financial Corp. | 166,541 | 0.0 | |||
32,910 | Ashford Hospitality Trust, Inc. | 345,884 | 0.0 | |||
21,680 | Associated Estates Realty Corp. | 349,482 | 0.1 | |||
63,180 | Astoria Financial Corp. | 591,365 | 0.1 | |||
5,850 | Bancfirst Corp. | 247,806 | 0.0 | |||
26,950 | @ | Bancorp, Inc. | 295,641 | 0.0 | ||
49,700 | Bancorpsouth, Inc. | 722,638 | 0.1 | |||
80,550 | Bank Mutual Corp. | 346,365 | 0.0 | |||
20,280 | Bank of the Ozarks, Inc. | 678,772 | 0.1 | |||
38,300 | BankFinancial Corp. | 284,186 | 0.0 | |||
15,500 | Banner Corp. | 476,315 | 0.1 | |||
35,850 | BBCN Bancorp, Inc. | 414,784 | 0.1 | |||
28,050 | @ | Beneficial Mutual Bancorp, Inc. | 266,475 | 0.0 | ||
9,510 | Berkshire Hills Bancorp., Inc. | 226,909 | 0.0 | |||
63,540 | BGC Partners, Inc. | 219,848 | 0.0 | |||
51,550 | BlackRock Kelso Capital Corp. | 518,593 | 0.1 | |||
18,880 | @ | Banco Latinoamericano de Exportaciones S.A. | 407,053 | 0.1 | ||
13,000 | @ | BofI Holding, Inc. | 362,310 | 0.1 | ||
30,800 | Boston Private Financial Holdings, Inc. | 277,508 | 0.0 | |||
17,570 | OceanFirst Financial Corp. | 241,588 | 0.0 | |||
28,340 | Brookline Bancorp., Inc. | 240,890 | 0.0 | |||
11,800 | Bryn Mawr Bank Corp. | 262,786 | 0.0 | |||
20,870 | Calamos Asset Management, Inc. | 220,596 | 0.0 | |||
6,340 | Camden National Corp. | 215,370 | 0.0 | |||
16,700 | Campus Crest Communities, Inc. | 204,742 | 0.0 | |||
2,720 | Capital Southwest Corp. | 270,994 | 0.0 | |||
57,530 | Capital Lease Funding, Inc. | 320,442 | 0.0 | |||
42,740 | Capstead Mortgage Corp. | 490,228 | 0.1 | |||
21,890 | Cardinal Financial Corp. | 356,150 | 0.1 | |||
22,780 | Cash America International, Inc. | 903,683 | 0.1 | |||
49,420 | Cathay General Bancorp. | 963,690 | 0.1 | |||
62,170 | Cedar Shopping Centers, Inc. | 328,258 | 0.0 | |||
33,270 | Centerstate Banks of Florida, Inc. | 283,793 | 0.0 | |||
7,200 | @ | Central Pacific Financial Corp. | 112,248 | 0.0 | ||
23,600 | Chatham Lodging Trust | 362,968 | 0.1 | |||
16,330 | Chemical Financial Corp. | 388,001 | 0.1 | |||
14,600 | Chesapeake Lodging Trust | 304,848 | 0.0 | |||
35,970 | @ | Citizens, Inc. | 397,468 | 0.1 | ||
23,300 | @ | Citizens Republic Bancorp, Inc. | 442,001 | 0.1 | ||
11,240 | L | City Holding Co. | 391,714 | 0.1 | ||
20,900 | Clifton Savings Bancorp, Inc. | 235,543 | 0.0 | |||
10,460 | CNB Financial Corp. | 171,335 | 0.0 | |||
146,900 | CNO Financial Group, Inc. | 1,370,577 | 0.2 | |||
45,810 | CoBiz Financial, Inc. | 342,201 | 0.0 | |||
8,670 | L | Cohen & Steers, Inc. | 264,175 | 0.0 | ||
46,990 | Colonial Properties Trust | 1,004,176 | 0.1 | |||
22,700 | Colony Financial, Inc. | 442,650 | 0.1 | |||
25,830 | Columbia Banking System, Inc. | 463,390 | 0.1 | |||
21,790 | Community Bank System, Inc. | 596,174 | 0.1 | |||
11,490 | Community Trust Bancorp., Inc. | 376,642 | 0.1 | |||
9,000 | Coresite Realty Corp. | 248,940 | 0.0 | |||
63,298 | Cousins Properties, Inc. | 528,538 | 0.1 | |||
87,400 | @ | Cowen Group, Inc. | 214,130 | 0.0 | ||
4,650 | @ | Credit Acceptance Corp. | 472,812 | 0.1 | ||
21,600 | CreXus Investment Corp. | 264,600 | 0.0 | |||
70,350 | CubeSmart | 1,024,999 | 0.1 | |||
53,420 | CVB Financial Corp. | 555,568 | 0.1 | |||
104,130 | CYS Investments, Inc. | 1,229,775 | 0.2 | |||
143,890 | DCT Industrial Trust, Inc. | 933,846 | 0.1 | |||
24,660 | @ | DFC Global Corp. | 456,457 | 0.1 | ||
107,595 | DiamondRock Hospitality Co. | 968,355 | 0.1 | |||
19,710 | Dime Community Bancshares | 273,772 | 0.0 | |||
11,500 | Donegal Group, Inc. | 161,460 | 0.0 | |||
121,800 | @ | Doral Financial Corp. | 88,195 | 0.0 | ||
18,180 | Duff & Phelps Corp. | 283,972 | 0.0 | |||
39,230 | DuPont Fabros Technology, Inc. | 947,797 | 0.1 | |||
35,550 | Dynex Capital, Inc. | 335,592 | 0.0 | |||
16,100 | @ | Eagle Bancorp, Inc. | 321,517 | 0.0 | ||
21,920 | EastGroup Properties, Inc. | 1,179,515 | 0.2 | |||
49,010 | Education Realty Trust, Inc. | 521,466 | 0.1 | |||
13,380 | @ | eHealth, Inc. | 367,682 | 0.1 | ||
28,430 | Employers Holdings, Inc. | 585,089 | 0.1 | |||
12,060 | @ | Encore Capital Group, Inc. | 369,277 | 0.1 | ||
4,020 | @ | Enstar Group Ltd. | 450,160 | 0.1 | ||
18,450 | Enterprise Financial Services Corp. | 241,141 | 0.0 | |||
10,760 | Epoch Holding Corp. | 300,204 | 0.0 | |||
35,810 | EPR Properties | 1,651,199 | 0.2 | |||
24,270 | Equity One, Inc. | 509,913 | 0.1 | |||
18,392 | ESB Financial Corp. | 255,097 | 0.0 | |||
10,630 | Evercore Partners, Inc. | 320,920 | 0.0 | |||
33,600 | Excel Trust, Inc. | 425,712 | 0.1 | |||
32,960 | @ | Ezcorp, Inc. | 654,586 | 0.1 | ||
9,070 | FBL Financial Group, Inc. | 310,285 | 0.0 | |||
79,520 | @ | FelCor Lodging Trust, Inc. | 371,358 | 0.1 | ||
19,900 | Fidus Investment Corp. | 327,355 | 0.0 | |||
52,370 | Fifth Street Finance Corp. | 545,695 | 0.1 | |||
22,100 | @,L | Financial Engines, Inc. | 613,275 | 0.1 | ||
78,900 | First American Financial Corp. | 1,900,701 | 0.2 | |||
33,000 | @ | First BanCorp/Puerto Rico | 151,140 | 0.0 | ||
21,090 | First Bancorp. | 270,374 | 0.0 | |||
37,230 | First Busey Corp. | 173,119 | 0.0 | |||
44,200 | @ | First California Financial Group, Inc. | 341,224 | 0.0 | ||
19,850 | @ | First Cash Financial Services, Inc. | 984,957 | 0.1 | ||
50,920 | First Commonwealth Financial Corp. | 347,274 | 0.0 | |||
38,080 | First Financial Bancorp. | 556,730 | 0.1 | |||
22,965 | L | First Financial Bankshares, Inc. | 895,865 | 0.1 | ||
9,230 | First Financial Corp. | 279,115 | 0.0 | |||
59,110 | @ | First Industrial Realty Trust, Inc. | 832,269 | 0.1 | ||
19,220 | First Merchants Corp. | 285,225 | 0.0 | |||
48,230 | First Midwest Bancorp., Inc. | 603,840 | 0.1 | |||
30,570 | First Potomac Realty Trust | 377,845 | 0.1 | |||
68,895 | FirstMerit Corp. | 977,620 | 0.1 | |||
25,800 | Flushing Financial Corp. | 395,772 | 0.1 | |||
68,166 | FNB Corp. | 723,923 | 0.1 | |||
26,370 | @ | Forestar Real Estate Group, Inc. | 456,992 | 0.1 | ||
46,170 | Franklin Street Properties Corp. | 568,353 | 0.1 | |||
4,640 | GAMCO Investors, Inc. | 246,245 | 0.0 | |||
17,320 | Getty Realty Corp. | 312,799 | 0.0 | |||
88,310 | GFI Group, Inc. | 286,124 | 0.0 | |||
45,460 | Glacier Bancorp., Inc. | 668,717 | 0.1 | |||
34,340 | Gladstone Capital Corp. | 280,214 | 0.0 | |||
17,990 | Gladstone Commercial Corp. | 322,921 | 0.0 | |||
74,120 | Glimcher Realty Trust | 821,991 | 0.1 | |||
6,093 | @ | Global Indemnity PLC | 134,838 | 0.0 | ||
23,100 | L | Golub Capital BDC, Inc. | 369,138 | 0.1 | ||
17,000 | Government Properties Income Trust | 407,490 | 0.1 | |||
11,490 | Great Southern Bancorp., Inc. | 292,421 | 0.0 | |||
13,900 | @,L | Green Dot Corp. | 169,580 | 0.0 | ||
15,700 | Greenhill & Co., Inc. | 816,243 | 0.1 | |||
19,750 | @ | Greenlight Capital Re Ltd. | 455,830 | 0.1 | ||
18,400 | @,L | GSV Capital Corp. | 155,112 | 0.0 | ||
47,938 | Hancock Holding Co. | 1,521,552 | 0.2 | |||
22,000 | @ | Hanmi Financial Corp. | 298,980 | 0.0 | ||
47,630 | Healthcare Realty Trust, Inc. | 1,143,596 | 0.2 | |||
8,120 | Heartland Financial USA, Inc. | 212,338 | 0.0 | |||
38,255 | Hercules Technology Growth Capital, Inc. | 425,778 | 0.1 | |||
84,700 | Hersha Hospitality Trust | 423,500 | 0.1 | |||
17,300 | @ | HFF, Inc. | 257,770 | 0.0 | ||
44,916 | Highwoods Properties, Inc. | 1,502,440 | 0.2 | |||
36,020 | @ | Hilltop Holdings, Inc. | 487,711 | 0.1 | ||
13,424 | Home Bancshares, Inc. | 443,260 | 0.1 | |||
16,300 | @ | Home Loan Servicing Solutions Ltd. | 308,070 | 0.0 | ||
17,700 | L | Homeowners Choice, Inc. | 367,983 | 0.1 | ||
26,670 | Horace Mann Educators Corp. | 532,333 | 0.1 | |||
9,600 | Hudson Pacific Properties, Inc. | 202,176 | 0.0 | |||
13,993 | Hudson Valley Holding Corp. | 217,871 | 0.0 | |||
18,090 | IBERIABANK Corp. | 888,581 | 0.1 | |||
29,650 | @ | ICG Group, Inc. | 338,900 | 0.0 | ||
12,100 | Independent Bank Corp. | 350,295 | 0.1 | |||
8,050 | Infinity Property & Casualty Corp. | 468,832 | 0.1 | |||
49,300 | Inland Real Estate Corp. | 413,134 | 0.1 | |||
35,630 | International Bancshares Corp. | 643,122 | 0.1 | |||
13,555 | @ | Intl. FCStone, Inc. | 235,993 | 0.0 | ||
62,150 | Invesco Mortgage Capital, Inc. | 1,224,977 | 0.2 | |||
28,900 | @ | Investment Technology Group, Inc. | 260,100 | 0.0 | ||
28,350 | Investors Bancorp, Inc. | 504,063 | 0.1 | |||
50,100 | Investors Real Estate Trust | 437,373 | 0.1 | |||
65,110 | @,L | iStar Financial, Inc. | 530,647 | 0.1 | ||
6,900 | JAVELIN Mortgage Investment Corp. | 131,721 | 0.0 | |||
6,681 | Kansas City Life Insurance Co. | 254,947 | 0.0 | |||
22,470 | KBW, Inc. | 343,791 | 0.0 | |||
25,800 | L | KCAP Financial, Inc. | 237,102 | 0.0 | ||
39,200 | @ | Kemet Corp. | 197,176 | 0.0 | ||
34,500 | Kennedy-Wilson Holdings, Inc. | 482,310 | 0.1 | |||
50,800 | Kite Realty Group Trust | 283,972 | 0.0 | |||
95,900 | @ | Knight Capital Group, Inc. | 336,609 | 0.0 | ||
15,566 | Lakeland Bancorp, Inc. | 158,462 | 0.0 | |||
11,670 | Lakeland Financial Corp. | 301,553 | 0.0 | |||
53,300 | LaSalle Hotel Properties | 1,353,287 | 0.2 | |||
64,835 | L | Lexington Realty Trust | 677,526 | 0.1 | ||
15,620 | LTC Properties, Inc. | 549,668 | 0.1 | |||
46,900 | @ | Maiden Holdings Ltd. | 431,011 | 0.1 | ||
10,850 | Main Street Capital Corp. | 331,034 | 0.0 | |||
17,120 | MainSource Financial Group, Inc. | 216,910 | 0.0 | |||
22,070 | MarketAxess Holdings, Inc. | 779,071 | 0.1 | |||
34,500 | MB Financial Corp. | 681,375 | 0.1 | |||
63,800 | MCG Capital Corp. | 293,480 | 0.0 | |||
31,600 | Meadowbrook Insurance Group, Inc. | 182,648 | 0.0 | |||
31,700 | Medallion Financial Corp. | 372,158 | 0.1 | |||
75,680 | Medical Properties Trust, Inc. | 905,133 | 0.1 | |||
29,100 | Medley Capital Corp. | 423,696 | 0.1 | |||
8,370 | Merchants Bancshares, Inc. | 224,065 | 0.0 | |||
27,400 | @ | MetroCorp Bancshares, Inc. | 301,126 | 0.0 | ||
151,250 | @ | MGIC Investment Corp. | 402,325 | 0.1 | ||
27,100 | Monmouth Real Estate Investment Corp. | 280,756 | 0.0 | |||
41,560 | @ | Montpelier Re Holdings Ltd. | 950,062 | 0.1 | ||
14,950 | MVC Capital, Inc. | 181,643 | 0.0 | |||
31,880 | @ | National Financial Partners Corp. | 546,423 | 0.1 | ||
15,810 | National Health Investors, Inc. | 893,739 | 0.1 | |||
8,490 | National Interstate Corp. | 244,682 | 0.0 | |||
82,810 | National Penn Bancshares, Inc. | 771,789 | 0.1 | |||
1,665 | National Western Life Insurance Co. | 262,637 | 0.0 | |||
11,400 | @,L | Nationstar Mortgage Holdings, Inc. | 353,172 | 0.1 | ||
7,530 | @ | Navigators Group, Inc. | 384,557 | 0.1 | ||
22,730 | NBT Bancorp., Inc. | 460,737 | 0.1 | |||
17,700 | Nelnet, Inc. | 527,283 | 0.1 | |||
17,100 | @ | Netspend Holdings, Inc. | 202,122 | 0.0 | ||
64,800 | New York Mortgage Trust, Inc. | 409,536 | 0.1 | |||
23,200 | @ | NewStar Financial, Inc. | 325,032 | 0.0 | ||
37,970 | NGP Capital Resources Co. | 274,143 | 0.0 | |||
10,080 | Northfield Bancorp, Inc. | 153,720 | 0.0 | |||
89,888 | Northstar Realty Finance Corp. | 632,812 | 0.1 | |||
71,570 | Northwest Bancshares, Inc. | 868,860 | 0.1 | |||
63,950 | @ | Ocwen Financial Corp. | 2,212,031 | 0.3 | ||
58,330 | Old National Bancorp. | 692,377 | 0.1 | |||
68,980 | Omega Healthcare Investors, Inc. | 1,645,173 | 0.2 | |||
17,300 | @ | OmniAmerican Bancorp, Inc. | 400,149 | 0.1 | ||
15,300 | One Liberty Properties, Inc. | 310,437 | 0.0 | |||
24,250 | Oriental Financial Group | 323,738 | 0.0 | |||
43,575 | Oritani Financial Corp. | 667,569 | 0.1 | |||
10,800 | Federal Agricultural Mortgage Corp. | 351,000 | 0.1 | |||
17,340 | PacWest Bancorp | 429,685 | 0.1 | |||
7,360 | L | Park National Corp. | 475,677 | 0.1 | ||
67,300 | @ | Park Sterling Corp. | 351,979 | 0.1 | ||
26,700 | Pebblebrook Hotel Trust | 616,770 | 0.1 | |||
29,830 | PennantPark Investment Corp. | 327,981 | 0.0 | |||
40,180 | Pennsylvania Real Estate Investment Trust | 708,775 | 0.1 | |||
36,897 | Pennymac Mortgage Investment Trust | 933,125 | 0.1 | |||
12,820 | Peoples Bancorp., Inc. | 261,913 | 0.0 | |||
32,490 | @,L | PHH Corp. | 739,148 | 0.1 | ||
5,000 | @ | Phoenix Cos, Inc. | 123,650 | 0.0 | ||
13,590 | @ | Pico Holdings, Inc. | 275,469 | 0.0 | ||
22,580 | @ | Pinnacle Financial Partners, Inc. | 425,407 | 0.1 | ||
12,430 | @ | Piper Jaffray Cos. | 399,376 | 0.1 | ||
24,640 | @ | Platinum Underwriters Holdings Ltd. | 1,133,440 | 0.1 | ||
12,420 | @ | Portfolio Recovery Associates, Inc. | 1,327,201 | 0.2 | ||
29,710 | Potlatch Corp. | 1,164,335 | 0.2 | |||
21,200 | Primerica, Inc. | 636,212 | 0.1 | |||
29,520 | PrivateBancorp, Inc. | 452,246 | 0.1 | |||
104,352 | Prospect Capital Corp. | 1,134,306 | 0.1 | |||
36,100 | Prosperity Bancshares, Inc. | 1,516,200 | 0.2 | |||
38,970 | Provident Financial Services, Inc. | 581,432 | 0.1 | |||
26,420 | Provident New York Bancorp | 245,970 | 0.0 | |||
10,890 | PS Business Parks, Inc. | 707,632 | 0.1 | |||
100,400 | L | Radian Group, Inc. | 613,444 | 0.1 | ||
30,716 | RAIT Financial Trust | 173,545 | 0.0 | |||
23,290 | Ramco-Gershenson Properties | 309,990 | 0.0 | |||
55,780 | Redwood Trust, Inc. | 942,124 | 0.1 | |||
14,930 | Renasant Corp. | 285,760 | 0.0 | |||
7,060 | Republic Bancorp., Inc. | 149,178 | 0.0 | |||
52,250 | Resource Capital Corp. | 292,600 | 0.0 | |||
35,000 | L | Retail Opportunity Investments | 450,100 | 0.1 | ||
12,490 | RLI Corp. | 807,603 | 0.1 | |||
55,100 | RLJ Lodging Trust | 1,067,287 | 0.1 | |||
30,490 | Rockville Financial, Inc. | 393,321 | 0.1 | |||
21,670 | Roma Financial Corp. | 327,650 | 0.0 | |||
14,500 | L | Rouse Properties, Inc. | 245,340 | 0.0 | ||
24,928 | @ | Ryman Hospitality Properties | 958,731 | 0.1 | ||
15,760 | S&T Bancorp, Inc. | 284,783 | 0.0 | |||
29,900 | Sabra Healthcare REIT, Inc. | 649,428 | 0.1 | |||
18,093 | @ | Safeguard Scientifics, Inc. | 266,872 | 0.0 | ||
9,020 | Safety Insurance Group, Inc. | 416,453 | 0.1 | |||
18,640 | Sandy Spring Bancorp, Inc. | 361,989 | 0.1 | |||
3,470 | Saul Centers, Inc. | 148,481 | 0.0 | |||
7,580 | SCBT Financial Corp. | 304,564 | 0.0 | |||
31,420 | SeaBright Insurance Holdings, Inc. | 347,819 | 0.1 | |||
37,990 | Selective Insurance Group | 732,067 | 0.1 | |||
11,510 | Simmons First National Corp. | 291,894 | 0.0 | |||
15,800 | Solar Capital Ltd. | 377,778 | 0.1 | |||
18,500 | Solar Senior Capital Ltd. | 345,210 | 0.0 | |||
13,581 | L | Southside Bancshares, Inc. | 286,016 | 0.0 | ||
17,240 | Sovran Self Storage, Inc. | 1,070,604 | 0.1 | |||
20,792 | Spirit Realty Capital, Inc. | 369,682 | 0.1 | |||
27,600 | STAG Industrial, Inc. | 495,972 | 0.1 | |||
79,150 | Starwood Property Trust, Inc. | 1,817,284 | 0.2 | |||
10,080 | State Auto Financial Corp. | 150,595 | 0.0 | |||
30,400 | State Bank Financial Corp. | 482,752 | 0.1 | |||
12,670 | StellarOne Corp. | 179,154 | 0.0 | |||
21,150 | Sterling Bancorp. | 192,677 | 0.0 | |||
18,700 | Sterling Financial Corp. | 390,456 | 0.1 | |||
15,900 | Stewart Information Services Corp. | 413,400 | 0.1 | |||
32,585 | @ | Stifel Financial Corp. | 1,041,742 | 0.1 | ||
122,220 | @ | Strategic Hotel Capital, Inc. | 782,208 | 0.1 | ||
41,000 | Summit Hotel Properties, Inc. | 389,500 | 0.1 | |||
14,140 | Sun Communities, Inc. | 564,045 | 0.1 | |||
67,614 | @ | Sunstone Hotel Investors, Inc. | 724,146 | 0.1 | ||
139,106 | Susquehanna Bancshares, Inc. | 1,457,831 | 0.2 | |||
36,030 | @ | SWS Group, Inc. | 190,599 | 0.0 | ||
10,540 | SY Bancorp., Inc. | 236,307 | 0.0 | |||
30,100 | Symetra Financial Corp. | 390,698 | 0.1 | |||
8,290 | @ | Tejon Ranch Co. | 232,783 | 0.0 | ||
21,800 | Terreno Realty Corp. | 336,592 | 0.0 | |||
11,050 | Territorial Bancorp, Inc. | 252,493 | 0.0 | |||
19,540 | @ | Texas Capital Bancshares, Inc. | 875,783 | 0.1 | ||
23,800 | THL Credit, Inc. | 352,002 | 0.1 | |||
29,700 | L | TICC Capital Corp. | 300,564 | 0.0 | ||
6,506 | Tompkins Financial Corp. | 257,898 | 0.0 | |||
27,554 | Tower Group, Inc. | 489,635 | 0.1 | |||
17,056 | TowneBank | 264,197 | 0.0 | |||
17,600 | L | Triangle Capital Corp. | 448,624 | 0.1 | ||
10,390 | Trico Bancshares | 174,033 | 0.0 | |||
50,250 | Trustco Bank Corp. | 265,320 | 0.0 | |||
45,950 | Trustmark Corp. | 1,032,037 | 0.1 | |||
185,456 | Two Harbors Investment Corp. | 2,054,852 | 0.3 | |||
23,310 | UMB Financial Corp. | 1,021,910 | 0.1 | |||
29,100 | UMH Properties, Inc. | 300,603 | 0.0 | |||
83,760 | Umpqua Holdings Corp. | 987,530 | 0.1 | |||
12,670 | Union First Market Bankshares Corp. | 199,806 | 0.0 | |||
25,080 | L | United Bankshares, Inc. | 609,946 | 0.1 | ||
23,500 | @ | United Community Banks, Inc./GA | 221,370 | 0.0 | ||
22,740 | United Financial Bancorp, Inc. | 357,473 | 0.1 | |||
18,520 | United Fire Group, Inc. | 404,477 | 0.1 | |||
7,340 | Universal Health Realty Income Trust | 371,477 | 0.1 | |||
14,960 | Univest Corp. of Pennsylvania | 255,816 | 0.0 | |||
14,040 | Urstadt Biddle Properties, Inc. | 276,307 | 0.0 | |||
11,756 | ViewPoint Financial Group | 246,171 | 0.0 | |||
6,280 | @ | Virtus Investment Partners | 759,503 | 0.1 | ||
23,971 | @ | Walter Investment Management Corp. | 1,031,232 | 0.1 | ||
20,900 | Washington Banking Co. | 284,658 | 0.0 | |||
42,240 | Washington Real Estate Investment Trust | 1,104,576 | 0.1 | |||
11,810 | Washington Trust Bancorp, Inc. | 310,721 | 0.0 | |||
51,760 | Webster Financial Corp. | 1,063,668 | 0.1 | |||
16,970 | WesBanco, Inc. | 377,073 | 0.1 | |||
15,900 | West Coast Bancorp | 352,185 | 0.1 | |||
22,070 | Westamerica Bancorp. | 939,961 | 0.1 | |||
44,440 | @ | Western Alliance Bancorp. | 467,953 | 0.1 | ||
3,700 | Western Asset Mortgage Capital Corp. | 73,149 | 0.0 | |||
45,960 | Westfield Financial, Inc. | 332,291 | 0.0 | |||
4,280 | Westwood Holdings Group, Inc. | 175,052 | 0.0 | |||
22,300 | Whitestone REIT | 313,315 | 0.0 | |||
17,450 | Winthrop Realty Trust | 192,823 | 0.0 | |||
20,940 | Wintrust Financial Corp. | 768,498 | 0.1 | |||
49,700 | @ | WisdomTree Investments, Inc. | 304,164 | 0.0 | ||
10,060 | @,L | World Acceptance, Corp. | 750,074 | 0.1 | ||
6,380 | WSFS Financial Corp. | 269,555 | 0.0 | |||
169,867,040 | 21.4 | |||||
Health Care: 11.8% | ||||||
12,180 | @ | Abaxism, Inc. | 451,878 | 0.1 | ||
20,080 | @,L | Abiomed, Inc. | 270,277 | 0.0 | ||
17,100 | @ | Acadia Healthcare Co., Inc. | 398,943 | 0.1 | ||
39,986 | @ | Accelrys, Inc. | 361,873 | 0.1 | ||
38,000 | @,L | Accretive Health, Inc. | 439,280 | 0.1 | ||
48,503 | @ | Accuray, Inc. | 311,874 | 0.0 | ||
41,100 | @ | Achillion Pharmaceuticals, Inc. | 329,622 | 0.0 | ||
26,160 | @ | Acorda Therapeutics, Inc. | 650,338 | 0.1 | ||
22,800 | @ | Aegerion Pharmaceuticals, Inc. | 578,892 | 0.1 | ||
21,300 | @ | Affymax, Inc. | 404,700 | 0.1 | ||
41,000 | @ | Affymetrix, Inc. | 129,970 | 0.0 | ||
20,460 | @ | Air Methods Corp. | 754,769 | 0.1 | ||
29,350 | @ | Akorn, Inc. | 392,116 | 0.1 | ||
38,750 | @ | Align Technology, Inc. | 1,075,312 | 0.1 | ||
65,770 | @ | Alkermes PLC | 1,218,060 | 0.2 | ||
7,470 | @ | Almost Family, Inc. | 151,342 | 0.0 | ||
23,950 | @ | Alnylam Pharmaceuticals, Inc. | 437,087 | 0.1 | ||
17,940 | @ | AMAG Pharmaceuticals, Inc. | 263,897 | 0.0 | ||
22,790 | @ | Amedisys, Inc. | 256,843 | 0.0 | ||
32,510 | @ | AMN Healthcare Services, Inc. | 375,490 | 0.1 | ||
20,140 | @ | Amsurg Corp. | 604,401 | 0.1 | ||
44,095 | @ | Anacor Pharmaceuticals, Inc. | 229,294 | 0.0 | ||
7,800 | Analogic Corp. | 579,540 | 0.1 | |||
18,000 | @ | Angiodynamics, Inc. | 197,820 | 0.0 | ||
22,800 | @ | Anika Therapeutics, Inc. | 226,632 | 0.0 | ||
93,600 | @,L | Antares Pharma, Inc. | 356,616 | 0.1 | ||
144,200 | @,L | Arena Pharmaceuticals, Inc. | 1,300,684 | 0.2 | ||
36,570 | @ | Arqule, Inc. | 102,030 | 0.0 | ||
77,330 | @ | Array Biopharma, Inc. | 287,668 | 0.0 | ||
19,500 | @ | Arthrocare Corp. | 674,505 | 0.1 | ||
13,620 | Assisted Living Concepts, Inc. | 132,795 | 0.0 | |||
157,330 | @ | Astex Pharmaceuticals | 457,830 | 0.1 | ||
24,080 | @,L | Athenahealth, Inc. | 1,768,676 | 0.2 | ||
17,000 | @ | AtriCure, Inc. | 117,300 | 0.0 | ||
830 | Atrion Corp. | 162,680 | 0.0 | |||
25,720 | @ | Auxilium Pharmaceuticals, Inc. | 476,592 | 0.1 | ||
89,900 | @,L | AVANIR Pharmaceuticals, Inc. | 236,437 | 0.0 | ||
37,400 | @,L | AVEO Pharmaceuticals, Inc. | 301,070 | 0.0 | ||
12,540 | @,L | Bio-Reference Labs, Inc. | 359,773 | 0.1 | ||
34,810 | @ | BioScrip, Inc. | 374,904 | 0.1 | ||
41,100 | @,L | Biotime, Inc. | 129,054 | 0.0 | ||
101,030 | @,L | Cadence Pharmaceuticals, Inc. | 483,934 | 0.1 | ||
36,980 | @ | Cambrex Corp. | 420,832 | 0.1 | ||
10,650 | Cantel Medical Corp. | 316,624 | 0.0 | |||
21,680 | @ | Capital Senior Living Corp. | 405,199 | 0.1 | ||
36,200 | @ | Celldex Therapeutics, Inc. | 242,902 | 0.0 | ||
30,740 | @ | Centene Corp. | 1,260,340 | 0.2 | ||
40,600 | @ | Cepheid, Inc. | 1,372,686 | 0.2 | ||
15,690 | Chemed Corp. | 1,076,177 | 0.1 | |||
12,980 | @,X | Clinical Data, Inc. | 12,980 | 0.0 | ||
11,300 | @,L | Clovis Oncology, Inc. | 180,800 | 0.0 | ||
7,230 | Computer Programs & Systems, Inc. | 363,958 | 0.1 | |||
21,330 | @ | Conceptus, Inc. | 448,143 | 0.1 | ||
19,440 | Conmed Corp. | 543,348 | 0.1 | |||
3,900 | @ | Corvel Corp. | 174,837 | 0.0 | ||
31,350 | CryoLife, Inc. | 195,310 | 0.0 | |||
43,370 | @ | Cubist Pharmaceuticals, Inc. | 1,824,142 | 0.2 | ||
92,803 | @ | Curis, Inc. | 318,314 | 0.0 | ||
16,790 | @ | Cyberonics | 881,979 | 0.1 | ||
13,980 | @ | Cynosure, Inc. | 337,058 | 0.0 | ||
96,700 | @,L | Dendreon Corp. | 510,576 | 0.1 | ||
47,800 | @ | Depomed, Inc. | 295,882 | 0.0 | ||
32,880 | @ | DexCom, Inc. | 447,497 | 0.1 | ||
125,810 | @ | Dyax Corp. | 437,819 | 0.1 | ||
115,800 | @ | Dynavax Technologies Corp. | 331,188 | 0.0 | ||
11,370 | @ | Emergent Biosolutions, Inc. | 182,375 | 0.0 | ||
16,680 | @ | Emeritus Corp. | 412,330 | 0.1 | ||
23,200 | @ | Endocyte, Inc. | 208,336 | 0.0 | ||
36,630 | @ | Endologix, Inc. | 521,611 | 0.1 | ||
8,320 | Ensign Group, Inc. | 226,221 | 0.0 | |||
37,150 | @ | Enzon Pharmaceuticals, Inc. | 164,574 | 0.0 | ||
40,200 | @ | Exact Sciences Corp. | 425,718 | 0.1 | ||
13,410 | @ | Exactech, Inc. | 227,300 | 0.0 | ||
23,800 | @ | ExamWorks Group, Inc. | 332,962 | 0.0 | ||
106,250 | @,L | Exelixis, Inc. | 485,563 | 0.1 | ||
23,300 | @ | Fluidigm Corp. | 333,423 | 0.0 | ||
11,300 | @ | Furiex Pharmaceuticals, Inc. | 217,638 | 0.0 | ||
9,430 | @ | Genomic Health, Inc. | 257,062 | 0.0 | ||
27,140 | @ | Gentiva Health Services, Inc. | 272,757 | 0.0 | ||
150,210 | @ | Geron Corp. | 211,796 | 0.0 | ||
15,180 | @ | Greatbatch, Inc. | 352,783 | 0.1 | ||
37,580 | @ | Haemonetics Corp. | 1,534,767 | 0.2 | ||
55,160 | @ | Halozyme Therapeutics, Inc. | 370,124 | 0.1 | ||
17,840 | @ | Hanger Orthopedic Group, Inc. | 488,102 | 0.1 | ||
114,230 | @,L | Hansen Medical, Inc. | 237,598 | 0.0 | ||
65,420 | @ | Healthsouth Corp. | 1,381,016 | 0.2 | ||
10,200 | @ | HealthStream, Inc. | 247,962 | 0.0 | ||
24,120 | @ | Healthways, Inc. | 258,084 | 0.0 | ||
6,463 | @ | HeartWare International, Inc. | 542,569 | 0.1 | ||
7,260 | @ | Hi-Tech Pharmacal Co., Inc. | 253,955 | 0.0 | ||
61,460 | @ | HMS Holdings Corp. | 1,593,043 | 0.2 | ||
51,600 | @ | Horizon Pharma, Inc. | 120,228 | 0.0 | ||
6,580 | @ | ICU Medical, Inc. | 400,919 | 0.1 | ||
60,800 | @ | Idenix Pharmaceuticals, Inc. | 294,880 | 0.0 | ||
54,500 | @,L | ImmunoCellular Therapeutics Ltd. | 104,640 | 0.0 | ||
47,460 | @,L | Immunogen, Inc. | 605,115 | 0.1 | ||
49,850 | @,L | Immunomedics, Inc. | 145,562 | 0.0 | ||
46,080 | @ | Impax Laboratories, Inc. | 944,179 | 0.1 | ||
17,900 | @ | Infinity Pharmaceuticals, Inc. | 626,500 | 0.1 | ||
19,750 | @ | Insulet Corp. | 419,095 | 0.1 | ||
12,830 | @ | Integra LifeSciences Holdings Corp. | 499,985 | 0.1 | ||
42,670 | @ | InterMune, Inc. | 413,472 | 0.1 | ||
19,460 | Invacare Corp. | 317,198 | 0.0 | |||
12,070 | @ | IPC The Hospitalist Co., Inc. | 479,300 | 0.1 | ||
40,200 | @ | Ironwood Pharmaceuticals, Inc. | 445,818 | 0.1 | ||
50,420 | @,L | Isis Pharmaceuticals, Inc. | 527,393 | 0.1 | ||
25,300 | @ | Jazz Pharmaceuticals PLC | 1,345,960 | 0.2 | ||
54,700 | @,L | Keryx Biopharmaceuticals, Inc. | 143,314 | 0.0 | ||
33,956 | @ | Kindred Healthcare, Inc. | 367,404 | 0.1 | ||
7,080 | Landauer, Inc. | 433,367 | 0.1 | |||
139,200 | @ | Lexicon Genetics, Inc. | 309,024 | 0.0 | ||
7,010 | @ | LHC Group, Inc. | 149,313 | 0.0 | ||
15,955 | @ | Ligand Pharmaceuticals, Inc. | 330,907 | 0.0 | ||
22,380 | @ | Luminex Corp. | 375,089 | 0.1 | ||
19,100 | @ | Magellan Health Services, Inc. | 935,900 | 0.1 | ||
24,000 | @,L | MAKO Surgical Corp. | 308,880 | 0.0 | ||
107,910 | @,L | MannKind Corp. | 249,272 | 0.0 | ||
19,900 | @ | MAP Pharmaceuticals, Inc. | 312,629 | 0.0 | ||
40,310 | @ | Masimo Corp. | 846,913 | 0.1 | ||
35,730 | @ | MedAssets, Inc. | 599,192 | 0.1 | ||
28,040 | @ | Medicines Co. | 672,119 | 0.1 | ||
10,800 | @ | Medidata Solutions, Inc. | 423,252 | 0.1 | ||
124,100 | @,L | Merge Healthcare, Inc. | 306,527 | 0.0 | ||
28,590 | Meridian Bioscience, Inc. | 578,948 | 0.1 | |||
19,212 | @ | Merit Medical Systems, Inc. | 267,047 | 0.0 | ||
12,160 | @ | Molina Healthcare, Inc. | 329,050 | 0.0 | ||
25,860 | @ | Momenta Pharmaceuticals, Inc. | 304,631 | 0.0 | ||
8,290 | @ | MWI Veterinary Supply, Inc. | 911,900 | 0.1 | ||
5,070 | National Healthcare Corp. | 238,391 | 0.0 | |||
23,930 | @ | Natus Medical, Inc. | 267,537 | 0.0 | ||
81,200 | @,L | Navidea Biopharmaceuticals, Inc. | 229,796 | 0.0 | ||
64,870 | @,L | Nektar Therapeutics | 480,687 | 0.1 | ||
15,015 | @ | Neogen Corp. | 680,480 | 0.1 | ||
26,220 | @ | Neurocrine Biosciences, Inc. | 196,126 | 0.0 | ||
21,400 | @,L | NewLink Genetics Corp. | 267,500 | 0.0 | ||
33,570 | @ | NPS Pharmaceuticals, Inc. | 305,487 | 0.0 | ||
26,480 | @ | NuVasive, Inc. | 409,381 | 0.1 | ||
27,070 | @ | NxStage Medical, Inc. | 304,538 | 0.0 | ||
16,890 | @ | Obagi Medical Products, Inc. | 229,535 | 0.0 | ||
22,400 | @,L | Omeros Corp. | 116,256 | 0.0 | ||
25,370 | @ | Omnicell, Inc. | 377,252 | 0.1 | ||
15,900 | @,L | OncoGenex Pharmaceutical, Inc. | 208,608 | 0.0 | ||
54,300 | @,L | Oncothyreon, Inc. | 104,256 | 0.0 | ||
32,485 | @ | Opko Health, Inc. | 156,253 | 0.0 | ||
18,740 | @ | Optimer Pharmaceuticals, Inc. | 169,597 | 0.0 | ||
35,750 | @ | OraSure Technologies, Inc. | 256,685 | 0.0 | ||
50,450 | @,L | Orexigen Therapeutics, Inc. | 265,872 | 0.0 | ||
10,580 | @ | Orthofix International NV | 416,111 | 0.1 | ||
44,280 | Owens & Minor, Inc. | 1,262,423 | 0.2 | |||
13,900 | @,L | Pacira Pharmaceuticals, Inc./DE | 242,833 | 0.0 | ||
49,430 | @ | Pain Therapeutics, Inc. | 133,955 | 0.0 | ||
25,260 | @ | Palomar Medical Technologies, Inc. | 232,645 | 0.0 | ||
42,760 | @ | Parexel International Corp. | 1,265,268 | 0.2 | ||
91,630 | L | PDL BioPharma, Inc. | 645,992 | 0.1 | ||
35,700 | @ | Pharmacyclics, Inc. | 2,067,030 | 0.3 | ||
19,410 | @ | PharMerica Corp. | 276,398 | 0.0 | ||
14,800 | @,L | PhotoMedex, Inc. | 214,748 | 0.0 | ||
14,030 | @ | Providence Service Corp. | 238,370 | 0.0 | ||
36,430 | @ | PSS World Medical, Inc. | 1,052,098 | 0.1 | ||
25,280 | Quality Systems, Inc. | 438,861 | 0.1 | |||
35,130 | L | Questcor Pharmaceuticals, Inc. | 938,674 | 0.1 | ||
13,450 | @,L | Quidel Corp. | 251,112 | 0.0 | ||
48,000 | @,L | Raptor Pharmaceutical Corp. | 280,800 | 0.0 | ||
11,900 | @ | Repros Therapeutics, Inc. | 187,425 | 0.0 | ||
42,450 | @ | Rigel Pharmaceuticals, Inc. | 275,925 | 0.0 | ||
72,990 | @ | RTI Biologics, Inc. | 311,667 | 0.0 | ||
46,860 | @,L | Sangamo Biosciences, Inc. | 281,629 | 0.0 | ||
50,600 | @ | Santarus, Inc. | 555,588 | 0.1 | ||
36,900 | @ | Sciclone Pharmaceuticals, Inc. | 159,039 | 0.0 | ||
58,570 | @,L | Seattle Genetics, Inc. | 1,358,824 | 0.2 | ||
23,500 | @ | Select Medical Holdings Corp. | 221,605 | 0.0 | ||
75,450 | @,L | Sequenom, Inc. | 356,124 | 0.1 | ||
23,220 | @ | Spectranetics Corp. | 342,959 | 0.1 | ||
34,640 | @,L | Spectrum Pharmaceuticals, Inc. | 387,622 | 0.1 | ||
39,520 | Steris Corp. | 1,372,530 | 0.2 | |||
52,350 | Stewart Enterprises, Inc. | 399,954 | 0.1 | |||
39,131 | @,L | Sunesis Pharmaceuticals, Inc. | 164,350 | 0.0 | ||
41,250 | @ | Sunrise Senior Living, Inc. | 593,175 | 0.1 | ||
15,270 | @ | SurModics, Inc. | 341,437 | 0.1 | ||
19,790 | @ | Symmetry Medical, Inc. | 208,191 | 0.0 | ||
7,000 | @ | Synageva BioPharma Corp. | 324,030 | 0.0 | ||
49,500 | @,L | Synergy Pharmaceuticals, Inc. | 260,370 | 0.0 | ||
31,800 | @,L | Synta Pharmaceuticals Corp. | 286,836 | 0.0 | ||
12,500 | @ | Team Health Holdings, Inc. | 359,625 | 0.1 | ||
45,210 | @,L | Theravance, Inc. | 1,006,827 | 0.1 | ||
32,400 | @,L | Threshold Pharmaceuticals, Inc. | 136,404 | 0.0 | ||
6,600 | @ | Tornier NV | 110,814 | 0.0 | ||
12,570 | @ | Triple-S Management Corp. | 232,168 | 0.0 | ||
43,100 | @,L | Trius Therapeutics, Inc. | 206,018 | 0.0 | ||
52,000 | @,L | Unilife Corp. | 118,040 | 0.0 | ||
25,820 | @ | Universal American Corp./NY | 221,794 | 0.0 | ||
5,600 | US Physical Therapy, Inc. | 154,224 | 0.0 | |||
33,500 | @ | Vanguard Health Systems, Inc. | 410,375 | 0.1 | ||
21,500 | @ | Vascular Solutions, Inc. | 339,700 | 0.1 | ||
18,700 | @,L | Ventrus Biosciences, Inc. | 40,392 | 0.0 | ||
82,800 | @ | Vical, Inc. | 240,948 | 0.0 | ||
44,790 | @ | Viropharma, Inc. | 1,019,420 | 0.1 | ||
66,570 | @,L | Vivus, Inc. | 893,369 | 0.1 | ||
30,810 | @ | Volcano Corp. | 727,424 | 0.1 | ||
28,600 | @ | WellCare Health Plans, Inc. | 1,392,534 | 0.2 | ||
25,480 | West Pharmaceutical Services, Inc. | 1,395,030 | 0.2 | |||
22,600 | @ | Wright Medical Group, Inc. | 474,374 | 0.1 | ||
36,540 | @ | Xenoport, Inc. | 283,916 | 0.0 | ||
53,900 | @ | XOMA Corp. | 129,091 | 0.0 | ||
6,600 | Young Innovations, Inc. | 260,106 | 0.0 | |||
45,000 | @,L | ZIOPHARM Oncology, Inc. | 187,200 | 0.0 | ||
91,900 | @ | Zogenix, Inc. | 122,227 | 0.0 | ||
93,868,835 | 11.8 | |||||
Industrials: 15.4% | ||||||
12,865 | AAON, Inc. | 268,493 | 0.0 | |||
23,620 | AAR Corp. | 441,222 | 0.1 | |||
38,550 | ABM Industries, Inc. | 769,072 | 0.1 | |||
26,480 | @ | Acacia Research - Acacia Technologies | 679,212 | 0.1 | ||
74,560 | @ | ACCO Brands Corp. | 547,270 | 0.1 | ||
45,140 | Actuant Corp. | 1,259,857 | 0.2 | |||
30,350 | Acuity Brands, Inc. | 2,055,605 | 0.3 | |||
19,360 | @ | Advisory Board Co. | 905,854 | 0.1 | ||
28,790 | @ | Aegion Corp. | 638,850 | 0.1 | ||
9,760 | @ | Aerovironment, Inc. | 212,182 | 0.0 | ||
49,380 | @ | Air Transport Services Group, Inc. | 198,014 | 0.0 | ||
30,340 | @ | Aircastle Ltd. | 380,464 | 0.1 | ||
5,200 | Alamo Group, Inc. | 169,728 | 0.0 | |||
47,920 | @ | Alaska Air Group, Inc. | 2,064,873 | 0.3 | ||
15,490 | Albany International Corp. | 351,313 | 0.0 | |||
10,000 | @ | Allegiant Travel Co. | 734,100 | 0.1 | ||
17,130 | Altra Holdings, Inc. | 377,716 | 0.1 | |||
5,930 | @ | Amerco, Inc. | 751,983 | 0.1 | ||
6,400 | American Railcar Industries, Inc. | 203,072 | 0.0 | |||
29,900 | @ | American Reprographics Co. | 76,544 | 0.0 | ||
6,960 | American Science & Engineering, Inc. | 453,862 | 0.1 | |||
53,360 | @ | American Superconductor Corp. | 139,803 | 0.0 | ||
8,840 | @ | American Woodmark Corp. | 245,929 | 0.0 | ||
27,375 | AO Smith Corp. | 1,726,541 | 0.2 | |||
18,700 | Apogee Enterprises, Inc. | 448,239 | 0.1 | |||
28,610 | Applied Industrial Technologies, Inc. | 1,201,906 | 0.2 | |||
22,500 | Arkansas Best Corp. | 214,875 | 0.0 | |||
15,410 | @ | Astec Industries, Inc. | 513,615 | 0.1 | ||
17,570 | @ | Atlas Air Worldwide Holdings, Inc. | 778,527 | 0.1 | ||
77,630 | @ | Avis Budget Group, Inc. | 1,538,627 | 0.2 | ||
16,120 | AZZ, Inc. | 619,492 | 0.1 | |||
33,000 | Barnes Group, Inc. | 741,180 | 0.1 | |||
12,300 | Barrett Business Services, Inc. | 468,507 | 0.1 | |||
27,280 | @ | Beacon Roofing Supply, Inc. | 907,878 | 0.1 | ||
32,950 | Belden CDT, Inc. | 1,482,420 | 0.2 | |||
32,450 | @ | Blount International, Inc. | 513,359 | 0.1 | ||
37,320 | Brady Corp. | 1,246,488 | 0.2 | |||
27,270 | Briggs & Stratton Corp. | 574,852 | 0.1 | |||
32,200 | Brink's Co. | 918,666 | 0.1 | |||
55,060 | Builders FirstSource, Inc. | 307,235 | 0.0 | |||
11,800 | @ | CAI International, Inc. | 259,010 | 0.0 | ||
324,300 | @ | Capstone Turbine Corp. | 288,627 | 0.0 | ||
5,330 | Cascade Corp. | 342,719 | 0.0 | |||
33,580 | @,L | CBIZ, Inc. | 198,458 | 0.0 | ||
13,670 | Celadon Group, Inc. | 247,017 | 0.0 | |||
20,750 | @ | Chart Industries, Inc. | 1,383,402 | 0.2 | ||
11,530 | CIRCOR International, Inc. | 456,473 | 0.1 | |||
32,830 | Clarcor, Inc. | 1,568,617 | 0.2 | |||
18,040 | @ | Columbus McKinnon Corp. | 298,021 | 0.0 | ||
27,280 | Comfort Systems USA, Inc. | 331,725 | 0.0 | |||
18,200 | @ | Commercial Vehicle Group, Inc. | 149,422 | 0.0 | ||
8,850 | @ | Consolidated Graphics, Inc. | 309,042 | 0.0 | ||
21,580 | Corporate Executive Board Co. | 1,024,187 | 0.1 | |||
15,915 | @ | CoStar Group, Inc. | 1,422,324 | 0.2 | ||
9,520 | Cubic Corp. | 456,674 | 0.1 | |||
29,009 | Curtiss-Wright Corp. | 952,365 | 0.1 | |||
32,750 | Deluxe Corp. | 1,055,860 | 0.1 | |||
18,370 | @ | DigitalGlobe, Inc. | 448,963 | 0.1 | ||
29,900 | Douglas Dynamics, Inc. | 430,261 | 0.1 | |||
800 | @ | DXP Enterprises, Inc. | 39,256 | 0.0 | ||
15,560 | @ | Dycom Industries, Inc. | 308,088 | 0.0 | ||
14,560 | Dynamic Materials Corp. | 202,384 | 0.0 | |||
11,600 | @ | Echo Global Logistics, Inc. | 208,452 | 0.0 | ||
34,400 | @ | Edgen Group, Inc. | 242,864 | 0.0 | ||
44,110 | EMCOR Group, Inc. | 1,526,647 | 0.2 | |||
13,610 | Encore Wire Corp. | 412,519 | 0.1 | |||
102,610 | @ | Energy Recovery, Inc. | 348,874 | 0.0 | ||
38,100 | @ | Energy Solutions, Inc. | 118,872 | 0.0 | ||
33,031 | @ | Enernoc, Inc. | 388,114 | 0.1 | ||
36,310 | @ | EnerSys | 1,366,345 | 0.2 | ||
17,520 | Ennis, Inc. | 271,034 | 0.0 | |||
12,440 | @ | EnPro Industries, Inc. | 508,796 | 0.1 | ||
15,700 | ESCO Technologies, Inc. | 587,337 | 0.1 | |||
18,480 | @ | Esterline Technologies Corp. | 1,175,513 | 0.2 | ||
8,190 | @ | Exponent, Inc. | 457,248 | 0.1 | ||
42,240 | @ | Federal Signal Corp. | 321,446 | 0.0 | ||
61,700 | @ | Flow International Corp. | 215,950 | 0.0 | ||
18,770 | Forward Air Corp. | 657,138 | 0.1 | |||
16,120 | Franklin Electric Co., Inc. | 1,002,180 | 0.1 | |||
8,000 | Freightcar America, Inc. | 179,360 | 0.0 | |||
21,700 | @ | FTI Consulting, Inc. | 716,100 | 0.1 | ||
219,940 | @ | FuelCell Energy, Inc. | 201,685 | 0.0 | ||
48,510 | @ | Furmanite Corp. | 260,499 | 0.0 | ||
10,950 | G&K Services, Inc. | 373,942 | 0.1 | |||
47,190 | @ | Gencorp, Inc. | 431,789 | 0.1 | ||
13,900 | @ | Generac Holdings, Inc. | 476,909 | 0.1 | ||
27,040 | @ | Genesee & Wyoming, Inc. | 2,057,203 | 0.3 | ||
50,016 | Geo Group, Inc. | 1,410,451 | 0.2 | |||
15,330 | @ | GeoEye, Inc. | 471,091 | 0.1 | ||
19,700 | @ | Gibraltar Industries, Inc. | 313,624 | 0.0 | ||
19,500 | Global Power Equipment Group, Inc. | 334,425 | 0.0 | |||
11,412 | Gorman-Rupp Co. | 340,420 | 0.0 | |||
12,020 | Graham Corp. | 234,390 | 0.0 | |||
18,840 | Granite Construction, Inc. | 633,401 | 0.1 | |||
41,440 | Great Lakes Dredge & Dock Corp. | 370,059 | 0.1 | |||
14,870 | @ | Greenbrier Cos., Inc. | 240,448 | 0.0 | ||
21,230 | Griffon Corp. | 243,296 | 0.0 | |||
22,360 | @ | H&E Equipment Services, Inc. | 336,965 | 0.0 | ||
40,560 | @ | Hawaiian Holdings, Inc. | 266,479 | 0.0 | ||
35,065 | Healthcare Services Group | 814,560 | 0.1 | |||
36,890 | Heartland Express, Inc. | 482,152 | 0.1 | |||
32,887 | Heico Corp. | 1,472,022 | 0.2 | |||
14,690 | Heidrick & Struggles International, Inc. | 224,169 | 0.0 | |||
46,800 | Herman Miller, Inc. | 1,002,456 | 0.1 | |||
72,160 | @ | Hexcel Corp. | 1,945,434 | 0.2 | ||
32,120 | HNI, Corp. | 965,527 | 0.1 | |||
16,290 | Houston Wire & Cable Co. | 199,878 | 0.0 | |||
29,060 | @ | HUB Group, Inc. | 976,416 | 0.1 | ||
14,550 | @ | Huron Consulting Group, Inc. | 490,190 | 0.1 | ||
3,750 | @,X | Hyster-Yale Materials Handling, Inc. | 183,000 | 0.0 | ||
3,750 | Hyster-Yale Materials Handling, Inc. | 183,000 | 0.0 | |||
10,250 | @ | ICF International, Inc. | 240,260 | 0.0 | ||
33,420 | @ | II-VI, Inc. | 610,583 | 0.1 | ||
22,340 | @ | Innerworkings, Inc. | 307,845 | 0.0 | ||
13,880 | Insperity, Inc. | 451,933 | 0.1 | |||
23,230 | Insteel Industries, Inc. | 289,910 | 0.0 | |||
33,570 | Interface, Inc. | 539,806 | 0.1 | |||
12,300 | Intersections, Inc. | 116,604 | 0.0 | |||
159,630 | @ | JetBlue Airways Corp. | 911,487 | 0.1 | ||
17,870 | John Bean Technologies Corp. | 317,550 | 0.0 | |||
8,640 | @ | Kadant, Inc. | 229,046 | 0.0 | ||
15,500 | Kaman Corp. | 570,400 | 0.1 | |||
22,700 | Kaydon Corp. | 543,211 | 0.1 | |||
15,330 | Kelly Services, Inc. | 241,294 | 0.0 | |||
29,600 | @,L | Keyw Holding Corp. | 375,624 | 0.1 | ||
24,730 | @ | Kforce, Inc. | 354,381 | 0.0 | ||
22,680 | Kimball International, Inc. | 263,315 | 0.0 | |||
32,001 | Knight Transportation, Inc. | 468,175 | 0.1 | |||
31,040 | Knoll, Inc. | 476,774 | 0.1 | |||
27,230 | @ | Korn/Ferry International | 431,868 | 0.1 | ||
45,001 | @ | Kratos Defense & Security Solutions, Inc. | 226,355 | 0.0 | ||
11,120 | @ | Layne Christensen Co. | 269,882 | 0.0 | ||
7,310 | LB Foster Co. | 317,546 | 0.0 | |||
10,340 | Lindsay Manufacturing Co. | 828,441 | 0.1 | |||
9,100 | @ | LMI Aerospace, Inc. | 175,994 | 0.0 | ||
9,400 | Marten Transport Ltd. | 172,866 | 0.0 | |||
36,190 | @ | Mastec, Inc. | 902,217 | 0.1 | ||
15,580 | McGrath Rentcorp | 452,132 | 0.1 | |||
77,330 | @ | Meritor, Inc. | 365,771 | 0.1 | ||
12,276 | @ | Middleby Corp. | 1,573,906 | 0.2 | ||
12,750 | Miller Industries, Inc. | 194,438 | 0.0 | |||
15,920 | Mine Safety Appliances Co. | 679,943 | 0.1 | |||
8,900 | @ | Mistras Group, Inc. | 219,741 | 0.0 | ||
23,730 | @ | Mobile Mini, Inc. | 494,296 | 0.1 | ||
29,954 | @ | Moog, Inc. | 1,229,013 | 0.2 | ||
18,220 | Mueller Industries, Inc. | 911,547 | 0.1 | |||
105,540 | Mueller Water Products, Inc. | 592,079 | 0.1 | |||
10,100 | Multi-Color Corp. | 242,299 | 0.0 | |||
16,990 | @ | MYR Group, Inc./Delaware | 378,028 | 0.1 | ||
3,760 | L | National Presto Industries, Inc. | 259,816 | 0.0 | ||
32,770 | @ | Navigant Consulting, Inc. | 365,713 | 0.1 | ||
6,000 | @ | Nortek, Inc. | 397,500 | 0.1 | ||
9,610 | @ | Northwest Pipe Co. | 229,295 | 0.0 | ||
40,171 | @ | Old Dominion Freight Line | 1,377,062 | 0.2 | ||
27,880 | @ | On Assignment, Inc. | 565,406 | 0.1 | ||
40,420 | @ | Orbital Sciences Corp. | 556,583 | 0.1 | ||
33,800 | @ | Pacer International, Inc. | 131,820 | 0.0 | ||
12,200 | @ | Performant Financial Corp. | 123,220 | 0.0 | ||
18,370 | @ | PMFG, Inc. | 166,983 | 0.0 | ||
3,600 | @ | Powell Industries, Inc. | 149,508 | 0.0 | ||
13,300 | Primoris Services Corp. | 200,032 | 0.0 | |||
3,800 | @ | Proto Labs, Inc. | 149,796 | 0.0 | ||
21,900 | L | Quad/Graphics, Inc. | 446,541 | 0.1 | ||
26,000 | @ | Quality Distribution, Inc. | 156,000 | 0.0 | ||
20,350 | Quanex Building Products Corp. | 415,344 | 0.1 | |||
17,680 | Raven Industries, Inc. | 466,045 | 0.1 | |||
13,000 | @ | RBC Bearings, Inc. | 650,910 | 0.1 | ||
26,800 | @ | Republic Airways Holdings, Inc. | 152,224 | 0.0 | ||
29,940 | Resources Connection, Inc. | 357,484 | 0.0 | |||
8,500 | @ | Rexnord Corp. | 181,050 | 0.0 | ||
15,000 | @ | Roadrunner Transportation Systems, Inc. | 272,100 | 0.0 | ||
26,075 | Robbins & Myers, Inc. | 1,550,159 | 0.2 | |||
20,600 | @ | RPX Corp. | 186,224 | 0.0 | ||
20,400 | @ | Rush Enterprises, Inc. - Class A | 421,668 | 0.1 | ||
7,860 | @ | Saia, Inc. | 181,723 | 0.0 | ||
8,400 | Sauer-Danfoss, Inc. | 448,308 | 0.1 | |||
13,140 | Schawk, Inc. | 172,922 | 0.0 | |||
117 | Seaboard Corp. | 295,996 | 0.0 | |||
24,810 | Simpson Manufacturing Co., Inc. | 813,520 | 0.1 | |||
46,510 | Skywest, Inc. | 579,515 | 0.1 | |||
19,200 | @ | Spirit Airlines, Inc. | 340,224 | 0.0 | ||
11,040 | @ | Standard Parking Corp. | 242,770 | 0.0 | ||
8,050 | Standex International Corp. | 412,885 | 0.1 | |||
37,700 | Steelcase, Inc. | 480,298 | 0.1 | |||
10,335 | Sun Hydraulics Corp. | 269,537 | 0.0 | |||
31,800 | @ | Swift Transporation Co. | 290,016 | 0.0 | ||
120,100 | @,L | Swisher Hygiene, Inc. | 210,175 | 0.0 | ||
22,420 | @ | SYKES Enterprises, Inc. | 341,232 | 0.0 | ||
15,080 | TAL International Group, Inc. | 548,610 | 0.1 | |||
64,720 | @ | Taser International, Inc. | 578,597 | 0.1 | ||
12,100 | @ | Team, Inc. | 460,284 | 0.1 | ||
24,860 | @ | Teledyne Technologies, Inc. | 1,617,640 | 0.2 | ||
11,980 | Tennant Co. | 526,521 | 0.1 | |||
44,350 | @ | Tetra Tech, Inc. | 1,173,058 | 0.2 | ||
5,180 | @ | Textainer Group Holdings Ltd. | 162,963 | 0.0 | ||
13,900 | @ | Thermon Group Holdings, Inc. | 313,167 | 0.0 | ||
29,635 | L | Titan International, Inc. | 643,672 | 0.1 | ||
14,540 | @ | Titan Machinery, Inc. | 359,138 | 0.0 | ||
24,200 | @ | TMS International Corp. | 302,984 | 0.0 | ||
9,150 | @ | Trex Co., Inc. | 340,655 | 0.0 | ||
14,000 | @ | Trimas Corp. | 391,440 | 0.1 | ||
27,520 | @ | TrueBlue, Inc. | 433,440 | 0.1 | ||
26,380 | @ | Tutor Perini Corp. | 361,406 | 0.0 | ||
11,900 | Twin Disc, Inc. | 207,417 | 0.0 | |||
9,290 | Unifirst Corp. | 681,143 | 0.1 | |||
29,900 | United Stationers, Inc. | 926,601 | 0.1 | |||
10,940 | Universal Forest Products, Inc. | 416,158 | 0.1 | |||
112,840 | @ | US Airways Group, Inc. | 1,523,340 | 0.2 | ||
14,110 | US Ecology, Inc. | 332,149 | 0.0 | |||
43,100 | @,L | USG Corp. | 1,209,817 | 0.2 | ||
17,360 | Viad Corp. | 471,498 | 0.1 | |||
8,500 | VSE Corp. | 208,335 | 0.0 | |||
43,200 | @ | Wabash National Corp. | 387,504 | 0.1 | ||
18,300 | @ | WageWorks, Inc. | 325,740 | 0.0 | ||
20,660 | Watsco, Inc. | 1,547,434 | 0.2 | |||
18,770 | Watts Water Technologies, Inc. | 806,922 | 0.1 | |||
23,410 | Werner Enterprises, Inc. | 507,295 | 0.1 | |||
43,980 | Woodward Governor Co. | 1,676,957 | 0.2 | |||
15,800 | @,L | XPO Logistics, Inc. | 274,604 | 0.0 | ||
22,400 | @,L | Zipcar, Inc. | 184,576 | 0.0 | ||
121,816,218 | 15.4 | |||||
Information Technology: 15.6% | ||||||
28,120 | @,L | 3D Systems Corp. | 1,500,202 | 0.2 | ||
22,600 | @ | ACI Worldwide, Inc. | 987,394 | 0.1 | ||
39,600 | @,L | Active Network, Inc. | 194,436 | 0.0 | ||
44,230 | @ | Actuate Corp. | 247,688 | 0.0 | ||
44,800 | @ | Acxiom Corp. | 782,208 | 0.1 | ||
43,240 | L | Adtran, Inc. | 844,910 | 0.1 | ||
21,150 | @ | Advanced Energy Industries, Inc. | 292,082 | 0.0 | ||
23,440 | @ | Advent Software, Inc. | 501,147 | 0.1 | ||
17,157 | @ | Agilysys, Inc. | 143,604 | 0.0 | ||
25,970 | American Software, Inc. | 201,527 | 0.0 | |||
63,500 | @,L | Amkor Technology, Inc. | 269,875 | 0.0 | ||
12,640 | @ | Anaren, Inc. | 245,848 | 0.0 | ||
28,900 | @ | Angie's List, Inc. | 346,511 | 0.1 | ||
18,150 | @ | Anixter International, Inc. | 1,161,237 | 0.2 | ||
57,830 | @ | Applied Micro Circuits Corp. | 485,772 | 0.1 | ||
79,100 | @ | Arris Group, Inc. | 1,181,754 | 0.2 | ||
63,130 | @ | Aruba Networks, Inc. | 1,309,948 | 0.2 | ||
55,900 | @ | Aspen Technology, Inc. | 1,545,076 | 0.2 | ||
21,320 | @ | ATMI, Inc. | 445,162 | 0.1 | ||
18,400 | @ | AVG Technologies | 291,272 | 0.0 | ||
9,820 | Badger Meter, Inc. | 465,566 | 0.1 | |||
33,400 | @ | Bankrate, Inc. | 415,830 | 0.1 | ||
7,860 | Bel Fuse, Inc. | 153,663 | 0.0 | |||
35,200 | @ | Benchmark Electronics, Inc. | 585,024 | 0.1 | ||
10,080 | Black Box Corp. | 245,347 | 0.0 | |||
28,960 | Blackbaud, Inc. | 661,157 | 0.1 | |||
20,960 | @ | Blucora, Inc. | 329,282 | 0.0 | ||
17,760 | @ | Bottomline Technologies, Inc. | 468,686 | 0.1 | ||
18,000 | @,L | BroadSoft, Inc. | 653,940 | 0.1 | ||
38,480 | Brooks Automation, Inc. | 309,764 | 0.0 | |||
16,060 | @ | Cabot Microelectronics Corp. | 570,291 | 0.1 | ||
17,840 | @ | CACI International, Inc. | 981,735 | 0.1 | ||
23,000 | @ | Calix, Inc. | 176,870 | 0.0 | ||
27,650 | @ | Cardtronics, Inc. | 656,411 | 0.1 | ||
8,629 | Cass Information Systems, Inc. | 364,144 | 0.1 | |||
34,770 | @ | Cavium, Inc. | 1,085,172 | 0.1 | ||
16,930 | @ | Ceva, Inc. | 266,648 | 0.0 | ||
30,090 | @ | Checkpoint Systems, Inc. | 323,167 | 0.0 | ||
44,110 | @ | Ciber, Inc. | 147,327 | 0.0 | ||
56,400 | @ | Ciena Corp. | 885,480 | 0.1 | ||
36,570 | @ | Cirrus Logic, Inc. | 1,059,433 | 0.1 | ||
24,240 | Cognex Corp. | 892,517 | 0.1 | |||
15,720 | @ | Coherent, Inc. | 795,746 | 0.1 | ||
15,820 | Cohu, Inc. | 171,489 | 0.0 | |||
28,340 | @ | Commvault Systems, Inc. | 1,975,581 | 0.3 | ||
17,700 | @ | comScore, Inc. | 243,906 | 0.0 | ||
17,100 | Comtech Telecommunications | 433,998 | 0.1 | |||
120,300 | @ | Comverse Technology, Inc. | 461,952 | 0.1 | ||
12,030 | @ | Comverse, Inc. | 343,216 | 0.0 | ||
17,240 | @ | Constant Contact, Inc. | 244,980 | 0.0 | ||
58,300 | Convergys Corp. | 956,703 | 0.1 | |||
16,700 | @ | Cornerstone OnDemand, Inc. | 493,151 | 0.1 | ||
24,000 | @ | Cray, Inc. | 382,800 | 0.1 | ||
17,220 | @ | CSG Systems International | 313,060 | 0.0 | ||
22,100 | CTS Corp. | 234,923 | 0.0 | |||
17,840 | @ | Cymer, Inc. | 1,613,271 | 0.2 | ||
31,010 | Daktronics, Inc. | 343,281 | 0.1 | |||
27,040 | @ | DealerTrack Holdings, Inc. | 776,589 | 0.1 | ||
21,500 | @,L | Demand Media, Inc. | 199,735 | 0.0 | ||
19,200 | @ | Dice Holdings, Inc. | 176,256 | 0.0 | ||
29,180 | @ | Digital River, Inc. | 419,900 | 0.1 | ||
23,410 | @ | Diodes, Inc. | 406,164 | 0.1 | ||
41,550 | @ | DSP Group, Inc. | 239,328 | 0.0 | ||
10,080 | @ | DTS, Inc. | 168,336 | 0.0 | ||
62,300 | Earthlink, Inc. | 402,458 | 0.1 | |||
17,250 | L | Ebix, Inc. | 277,208 | 0.0 | ||
84,540 | @ | Echelon Corp. | 207,123 | 0.0 | ||
15,380 | Electro Rent Corp. | 236,544 | 0.0 | |||
23,840 | Electro Scientific Industries, Inc. | 237,208 | 0.0 | |||
31,020 | @ | Electronics for Imaging | 589,070 | 0.1 | ||
26,800 | @ | Ellie Mae, Inc. | 743,700 | 0.1 | ||
9,000 | @ | Eloqua, Inc. | 212,310 | 0.0 | ||
54,790 | @ | Emulex Corp. | 399,967 | 0.1 | ||
89,600 | @ | Entegris, Inc. | 822,528 | 0.1 | ||
70,910 | @ | Entropic Communications, Inc. | 375,114 | 0.1 | ||
23,250 | EPIQ Systems, Inc. | 297,135 | 0.0 | |||
6,950 | @ | ePlus, Inc. | 287,313 | 0.0 | ||
34,370 | @ | Euronet Worldwide, Inc. | 811,132 | 0.1 | ||
8,800 | @ | ExactTarget, Inc. | 176,000 | 0.0 | ||
19,590 | @ | Exar Corp. | 174,351 | 0.0 | ||
15,920 | @ | ExlService Holdings, Inc. | 421,880 | 0.1 | ||
63,530 | @ | Extreme Networks | 231,249 | 0.0 | ||
20,600 | @ | Fabrinet | 270,684 | 0.0 | ||
24,430 | Fair Isaac Corp. | 1,026,793 | 0.1 | |||
13,730 | @ | Faro Technologies, Inc. | 489,886 | 0.1 | ||
22,650 | FEI Co. | 1,256,169 | 0.2 | |||
59,000 | @,L | Finisar Corp. | 961,700 | 0.1 | ||
39,600 | @,L | First Solar, Inc. | 1,222,848 | 0.2 | ||
31,400 | @ | Formfactor, Inc. | 143,184 | 0.0 | ||
9,870 | Forrester Research, Inc. | 264,516 | 0.0 | |||
43,480 | @ | Global Cash Access, Inc. | 340,883 | 0.0 | ||
20,350 | @ | Globecomm Systems, Inc. | 229,955 | 0.0 | ||
52,500 | @,L | Glu Mobile, Inc. | 120,225 | 0.0 | ||
29,400 | @ | GSI Group, Inc. | 254,604 | 0.0 | ||
90,320 | @,L | GT Advanced Technologies, Inc. | 272,766 | 0.0 | ||
13,700 | @ | Guidewire Software, Inc. | 407,164 | 0.1 | ||
64,990 | @ | Harmonic, Inc. | 329,499 | 0.0 | ||
21,660 | Heartland Payment Systems, Inc. | 638,970 | 0.1 | |||
31,900 | @,L | Higher One Holdings, Inc. | 336,226 | 0.0 | ||
17,309 | @ | Hittite Microwave Corp. | 1,074,889 | 0.1 | ||
17,630 | @ | iGate Corp. | 278,025 | 0.0 | ||
20,950 | @ | Imation Corp. | 97,837 | 0.0 | ||
36,910 | @ | Immersion Corp. | 253,572 | 0.0 | ||
5,900 | @ | Imperva, Inc. | 186,027 | 0.0 | ||
59,530 | @,L | Infinera Corp. | 345,869 | 0.1 | ||
10,900 | @ | Infoblox, Inc. | 195,873 | 0.0 | ||
23,200 | @ | Inphi Corp. | 222,256 | 0.0 | ||
30,310 | @ | Insight Enterprises, Inc. | 526,485 | 0.1 | ||
99,600 | @ | Integrated Device Technology, Inc. | 727,080 | 0.1 | ||
22,400 | @ | Integrated Silicon Solution, Inc. | 201,600 | 0.0 | ||
9,400 | @ | Interactive Intelligence Group | 315,276 | 0.0 | ||
27,440 | InterDigital, Inc. | 1,127,784 | 0.1 | |||
19,800 | @ | Intermec, Inc. | 195,228 | 0.0 | ||
45,570 | @ | Internap Network Services Corp. | 316,256 | 0.0 | ||
32,900 | @ | International Rectifier Corp. | 583,317 | 0.1 | ||
60,200 | Intersil Corp. | 499,058 | 0.1 | |||
15,340 | @ | Intevac, Inc. | 70,104 | 0.0 | ||
30,900 | @ | IntraLinks Holdings, Inc. | 190,653 | 0.0 | ||
26,900 | @,L | InvenSense, Inc. | 298,859 | 0.0 | ||
24,410 | @ | Ixia | 414,482 | 0.1 | ||
15,870 | IXYS Corp. | 145,052 | 0.0 | |||
30,170 | j2 Global, Inc. | 922,599 | 0.1 | |||
9,100 | @ | Jive Software, Inc. | 132,223 | 0.0 | ||
18,460 | Keynote Systems, Inc. | 260,101 | 0.0 | |||
80,310 | @ | Kopin Corp. | 267,432 | 0.0 | ||
87,230 | @ | Lattice Semiconductor Corp. | 348,048 | 0.1 | ||
75,080 | @ | Lionbridge Technologies | 301,822 | 0.0 | ||
10,740 | @ | Liquidity Services, Inc. | 438,836 | 0.1 | ||
11,380 | Littelfuse, Inc. | 702,260 | 0.1 | |||
31,810 | @ | LivePerson, Inc. | 417,983 | 0.1 | ||
10,400 | @ | LogMeIn, Inc. | 233,064 | 0.0 | ||
6,340 | @ | Loral Space & Communications, Inc. | 346,544 | 0.1 | ||
39,700 | @ | LTX-Credence Corp. | 260,432 | 0.0 | ||
11,500 | @ | M/A-COM Technology Solutions Holdings, Inc. | 172,155 | 0.0 | ||
15,140 | @ | Manhattan Associates, Inc. | 913,548 | 0.1 | ||
17,310 | L | Mantech International Corp. | 449,021 | 0.1 | ||
23,760 | MAXIMUS, Inc. | 1,502,107 | 0.2 | |||
10,740 | @ | Measurement Specialties, Inc. | 369,026 | 0.1 | ||
141,500 | @ | MEMC Electronic Materials, Inc. | 454,215 | 0.1 | ||
67,670 | @ | Mentor Graphics Corp. | 1,151,743 | 0.2 | ||
22,810 | @ | Mercury Computer Systems, Inc. | 209,852 | 0.0 | ||
21,760 | Methode Electronics, Inc. | 218,253 | 0.0 | |||
35,340 | Micrel, Inc. | 335,730 | 0.0 | |||
58,050 | @ | Microsemi Corp. | 1,221,372 | 0.2 | ||
6,570 | @ | MicroStrategy, Inc. | 613,507 | 0.1 | ||
42,780 | @ | MIPS Technologies, Inc. | 334,540 | 0.0 | ||
36,040 | MKS Instruments, Inc. | 929,111 | 0.1 | |||
60,640 | @ | Moduslink Global Solutions, Inc. | 175,856 | 0.0 | ||
12,316 | @ | MoneyGram International, Inc. | 163,680 | 0.0 | ||
21,310 | @ | Monolithic Power Systems, Inc. | 474,787 | 0.1 | ||
23,270 | Monotype Imaging Holdings, Inc. | 371,855 | 0.1 | |||
65,900 | @ | Monster Worldwide, Inc. | 370,358 | 0.1 | ||
25,612 | @ | Move, Inc. | 194,395 | 0.0 | ||
11,100 | MTS Systems Corp. | 565,323 | 0.1 | |||
10,700 | @ | Nanometrics, Inc. | 154,294 | 0.0 | ||
26,300 | @ | Neonode, Inc. | 127,818 | 0.0 | ||
23,220 | @ | Netgear, Inc. | 915,332 | 0.1 | ||
21,540 | @ | Netscout Systems, Inc. | 559,825 | 0.1 | ||
25,170 | @ | Newport Corp. | 338,537 | 0.0 | ||
38,160 | @ | NIC, Inc. | 623,534 | 0.1 | ||
22,300 | @,L | Numerex Corp. | 293,022 | 0.0 | ||
4,200 | @ | NVE Corp. | 233,058 | 0.0 | ||
78,600 | @ | Oclaro, Inc. | 123,402 | 0.0 | ||
62,200 | @,L | OCZ Technology Group, Inc. | 118,802 | 0.0 | ||
37,190 | @ | Omnivision Technologies, Inc. | 523,635 | 0.1 | ||
12,150 | @,L | OpenTable, Inc. | 592,920 | 0.1 | ||
14,530 | @ | Oplink Communications, Inc. | 226,377 | 0.0 | ||
10,160 | @ | OSI Systems, Inc. | 650,646 | 0.1 | ||
73,271 | @ | Parametric Technology Corp. | 1,649,330 | 0.2 | ||
11,510 | Park Electrochemical Corp. | 296,152 | 0.0 | |||
25,500 | @ | PDF Solutions, Inc. | 351,390 | 0.1 | ||
12,800 | Pegasystems, Inc. | 290,304 | 0.0 | |||
18,680 | @ | Perficient, Inc. | 220,050 | 0.0 | ||
26,790 | @ | Pericom Semiconductor Corp. | 215,124 | 0.0 | ||
41,350 | @ | Photronics, Inc. | 246,446 | 0.0 | ||
29,260 | Plantronics, Inc. | 1,078,816 | 0.1 | |||
28,070 | @ | Plexus Corp. | 724,206 | 0.1 | ||
34,600 | @ | PLX Technology, Inc. | 125,598 | 0.0 | ||
14,810 | Power Integrations, Inc. | 497,764 | 0.1 | |||
48,020 | @ | Power-One, Inc. | 197,362 | 0.0 | ||
16,400 | @ | Procera Networks, Inc. | 304,220 | 0.0 | ||
44,395 | @ | Progress Software Corp. | 931,851 | 0.1 | ||
12,820 | @ | PROS Holdings, Inc. | 234,478 | 0.0 | ||
21,412 | @ | QAD, Inc. | 308,333 | 0.0 | ||
54,200 | @ | QLIK Technologies, Inc. | 1,177,224 | 0.2 | ||
46,200 | @ | QLogic Corp. | 449,526 | 0.1 | ||
146,730 | @ | Quantum Corp. | 181,945 | 0.0 | ||
41,400 | @ | QuinStreet, Inc. | 278,208 | 0.0 | ||
73,900 | @ | Rambus, Inc. | 360,632 | 0.1 | ||
26,700 | @,L | RealD, Inc. | 299,307 | 0.0 | ||
18,800 | @ | RealPage, Inc. | 405,516 | 0.1 | ||
26,900 | @ | Responsys, Inc. | 160,324 | 0.0 | ||
194,320 | @ | RF Micro Devices, Inc. | 870,554 | 0.1 | ||
24,400 | Richardson Electronics Ltd./United States | 276,208 | 0.0 | |||
3,273 | @ | Riverbed Technolgoy, Inc. | 64,550 | 0.0 | ||
17,170 | @ | Rofin-Sinar Technologies, Inc. | 372,246 | 0.1 | ||
11,090 | @ | Rogers Corp. | 550,729 | 0.1 | ||
6,800 | @ | Ruckus Wireless, Inc. | 153,204 | 0.0 | ||
17,030 | @ | Rudolph Technologies, Inc. | 229,054 | 0.0 | ||
61,200 | @ | Sanmina Corp. | 677,484 | 0.1 | ||
61,300 | @ | Sapient Corp. | 647,328 | 0.1 | ||
15,730 | @ | Scansource, Inc. | 499,742 | 0.1 | ||
10,600 | @ | SciQuest, Inc. | 168,116 | 0.0 | ||
21,000 | @ | Seachange Intl., Inc. | 203,070 | 0.0 | ||
41,840 | @ | Semtech Corp. | 1,211,268 | 0.2 | ||
25,800 | @ | ServiceSource International, Inc. | 150,930 | 0.0 | ||
51,860 | @ | ShoreTel, Inc. | 219,886 | 0.0 | ||
46,200 | @ | Sigma Designs, Inc. | 237,930 | 0.0 | ||
38,170 | @,L | Silicon Graphics International Corp. | 390,479 | 0.1 | ||
52,550 | @ | Silicon Image, Inc. | 260,648 | 0.0 | ||
118,820 | @ | Sonus Networks, Inc. | 201,994 | 0.0 | ||
18,470 | @ | Sourcefire, Inc. | 872,153 | 0.1 | ||
27,000 | @ | Spansion, Inc. | 375,570 | 0.1 | ||
5,100 | @ | SPS Commerce, Inc. | 190,077 | 0.0 | ||
12,200 | @ | SS&C Technologies Holdings, Inc. | 282,064 | 0.0 | ||
15,180 | @ | Stamps.com, Inc. | 382,536 | 0.1 | ||
36,910 | @ | STEC, Inc. | 181,966 | 0.0 | ||
25,100 | @,L | SunPower Corp. | 141,062 | 0.0 | ||
13,620 | @ | Super Micro Computer, Inc. | 138,924 | 0.0 | ||
9,520 | @ | Supertex, Inc. | 167,076 | 0.0 | ||
87,150 | @ | support.com, Inc. | 364,287 | 0.1 | ||
38,400 | @ | Symmetricom, Inc. | 221,568 | 0.0 | ||
24,070 | @ | Synaptics, Inc. | 721,378 | 0.1 | ||
16,370 | @ | Synchronoss Technologies, Inc. | 345,243 | 0.1 | ||
11,450 | @ | SYNNEX Corp. | 393,651 | 0.1 | ||
8,750 | Syntel, Inc. | 468,913 | 0.1 | |||
42,220 | @ | Take-Two Interactive Software, Inc. | 464,842 | 0.1 | ||
14,100 | @ | Tangoe, Inc. | 167,367 | 0.0 | ||
19,640 | @ | TeleTech Holdings, Inc. | 349,592 | 0.1 | ||
167,400 | Tellabs, Inc. | 381,672 | 0.1 | |||
29,960 | Tessera Technologies, Inc. | 491,943 | 0.1 | |||
77,920 | @ | Tivo, Inc. | 959,974 | 0.1 | ||
17,670 | @ | TNS, Inc. | 366,299 | 0.1 | ||
96,480 | @ | Triquint Semiconductor, Inc. | 466,963 | 0.1 | ||
7,700 | @ | Trulia, Inc. | 125,048 | 0.0 | ||
46,680 | @ | TTM Technologies, Inc. | 429,456 | 0.1 | ||
20,940 | @ | Tyler Technologies, Inc. | 1,014,334 | 0.1 | ||
9,200 | @ | Ubiquiti Networks, Inc. | 111,688 | 0.0 | ||
17,470 | @ | Ultimate Software Group, Inc. | 1,649,343 | 0.2 | ||
17,710 | @ | Ultratech, Inc. | 660,583 | 0.1 | ||
26,814 | @ | Unisys Corp. | 463,882 | 0.1 | ||
69,233 | United Online, Inc. | 387,012 | 0.1 | |||
25,470 | @,L | Universal Display Corp. | 652,541 | 0.1 | ||
59,250 | @ | Valueclick, Inc. | 1,150,043 | 0.2 | ||
18,030 | @ | Vasco Data Security Intl. | 147,125 | 0.0 | ||
29,410 | @,L | Veeco Instruments, Inc. | 868,183 | 0.1 | ||
13,900 | @ | Verint Systems, Inc. | 408,104 | 0.1 | ||
24,510 | @ | Viasat, Inc. | 953,439 | 0.1 | ||
26,200 | @,L | VirnetX Holding Corp. | 767,136 | 0.1 | ||
18,400 | @ | Virtusa Corp. | 302,312 | 0.0 | ||
19,600 | @ | Vishay Precision Group, Inc. | 259,112 | 0.0 | ||
16,700 | @,L | VistaPrint NV | 548,762 | 0.1 | ||
16,310 | @ | Vocus, Inc. | 283,468 | 0.0 | ||
14,820 | @ | Volterra Semiconductor Corp. | 254,459 | 0.0 | ||
24,100 | @ | Web.com Group, Inc. | 356,680 | 0.1 | ||
27,600 | @ | WebMD Health Corp. | 395,784 | 0.1 | ||
27,370 | @ | Websense, Inc. | 411,645 | 0.1 | ||
91,800 | @ | Westell Technologies, Inc. | 169,830 | 0.0 | ||
27,020 | @ | WEX, Inc. | 2,036,497 | 0.3 | ||
20,550 | @ | XO Group, Inc. | 191,115 | 0.0 | ||
11,200 | @ | Yelp, Inc. | 211,120 | 0.0 | ||
108,000 | @ | Zix Corp. | 302,400 | 0.0 | ||
13,500 | @ | Zygo Corp. | 211,950 | 0.0 | ||
124,094,093 | 15.6 | |||||
Materials: 5.1% | ||||||
20,514 | A Schulman, Inc. | 593,470 | 0.1 | |||
8,900 | @ | ADA-ES, Inc. | 150,232 | 0.0 | ||
6,340 | @ | AEP Industries, Inc. | 375,518 | 0.0 | ||
95,400 | AK Steel Holding Corp. | 438,840 | 0.1 | |||
17,260 | Amcol International Corp. | 529,537 | 0.1 | |||
14,900 | American Vanguard Corp. | 462,943 | 0.1 | |||
12,210 | Balchem Corp. | 444,444 | 0.1 | |||
18,319 | @ | Berry Plastics Group, Inc. | 294,570 | 0.0 | ||
70,870 | @ | Boise, Inc. | 563,416 | 0.1 | ||
25,380 | Buckeye Technologies, Inc. | 728,660 | 0.1 | |||
38,480 | @ | Calgon Carbon Corp. | 545,646 | 0.1 | ||
49,280 | @ | Century Aluminum Co. | 431,693 | 0.1 | ||
54,500 | @ | Chemtura Corp. | 1,158,670 | 0.1 | ||
17,516 | @ | Clearwater Paper Corp. | 685,927 | 0.1 | ||
58,780 | @ | Coeur d'Alene Mines Corp. | 1,445,988 | 0.2 | ||
6,380 | Deltic Timber Corp. | 450,556 | 0.1 | |||
28,100 | Eagle Materials, Inc. | 1,643,850 | 0.2 | |||
62,280 | @ | Ferro Corp. | 260,330 | 0.0 | ||
37,400 | @ | Flotek Industries, Inc. | 456,280 | 0.1 | ||
64,690 | @,L | General Moly, Inc. | 259,407 | 0.0 | ||
20,200 | Georgia Gulf Corp. | 833,856 | 0.1 | |||
37,200 | Globe Specialty Metals, Inc. | 511,500 | 0.1 | |||
45,500 | @ | Gold Reserve, Inc. | 150,605 | 0.0 | ||
19,400 | L | Gold Resource Corp. | 298,954 | 0.0 | ||
20,281 | @ | Golden Minerals Co. | 93,090 | 0.0 | ||
302,100 | @ | Golden Star Resources Ltd. | 555,864 | 0.1 | ||
94,780 | @ | Graphic Packaging Holding Co. | 612,279 | 0.1 | ||
6,410 | Hawkins, Inc. | 247,682 | 0.0 | |||
8,240 | Haynes International, Inc. | 427,409 | 0.1 | |||
29,890 | HB Fuller Co. | 1,040,770 | 0.1 | |||
50,370 | @ | Headwaters, Inc. | 431,167 | 0.1 | ||
175,600 | Hecla Mining Co. | 1,023,748 | 0.1 | |||
32,120 | @ | Horsehead Holding Corp. | 327,945 | 0.0 | ||
12,450 | Innophos Holdings, Inc. | 578,925 | 0.1 | |||
11,300 | @ | Innospec, Inc. | 389,737 | 0.1 | ||
9,180 | Kaiser Aluminum Corp. | 566,314 | 0.1 | |||
25,300 | @ | KapStone Paper and Packaging Corp. | 561,407 | 0.1 | ||
12,030 | Koppers Holdings, Inc. | 458,944 | 0.1 | |||
21,400 | @ | Kraton Performance Polymers, Inc. | 514,242 | 0.1 | ||
34,670 | @ | Landec Corp. | 329,018 | 0.0 | ||
83,030 | @ | Louisiana-Pacific Corp. | 1,604,140 | 0.2 | ||
11,370 | @ | LSB Industries, Inc. | 402,725 | 0.1 | ||
14,370 | Materion Corp. | 370,459 | 0.0 | |||
137,797 | @,L | McEwen Mining, Inc. | 527,763 | 0.1 | ||
9,000 | Metals USA Holdings Corp. | 157,410 | 0.0 | |||
176,500 | @ | Midway Gold Corp. | 245,335 | 0.0 | ||
26,460 | Minerals Technologies, Inc. | 1,056,283 | 0.1 | |||
19,190 | Myers Industries, Inc. | 290,728 | 0.0 | |||
12,340 | Neenah Paper, Inc. | 351,320 | 0.0 | |||
57,740 | Olin Corp. | 1,246,607 | 0.2 | |||
19,800 | @ | OM Group, Inc. | 439,560 | 0.1 | ||
43,420 | @ | Omnova Solutions, Inc. | 304,374 | 0.0 | ||
137,000 | @ | Paramount Gold and Silver Corp. | 317,840 | 0.0 | ||
21,710 | PH Glatfelter Co. | 379,491 | 0.0 | |||
61,050 | PolyOne Corp. | 1,246,641 | 0.2 | |||
4,150 | Quaker Chemical Corp. | 223,519 | 0.0 | |||
32,200 | @,L | Resolute Forest Products | 426,328 | 0.1 | ||
19,780 | @ | RTI International Metals, Inc. | 545,137 | 0.1 | ||
13,600 | Schnitzer Steel Industries, Inc. | 412,488 | 0.1 | |||
23,120 | Schweitzer-Mauduit International, Inc. | 902,374 | 0.1 | |||
31,983 | Sensient Technologies Corp. | 1,137,315 | 0.1 | |||
36,850 | @ | Spartech Corp. | 334,230 | 0.0 | ||
9,180 | Stepan Co. | 509,857 | 0.1 | |||
65,390 | @ | Stillwater Mining Co | 835,684 | 0.1 | ||
43,300 | @ | SunCoke Energy, Inc. | 675,047 | 0.1 | ||
14,230 | @,L | Texas Industries, Inc. | 725,872 | 0.1 | ||
18,710 | Tredegar Corp. | 382,058 | 0.0 | |||
5,000 | @ | Universal Stainless & Alloy | 183,850 | 0.0 | ||
45,600 | @,L | US Antimony Corp. | 80,256 | 0.0 | ||
18,100 | @,L | US Silica Holdings, Inc. | 302,813 | 0.0 | ||
77,200 | @,L | Vista Gold Corp. | 208,440 | 0.0 | ||
26,610 | Wausau Paper Corp. | 230,443 | 0.0 | |||
37,000 | Worthington Industries | 961,630 | 0.1 | |||
19,800 | @,L | Zagg, Inc. | 145,728 | 0.0 | ||
14,460 | Zep, Inc. | 208,802 | 0.0 | |||
19,170 | @,L | Zoltek Cos., Inc. | 148,568 | 0.0 | ||
40,394,548 | 5.1 | |||||
Telecommunication Services: 0.7% | ||||||
67,700 | @ | 8x8, Inc. | 500,303 | 0.1 | ||
5,350 | Atlantic Tele-Network, Inc. | 196,399 | 0.0 | |||
145,040 | @ | Cincinnati Bell, Inc. | 794,819 | 0.1 | ||
30,600 | Cogent Communications Group, Inc. | 692,784 | 0.1 | |||
19,210 | Consolidated Communications Holdings, Inc. | 305,823 | 0.0 | |||
50,600 | @,L | Fairpoint Communications, Inc. | 401,764 | 0.1 | ||
30,820 | @ | General Communication, Inc. | 295,564 | 0.0 | ||
46,600 | @ | Iridium Communications, Inc. | 314,084 | 0.1 | ||
27,300 | @,L | Leap Wireless International, Inc. | 181,545 | 0.0 | ||
30,910 | Lumos Networks Corp. | 309,718 | 0.1 | |||
11,200 | @,L | magicJack VocalTec Ltd. | 203,952 | 0.0 | ||
9,710 | NTELOS Holdings Corp. | 127,298 | 0.0 | |||
35,370 | @ | Premier Global Services, Inc. | 345,919 | 0.1 | ||
17,200 | @ | Primus Telecommunications Group, Inc. | 186,964 | 0.0 | ||
12,800 | Shenandoah Telecom Co. | 195,968 | 0.0 | |||
68,900 | @,L | Towerstream Corp. | 223,925 | 0.0 | ||
20,630 | USA Mobility, Inc. | 240,958 | 0.0 | |||
75,400 | @ | Vonage Holdings Corp. | 178,698 | 0.0 | ||
5,696,485 | 0.7 | |||||
Utilities: 3.3% | ||||||
20,480 | Allete, Inc. | 839,270 | 0.1 | |||
11,350 | American States Water Co. | 544,573 | 0.1 | |||
63,600 | @ | Atlantic Power Corp. | 726,948 | 0.1 | ||
37,680 | Avista Corp. | 908,465 | 0.1 | |||
30,650 | Black Hills Corp. | 1,113,821 | 0.1 | |||
25,280 | California Water Service Group | 463,888 | 0.1 | |||
9,490 | CH Energy Group, Inc. | 618,938 | 0.1 | |||
3,880 | Chesapeake Utilities Corp. | 176,152 | 0.0 | |||
43,090 | Cleco Corp. | 1,724,031 | 0.2 | |||
29,740 | El Paso Electric Co. | 949,003 | 0.1 | |||
26,590 | Empire District Electric Co. | 541,904 | 0.1 | |||
36,700 | Idacorp, Inc. | 1,590,945 | 0.2 | |||
16,400 | Laclede Group, Inc. | 633,204 | 0.1 | |||
14,460 | MGE Energy, Inc. | 736,737 | 0.1 | |||
7,160 | Middlesex Water Co. | 140,050 | 0.0 | |||
30,170 | New Jersey Resources Corp. | 1,195,335 | 0.2 | |||
20,700 | Northwest Natural Gas Co. | 914,940 | 0.1 | |||
26,950 | NorthWestern Corp. | 935,973 | 0.1 | |||
20,700 | Otter Tail Corp. | 517,500 | 0.1 | |||
51,550 | Piedmont Natural Gas Co. | 1,614,030 | 0.2 | |||
55,170 | PNM Resources, Inc. | 1,131,537 | 0.2 | |||
57,330 | Portland General Electric Co. | 1,568,549 | 0.2 | |||
9,130 | SJW Corp. | 242,858 | 0.0 | |||
21,890 | South Jersey Industries, Inc. | 1,101,724 | 0.1 | |||
33,870 | Southwest Gas Corp. | 1,436,427 | 0.2 | |||
28,870 | UIL Holdings Corp. | 1,033,835 | 0.1 | |||
6,300 | Unitil Corp. | 163,296 | 0.0 | |||
21,930 | UNS Energy Corp. | 930,271 | 0.1 | |||
38,220 | WGL Holdings, Inc. | 1,497,842 | 0.2 | |||
25,992,046 | 3.3 | |||||
Total Common Stock | ||||||
(Cost $589,117,703) | 760,347,579 | 95.9 | ||||
WARRANTS: 0.0% | ||||||
Energy: 0.0% | ||||||
7,460 | @,L | Magnum Hunter Resources Corp. | 1,274 | 0.0 | ||
Total Warrants | ||||||
(Cost $–) | 1,274 | 0.0 | ||||
CLOSED-END FUNDS: 0.0% | ||||||
Financials: 0.0% | ||||||
4,700 | @ | Firsthand Technology Value Fund, Inc. | 81,968 | 0.0 | ||
Total Closed-End Funds | ||||||
(Cost $81,554) | 81,968 | 0.0 | ||||
Total Long-Term Investments | ||||||
(Cost $589,199,257) | 760,430,821 | 95.9 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 10.4% | ||||||
Securities Lending Collateralcc(1): 6.5% | ||||||
12,179,088 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $12,179,288, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $12,422,670, due 08/01/27-01/01/43) | 12,179,088 | 1.6 | |||
12,179,088 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $12,179,221, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $12,422,671, due 10/01/16-12/20/42) | 12,179,088 | 1.5 | |||
5,211,928 | Deutsche Bank AG, Repurchase Agreement dated 12/31/12, 0.15%, due 01/02/13 (Repurchase Amount $5,211,971, collateralized by various U.S. Government Securities, 0.125%-3.625%, Market Value plus accrued interest $5,316,167, due 04/15/17-04/15/28) | 5,211,928 | 0.7 | |||
12,179,088 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $12,179,213, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $12,422,672, due 08/09/13-06/20/42) | 12,179,088 | 1.5 | |||
9,530,380 | Nomura Securities, Repurchase Agreement dated 12/31/12, 0.35%, due 01/02/13 (Repurchase Amount $9,530,563, collateralized by various U.S. Government Agency Obligations, 0.000%-6.101%, Market Value plus accrued interest $9,720,988, due 03/10/14-12/20/42) | 9,530,380 | 1.2 | |||
51,279,572 | 6.5 | |||||
Shares | Value | Percentage of Net Assets | ||||
Mutual Funds: 3.9% | ||||||
30,795,808 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $30,795,808) | 30,795,808 | 3.9 | ||||
Total Short-Term Investments | ||||||||||
(Cost $82,075,380) | 82,075,380 | 10.4 | ||||||||
Total Investments in Securities (Cost $671,274,637) | $ | 842,506,201 | 106.3 | |||||||
Liabilities in Excess of Other Assets | (49,610,622 | ) | (6.3 | ) | ||||||
Net Assets | $ | 792,895,579 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds' Board of Directors/Trustees. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $672,933,525. | ||||
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 222,191,146 | ||
Gross Unrealized Depreciation | (52,618,470 | ) | ||
Net Unrealized Appreciation | $ | 169,572,676 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs # (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 106,994,061 | $ | – | $ | – | $ | 106,994,061 | ||||||||
Consumer Staples | 27,368,084 | – | – | 27,368,084 | ||||||||||||
Energy | 44,256,169 | – | – | 44,256,169 | ||||||||||||
Financials | 169,867,040 | – | – | 169,867,040 | ||||||||||||
Health Care | 93,855,855 | – | 12,980 | 93,868,835 | ||||||||||||
Industrials | 121,418,718 | 397,500 | – | 121,816,218 | ||||||||||||
Information Technology | 124,094,093 | – | – | 124,094,093 | ||||||||||||
Materials | 40,394,548 | – | – | 40,394,548 | ||||||||||||
Telecommunication Services | 5,696,485 | – | – | 5,696,485 | ||||||||||||
Utilities | 25,992,046 | – | – | 25,992,046 | ||||||||||||
Total Common Stock | 759,937,099 | 397,500 | 12,980 | 760,347,579 | ||||||||||||
Warrants | – | 1,274 | – | 1,274 | ||||||||||||
Short-Term Investments | 30,795,808 | 51,279,572 | – | 82,075,380 | ||||||||||||
Closed-End Funds | 81,968 | – | – | 81,968 | ||||||||||||
Total Investments, at fair value | $ | 790,814,875 | $ | 51,678,346 | $ | 12,980 | $ | 842,506,201 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 938,281 | – | – | 938,281 | ||||||||||||
Total Assets | $ | 791,753,156 | $ | 51,678,346 | $ | 12,980 | $ | 843,444,482 | ||||||||
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio's investments are categorized as Level 2 investments. |
ING Russell™ Small Cap Index Portfolio Open Futures Contracts on December 31, 2012: | ||||||||||||||
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
Russell 2000® Mini Index | 471 | 03/15/13 | $ | 39,874,860 | $ | 938,281 | ||||||||
$ | 39,874,860 | $ | 938,281 | |||||||||||
See Accompanying Notes to Financial Statements |
ING U.S. Bond Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Principal Amount† | Value | Percentage of Net Assets | ||||
CORPORATE BONDS/NOTES: 25.0% | ||||||
Consumer Discretionary: 1.8% | ||||||
300,000 | Amazon.com, Inc., 0.650%, 11/27/15 | 300,008 | 0.0 | |||
300,000 | Amazon.com, Inc., 1.200%, 11/29/17 | 298,592 | 0.0 | |||
300,000 | Amazon.com, Inc., 2.500%, 11/29/22 | 295,969 | 0.0 | |||
500,000 | AutoZone, Inc., 2.875%, 01/15/23 | 490,538 | 0.0 | |||
6,000,000 | CBS Corp., 4.300%, 02/15/21 | 6,624,018 | 0.2 | |||
2,000,000 | Comcast Corp., 6.300%, 11/15/17 | 2,455,326 | 0.1 | |||
335,000 | Comcast Corp., 6.500%, 11/15/35 | 430,161 | 0.0 | |||
300,000 | # | Cox Communications, Inc., 3.250%, 12/15/22 | 309,667 | 0.0 | ||
626,000 | COX Communications, Inc., 5.450%, 12/15/14 | 683,026 | 0.0 | |||
3,120,000 | DirecTV Holdings, LLC, 6.000%, 08/15/40 | 3,464,826 | 0.1 | |||
1,800,000 | Discovery Communications, LLC, 4.375%, 06/15/21 | 2,011,271 | 0.1 | |||
500,000 | Expedia, Inc., 5.950%, 08/15/20 | 556,680 | 0.0 | |||
500,000 | Ford Motor Credit Co. LLC, 7.450%, 07/16/31 | 637,500 | 0.0 | |||
3,350,000 | Home Depot, Inc., 5.875%, 12/16/36 | 4,406,359 | 0.1 | |||
1,000,000 | Lowe's Cos, Inc., 1.625%, 04/15/17 | 1,024,019 | 0.0 | |||
500,000 | Macy's Retail Holdings, Inc., 2.875%, 02/15/23 | 490,085 | 0.0 | |||
1,000,000 | Macy's Retail Holdings, Inc., 3.875%, 01/15/22 | 1,066,744 | 0.0 | |||
2,000,000 | Marriott International, Inc., 3.000%, 03/01/19 | 2,059,634 | 0.1 | |||
325,000 | McDonald's Corp., 6.300%, 10/15/37 | 450,249 | 0.0 | |||
500,000 | NBCUniversal Media, LLC, 2.875%, 01/15/23 | 502,607 | 0.0 | |||
7,010,000 | NBCUniversal Media, LLC, 3.650%, 04/30/15 | 7,461,030 | 0.2 | |||
500,000 | NBCUniversal Media, LLC, 4.450%, 01/15/43 | 506,822 | 0.0 | |||
300,000 | Newell Rubbermaid, Inc., 2.050%, 12/01/17 | 304,230 | 0.0 | |||
3,550,000 | News America, Inc., 6.150%, 03/01/37 | 4,360,369 | 0.1 | |||
400,000 | # | Nissan Motor Acceptance Corp., 1.950%, 09/12/17 | 405,773 | 0.0 | ||
3,200,000 | Nordstrom, Inc., 4.750%, 05/01/20 | 3,717,626 | 0.1 | |||
500,000 | NVR, Inc., 3.950%, 09/15/22 | 518,577 | 0.0 | |||
1,500,000 | Omnicom Group, Inc., 3.625%, 05/01/22 | 1,563,939 | 0.1 | |||
300,000 | O'Reilly Automotive, Inc., 3.800%, 09/01/22 | 312,417 | 0.0 | |||
500,000 | Starwood Hotels & Resorts Worldwide, Inc., 3.125%, 02/15/23 | 496,103 | 0.0 | |||
2,500,000 | Target Corp., 7.000%, 01/15/38 | 3,675,115 | 0.1 | |||
3,500,000 | Time Warner, Inc., 4.875%, 03/15/20 | 4,090,968 | 0.1 | |||
1,925,000 | Time Warner, Inc., 6.500%, 11/15/36 | 2,409,811 | 0.1 | |||
750,000 | Time Warner Cable, Inc., 4.125%, 02/15/21 | 821,971 | 0.0 | |||
1,000,000 | Time Warner Cable, Inc., 4.500%, 09/15/42 | 976,191 | 0.0 | |||
5,075,000 | Time Warner Cable, Inc., 5.850%, 05/01/17 | 5,999,168 | 0.2 | |||
3,500,000 | Viacom, Inc., 2.500%, 12/15/16 | 3,651,690 | 0.1 | |||
300,000 | Walt Disney Co., 0.450%, 12/01/15 | 298,712 | 0.0 | |||
300,000 | Walt Disney Co., 1.100%, 12/01/17 | 300,873 | 0.0 | |||
300,000 | Walt Disney Co., 2.350%, 12/01/22 | 303,049 | 0.0 | |||
1,000,000 | Walt Disney Co., 5.500%, 03/15/19 | 1,209,262 | 0.0 | |||
1,000,000 | WPP Finance 2010, 3.625%, 09/07/22 | 995,554 | 0.0 | |||
1,000,000 | Wyndham Worldwide Corp., 4.250%, 03/01/22 | 1,033,357 | 0.0 | |||
400,000 | Yum! Brands, Inc., 6.250%, 03/15/18 | 486,660 | 0.0 | |||
74,456,546 | 1.8 | |||||
Consumer Staples: 1.6% | ||||||
300,000 | Altria Group, Inc., 4.250%, 08/09/42 | 291,228 | 0.0 | |||
3,595,000 | Altria Group, Inc., 9.950%, 11/10/38 | 5,926,969 | 0.2 | |||
500,000 | Anheuser-Busch InBev Worldwide, Inc., 0.800%, 07/15/15 | 501,584 | 0.0 | |||
500,000 | Anheuser-Busch InBev Worldwide, Inc., 1.375%, 07/15/17 | 505,642 | 0.0 | |||
250,000 | Anheuser-Busch InBev Worldwide, Inc., 3.750%, 07/15/42 | 251,424 | 0.0 | |||
3,500,000 | Anheuser-Busch InBev Worldwide, Inc., 5.375%, 01/15/20 | 4,262,436 | 0.1 | |||
500,000 | Bunge Ltd. Finance Corp., 3.200%, 06/15/17 | 522,184 | 0.0 | |||
500,000 | Campbell Soup Co., 3.800%, 08/02/42 | 487,994 | 0.0 | |||
750,000 | Clorox Co., 3.050%, 09/15/22 | 773,977 | 0.0 | |||
3,000,000 | Coca-Cola Co., 3.150%, 11/15/20 | 3,267,042 | 0.1 | |||
300,000 | Costco Wholesale Corp., 1.125%, 12/15/17 | 302,256 | 0.0 | |||
300,000 | Costco Wholesale Corp., 1.700%, 12/15/19 | 302,260 | 0.0 | |||
750,000 | CVS Caremark Corp., 2.750%, 12/01/22 | 753,490 | 0.0 | |||
5,000,000 | CVS Caremark Corp., 3.250%, 05/18/15 | 5,303,545 | 0.2 | |||
500,000 | Diageo Investment Corp., 2.875%, 05/11/22 | 516,602 | 0.0 | |||
750,000 | Dr Pepper Snapple Group, Inc., 2.000%, 01/15/20 | 748,266 | 0.0 | |||
3,275,000 | Dr Pepper Snapple Group, Inc., 2.900%, 01/15/16 | 3,452,495 | 0.1 | |||
300,000 | Estee Lauder Cos, Inc., 3.700%, 08/15/42 | 291,148 | 0.0 | |||
350,000 | Flowers Foods, Inc., 4.375%, 04/01/22 | 359,087 | 0.0 | |||
1,000,000 | HJ Heinz Co., 1.500%, 03/01/17 | 1,014,626 | 0.0 | |||
872,000 | Kellogg Co., 4.000%, 12/15/20 | 972,090 | 0.0 | |||
1,000,000 | # | Kraft Foods, Inc., 2.250%, 06/05/17 | 1,035,057 | 0.0 | ||
3,266,000 | # | Kraft Foods, Inc., 6.125%, 08/23/18 | 4,004,590 | 0.1 | ||
500,000 | Kraft Foods, Inc., 5.375%, 02/10/20 | 604,032 | 0.0 | |||
1,149,000 | Kraft Foods, Inc., 6.125%, 02/01/18 | 1,399,134 | 0.1 | |||
2,129,000 | Kroger Co., 7.500%, 04/01/31 | 2,764,528 | 0.1 | |||
300,000 | Lorillard Tobacco Co., 2.300%, 08/21/17 | 303,574 | 0.0 | |||
5,600,000 | Lorillard Tobacco Co., 8.125%, 06/23/19 | 7,149,878 | 0.2 | |||
500,000 | Molson Coors Brewing Co., 5.000%, 05/01/42 | 560,872 | 0.0 | |||
1,500,000 | PepsiCo, Inc., 4.000%, 03/05/42 | 1,553,094 | 0.1 | |||
2,405,000 | PepsiCo, Inc., 4.875%, 11/01/40 | 2,815,392 | 0.1 | |||
500,000 | Philip Morris International, Inc., 6.375%, 05/16/38 | 681,447 | 0.0 | |||
500,000 | Reynolds American, Inc., 1.050%, 10/30/15 | 500,151 | 0.0 | |||
250,000 | Reynolds American, Inc., 3.250%, 11/01/22 | 251,355 | 0.0 | |||
500,000 | Walgreen Co., 1.000%, 03/13/15 | 500,660 | 0.0 | |||
500,000 | Walgreen Co., 1.800%, 09/15/17 | 503,171 | 0.0 | |||
3,600,000 | Wal-Mart Stores, Inc., 5.000%, 10/25/40 | 4,360,072 | 0.1 | |||
3,130,000 | Wal-Mart Stores, Inc., 5.625%, 04/01/40 | 4,063,513 | 0.1 | |||
63,856,865 | 1.6 | |||||
Energy: 3.0% | ||||||
3,500,000 | Anadarko Petroleum Corp., 5.950%, 09/15/16 | 4,031,268 | 0.1 | |||
750,000 | Apache Corp., 2.625%, 01/15/23 | 749,315 | 0.0 | |||
750,000 | Apache Corp., 3.250%, 04/15/22 | 795,541 | 0.0 | |||
3,000,000 | Apache Corp., 5.625%, 01/15/17 | 3,516,090 | 0.1 | |||
4,910,000 | BP Capital Markets PLC, 3.200%, 03/11/16 | 5,240,320 | 0.1 | |||
1,000,000 | BP Capital Markets PLC, 1.375%, 11/06/17 | 1,001,677 | 0.0 | |||
500,000 | Cenovus Energy, Inc., 4.450%, 09/15/42 | 520,365 | 0.0 | |||
300,000 | Chevron Corp., 1.104%, 12/05/17 | 302,336 | 0.0 | |||
300,000 | Chevron Corp., 2.355%, 12/05/22 | 300,791 | 0.0 | |||
3,800,000 | ConocoPhillips, 6.500%, 02/01/39 | 5,393,674 | 0.1 | |||
400,000 | Devon Energy Corp., 3.250%, 05/15/22 | 417,839 | 0.0 | |||
3,750,000 | Devon Energy Corp., 4.000%, 07/15/21 | 4,152,300 | 0.1 | |||
1,809,000 | Energy Transfer Partners L.P., 6.500%, 02/01/42 | 2,216,734 | 0.1 | |||
3,990,000 | Ensco PLC, 3.250%, 03/15/16 | 4,233,175 | 0.1 | |||
4,805,000 | Enterprise Products Operating, LLC, 3.200%, 02/01/16 | 5,079,683 | 0.1 | |||
300,000 | Enterprise Products Operating, LLC, 4.450%, 02/15/43 | 304,052 | 0.0 | |||
1,950,000 | EOG Resources, Inc., 2.625%, 03/15/23 | 1,965,645 | 0.1 | |||
500,000 | FMC Technologies, Inc., 2.000%, 10/01/17 | 505,000 | 0.0 | |||
1,350,000 | Hess Corp., 8.125%, 02/15/19 | 1,777,731 | 0.1 | |||
3,500,000 | Husky Energy, Inc., 5.900%, 06/15/14 | 3,752,784 | 0.1 | |||
2,825,000 | Kinder Morgan Energy Partners L.P., 6.950%, 01/15/38 | 3,720,324 | 0.1 | |||
667,000 | Kinder Morgan Energy Partners LP, 3.950%, 09/01/22 | 713,813 | 0.0 | |||
1,500,000 | Magellan Midstream Partners L.P., 4.200%, 12/01/42 | 1,445,895 | 0.0 | |||
600,000 | Magellan Midstream Partners L.P., 6.550%, 07/15/19 | 742,177 | 0.0 | |||
1,000,000 | Marathon Oil Corp., 0.900%, 11/01/15 | 1,001,420 | 0.0 | |||
500,000 | Marathon Oil Corp., 2.800%, 11/01/22 | 503,561 | 0.0 | |||
3,892,000 | Marathon Petroleum Corp., 3.500%, 03/01/16 | 4,145,186 | 0.1 | |||
500,000 | Murphy Oil Corp., 2.500%, 12/01/17 | 503,477 | 0.0 | |||
500,000 | Murphy Oil Corp., 3.700%, 12/01/22 | 498,548 | 0.0 | |||
5,000,000 | Noble Holding International Ltd., 4.625%, 03/01/21 | 5,513,665 | 0.2 | |||
3,700,000 | Occidental Petroleum Corp., 2.500%, 02/01/16 | 3,888,641 | 0.1 | |||
1,500,000 | ONEOK Partners L.P., 2.000%, 10/01/17 | 1,513,629 | 0.1 | |||
3,920,000 | ONEOK Partners L.P., 3.250%, 02/01/16 | 4,137,807 | 0.1 | |||
3,755,000 | Petrobras International Finance Co., 5.750%, 01/20/20 | 4,289,787 | 0.1 | |||
3,680,000 | Petroleos Mexicanos, 6.000%, 03/05/20 | 4,416,000 | 0.1 | |||
500,000 | Pioneer Natural Resources Co., 3.950%, 07/15/22 | 524,386 | 0.0 | |||
300,000 | Plains All American Pipeline L.P. / PAA Finance Corp., 2.850%, 01/31/23 | 297,516 | 0.0 | |||
275,000 | Plains All American Pipeline L.P. / PAA Finance Corp., 3.650%, 06/01/22 | 291,377 | 0.0 | |||
750,000 | Shell International Finance BV, 1.125%, 08/21/17 | 754,097 | 0.0 | |||
5,180,000 | Shell International Finance BV, 3.100%, 06/28/15 | 5,490,401 | 0.1 | |||
2,950,000 | Suncor Energy, Inc., 6.500%, 06/15/38 | 3,938,032 | 0.1 | |||
400,000 | Talisman Energy, Inc., 5.500%, 05/15/42 | 441,262 | 0.0 | |||
3,460,000 | TC Pipelines L.P., 4.650%, 06/15/21 | 3,681,921 | 0.1 | |||
500,000 | Total Capital International SA, 0.750%, 01/25/16 | 498,357 | 0.0 | |||
3,500,000 | Total Capital S.A., 4.450%, 06/24/20 | 4,057,046 | 0.1 | |||
3,965,000 | Trans-Canada Pipelines, 7.625%, 01/15/39 | 5,969,728 | 0.2 | |||
1,676,000 | Transocean, Inc., 6.800%, 03/15/38 | 2,058,512 | 0.1 | |||
2,785,000 | Valero Energy Corp., 6.625%, 06/15/37 | 3,433,969 | 0.1 | |||
1,500,000 | Weatherford International Ltd. Bermuda, 5.125%, 09/15/20 | 1,654,152 | 0.1 | |||
700,000 | Williams Cos., Inc., 7.875%, 09/01/21 | 902,500 | 0.0 | |||
2,840,000 | Williams Partners L.P., 3.800%, 02/15/15 | 3,004,331 | 0.1 | |||
120,287,837 | 3.0 | |||||
Financials: 10.2% | ||||||
2,955,000 | # | Abbey National Treasury Services PLC/London, 3.875%, 11/10/14 | 3,067,506 | 0.1 | ||
1,000,000 | ACE INA Holdings, Inc., 5.800%, 03/15/18 | 1,219,961 | 0.0 | |||
1,000,000 | American International Group, Inc., 2.375%, 08/24/15 | 1,029,690 | 0.0 | |||
2,000,000 | American International Group, Inc., 6.400%, 12/15/20 | 2,483,356 | 0.1 | |||
3,000,000 | American International Group, Inc., 8.250%, 08/15/18 | 3,949,452 | 0.1 | |||
2,000,000 | Allstate Corp., 7.450%, 05/16/19 | 2,624,270 | 0.1 | |||
6,325,000 | American Express Co., 7.000%, 03/19/18 | 7,997,349 | 0.2 | |||
500,000 | # | American Honda Finance Corp., 1.500%, 09/11/17 | 500,245 | 0.0 | ||
500,000 | # | American Honda Finance Corp., 1.000%, 08/11/15 | 503,102 | 0.0 | ||
1,250,000 | American Tower Corp., 4.500%, 01/15/18 | 1,371,324 | 0.1 | |||
667,000 | American Tower Corp., 4.700%, 03/15/22 | 738,591 | 0.0 | |||
15,313,000 | # | ANZ New Zealand Int'l Ltd., 6.200%, 07/19/13 | 15,718,994 | 0.4 | ||
5,100,000 | Asian Development Bank, 2.625%, 02/09/15 | 5,340,072 | 0.1 | |||
500,000 | AvalonBay Communities, Inc., 2.850%, 03/15/23 | 494,110 | 0.0 | |||
500,000 | AvalonBay Communities, Inc., 2.950%, 09/15/22 | 498,522 | 0.0 | |||
4,050,000 | AvalonBay Communities, Inc., 5.700%, 03/15/17 | 4,727,354 | 0.1 | |||
1,000,000 | Bank of America Corp., 1.500%, 10/09/15 | 1,005,711 | 0.0 | |||
2,000,000 | Bank of America Corp., 3.625%, 03/17/16 | 2,120,288 | 0.1 | |||
1,000,000 | Bank of America Corp., 3.875%, 03/22/17 | 1,085,242 | 0.0 | |||
1,610,000 | Bank of America Corp., 5.650%, 05/01/18 | 1,874,632 | 0.1 | |||
1,900,000 | Bank of America Corp., 5.700%, 01/24/22 | 2,286,673 | 0.1 | |||
13,725,000 | Bank of America Corp., 6.500%, 08/01/16 | 15,857,810 | 0.4 | |||
1,000,000 | Bank of Montreal, 1.400%, 09/11/17 | 1,004,575 | 0.0 | |||
500,000 | Bank of New York Mellon Corp., 0.700%, 10/23/15 | 498,446 | 0.0 | |||
1,000,000 | Bank of New York Mellon Corp., 1.300%, 01/25/18 | 997,589 | 0.0 | |||
1,100,000 | Bank of Nova Scotia, 0.750%, 10/09/15 | 1,094,632 | 0.0 | |||
500,000 | Bank of Nova Scotia, 1.375%, 12/18/17 | 501,099 | 0.0 | |||
750,000 | Barclays Bank PLC, 5.125%, 01/08/20 | 854,763 | 0.0 | |||
1,000,000 | BB&T Corp., 1.600%, 08/15/17 | 1,012,759 | 0.0 | |||
1,000,000 | BB&T Corp., 3.950%, 03/22/22 | 1,080,803 | 0.0 | |||
750,000 | BBVA US Senior SAU, 4.664%, 10/09/15 | 769,425 | 0.0 | |||
1,000,000 | Berkshire Hathaway Finance Corp., 1.600%, 05/15/17 | 1,020,009 | 0.0 | |||
1,020,000 | Berkshire Hathaway Finance Corp., 3.000%, 05/15/22 | 1,063,638 | 0.0 | |||
300,000 | BlackRock, Inc., 1.375%, 06/01/15 | 304,840 | 0.0 | |||
500,000 | BlackRock, Inc., 5.000%, 12/10/19 | 598,659 | 0.0 | |||
2,475,000 | BNP Paribas, 3.600%, 02/23/16 | 2,620,985 | 0.1 | |||
3,500,000 | Boeing Capital Corp., 2.125%, 08/15/16 | 3,644,711 | 0.1 | |||
750,000 | Boeing Capital Corp., 4.700%, 10/27/19 | 885,494 | 0.0 | |||
4,500,000 | Boston Properties L.P., 5.625%, 11/15/20 | 5,327,293 | 0.1 | |||
500,000 | Brandywine Operating Partnership L.P., 3.950%, 02/15/23 | 496,040 | 0.0 | |||
300,000 | BRE Properties, Inc., 3.375%, 01/15/23 | 297,224 | 0.0 | |||
300,000 | Canadian Imperial Bank of Commerce/Canada, 0.900%, 10/01/15 | 301,472 | 0.0 | |||
1,000,000 | Caterpillar Financial Services Corp., 1.250%, 11/06/17 | 1,000,043 | 0.0 | |||
1,000,000 | Chubb Corp., 6.000%, 05/11/37 | 1,306,020 | 0.0 | |||
600,000 | Citigroup, Inc., 2.250%, 08/07/15 | 614,818 | 0.0 | |||
7,000,000 | Citigroup, Inc., 5.500%, 04/11/13 | 7,072,604 | 0.2 | |||
1,044,000 | Citigroup, Inc., 6.125%, 08/25/36 | 1,138,713 | 0.0 | |||
6,455,000 | Citigroup, Inc., 8.125%, 07/15/39 | 9,671,694 | 0.3 | |||
1,000,000 | CME Group, Inc., 3.000%, 09/15/22 | 1,015,581 | 0.0 | |||
500,000 | Commonwealth Bank of Australia/New York NY, 1.900%, 09/18/17 | 511,602 | 0.0 | |||
500,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.950%, 11/09/22 | 512,475 | 0.0 | |||
1,000,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.375%, 01/19/17 | 1,074,979 | 0.0 | |||
2,964,000 | Corp Andina de Fomento, 4.375%, 06/15/22 | 3,220,635 | 0.1 | |||
5,705,000 | Credit Suisse New York, 2.200%, 01/14/14 | 5,793,536 | 0.2 | |||
1,500,000 | Credit Suisse New York, 6.000%, 02/15/18 | 1,725,819 | 0.1 | |||
2,605,000 | Deutsche Bank AG, London, 4.875%, 05/20/13 | 2,650,486 | 0.1 | |||
20,000,000 | European Investment Bank, 2.375%, 03/14/14 | 20,478,680 | 0.5 | |||
3,775,000 | Export-Import Bank of Korea, 3.750%, 10/20/16 | 4,073,750 | 0.1 | |||
2,000,000 | Fifth Third Bancorp., 3.500%, 03/15/22 | 2,097,950 | 0.1 | |||
600,000 | Ford Motor Credit Co., LLC, 2.500%, 01/15/16 | 607,694 | 0.0 | |||
2,000,000 | Ford Motor Credit Co., LLC, 2.750%, 05/15/15 | 2,042,168 | 0.1 | |||
1,000,000 | Ford Motor Credit Co., LLC, 4.250%, 02/03/17 | 1,071,976 | 0.0 | |||
750,000 | Ford Motor Credit Co., LLC, 4.250%, 09/20/22 | 793,735 | 0.0 | |||
1,300,000 | Ford Motor Credit Co., LLC, 5.875%, 08/02/21 | 1,515,046 | 0.1 | |||
1,000,000 | General Electric Capital Corp., 1.625%, 07/02/15 | 1,017,141 | 0.0 | |||
1,000,000 | General Electric Capital Corp., 3.150%, 09/07/22 | 1,022,628 | 0.0 | |||
1,500,000 | General Electric Capital Corp., 5.875%, 01/14/38 | 1,810,914 | 0.1 | |||
3,540,000 | General Electric Capital Corp., 5.900%, 05/13/14 | 3,795,128 | 0.1 | |||
9,150,000 | General Electric Capital Corp., 6.750%, 03/15/32 | 11,891,843 | 0.3 | |||
1,196,000 | Genworth Financial, Inc., 6.515%, 05/22/18 | 1,282,688 | 0.0 | |||
8,950,000 | Goldman Sachs Group, Inc., 3.625%, 02/07/16 | 9,478,515 | 0.3 | |||
750,000 | Goldman Sachs Group, Inc., 5.750%, 01/24/22 | 887,365 | 0.0 | |||
4,840,000 | Goldman Sachs Group, Inc., 6.150%, 04/01/18 | 5,690,296 | 0.2 | |||
1,500,000 | Goldman Sachs Group, Inc., 6.000%, 05/01/14 | 1,596,886 | 0.1 | |||
4,000,000 | Goldman Sachs Group, Inc., 6.750%, 10/01/37 | 4,536,768 | 0.1 | |||
1,350,000 | Hartford Financial Services Group, Inc., 5.375%, 03/15/17 | 1,526,284 | 0.1 | |||
500,000 | HCP, Inc., 2.625%, 02/01/20 | 498,400 | 0.0 | |||
3,400,000 | HCP, Inc., 3.750%, 02/01/16 | 3,610,321 | 0.1 | |||
500,000 | Health Care REIT, Inc., 2.250%, 03/15/18 | 499,994 | 0.0 | |||
500,000 | Hospitality Properties Trust, 5.000%, 08/15/22 | 529,433 | 0.0 | |||
1,000,000 | HSBC USA, Inc., 1.625%, 01/16/18 | 1,001,728 | 0.0 | |||
3,400,000 | HSBC Holdings PLC, 6.500%, 09/15/37 | 4,247,294 | 0.1 | |||
4,125,000 | # | Hyundai Capital America, 3.750%, 04/06/16 | 4,354,796 | 0.1 | ||
3,500,000 | # | Hyundai Capital Services, Inc., 4.375%, 07/27/16 | 3,766,077 | 0.1 | ||
1,000,000 | Inter-American Development Bank, 3.200%, 08/07/42 | 992,216 | 0.0 | |||
6,040,000 | Inter-American Development Bank, 3.000%, 04/22/14 | 6,260,563 | 0.2 | |||
3,695,000 | International Finance Corp., 2.250%, 04/11/16 | 3,910,455 | 0.1 | |||
8,295,000 | International Bank for Reconstruction & Development, 1.125%, 08/25/14 | 8,415,634 | 0.2 | |||
2,700,000 | John Deere Capital Corp., 2.250%, 06/07/16 | 2,826,498 | 0.1 | |||
750,000 | JPMorgan Chase & Co., 1.100%, 10/15/15 | 750,428 | 0.0 | |||
10,000,000 | JPMorgan Chase & Co., 2.050%, 01/24/14 | 10,159,130 | 0.3 | |||
4,000,000 | JPMorgan Chase & Co., 4.500%, 01/24/22 | 4,528,704 | 0.1 | |||
7,375,000 | JPMorgan Chase & Co., 5.500%, 10/15/40 | 9,023,991 | 0.2 | |||
3,810,000 | Korea Development Bank, 3.250%, 03/09/16 | 4,008,330 | 0.1 | |||
13,765,000 | KFW, 1.375%, 01/13/14 | 13,918,039 | 0.4 | |||
10,000,000 | KFW, 2.625%, 01/25/22 | 10,596,450 | 0.3 | |||
3,285,000 | Landwirtschaftliche Rentenbank, 3.125%, 07/15/15 | 3,502,056 | 0.1 | |||
4,005,000 | Lincoln National Corp., 4.300%, 06/15/15 | 4,310,842 | 0.1 | |||
500,000 | MetLife, Inc., 3.048%, 12/15/22 | 510,515 | 0.0 | |||
400,000 | MetLife, Inc., 4.125%, 08/13/42 | 400,462 | 0.0 | |||
5,495,000 | MetLife, Inc., 6.750%, 06/01/16 | 6,511,427 | 0.2 | |||
2,650,000 | Morgan Stanley, 5.375%, 10/15/15 | 2,882,681 | 0.1 | |||
10,500,000 | Morgan Stanley, 6.625%, 04/01/18 | 12,384,540 | 0.3 | |||
500,000 | National Australia Bank Ltd./New York, 1.600%, 08/07/15 | 507,794 | 0.0 | |||
2,710,000 | Nordic Investment Bank, 5.000%, 02/01/17 | 3,179,776 | 0.1 | |||
300,000 | Northern Trust Corp., 2.375%, 08/02/22 | 296,693 | 0.0 | |||
1,000,000 | NYSE Euronext, 2.000%, 10/05/17 | 1,017,361 | 0.0 | |||
3,695,000 | Oesterreichische Kontrollbank AG, 4.875%, 02/16/16 | 4,154,141 | 0.1 | |||
500,000 | PNC Bank NA, 2.700%, 11/01/22 | 500,631 | 0.0 | |||
500,000 | + | PNC Financial Services Group, Inc., 2.854%, 11/09/22 | 503,384 | 0.0 | ||
500,000 | PNC Funding Corp., 3.300%, 03/08/22 | 527,564 | 0.0 | |||
2,595,000 | PNC Funding Corp., 3.625%, 02/08/15 | 2,748,318 | 0.1 | |||
500,000 | PNC Funding Corp., 5.250%, 11/15/15 | 559,008 | 0.0 | |||
500,000 | Primerica, Inc., 4.750%, 07/15/22 | 547,950 | 0.0 | |||
300,000 | Principal Financial Group, Inc., 1.850%, 11/15/17 | 301,825 | 0.0 | |||
300,000 | Principal Financial Group, Inc., 3.125%, 05/15/23 | 298,152 | 0.0 | |||
1,000,000 | Principal Financial Group, Inc., 3.300%, 09/15/22 | 1,015,352 | 0.0 | |||
1,000,000 | Private Export Funding Corp., 1.450%, 08/15/19 | 1,009,478 | 0.0 | |||
400,000 | Protective Life Corp., 7.375%, 10/15/19 | 486,506 | 0.0 | |||
3,895,000 | Prudential Financial, Inc., 3.875%, 01/14/15 | 4,122,846 | 0.1 | |||
3,800,000 | Prudential Financial, Inc., 6.200%, 11/15/40 | 4,600,489 | 0.1 | |||
750,000 | Royal Bank of Canada, 0.800%, 10/30/15 | 749,597 | 0.0 | |||
500,000 | Santander Holdings USA, Inc./PA, 3.000%, 09/24/15 | 509,462 | 0.0 | |||
500,000 | Simon Property Group L.P., 2.750%, 02/01/23 | 500,201 | 0.0 | |||
1,000,000 | Simon Property Group L.P., 3.375%, 03/15/22 | 1,057,017 | 0.0 | |||
3,595,000 | Simon Property Group L.P., 5.250%, 12/01/16 | 4,115,534 | 0.1 | |||
1,000,000 | SLM Corp., 8.450%, 06/15/18 | 1,175,000 | 0.0 | |||
2,000,000 | SLM Corp., 6.000%, 01/25/17 | 2,175,000 | 0.1 | |||
1,000,000 | SunTrust Bank/Atlanta GA, 5.000%, 09/01/15 | 1,093,174 | 0.0 | |||
5,295,000 | Toyota Motor Credit Corp., 2.800%, 01/11/16 | 5,573,332 | 0.2 | |||
3,000,000 | Travelers Cos, Inc., 3.900%, 11/01/20 | 3,391,314 | 0.1 | |||
3,000,000 | UBS AG/Stamford CT, 4.875%, 08/04/20 | 3,488,385 | 0.1 | |||
1,000,000 | US Bancorp, 3.000%, 03/15/22 | 1,040,939 | 0.0 | |||
350,000 | US Bancorp, 1.650%, 05/15/17 | 356,866 | 0.0 | |||
750,000 | US Bancorp, 2.950%, 07/15/22 | 758,354 | 0.0 | |||
600,000 | Ventas Realty L.P. / Ventas Capital Corp., 3.250%, 08/15/22 | 588,812 | 0.0 | |||
4,000,000 | Wachovia Bank NA, 6.600%, 01/15/38 | 5,495,120 | 0.2 | |||
860,000 | Wells Fargo & Co., 3.625%, 04/15/15 | 914,470 | 0.0 | |||
8,000,000 | Wells Fargo & Co., 4.600%, 04/01/21 | 9,208,984 | 0.2 | |||
500,000 | Westpac Banking Corp., 1.125%, 09/25/15 | 504,930 | 0.0 | |||
500,000 | Westpac Banking Corp., 2.000%, 08/14/17 | 515,418 | 0.0 | |||
1,000,000 | WR Berkley Corp., 4.625%, 03/15/22 | 1,072,734 | 0.0 | |||
410,458,085 | 10.2 | |||||
Health Care: 1.6% | ||||||
500,000 | Aetna, Inc., 1.500%, 11/15/17 | 501,403 | 0.0 | |||
500,000 | Aetna, Inc., 2.750%, 11/15/22 | 496,352 | 0.0 | |||
300,000 | Aetna, Inc., 4.500%, 05/15/42 | 315,063 | 0.0 | |||
500,000 | Agilent Technologies, Inc., 3.200%, 10/01/22 | 506,339 | 0.0 | |||
600,000 | Agilent Technologies, Inc., 6.500%, 11/01/17 | 725,829 | 0.0 | |||
4,400,000 | Amgen, Inc., 3.875%, 11/15/21 | 4,835,934 | 0.1 | |||
661,000 | Amgen, Inc., 6.375%, 06/01/37 | 832,211 | 0.0 | |||
750,000 | AstraZeneca PLC, 1.950%, 09/18/19 | 760,645 | 0.0 | |||
2,900,000 | AstraZeneca PLC, 6.450%, 09/15/37 | 3,930,904 | 0.1 | |||
500,000 | Baxter International, Inc., 3.650%, 08/15/42 | 491,263 | 0.0 | |||
4,370,000 | Becton Dickinson and Co., 3.125%, 11/08/21 | 4,673,309 | 0.1 | |||
2,000,000 | Biogen Idec, Inc., 6.875%, 03/01/18 | 2,479,216 | 0.1 | |||
1,500,000 | Bristol-Myers Squibb Co., 0.875%, 08/01/17 | 1,486,366 | 0.1 | |||
500,000 | Bristol-Myers Squibb Co., 3.250%, 08/01/42 | 458,222 | 0.0 | |||
400,000 | Cardinal Health, Inc., 1.900%, 06/15/17 | 407,746 | 0.0 | |||
500,000 | Celgene Corp., 1.900%, 08/15/17 | 509,357 | 0.0 | |||
2,945,000 | Celgene Corp., 3.950%, 10/15/20 | 3,198,535 | 0.1 | |||
2,500,000 | Cigna Corp., 5.125%, 06/15/20 | 2,854,965 | 0.1 | |||
500,000 | Coventry Health Care, Inc., 5.450%, 06/15/21 | 594,731 | 0.0 | |||
500,000 | Covidien International Finance SA, 3.200%, 06/15/22 | 523,918 | 0.0 | |||
4,210,000 | Express Scripts, Inc., 3.125%, 05/15/16 | 4,440,986 | 0.1 | |||
1,000,000 | GlaxoSmithKline Capital PLC, 1.500%, 05/08/17 | 1,015,264 | 0.0 | |||
500,000 | Humana, Inc., 3.150%, 12/01/22 | 497,676 | 0.0 | |||
1,070,000 | Humana, Inc., 6.300%, 08/01/18 | 1,244,176 | 0.1 | |||
500,000 | Laboratory Corp. of America Holdings, 2.200%, 08/23/17 | 513,605 | 0.0 | |||
500,000 | McKesson Corp., 0.950%, 12/04/15 | 501,020 | 0.0 | |||
3,240,000 | McKesson Corp., 3.250%, 03/01/16 | 3,474,748 | 0.1 | |||
4,920,000 | Pfizer, Inc., 6.200%, 03/15/19 | 6,222,403 | 0.2 | |||
3,330,000 | Sanofi-Aventis SA, 4.000%, 03/29/21 | 3,798,621 | 0.1 | |||
500,000 | Teva Pharmaceutical Finance IV, LLC, 2.250%, 03/18/20 | 504,831 | 0.0 | |||
500,000 | Thermo Fisher Scientific, Inc., 1.850%, 01/15/18 | 507,260 | 0.0 | |||
2,500,000 | Thermo Fisher Scientific, Inc., 3.200%, 03/01/16 | 2,656,298 | 0.1 | |||
1,000,000 | UnitedHealth Group, Inc., 0.850%, 10/15/15 | 1,003,878 | 0.0 | |||
500,000 | UnitedHealth Group, Inc., 2.750%, 02/15/23 | 504,976 | 0.0 | |||
2,000,000 | UnitedHealth Group, Inc., 3.375%, 11/15/21 | 2,132,504 | 0.1 | |||
1,000,000 | UnitedHealth Group, Inc., 6.000%, 02/15/18 | 1,218,120 | 0.0 | |||
500,000 | Watson Pharmaceuticals, Inc., 1.875%, 10/01/17 | 506,965 | 0.0 | |||
500,000 | Watson Pharmaceuticals, Inc., 3.250%, 10/01/22 | 510,881 | 0.0 | |||
500,000 | Watson Pharmaceuticals, Inc., 4.625%, 10/01/42 | 521,074 | 0.0 | |||
1,250,000 | WellPoint, Inc., 1.250%, 09/10/15 | 1,260,616 | 0.1 | |||
250,000 | WellPoint, Inc., 1.875%, 01/15/18 | 253,311 | 0.0 | |||
63,871,521 | 1.6 | |||||
Industrials: 1.3% | ||||||
500,000 | 3M Co., 2.000%, 06/26/22 | 496,787 | 0.0 | |||
4,000,000 | Burlington Northern Santa Fe, LLC, 3.450%, 09/15/21 | 4,308,372 | 0.1 | |||
500,000 | Burlington Northern Santa Fe, LLC, 4.375%, 09/01/42 | 526,046 | 0.0 | |||
1,000,000 | Canadian National Railway Co., 2.250%, 11/15/22 | 997,792 | 0.0 | |||
300,000 | Caterpillar, Inc., 1.500%, 06/26/17 | 304,059 | 0.0 | |||
1,500,000 | Caterpillar, Inc., 2.600%, 06/26/22 | 1,514,170 | 0.1 | |||
404,000 | Caterpillar, Inc., 3.803%, 08/15/42 | 402,918 | 0.0 | |||
2,156,386 | Continental Airlines 2009-2 Class A Pass Through Trust, 7.250%, 11/10/19 | 2,490,626 | 0.1 | |||
1,000,000 | CSX Corp., 4.100%, 03/15/44 | 988,173 | 0.0 | |||
1,000,000 | CSX Corp., 4.400%, 03/01/43 | 1,022,039 | 0.0 | |||
480,000 | Cummins, Inc., 7.125%, 03/01/28 | 651,367 | 0.0 | |||
1,210,030 | Delta Air Lines 2007-1 Class A Pass Through Trust, 6.821%, 08/10/22 | 1,350,635 | 0.1 | |||
3,510,000 | Dover Corp., 4.300%, 03/01/21 | 4,047,890 | 0.1 | |||
420,000 | FedEx Corp., 3.875%, 08/01/42 | 411,074 | 0.0 | |||
500,000 | General Dynamics Corp., 1.000%, 11/15/17 | 497,658 | 0.0 | |||
500,000 | General Dynamics Corp., 2.250%, 11/15/22 | 489,765 | 0.0 | |||
500,000 | General Dynamics Corp., 3.600%, 11/15/42 | 481,518 | 0.0 | |||
1,000,000 | General Electric Co., 0.850%, 10/09/15 | 1,004,129 | 0.0 | |||
500,000 | General Electric Co., 2.700%, 10/09/22 | 510,133 | 0.0 | |||
879,000 | General Electric Co., 5.250%, 12/06/17 | 1,037,251 | 0.1 | |||
2,600,000 | Honeywell International, Inc., 5.375%, 03/01/41 | 3,331,856 | 0.1 | |||
500,000 | Illinois Tool Works, Inc., 3.900%, 09/01/42 | 514,290 | 0.0 | |||
500,000 | Kennametal, Inc., 2.650%, 11/01/19 | 501,080 | 0.0 | |||
800,000 | L-3 Communications Corp., 4.950%, 02/15/21 | 903,318 | 0.0 | |||
4,000,000 | Lockheed Martin Corp., 3.350%, 09/15/21 | 4,230,540 | 0.1 | |||
2,043,000 | # | Lockheed Martin Corp., 4.070%, 12/15/42 | 2,009,871 | 0.1 | ||
2,000,000 | Norfolk Southern Corp., 3.950%, 10/01/42 | 1,983,236 | 0.1 | |||
3,800,000 | Raytheon Co., 3.125%, 10/15/20 | 4,045,898 | 0.1 | |||
2,000,000 | Republic Airways Holdings, Inc., 5.250%, 11/15/21 | 2,359,080 | 0.1 | |||
500,000 | Roper Industries, Inc., 1.850%, 11/15/17 | 500,020 | 0.0 | |||
500,000 | Ryder System, Inc., 2.500%, 03/01/17 | 508,776 | 0.0 | |||
350,000 | Ryder System, Inc., 2.500%, 03/01/18 | 357,233 | 0.0 | |||
300,000 | Stanley Black & Decker, Inc., 2.900%, 11/01/22 | 303,459 | 0.0 | |||
616,000 | Tyco International Finance S.A., 3.375%, 10/15/15 | 653,798 | 0.0 | |||
400,000 | United Parcel Service, Inc., 1.125%, 10/01/17 | 401,032 | 0.0 | |||
500,000 | United Technologies Corp., 1.200%, 06/01/15 | 507,423 | 0.0 | |||
500,000 | United Technologies Corp., 1.800%, 06/01/17 | 515,050 | 0.0 | |||
750,000 | United Technologies Corp., 3.100%, 06/01/22 | 794,956 | 0.0 | |||
500,000 | United Technologies Corp., 4.500%, 06/01/42 | 556,146 | 0.0 | |||
406,000 | United Technologies Corp., 6.125%, 07/15/38 | 541,008 | 0.0 | |||
2,790,000 | Waste Management, Inc., 6.125%, 11/30/39 | 3,535,231 | 0.1 | |||
52,585,703 | 1.3 | |||||
Information Technology: 1.0% | ||||||
600,000 | Autodesk, Inc., 1.950%, 12/15/17 | 597,494 | 0.0 | |||
400,000 | Autodesk, Inc., 3.600%, 12/15/22 | 402,124 | 0.0 | |||
900,000 | BMC Software, Inc., 4.250%, 02/15/22 | 914,604 | 0.0 | |||
500,000 | BMC Software, Inc., 4.500%, 12/01/22 | 514,684 | 0.0 | |||
1,250,000 | BMC Software, Inc., 7.250%, 06/01/18 | 1,475,891 | 0.1 | |||
3,500,000 | Broadcom Corp., 2.700%, 11/01/18 | 3,753,949 | 0.1 | |||
3,130,000 | Cisco Systems, Inc., 5.500%, 01/15/40 | 3,981,764 | 0.1 | |||
750,000 | Corning, Inc., 1.450%, 11/15/17 | 753,550 | 0.0 | |||
250,000 | eBay, Inc., 1.350%, 07/15/17 | 253,101 | 0.0 | |||
250,000 | eBay, Inc., 4.000%, 07/15/42 | 243,730 | 0.0 | |||
1,000,000 | Telefonaktiebolaget LM Ericsson, 4.125%, 05/15/22 | 1,040,182 | 0.1 | |||
4,220,000 | Google, Inc., 2.125%, 05/19/16 | 4,408,980 | 0.1 | |||
750,000 | Hewlett-Packard Co., 2.125%, 09/13/15 | 749,912 | 0.0 | |||
2,970,000 | Hewlett-Packard Co., 6.125%, 03/01/14 | 3,122,997 | 0.1 | |||
500,000 | International Business Machines Corp., 1.875%, 05/15/19 | 507,832 | 0.0 | |||
7,040,000 | International Business Machines Corp., 1.950%, 07/22/16 | 7,320,748 | 0.2 | |||
600,000 | Intel Corp., 1.350%, 12/15/17 | 600,313 | 0.0 | |||
500,000 | Juniper Networks, Inc., 5.950%, 03/15/41 | 569,867 | 0.0 | |||
300,000 | NetApp, Inc., 2.000%, 12/15/17 | 299,169 | 0.0 | |||
1,000,000 | Oracle Corp., 1.200%, 10/15/17 | 1,003,759 | 0.0 | |||
500,000 | Oracle Corp., 2.500%, 10/15/22 | 504,984 | 0.0 | |||
1,500,000 | Oracle Corp., 5.375%, 07/15/40 | 1,872,005 | 0.1 | |||
4,220,000 | Texas Instruments, Inc., 2.375%, 05/16/16 | 4,419,070 | 0.1 | |||
400,000 | Xerox Corp., 2.950%, 03/15/17 | 410,684 | 0.0 | |||
465,000 | Xerox Corp., 6.350%, 05/15/18 | 536,706 | 0.0 | |||
40,258,099 | 1.0 | |||||
Materials: 1.3% | ||||||
1,000,000 | Agrium, Inc., 6.750%, 01/15/19 | 1,242,651 | 0.0 | |||
750,000 | Air Products & Chemicals, Inc., 1.200%, 10/15/17 | 748,987 | 0.0 | |||
500,000 | Airgas, Inc., 2.900%, 11/15/22 | 494,276 | 0.0 | |||
1,399,000 | Alcoa, Inc., 6.150%, 08/15/20 | 1,528,939 | 0.1 | |||
3,200,000 | AngloGold Ashanti Ltd., 5.375%, 04/15/20 | 3,304,777 | 0.1 | |||
1,300,000 | Barrick Australian Finance Pty Ltd., 5.950%, 10/15/39 | 1,502,704 | 0.1 | |||
3,700,000 | BHP Billiton Finance USA Ltd., 3.250%, 11/21/21 | 3,985,529 | 0.1 | |||
500,000 | Cabot Corp., 2.550%, 01/15/18 | 515,796 | 0.0 | |||
300,000 | Cliffs Natural Resources, Inc., 3.950%, 01/15/18 | 302,178 | 0.0 | |||
3,282,000 | Dow Chemical Co., 8.550%, 05/15/19 | 4,433,480 | 0.1 | |||
500,000 | Ecolab, Inc., 1.000%, 08/09/15 | 501,679 | 0.0 | |||
2,279,000 | EI Du Pont de Nemours & Co., 6.000%, 07/15/18 | 2,814,909 | 0.1 | |||
1,000,000 | International Paper Co., 7.950%, 06/15/18 | 1,293,839 | 0.0 | |||
1,000,000 | Monsanto Co., 2.200%, 07/15/22 | 992,751 | 0.0 | |||
1,000,000 | Monsanto Co., 3.600%, 07/15/42 | 996,740 | 0.0 | |||
1,000,000 | Newmont Mining Corp., 3.500%, 03/15/22 | 1,032,234 | 0.0 | |||
2,000,000 | Potash Corp. of Saskatchewan, Inc., 5.625%, 12/01/40 | 2,432,694 | 0.1 | |||
1,000,000 | Praxair, Inc., 2.200%, 08/15/22 | 979,946 | 0.0 | |||
4,365,000 | Rio Tinto Finance USA Ltd., 6.500%, 07/15/18 | 5,452,492 | 0.1 | |||
490,000 | Rio Tinto Finance USA PLC, 1.625%, 08/21/17 | 496,494 | 0.0 | |||
1,539,000 | RPM International, Inc., 3.450%, 11/15/22 | 1,509,219 | 0.1 | |||
600,000 | Sherwin-Williams Co., 1.350%, 12/15/17 | 599,168 | 0.0 | |||
6,000,000 | Southern Copper Corp., 5.375%, 04/16/20 | 6,909,624 | 0.2 | |||
3,000,000 | Teck Resources Ltd., 4.750%, 01/15/22 | 3,304,119 | 0.1 | |||
1,000,000 | Teck Resources Ltd, 2.500%, 02/01/18 | 1,021,632 | 0.0 | |||
1,220,000 | Vale Overseas Ltd., 4.625%, 09/15/20 | 1,323,111 | 0.0 | |||
1,955,000 | Vale Overseas Ltd., 6.875%, 11/21/36 | 2,427,224 | 0.1 | |||
750,000 | Vale SA, 5.625%, 09/11/42 | 815,641 | 0.0 | |||
52,962,833 | 1.3 | |||||
Telecommunication Services: 1.5% | ||||||
5,000,000 | America Movil S.A.B de CV, 5.000%, 03/30/20 | 5,837,330 | 0.1 | |||
300,000 | AT&T, Inc., 1.400%, 12/01/17 | 300,298 | 0.0 | |||
755,000 | AT&T, Inc., 1.700%, 06/01/17 | 766,308 | 0.0 | |||
300,000 | AT&T, Inc., 2.625%, 12/01/22 | 300,781 | 0.0 | |||
8,000,000 | AT&T, Inc., 2.950%, 05/15/16 | 8,474,408 | 0.2 | |||
5,150,000 | AT&T, Inc., 6.500%, 09/01/37 | 6,741,139 | 0.2 | |||
5,595,000 | Deutsche Telekom International Finance BV, 5.750%, 03/23/16 | 6,378,261 | 0.2 | |||
3,285,000 | Qwest Corp., 6.750%, 12/01/21 | 3,852,822 | 0.1 | |||
2,220,000 | Rogers Cable, Inc., 5.500%, 03/15/14 | 2,349,133 | 0.1 | |||
2,685,000 | Telecom Italia Capital S.A., 5.250%, 10/01/15 | 2,863,553 | 0.1 | |||
500,000 | Telecom Italia Capital S.A., 7.175%, 06/18/19 | 582,750 | 0.0 | |||
1,855,000 | Telefonica Emisiones SAU, 3.992%, 02/16/16 | 1,934,765 | 0.0 | |||
500,000 | Verizon Communications, Inc., 1.100%, 11/01/17 | 498,150 | 0.0 | |||
3,000,000 | Verizon Communications, Inc., 4.750%, 11/01/41 | 3,406,200 | 0.1 | |||
5,225,000 | Verizon Communications, Inc., 6.350%, 04/01/19 | 6,607,148 | 0.2 | |||
2,940,000 | Verizon Communications, Inc., 7.750%, 12/01/30 | 4,307,300 | 0.1 | |||
3,965,000 | Vodafone Group PLC, 6.150%, 02/27/37 | 5,248,839 | 0.1 | |||
60,449,185 | 1.5 | |||||
Utilities: 1.7% | ||||||
300,000 | Ameren Illinois Co., 2.700%, 09/01/22 | 300,374 | 0.0 | |||
300,000 | Consumers Energy Co., 2.850%, 05/15/22 | 310,366 | 0.0 | |||
300,000 | Duke Energy Corp., 1.625%, 08/15/17 | 301,010 | 0.0 | |||
5,670,000 | Duke Energy Corp., 3.950%, 09/15/14 | 5,973,294 | 0.1 | |||
1,000,000 | Entergy Corp., 4.700%, 01/15/17 | 1,083,940 | 0.0 | |||
5,260,000 | Exelon Generation Co., LLC, 5.200%, 10/01/19 | 5,966,739 | 0.1 | |||
2,725,000 | FirstEnergy Solutions Corp., 6.800%, 08/15/39 | 3,064,723 | 0.1 | |||
750,000 | Florida Power & Light Co., 3.800%, 12/15/42 | 752,939 | 0.0 | |||
2,000,000 | Florida Power & Light Co., 4.050%, 06/01/42 | 2,085,134 | 0.1 | |||
500,000 | NextEra Energy Capital Holdings, Inc., 1.200%, 06/01/15 | 503,856 | 0.0 | |||
995,000 | NextEra Energy Capital Holdings, Inc., 2.550%, 11/15/13 | 1,010,916 | 0.0 | |||
1,000,000 | Georgia Power Co., 0.750%, 08/10/15 | 1,003,376 | 0.0 | |||
5,005,000 | Kentucky Utilities Co., 5.125%, 11/01/40 | 6,071,140 | 0.2 | |||
3,765,000 | Midamerican Energy Holdings Co., 6.125%, 04/01/36 | 4,756,584 | 0.1 | |||
2,000,000 | Mississippi Power Co., 4.250%, 03/15/42 | 2,044,506 | 0.1 | |||
3,595,000 | Ohio Power Co., 5.375%, 10/01/21 | 4,359,692 | 0.1 | |||
3,850,000 | Pacific Gas & Electric Co., 3.500%, 10/01/20 | 4,223,204 | 0.1 | |||
3,570,000 | Progress Energy, Inc., 4.400%, 01/15/21 | 3,982,421 | 0.1 | |||
3,410,000 | Public Service Co. of Colorado, 3.200%, 11/15/20 | 3,723,324 | 0.1 | |||
2,700,000 | SCANA Corp., 4.750%, 05/15/21 | 2,968,550 | 0.1 | |||
3,915,000 | Southern California Edison Co., 3.875%, 06/01/21 | 4,420,791 | 0.1 | |||
5,920,000 | Southern Co., 2.375%, 09/15/15 | 6,168,687 | 0.2 | |||
300,000 | Union Electric Co., 3.900%, 09/15/42 | 304,334 | 0.0 | |||
1,533,000 | Virginia Electric and Power Co., 6.000%, 05/15/37 | 2,016,586 | 0.1 | |||
1,000,000 | Westar Energy, Inc., 4.125%, 03/01/42 | 1,044,659 | 0.0 | |||
68,441,145 | 1.7 | |||||
Total Corporate Bonds/Notes | ||||||
(Cost $934,066,765) | 1,007,627,819 | 25.0 | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 1.9% | ||||||
1,000,000 | Banc of America Commercial Mortgage, Inc., 5.414%, 09/10/47 | 1,140,674 | 0.0 | |||
450,000 | Banc of America Commercial Mortgage, Inc., 5.593%, 06/10/49 | 523,320 | 0.0 | |||
1,570,000 | Banc of America Commercial Mortgage, Inc., 5.889%, 07/10/44 | 1,800,283 | 0.0 | |||
1,450,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., 5.369%, 10/10/45 | 1,583,603 | 0.0 | |||
2,000,000 | Bear Stearns Commercial Mortgage Securities, 4.750%, 02/13/46 | 2,128,230 | 0.1 | |||
1,999,800 | Bear Stearns Commercial Mortgage Securities, 5.200%, 01/12/41 | 2,078,663 | 0.1 | |||
2,440,000 | Bear Stearns Commercial Mortgage Securities, 5.573%, 04/12/38 | 2,772,456 | 0.1 | |||
1,994,000 | Citigroup Commercial Mortgage Trust, 5.702%, 12/10/49 | 2,357,642 | 0.1 | |||
1,150,000 | Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.219%, 07/15/44 | 1,278,617 | 0.0 | |||
2,000,000 | Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.219%, 07/15/44 | 2,114,863 | 0.1 | |||
2,000,000 | Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.219%, 07/15/44 | 2,205,325 | 0.1 | |||
1,244,835 | Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.886%, 11/15/44 | 1,475,299 | 0.0 | |||
750,000 | Commercial Mortgage Pass Through Certificates, 3.288%, 12/10/44 | 808,807 | 0.0 | |||
1,250,000 | Commercial Mortgage Pass-through Certificates, 5.306%, 12/10/46 | 1,440,042 | 0.0 | |||
1,000,000 | Credit Suisse Mortgage Capital Certificates, 5.311%, 12/15/39 | 1,139,194 | 0.0 | |||
2,000,000 | Credit Suisse Mortgage Capital Certificates, 5.509%, 09/15/39 | 2,169,021 | 0.1 | |||
1,400,000 | Credit Suisse Mortgage Capital Certificates, 5.762%, 09/15/39 | 1,624,087 | 0.0 | |||
1,170,000 | CW Capital Cobalt Ltd., 5.803%, 05/15/46 | 1,385,959 | 0.0 | |||
605,000 | DBUBS Mortgage Trust, 3.642%, 08/10/44 | 659,849 | 0.0 | |||
1,500,000 | GE Capital Commercial Mortgage Corp., 5.308%, 11/10/45 | 1,680,906 | 0.0 | |||
1,750,000 | Greenwich Capital Commercial Funding Corp., 5.224%, 04/10/37 | 1,937,248 | 0.1 | |||
2,500,000 | Greenwich Capital Commercial Funding Corp., 5.444%, 03/10/39 | 2,889,537 | 0.1 | |||
2,000,000 | Greenwich Capital Commercial Funding Corp., 5.475%, 03/10/39 | 2,184,295 | 0.1 | |||
1,755,000 | Greenwich Capital Commercial Funding Corp., 5.867%, 07/10/38 | 2,020,037 | 0.1 | |||
165,000 | GS Mortgage Securities Corp. II, 5.560%, 11/10/39 | 190,798 | 0.0 | |||
3,500,000 | GS Mortgage Securities Corp. II, 5.789%, 08/10/45 | 4,055,800 | 0.1 | |||
2,369,338 | JPMorgan Chase Commercial Mortgage Securities Corp., 4.879%, 01/12/38 | 2,433,347 | 0.1 | |||
1,155,000 | JPMorgan Chase Commercial Mortgage Securities Corp., 5.038%, 03/15/46 | 1,250,623 | 0.0 | |||
1,155,000 | JPMorgan Chase Commercial Mortgage Securities Corp., 5.336%, 05/15/47 | 1,326,191 | 0.0 | |||
2,295,000 | JPMorgan Chase Commercial Mortgage Securities Corp., 5.440%, 06/12/47 | 2,649,829 | 0.1 | |||
972,377 | JPMorgan Chase Commercial Mortgage Securities Corp., 5.688%, 02/12/51 | 1,067,930 | 0.0 | |||
1,750,000 | JPMorgan Chase Commercial Mortgage Securities Corp., 5.728%, 02/12/49 | 2,061,197 | 0.1 | |||
205,949 | JPMorgan Chase Commercial Mortgage Securities Corp., 5.827%, 02/15/51 | 211,440 | 0.0 | |||
1,735,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.204%, 12/12/49 | 1,925,381 | 0.0 | |||
410,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, 5.949%, 08/12/49 | 476,950 | 0.0 | |||
2,388,737 | Morgan Stanley Capital I, Inc., 5.395%, 06/15/38 | 2,494,255 | 0.1 | |||
2,000,000 | Morgan Stanley Capital I, 4.970%, 04/14/40 | 2,107,720 | 0.1 | |||
3,340,000 | Morgan Stanley Capital I, 4.989%, 08/13/42 | 3,655,189 | 0.1 | |||
1,000,000 | Morgan Stanley Capital I, 5.073%, 08/13/42 | 1,049,190 | 0.0 | |||
1,000,000 | Morgan Stanley Capital I, 5.331%, 03/15/44 | 1,037,243 | 0.0 | |||
1,456,235 | Morgan Stanley Capital I, 5.575%, 04/12/49 | 1,501,895 | 0.0 | |||
319,000 | Wachovia Bank Commercial Mortgage Trust, 5.308%, 11/15/48 | 367,826 | 0.0 | |||
1,206,920 | Wachovia Bank Commercial Mortgage Trust, 5.418%, 01/15/45 | 1,347,297 | 0.0 | |||
2,500,000 | Wells Fargo Commercial Mortgage Trust, 1.844%, 10/15/45 | 2,581,930 | 0.1 | |||
320,000 | WF-RBS Commercial Mortgage Trust, 3.667%, 11/15/44 | 355,292 | 0.0 | |||
Total Collateralized Mortgage Obligations | ||||||
(Cost $66,266,585) | 75,545,280 | 1.9 | ||||
MUNICIPAL BONDS: 0.9% | ||||||
California: 0.2% | ||||||
4,335,000 | State of California, 7.550%, 04/01/39 | 6,220,638 | 0.2 | |||
Connecticut: 0.1% | ||||||
3,735,000 | State of Connecticut, 5.850%, 03/15/32 | 4,676,444 | 0.1 | |||
Illinois: 0.1% | ||||||
4,400,000 | State of Illinois, 4.421%, 01/01/15 | 4,664,836 | 0.1 | |||
New Jersey: 0.2% | ||||||
3,425,000 | New Jersey State Turnpike Authority, 7.102%, 01/01/41 | 4,856,822 | 0.1 | |||
2,335,000 | Port Authority of New York & New Jersey, 4.926%, 10/01/51 | 2,541,624 | 0.1 | |||
7,398,446 | 0.2 | |||||
New York: 0.1% | ||||||
3,495,000 | Metropolitan Transportation Authority, 6.814%, 11/15/40 | 4,570,237 | 0.1 | |||
Ohio: 0.1% | ||||||
3,355,000 | American Municipal Power, Inc., 7.834%, 02/15/41 | 4,732,932 | 0.1 | |||
Washington: 0.1% | ||||||
3,900,000 | State of Washington, 5.140%, 08/01/40 | 4,726,293 | 0.1 | |||
Total Municipal Bonds | ||||||
(Cost $31,606,991) | 36,989,826 | 0.9 | ||||
ASSET-BACKED SECURITIES: 0.2% | ||||||
Automobile Asset-Backed Securities: 0.1% | ||||||
1,000,000 | Ally Auto Receivables Trust, 0.740%, 04/15/16 | 1,004,480 | 0.0 | |||
1,171,000 | Bank of America Auto Trust, 0.780%, 06/15/16 | 1,176,465 | 0.1 | |||
1,000,000 | Hyundai Auto Receivables Trust, 0.950%, 12/15/16 | 1,009,658 | 0.0 | |||
575,000 | Toyota Auto Receivables Owner Trust, 0.750%, 02/16/16 | 577,690 | 0.0 | |||
3,768,293 | 0.1 | |||||
Credit Card Asset-Backed Securities: 0.1% | ||||||
1,000,000 | Citibank Credit Card Issuance Trust, 5.300%, 03/15/18 | 1,148,180 | 0.0 | |||
1,000,000 | Citibank Credit Card Issuance Trust, 5.650%, 09/20/19 | 1,212,392 | 0.1 | |||
1,000,000 | Discover Card Master Trust, 5.650%, 03/16/20 | 1,211,254 | 0.0 | |||
3,571,826 | 0.1 | |||||
Other Asset-Backed Securities: 0.0% | ||||||
443,597 | AEP Texas Central Transition Funding, LLC, 0.880%, 12/01/18 | 447,046 | 0.0 | |||
500,000 | AEP Texas Central Transition Funding, LLC, 1.976%, 06/01/21 | 517,709 | 0.0 | |||
500,000 | PSE&G Transition Funding, LLC, 6.890%, 12/15/17 | 572,850 | 0.0 | |||
1,537,605 | 0.0 | |||||
Total Asset-Backed Securities | ||||||
(Cost $8,792,847) | 8,877,724 | 0.2 | ||||
U.S. TREASURY OBLIGATIONS: 35.8% | ||||||
U.S. Treasury Bonds: 5.5% | ||||||
16,610,500 | 1.625%, due 11/15/22 | 16,410,659 | 0.4 | |||
15,251,000 | 2.750%, due 08/15/42 | 14,674,329 | 0.4 | |||
4,547,000 | 3.000%, due 05/15/42 | 4,615,914 | 0.1 | |||
37,645,000 | 3.500%, due 02/15/39 | 42,409,464 | 1.0 | |||
7,845,000 | 3.875%, due 08/15/40 | 9,398,067 | 0.2 | |||
43,505,000 | 4.375%, due 05/15/40 | 56,447,738 | 1.4 | |||
22,000,000 | 5.375%, due 02/15/31 | 31,332,818 | 0.8 | |||
2,150,000 | 6.000%, due 02/15/26 | 3,106,415 | 0.1 | |||
15,310,000 | 6.125%, due 11/15/27 | 22,704,255 | 0.6 | |||
13,185,000 | 6.500%, due 11/15/26 | 19,991,756 | 0.5 | |||
221,091,415 | 5.5 | |||||
U.S. Treasury Notes: 30.3% | ||||||
74,766,000 | 0.125%, due 07/31/14 | 74,649,216 | 1.9 | |||
70,060,000 | 0.250%, due 09/15/14 | 70,084,661 | 1.7 | |||
43,535,000 | 0.250%, due 10/31/14 | 43,548,626 | 1.1 | |||
33,802,000 | 0.250%, due 11/30/14 | 33,808,625 | 0.8 | |||
64,708,000 | 0.250%, due 09/15/15 | 64,576,578 | 1.6 | |||
25,975,000 | 0.250%, due 10/15/15 | 25,916,167 | 0.6 | |||
53,739,000 | 0.250%, due 12/15/15 | 53,583,694 | 1.3 | |||
29,048,000 | 0.375%, due 04/15/15 | 29,106,997 | 0.7 | |||
9,440,000 | 0.375%, due 11/15/15 | 9,449,591 | 0.2 | |||
13,630,000 | 0.500%, due 10/15/13 | 13,667,278 | 0.3 | |||
30,480,000 | 0.500%, due 11/15/13 | 30,569,306 | 0.8 | |||
4,755,000 | 0.500%, due 08/15/14 | 4,776,359 | 0.1 | |||
36,269,100 | 0.625%, due 09/30/17 | 36,195,437 | 0.9 | |||
14,680,000 | 0.625%, due 11/30/17 | 14,627,240 | 0.4 | |||
30,085,000 | 0.750%, due 12/15/13 | 30,249,535 | 0.8 | |||
1,952,000 | 0.750%, due 10/31/17 | 1,957,948 | 0.1 | |||
6,482,600 | 0.750%, due 12/31/17 | 6,491,715 | 0.2 | |||
4,780,000 | 1.000%, due 07/15/13 | 4,802,782 | 0.1 | |||
74,115,000 | 1.000%, due 05/15/14 | 74,919,889 | 1.9 | |||
57,747,000 | 1.000%, due 08/31/19 | 57,372,568 | 1.4 | |||
1,857,000 | 1.000%, due 11/30/19 | 1,837,559 | 0.0 | |||
8,230,000 | 1.125%, due 06/15/13 | 8,268,582 | 0.2 | |||
121,000 | 1.125%, due 12/31/19 | 120,565 | 0.0 | |||
46,620,000 | 1.250%, due 10/31/15 | 47,807,365 | 1.2 | |||
961,000 | 1.250%, due 10/31/19 | 968,282 | 0.0 | |||
16,940,000 | 1.375%, due 05/15/13 | 17,021,397 | 0.4 | |||
14,190,000 | 1.375%, due 11/30/15 | 14,609,045 | 0.4 | |||
6,540,000 | 1.500%, due 03/31/19 | 6,741,824 | 0.2 | |||
21,876,000 | 1.625%, due 08/15/22 | 21,711,930 | 0.5 | |||
13,670,000 | 1.875%, due 04/30/14 | 13,971,711 | 0.3 | |||
108,163,000 | 1.875%, due 09/30/17 | 114,196,440 | 2.8 | |||
9,642,000 | 2.125%, due 08/15/21 | 10,128,622 | 0.3 | |||
34,625,000 | 2.375%, due 03/31/16 | 36,816,105 | 0.9 | |||
77,155,000 | 2.375%, due 07/31/17 | 83,188,753 | 2.1 | |||
36,650,000 | 2.625%, due 04/30/18 | 40,148,939 | 1.0 | |||
20,920,000 | 2.625%, due 08/15/20 | 22,949,889 | 0.6 | |||
5,980,000 | 2.625%, due 11/15/20 | 6,557,913 | 0.2 | |||
26,255,000 | 2.750%, due 02/15/19 | 29,056,907 | 0.7 | |||
14,575,000 | 3.125%, due 05/15/21 | 16,513,023 | 0.4 | |||
21,610,000 | 3.375%, due 11/15/19 | 24,822,802 | 0.6 | |||
9,190,000 | 3.500%, due 05/15/20 | 10,663,993 | 0.3 | |||
4,330,000 | 6.250%, due 08/15/23 | 6,202,050 | 0.2 | |||
4,025,000 | 8.125%, due 08/15/19 | 5,854,805 | 0.1 | |||
1,220,512,713 | 30.3 | |||||
Total U.S. Treasury Obligations | ||||||
(Cost $1,402,814,002) | 1,441,604,128 | 35.8 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 33.1% | ||||||
Federal Home Loan Mortgage Corporation: 8.9%## | ||||||
10,425,000 | 0.500%, due 04/17/15 | 10,473,570 | 0.3 | |||
7,735,000 | 1.000%, due 03/08/17 | 7,841,604 | 0.2 | |||
21,246,000 | 1.000%, due 09/29/17 | 21,494,090 | 0.6 | |||
7,770,000 | 1.250%, due 08/01/19 | 7,790,163 | 0.2 | |||
8,405,000 | 2.500%, due 05/27/16 | 8,975,103 | 0.2 | |||
25,349,847 | 2.612%, due 02/01/42 | 26,612,017 | 0.7 | |||
19,400,000 | W | 3.500%, due 07/15/41 | 20,635,235 | 0.5 | ||
950,938 | 3.500%, due 01/01/42 | 1,012,306 | 0.0 | |||
4,971,999 | 3.500%, due 01/01/42 | 5,292,861 | 0.1 | |||
9,661,834 | 3.500%, due 08/01/42 | 10,306,483 | 0.3 | |||
9,952,512 | 3.500%, due 09/01/42 | 10,616,554 | 0.3 | |||
4,515,000 | 3.750%, due 03/27/19 | 5,225,643 | 0.1 | |||
5,432,292 | 4.000%, due 01/01/25 | 5,746,459 | 0.2 | |||
695,136 | 4.000%, due 08/01/40 | 742,966 | 0.0 | |||
2,881,466 | 4.000%, due 11/01/40 | 3,079,730 | 0.1 | |||
1,063,365 | 4.000%, due 01/01/41 | 1,136,532 | 0.0 | |||
5,264,680 | 4.000%, due 04/01/41 | 5,630,216 | 0.2 | |||
3,887,197 | 4.000%, due 05/01/41 | 4,157,092 | 0.1 | |||
1,243,154 | 4.000%, due 06/01/41 | 1,329,469 | 0.1 | |||
249,763 | 4.000%, due 08/01/41 | 267,105 | 0.0 | |||
366,703 | 4.000%, due 08/01/41 | 392,164 | 0.0 | |||
4,220,394 | 4.000%, due 10/01/41 | 4,513,423 | 0.1 | |||
3,840,637 | 4.000%, due 11/01/41 | 4,107,300 | 0.1 | |||
693,910 | 4.000%, due 12/01/41 | 742,090 | 0.0 | |||
3,410,578 | 4.000%, due 01/01/42 | 3,686,816 | 0.1 | |||
3,829,931 | 4.000%, due 02/01/42 | 4,095,850 | 0.1 | |||
7,456,587 | 4.000%, due 03/01/42 | 8,060,529 | 0.2 | |||
43,719 | 4.500%, due 04/01/23 | 46,545 | 0.0 | |||
570,021 | 4.500%, due 03/01/39 | 611,863 | 0.0 | |||
1,173,711 | 4.500%, due 08/01/39 | 1,259,866 | 0.0 | |||
1,315,668 | 4.500%, due 09/01/39 | 1,412,244 | 0.1 | |||
1,981,906 | 4.500%, due 09/01/39 | 2,127,387 | 0.1 | |||
2,592,171 | 4.500%, due 09/01/39 | 2,782,447 | 0.1 | |||
3,350,161 | 4.500%, due 10/01/39 | 3,596,078 | 0.1 | |||
4,507,716 | 4.500%, due 12/01/39 | 4,838,603 | 0.1 | |||
778,666 | 4.500%, due 03/01/40 | 838,743 | 0.0 | |||
2,584,534 | 4.500%, due 04/01/40 | 2,783,942 | 0.1 | |||
507,196 | 4.500%, due 06/01/40 | 546,328 | 0.0 | |||
3,115,487 | 4.500%, due 07/01/40 | 3,355,860 | 0.1 | |||
4,318,592 | 4.500%, due 07/01/40 | 4,651,791 | 0.1 | |||
2,582,859 | 4.500%, due 08/01/40 | 2,782,138 | 0.1 | |||
823,111 | 4.500%, due 08/01/40 | 886,618 | 0.0 | |||
3,384,029 | 4.500%, due 03/01/41 | 3,652,525 | 0.1 | |||
873,356 | 4.500%, due 03/01/41 | 942,650 | 0.0 | |||
1,119,975 | 4.500%, due 04/01/41 | 1,208,836 | 0.0 | |||
2,962,350 | 4.500%, due 06/01/41 | 3,197,389 | 0.1 | |||
2,918,348 | 4.500%, due 07/01/41 | 3,149,896 | 0.1 | |||
1,305,641 | 4.500%, due 08/01/41 | 1,432,898 | 0.1 | |||
13,816,767 | 4.500%, due 08/01/41 | 15,048,593 | 0.4 | |||
126,318 | 5.000%, due 03/01/34 | 136,577 | 0.0 | |||
768,169 | 5.000%, due 12/01/34 | 830,557 | 0.0 | |||
2,802,935 | 5.000%, due 08/01/35 | 3,027,077 | 0.1 | |||
659,874 | 5.000%, due 08/01/35 | 712,642 | 0.0 | |||
882,758 | 5.000%, due 10/01/35 | 953,349 | 0.0 | |||
933,763 | 5.000%, due 10/01/35 | 1,008,433 | 0.0 | |||
2,132,879 | 5.000%, due 10/01/35 | 2,303,439 | 0.1 | |||
2,193,436 | 5.000%, due 12/01/35 | 2,368,838 | 0.1 | |||
293,077 | 5.000%, due 04/01/36 | 316,513 | 0.0 | |||
922,747 | 5.000%, due 11/01/36 | 996,537 | 0.0 | |||
704,435 | 5.000%, due 02/01/37 | 758,125 | 0.0 | |||
590,595 | 5.000%, due 05/01/37 | 636,162 | 0.0 | |||
7,984,916 | 5.000%, due 10/01/37 | 8,623,445 | 0.2 | |||
1,441,210 | 5.000%, due 03/01/38 | 1,556,459 | 0.1 | |||
2,127,697 | 5.000%, due 03/01/38 | 2,291,858 | 0.1 | |||
5,045,745 | 5.000%, due 03/01/38 | 5,435,047 | 0.2 | |||
1,797,800 | 5.000%, due 04/01/38 | 1,934,823 | 0.1 | |||
169,194 | 5.000%, due 10/01/38 | 182,090 | 0.0 | |||
401,578 | 5.000%, due 06/01/40 | 435,950 | 0.0 | |||
809,522 | 5.000%, due 08/01/40 | 881,160 | 0.0 | |||
2,449,867 | 5.000%, due 04/01/41 | 2,662,618 | 0.1 | |||
71,691 | 5.150%, due 06/01/37 | 77,245 | 0.0 | |||
117,276 | 5.200%, due 06/01/37 | 126,412 | 0.0 | |||
260,964 | 5.200%, due 08/01/37 | 280,234 | 0.0 | |||
190,000 | 5.400%, due 03/17/21 | 219,199 | 0.0 | |||
300,536 | 5.490%, due 02/01/37 | 324,685 | 0.0 | |||
4,109,105 | 5.500%, due 12/01/24 | 4,419,941 | 0.1 | |||
590,559 | 5.500%, due 09/01/34 | 641,937 | 0.0 | |||
618,569 | 5.500%, due 01/01/35 | 672,383 | 0.0 | |||
326,369 | 5.500%, due 09/01/35 | 354,354 | 0.0 | |||
5,535,074 | 5.500%, due 09/01/35 | 6,009,696 | 0.2 | |||
4,060,547 | 5.500%, due 10/01/35 | 4,408,732 | 0.1 | |||
3,010,459 | 5.500%, due 03/01/36 | 3,268,600 | 0.1 | |||
656,637 | 5.500%, due 03/01/36 | 710,685 | 0.0 | |||
508,985 | 5.500%, due 05/01/36 | 550,880 | 0.0 | |||
1,800,661 | 5.500%, due 06/01/36 | 1,957,315 | 0.1 | |||
28,934 | 5.500%, due 07/01/36 | 31,451 | 0.0 | |||
919,479 | 5.500%, due 07/01/36 | 995,162 | 0.0 | |||
169,916 | 5.500%, due 07/01/36 | 183,902 | 0.0 | |||
315,610 | 5.500%, due 10/01/36 | 341,588 | 0.0 | |||
1,203,807 | 5.500%, due 11/01/36 | 1,302,893 | 0.0 | |||
442,391 | 5.500%, due 12/01/36 | 478,804 | 0.0 | |||
378,715 | 5.500%, due 12/01/36 | 409,887 | 0.0 | |||
765,627 | 5.500%, due 12/01/36 | 828,646 | 0.0 | |||
937,111 | 5.500%, due 02/01/37 | 1,014,245 | 0.0 | |||
128,622 | 5.500%, due 02/01/37 | 138,967 | 0.0 | |||
238,481 | 5.500%, due 05/01/37 | 258,557 | 0.0 | |||
47,243 | 5.500%, due 06/01/37 | 51,043 | 0.0 | |||
1,075,484 | 5.500%, due 11/01/37 | 1,161,991 | 0.0 | |||
505,284 | 5.500%, due 12/01/37 | 545,927 | 0.0 | |||
232,302 | 5.500%, due 03/01/38 | 250,987 | 0.0 | |||
45,655 | 5.500%, due 06/01/38 | 49,299 | 0.0 | |||
99,914 | 5.500%, due 06/01/38 | 107,888 | 0.0 | |||
60,147 | 5.500%, due 08/01/38 | 65,210 | 0.0 | |||
17,373 | 5.500%, due 10/01/38 | 18,760 | 0.0 | |||
134,116 | 5.500%, due 12/01/38 | 144,904 | 0.0 | |||
188,309 | 5.500%, due 12/01/38 | 203,339 | 0.0 | |||
181,429 | 5.500%, due 12/01/38 | 195,909 | 0.0 | |||
186,868 | 5.500%, due 01/01/39 | 201,899 | 0.0 | |||
1,107,449 | 5.500%, due 01/01/39 | 1,195,835 | 0.0 | |||
903,197 | 5.500%, due 01/01/40 | 975,847 | 0.0 | |||
320,757 | 5.500%, due 01/01/40 | 346,959 | 0.0 | |||
422,762 | 5.500%, due 03/01/40 | 456,767 | 0.0 | |||
408,967 | 5.500%, due 01/01/41 | 442,285 | 0.0 | |||
364,317 | 5.750%, due 05/01/37 | 392,910 | 0.0 | |||
661,521 | 5.750%, due 06/01/37 | 713,438 | 0.0 | |||
246,862 | 5.800%, due 07/01/37 | 267,899 | 0.0 | |||
709,676 | 5.800%, due 07/01/37 | 765,938 | 0.0 | |||
1,207,786 | 5.800%, due 08/01/37 | 1,349,774 | 0.1 | |||
288,900 | 5.800%, due 09/01/37 | 311,804 | 0.0 | |||
418,604 | 5.800%, due 09/01/37 | 451,790 | 0.0 | |||
30,176 | 6.000%, due 04/01/28 | 33,560 | 0.0 | |||
283,740 | 6.000%, due 07/01/28 | 308,869 | 0.0 | |||
5,434 | 6.000%, due 04/01/36 | 5,923 | 0.0 | |||
99,125 | 6.000%, due 04/01/36 | 108,043 | 0.0 | |||
22,195 | 6.000%, due 04/01/36 | 24,307 | 0.0 | |||
235,126 | 6.000%, due 06/01/36 | 256,279 | 0.0 | |||
113,779 | 6.000%, due 07/01/36 | 124,015 | 0.0 | |||
33,937 | 6.000%, due 08/01/36 | 36,990 | 0.0 | |||
1,147,614 | 6.000%, due 08/01/36 | 1,250,861 | 0.0 | |||
106,245 | 6.000%, due 08/01/36 | 115,803 | 0.0 | |||
552,616 | 6.000%, due 01/01/37 | 602,333 | 0.0 | |||
344,901 | 6.000%, due 02/01/37 | 375,931 | 0.0 | |||
29,036 | 6.000%, due 04/01/37 | 31,603 | 0.0 | |||
12,077 | 6.000%, due 06/01/37 | 13,145 | 0.0 | |||
270,289 | 6.000%, due 06/01/37 | 294,184 | 0.0 | |||
80,431 | 6.000%, due 07/01/37 | 87,542 | 0.0 | |||
4,411 | 6.000%, due 07/01/37 | 4,801 | 0.0 | |||
345,007 | 6.000%, due 08/01/37 | 375,507 | 0.0 | |||
83,603 | 6.000%, due 08/01/37 | 90,994 | 0.0 | |||
210,718 | 6.000%, due 08/01/37 | 230,328 | 0.0 | |||
881,069 | 6.000%, due 08/01/37 | 958,959 | 0.0 | |||
92,567 | 6.000%, due 08/01/37 | 100,750 | 0.0 | |||
1,206,822 | 6.000%, due 08/01/37 | 1,313,511 | 0.1 | |||
25,233 | 6.000%, due 08/01/37 | 27,464 | 0.0 | |||
37,372 | 6.000%, due 08/01/37 | 40,676 | 0.0 | |||
17,540 | 6.000%, due 09/01/37 | 19,090 | 0.0 | |||
74,898 | 6.000%, due 09/01/37 | 81,519 | 0.0 | |||
240,926 | 6.000%, due 09/01/37 | 262,225 | 0.0 | |||
119,473 | 6.000%, due 10/01/37 | 130,035 | 0.0 | |||
199,684 | 6.000%, due 10/01/37 | 217,769 | 0.0 | |||
45,603 | 6.000%, due 10/01/37 | 49,820 | 0.0 | |||
54,246 | 6.000%, due 10/01/37 | 59,329 | 0.0 | |||
34,165 | 6.000%, due 11/01/37 | 37,186 | 0.0 | |||
207,765 | 6.000%, due 11/01/37 | 226,132 | 0.0 | |||
36,641 | 6.000%, due 11/01/37 | 39,880 | 0.0 | |||
735,585 | 6.000%, due 12/01/37 | 800,614 | 0.0 | |||
575,886 | 6.000%, due 12/01/37 | 626,797 | 0.0 | |||
20,892 | 6.000%, due 12/01/37 | 22,739 | 0.0 | |||
437,835 | 6.000%, due 01/01/38 | 476,542 | 0.0 | |||
226,867 | 6.000%, due 01/01/38 | 246,923 | 0.0 | |||
19,180 | 6.000%, due 01/01/38 | 20,875 | 0.0 | |||
17,554 | 6.000%, due 02/01/38 | 19,105 | 0.0 | |||
546,546 | 6.000%, due 02/01/38 | 594,863 | 0.0 | |||
403,495 | 6.000%, due 05/01/38 | 446,997 | 0.0 | |||
16,204 | 6.000%, due 06/01/38 | 17,636 | 0.0 | |||
558,233 | 6.000%, due 07/01/38 | 607,583 | 0.0 | |||
484,418 | 6.000%, due 07/01/38 | 527,242 | 0.0 | |||
230,944 | 6.000%, due 08/01/38 | 251,360 | 0.0 | |||
13,295 | 6.000%, due 09/01/38 | 14,470 | 0.0 | |||
117,545 | 6.000%, due 09/01/38 | 128,415 | 0.0 | |||
1,344,297 | 6.000%, due 09/01/38 | 1,463,138 | 0.1 | |||
103,091 | 6.000%, due 09/01/38 | 112,204 | 0.0 | |||
105,565 | 6.000%, due 11/01/38 | 115,029 | 0.0 | |||
1,088,301 | 6.000%, due 01/01/39 | 1,184,512 | 0.0 | |||
1,450,963 | 6.000%, due 04/01/39 | 1,579,234 | 0.1 | |||
246,997 | 6.000%, due 08/01/39 | 268,524 | 0.0 | |||
408,862 | 6.000%, due 10/01/39 | 444,496 | 0.0 | |||
119,346 | 6.000%, due 11/01/39 | 129,897 | 0.0 | |||
144,438 | 6.000%, due 11/01/39 | 157,026 | 0.0 | |||
554,041 | 6.000%, due 11/01/39 | 602,559 | 0.0 | |||
22,302 | 6.000%, due 12/01/39 | 24,274 | 0.0 | |||
855,734 | 6.000%, due 05/01/40 | 931,384 | 0.0 | |||
240,329 | 6.150%, due 12/01/37 | 263,726 | 0.0 | |||
433,217 | 6.150%, due 12/01/37 | 475,394 | 0.0 | |||
505,878 | 6.150%, due 01/01/38 | 560,600 | 0.0 | |||
298,095 | 6.150%, due 02/01/38 | 330,341 | 0.0 | |||
187,096 | 6.150%, due 02/01/38 | 207,335 | 0.0 | |||
840,000 | 6.250%, due 07/15/32 | 1,251,660 | 0.0 | |||
65,662 | 6.500%, due 06/01/36 | 74,693 | 0.0 | |||
8,321 | 6.500%, due 08/01/36 | 9,465 | 0.0 | |||
27,107 | 6.500%, due 10/01/36 | 30,836 | 0.0 | |||
251,259 | 6.500%, due 10/01/36 | 285,818 | 0.0 | |||
184,386 | 6.500%, due 07/01/37 | 209,747 | 0.0 | |||
17,171 | 6.500%, due 08/01/37 | 19,545 | 0.0 | |||
65,356 | 6.500%, due 09/01/37 | 74,392 | 0.0 | |||
100,177 | 6.500%, due 09/01/37 | 114,028 | 0.0 | |||
52,677 | 6.500%, due 10/01/37 | 59,960 | 0.0 | |||
191,293 | 6.500%, due 11/01/37 | 217,742 | 0.0 | |||
254,339 | 6.500%, due 01/01/38 | 285,481 | 0.0 | |||
215,187 | 6.500%, due 02/01/38 | 241,574 | 0.0 | |||
245,127 | 6.500%, due 02/01/38 | 279,020 | 0.0 | |||
54,080 | 6.500%, due 04/01/38 | 61,593 | 0.0 | |||
195,122 | 6.500%, due 04/01/38 | 222,101 | 0.0 | |||
7,526 | 6.500%, due 05/01/38 | 8,572 | 0.0 | |||
30,690 | 6.500%, due 05/01/38 | 34,453 | 0.0 | |||
39,559 | 6.500%, due 07/01/38 | 45,055 | 0.0 | |||
17,384 | 6.500%, due 08/01/38 | 19,799 | 0.0 | |||
37,748 | 6.500%, due 09/01/38 | 42,992 | 0.0 | |||
64,847 | 6.500%, due 10/01/38 | 73,855 | 0.0 | |||
2,944 | 6.500%, due 10/01/38 | 3,353 | 0.0 | |||
119,997 | 6.500%, due 11/01/38 | 136,589 | 0.0 | |||
20,244 | 6.500%, due 12/01/38 | 23,056 | 0.0 | |||
97,825 | 6.500%, due 12/01/38 | 111,416 | 0.0 | |||
1,731,516 | 6.500%, due 12/01/38 | 1,972,062 | 0.1 | |||
51,875 | 6.500%, due 12/01/38 | 59,082 | 0.0 | |||
1,295,906 | 6.500%, due 12/01/38 | 1,475,936 | 0.1 | |||
27,366 | 6.500%, due 01/01/39 | 31,167 | 0.0 | |||
2,540,000 | 6.750%, due 03/15/31 | 3,907,932 | 0.1 | |||
356,813,282 | 8.9 | |||||
Federal National Mortgage Association: 16.9%## | ||||||
27,130,000 | 0.375%, due 03/16/15 | 27,180,977 | 0.7 | |||
24,450,000 | 0.875%, due 08/28/14 | 24,706,358 | 0.6 | |||
6,020,000 | 1.250%, due 02/27/14 | 6,102,041 | 0.2 | |||
6,025,000 | 1.375%, due 11/15/16 | 6,212,751 | 0.2 | |||
5,000,000 | 2.250%, due 03/15/16 | 5,285,895 | 0.1 | |||
8,750,000 | 2.375%, due 04/11/16 | 9,306,972 | 0.2 | |||
11,137,594 | 2.500%, due 09/01/27 | 11,658,509 | 0.3 | |||
29,500,000 | W | 2.500%, due 01/15/28 | 30,855,156 | 0.8 | ||
4,708,045 | 3.000%, due 12/01/26 | 4,974,491 | 0.1 | |||
3,706,484 | 3.000%, due 01/01/27 | 3,916,248 | 0.1 | |||
6,114,937 | 3.000%, due 01/01/27 | 6,461,005 | 0.2 | |||
22,100,000 | W | 3.000%, due 11/25/42 | 23,063,422 | 0.6 | ||
1,034,500 | 3.500%, due 08/01/26 | 1,098,370 | 0.0 | |||
1,337,515 | 3.500%, due 08/01/26 | 1,420,092 | 0.0 | |||
175,385 | 3.500%, due 09/01/26 | 186,214 | 0.0 | |||
1,917,743 | 3.500%, due 10/01/26 | 2,036,144 | 0.1 | |||
1,201,113 | 3.500%, due 10/01/26 | 1,275,270 | 0.0 | |||
4,195,563 | 3.500%, due 11/01/26 | 4,454,595 | 0.1 | |||
3,540,958 | 3.500%, due 12/01/26 | 3,759,575 | 0.1 | |||
4,268,791 | 3.500%, due 12/01/26 | 4,532,344 | 0.1 | |||
5,586,940 | 3.500%, due 01/01/27 | 5,931,875 | 0.2 | |||
3,679,187 | 3.500%, due 03/01/41 | 3,926,822 | 0.1 | |||
4,290,824 | 3.500%, due 12/01/41 | 4,579,626 | 0.1 | |||
7,298,089 | 3.500%, due 01/01/42 | 7,789,301 | 0.2 | |||
15,200,000 | W | 3.500%, due 06/25/42 | 16,209,969 | 0.4 | ||
28,559,608 | 3.500%, due 11/01/42 | 30,619,314 | 0.8 | |||
6,261 | 4.000%, due 07/01/13 | 6,593 | 0.0 | |||
39,108 | 4.000%, due 06/01/14 | 41,902 | 0.0 | |||
85,868 | 4.000%, due 11/01/20 | 92,404 | 0.0 | |||
115,918 | 4.000%, due 07/01/22 | 124,523 | 0.0 | |||
55,230 | 4.000%, due 04/01/23 | 59,209 | 0.0 | |||
33,564 | 4.000%, due 05/01/23 | 35,982 | 0.0 | |||
51,646 | 4.000%, due 07/01/23 | 55,368 | 0.0 | |||
237,224 | 4.000%, due 03/01/24 | 254,316 | 0.0 | |||
190,074 | 4.000%, due 03/01/24 | 203,710 | 0.0 | |||
158,278 | 4.000%, due 04/01/24 | 169,632 | 0.0 | |||
8,839 | 4.000%, due 04/01/24 | 9,473 | 0.0 | |||
1,022,565 | 4.000%, due 07/01/24 | 1,095,923 | 0.0 | |||
304,593 | 4.000%, due 07/01/24 | 326,445 | 0.0 | |||
17,527 | 4.000%, due 08/01/24 | 18,785 | 0.0 | |||
259,328 | 4.000%, due 01/01/25 | 277,932 | 0.0 | |||
255,673 | 4.000%, due 02/01/25 | 274,015 | 0.0 | |||
1,138,883 | 4.000%, due 02/01/25 | 1,220,586 | 0.0 | |||
1,476,288 | 4.000%, due 06/01/25 | 1,581,735 | 0.1 | |||
23,067 | 4.000%, due 07/01/25 | 24,715 | 0.0 | |||
226,437 | 4.000%, due 09/01/25 | 242,611 | 0.0 | |||
271,263 | 4.000%, due 09/01/25 | 290,638 | 0.0 | |||
2,010,333 | 4.000%, due 12/01/25 | 2,153,925 | 0.1 | |||
1,633,518 | 4.000%, due 02/01/26 | 1,750,706 | 0.1 | |||
277,773 | 4.000%, due 03/01/26 | 297,701 | 0.0 | |||
3,110,302 | 4.000%, due 03/01/26 | 3,333,434 | 0.1 | |||
3,387,065 | 4.000%, due 04/01/26 | 3,630,052 | 0.1 | |||
444,182 | 4.000%, due 04/01/26 | 476,047 | 0.0 | |||
989,722 | 4.000%, due 04/01/26 | 1,060,724 | 0.0 | |||
1,679,407 | 4.000%, due 05/01/26 | 1,799,887 | 0.1 | |||
928,964 | 4.000%, due 09/01/26 | 995,608 | 0.0 | |||
1,702,969 | 4.000%, due 10/01/40 | 1,855,591 | 0.1 | |||
818,371 | 4.000%, due 10/01/40 | 878,416 | 0.0 | |||
3,682,501 | 4.000%, due 12/01/40 | 4,012,531 | 0.1 | |||
4,363,672 | 4.000%, due 12/01/40 | 4,683,839 | 0.1 | |||
9,224,044 | 4.000%, due 02/01/41 | 9,900,823 | 0.3 | |||
2,000,099 | 4.000%, due 03/01/41 | 2,147,474 | 0.1 | |||
1,510,797 | 4.000%, due 04/01/41 | 1,622,119 | 0.1 | |||
1,608,517 | 4.000%, due 06/01/41 | 1,727,038 | 0.1 | |||
2,477,162 | 4.000%, due 08/01/41 | 2,699,168 | 0.1 | |||
1,450,197 | 4.000%, due 09/01/41 | 1,557,053 | 0.1 | |||
6,852,387 | 4.000%, due 11/01/41 | 7,357,296 | 0.2 | |||
3,114,928 | 4.000%, due 11/01/41 | 3,344,447 | 0.1 | |||
10,282,383 | 4.000%, due 11/01/41 | 11,040,027 | 0.3 | |||
1,724,184 | 4.000%, due 11/01/41 | 1,850,690 | 0.1 | |||
2,206,977 | 4.000%, due 12/01/41 | 2,369,595 | 0.1 | |||
3,534,948 | 4.000%, due 01/01/42 | 3,795,416 | 0.1 | |||
1,366,634 | 4.000%, due 01/01/42 | 1,467,333 | 0.0 | |||
3,000,412 | 4.000%, due 02/01/42 | 3,221,494 | 0.1 | |||
1,674,977 | 4.000%, due 06/01/42 | 1,818,286 | 0.1 | |||
1,730,164 | 4.000%, due 07/01/42 | 1,878,194 | 0.1 | |||
2,007,542 | 4.000%, due 07/01/42 | 2,179,305 | 0.1 | |||
20,269,582 | 4.000%, due 07/01/42 | 22,003,821 | 0.6 | |||
531 | 4.500%, due 01/01/13 | 531 | 0.0 | |||
13,865 | 4.500%, due 01/01/14 | 14,921 | 0.0 | |||
28,736 | 4.500%, due 08/01/14 | 30,928 | 0.0 | |||
90,428 | 4.500%, due 05/01/19 | 97,551 | 0.0 | |||
33,657 | 4.500%, due 05/01/19 | 36,224 | 0.0 | |||
64,453 | 4.500%, due 01/01/20 | 69,530 | 0.0 | |||
70,662 | 4.500%, due 08/01/20 | 76,151 | 0.0 | |||
6,636 | 4.500%, due 06/01/22 | 7,223 | 0.0 | |||
11,439 | 4.500%, due 07/01/22 | 12,318 | 0.0 | |||
128,206 | 4.500%, due 11/01/22 | 138,064 | 0.0 | |||
33,595 | 4.500%, due 02/01/23 | 36,168 | 0.0 | |||
251,810 | 4.500%, due 02/01/23 | 271,094 | 0.0 | |||
768,903 | 4.500%, due 03/01/23 | 827,788 | 0.0 | |||
18,029 | 4.500%, due 03/01/23 | 19,416 | 0.0 | |||
4,735 | 4.500%, due 03/01/23 | 5,098 | 0.0 | |||
132,210 | 4.500%, due 04/01/23 | 142,335 | 0.0 | |||
181,094 | 4.500%, due 04/01/23 | 194,963 | 0.0 | |||
9,315 | 4.500%, due 04/01/23 | 10,028 | 0.0 | |||
472,759 | 4.500%, due 04/01/23 | 508,964 | 0.0 | |||
396,832 | 4.500%, due 04/01/23 | 427,223 | 0.0 | |||
13,713 | 4.500%, due 05/01/23 | 14,763 | 0.0 | |||
6,410 | 4.500%, due 05/01/23 | 6,901 | 0.0 | |||
737,524 | 4.500%, due 05/01/23 | 794,006 | 0.0 | |||
11,176 | 4.500%, due 05/01/23 | 12,032 | 0.0 | |||
18,316 | 4.500%, due 07/01/23 | 19,719 | 0.0 | |||
34,943 | 4.500%, due 08/01/23 | 37,619 | 0.0 | |||
65,278 | 4.500%, due 01/01/24 | 70,267 | 0.0 | |||
1,454,079 | 4.500%, due 05/01/24 | 1,565,210 | 0.1 | |||
1,408,813 | 4.500%, due 07/01/24 | 1,519,346 | 0.0 | |||
2,410,544 | 4.500%, due 08/01/24 | 2,594,775 | 0.1 | |||
75,978 | 4.500%, due 09/01/24 | 81,785 | 0.0 | |||
97,282 | 4.500%, due 09/01/24 | 104,718 | 0.0 | |||
302,182 | 4.500%, due 09/01/24 | 325,277 | 0.0 | |||
1,263,840 | 4.500%, due 09/01/24 | 1,360,431 | 0.0 | |||
240,587 | 4.500%, due 10/01/24 | 261,869 | 0.0 | |||
703,413 | 4.500%, due 10/01/24 | 757,173 | 0.0 | |||
110,415 | 4.500%, due 10/01/24 | 118,854 | 0.0 | |||
525,098 | 4.500%, due 11/01/24 | 565,230 | 0.0 | |||
393,133 | 4.500%, due 11/01/24 | 423,179 | 0.0 | |||
35,777 | 4.500%, due 11/01/24 | 38,942 | 0.0 | |||
26,962 | 4.500%, due 11/01/24 | 29,023 | 0.0 | |||
65,293 | 4.500%, due 11/01/24 | 71,313 | 0.0 | |||
65,663 | 4.500%, due 11/01/24 | 70,815 | 0.0 | |||
376,983 | 4.500%, due 12/01/24 | 405,795 | 0.0 | |||
738,327 | 4.500%, due 12/01/24 | 794,755 | 0.0 | |||
922,879 | 4.500%, due 01/01/25 | 996,152 | 0.0 | |||
370,273 | 4.500%, due 01/01/25 | 398,572 | 0.0 | |||
10,635 | 4.500%, due 01/01/25 | 11,479 | 0.0 | |||
1,800,483 | 4.500%, due 05/01/25 | 1,943,434 | 0.1 | |||
104,475 | 4.500%, due 08/01/25 | 114,109 | 0.0 | |||
2,403,317 | 4.500%, due 01/01/26 | 2,587,371 | 0.1 | |||
870,584 | 4.500%, due 04/01/26 | 940,793 | 0.0 | |||
22,843 | 4.500%, due 06/01/34 | 24,762 | 0.0 | |||
101,168 | 4.500%, due 05/01/35 | 109,856 | 0.0 | |||
10,107 | 4.500%, due 03/01/38 | 10,925 | 0.0 | |||
24,572 | 4.500%, due 03/01/38 | 26,559 | 0.0 | |||
10,554 | 4.500%, due 05/01/38 | 11,408 | 0.0 | |||
21,230 | 4.500%, due 05/01/38 | 22,947 | 0.0 | |||
79,969 | 4.500%, due 06/01/38 | 86,536 | 0.0 | |||
125,594 | 4.500%, due 07/01/38 | 135,751 | 0.0 | |||
38,248 | 4.500%, due 07/01/38 | 41,341 | 0.0 | |||
41,570 | 4.500%, due 09/01/38 | 44,932 | 0.0 | |||
2,298,009 | 4.500%, due 03/01/39 | 2,524,081 | 0.1 | |||
134,155 | 4.500%, due 04/01/39 | 145,005 | 0.0 | |||
177,797 | 4.500%, due 04/01/39 | 192,177 | 0.0 | |||
6,436,551 | 4.500%, due 06/01/39 | 6,957,121 | 0.2 | |||
2,374,268 | 4.500%, due 07/01/39 | 2,566,292 | 0.1 | |||
4,256,766 | 4.500%, due 07/01/39 | 4,684,846 | 0.1 | |||
3,844,329 | 4.500%, due 07/01/39 | 4,155,247 | 0.1 | |||
7,328,674 | 4.500%, due 09/01/39 | 7,921,396 | 0.2 | |||
4,627,388 | 4.500%, due 10/01/39 | 5,001,637 | 0.1 | |||
1,494,593 | 4.500%, due 12/01/39 | 1,615,472 | 0.1 | |||
2,536,244 | 4.500%, due 12/01/39 | 2,741,368 | 0.1 | |||
2,004,116 | 4.500%, due 12/01/39 | 2,166,203 | 0.1 | |||
1,020,519 | 4.500%, due 03/01/40 | 1,106,245 | 0.0 | |||
2,703,510 | 4.500%, due 09/01/40 | 2,930,610 | 0.1 | |||
1,045,289 | 4.500%, due 10/01/40 | 1,133,096 | 0.0 | |||
1,125,222 | 4.500%, due 10/01/40 | 1,219,743 | 0.0 | |||
1,682,567 | 4.500%, due 10/01/40 | 1,831,247 | 0.1 | |||
3,021,457 | 4.500%, due 03/01/41 | 3,280,931 | 0.1 | |||
2,742,858 | 4.500%, due 04/01/41 | 2,978,407 | 0.1 | |||
1,331,540 | 4.500%, due 06/01/41 | 1,445,888 | 0.0 | |||
1,478,727 | 4.500%, due 06/01/41 | 1,605,716 | 0.1 | |||
1,561,641 | 4.500%, due 06/01/41 | 1,695,750 | 0.1 | |||
9,289,080 | 4.500%, due 06/01/41 | 10,086,799 | 0.3 | |||
513,883 | 4.500%, due 07/01/41 | 558,013 | 0.0 | |||
593,396 | 4.500%, due 07/01/41 | 644,356 | 0.0 | |||
812,131 | 4.500%, due 08/01/41 | 881,874 | 0.0 | |||
3,580,097 | 4.500%, due 08/01/41 | 3,887,545 | 0.1 | |||
5,854,970 | 4.500%, due 08/01/41 | 6,357,778 | 0.2 | |||
832 | 5.000%, due 02/01/14 | 901 | 0.0 | |||
249,490 | 5.000%, due 02/01/14 | 253,267 | 0.0 | |||
36,361 | 5.000%, due 10/01/14 | 39,435 | 0.0 | |||
30,533 | 5.000%, due 02/01/15 | 33,115 | 0.0 | |||
55,197 | 5.000%, due 04/01/16 | 59,870 | 0.0 | |||
211,264 | 5.000%, due 01/01/18 | 229,621 | 0.0 | |||
517,711 | 5.000%, due 01/01/18 | 562,698 | 0.0 | |||
431,919 | 5.000%, due 02/01/18 | 469,451 | 0.0 | |||
67,292 | 5.000%, due 04/01/18 | 73,139 | 0.0 | |||
4,437 | 5.000%, due 02/01/20 | 4,822 | 0.0 | |||
6,334 | 5.000%, due 06/01/21 | 6,884 | 0.0 | |||
50,391 | 5.000%, due 11/01/21 | 54,770 | 0.0 | |||
136,178 | 5.000%, due 01/01/22 | 147,628 | 0.0 | |||
7,467 | 5.000%, due 02/01/22 | 8,115 | 0.0 | |||
7,420 | 5.000%, due 04/01/22 | 8,044 | 0.0 | |||
1,580 | 5.000%, due 06/01/22 | 1,706 | 0.0 | |||
134,574 | 5.000%, due 06/01/22 | 145,889 | 0.0 | |||
240,606 | 5.000%, due 06/01/22 | 260,837 | 0.0 | |||
14,303 | 5.000%, due 06/01/22 | 15,506 | 0.0 | |||
177,219 | 5.000%, due 07/01/22 | 192,120 | 0.0 | |||
7,512 | 5.000%, due 07/01/22 | 8,143 | 0.0 | |||
252,118 | 5.000%, due 08/01/22 | 273,317 | 0.0 | |||
73,150 | 5.000%, due 09/01/22 | 79,301 | 0.0 | |||
211,675 | 5.000%, due 12/01/22 | 230,069 | 0.0 | |||
7,047 | 5.000%, due 01/01/23 | 7,640 | 0.0 | |||
149,365 | 5.000%, due 01/01/23 | 161,925 | 0.0 | |||
260,173 | 5.000%, due 02/01/23 | 281,765 | 0.0 | |||
774,703 | 5.000%, due 02/01/23 | 838,995 | 0.0 | |||
5,044 | 5.000%, due 02/01/23 | 5,463 | 0.0 | |||
153,090 | 5.000%, due 03/01/23 | 165,794 | 0.0 | |||
39,885 | 5.000%, due 03/01/23 | 43,195 | 0.0 | |||
48,082 | 5.000%, due 03/01/23 | 52,072 | 0.0 | |||
5,911 | 5.000%, due 03/01/23 | 6,402 | 0.0 | |||
174,252 | 5.000%, due 03/01/23 | 188,714 | 0.0 | |||
220,337 | 5.000%, due 04/01/23 | 238,623 | 0.0 | |||
175,316 | 5.000%, due 04/01/23 | 189,866 | 0.0 | |||
45,370 | 5.000%, due 04/01/23 | 49,135 | 0.0 | |||
111,789 | 5.000%, due 04/01/23 | 121,066 | 0.0 | |||
24,644 | 5.000%, due 05/01/23 | 26,716 | 0.0 | |||
63,720 | 5.000%, due 05/01/23 | 69,008 | 0.0 | |||
44,743 | 5.000%, due 05/01/23 | 48,456 | 0.0 | |||
47,460 | 5.000%, due 06/01/23 | 51,451 | 0.0 | |||
114,067 | 5.000%, due 06/01/23 | 123,533 | 0.0 | |||
223,796 | 5.000%, due 06/01/23 | 242,369 | 0.0 | |||
95,780 | 5.000%, due 06/01/23 | 103,729 | 0.0 | |||
139,501 | 5.000%, due 06/01/23 | 151,078 | 0.0 | |||
1,382,499 | 5.000%, due 07/01/23 | 1,497,232 | 0.0 | |||
610,566 | 5.000%, due 08/01/23 | 661,237 | 0.0 | |||
2,147 | 5.000%, due 09/01/23 | 2,325 | 0.0 | |||
56,240 | 5.000%, due 02/01/24 | 60,908 | 0.0 | |||
534,983 | 5.000%, due 03/01/24 | 579,381 | 0.0 | |||
230,005 | 5.000%, due 04/01/24 | 249,057 | 0.0 | |||
93,290 | 5.000%, due 04/01/24 | 101,017 | 0.0 | |||
237,464 | 5.000%, due 05/01/24 | 258,025 | 0.0 | |||
320,231 | 5.000%, due 06/01/24 | 346,807 | 0.0 | |||
1,638,614 | 5.000%, due 08/01/24 | 1,774,346 | 0.1 | |||
826,674 | 5.000%, due 07/01/33 | 900,789 | 0.0 | |||
170,455 | 5.000%, due 02/01/34 | 185,737 | 0.0 | |||
169,722 | 5.000%, due 11/01/34 | 184,514 | 0.0 | |||
10,284,093 | 5.000%, due 02/01/35 | 11,206,106 | 0.3 | |||
2,131,946 | 5.000%, due 06/01/35 | 2,327,390 | 0.1 | |||
155,760 | 5.000%, due 08/01/35 | 169,140 | 0.0 | |||
2,515,059 | 5.000%, due 09/01/35 | 2,731,114 | 0.1 | |||
818,018 | 5.000%, due 09/01/35 | 888,289 | 0.0 | |||
1,765,573 | 5.000%, due 09/01/35 | 1,917,243 | 0.1 | |||
222,326 | 5.000%, due 10/01/35 | 241,425 | 0.0 | |||
3,303,122 | 5.000%, due 10/01/35 | 3,586,874 | 0.1 | |||
1,051,528 | 5.000%, due 01/01/36 | 1,144,718 | 0.0 | |||
2,724,366 | 5.000%, due 03/01/36 | 2,965,599 | 0.1 | |||
3,419,361 | 5.000%, due 03/01/36 | 3,722,161 | 0.1 | |||
962,886 | 5.000%, due 04/01/36 | 1,043,195 | 0.0 | |||
29,125 | 5.000%, due 05/01/36 | 31,704 | 0.0 | |||
2,339,977 | 5.000%, due 05/01/36 | 2,535,141 | 0.1 | |||
445,213 | 5.000%, due 06/01/36 | 484,668 | 0.0 | |||
1,136,173 | 5.000%, due 12/01/36 | 1,233,776 | 0.0 | |||
357,738 | 5.000%, due 12/01/36 | 389,422 | 0.0 | |||
1,087,385 | 5.000%, due 07/01/37 | 1,180,796 | 0.0 | |||
1,478,981 | 5.000%, due 01/01/38 | 1,607,880 | 0.1 | |||
1,713,828 | 5.000%, due 02/01/38 | 1,861,053 | 0.1 | |||
3,612,591 | 5.000%, due 02/01/38 | 3,922,928 | 0.1 | |||
2,440,316 | 5.000%, due 08/01/38 | 2,656,577 | 0.1 | |||
14,000,000 | W | 5.000%, due 01/13/40 | 15,165,941 | 0.4 | ||
696,804 | 5.000%, due 07/01/40 | 765,590 | 0.0 | |||
1,231,298 | 5.000%, due 07/01/40 | 1,340,150 | 0.0 | |||
11,310,000 | 5.375%, due 06/12/17 | 13,613,779 | 0.3 | |||
139 | 5.500%, due 01/01/13 | 139 | 0.0 | |||
54,368 | 5.500%, due 11/01/13 | 58,362 | 0.0 | |||
1,153 | 5.500%, due 12/01/13 | 1,238 | 0.0 | |||
40,645 | 5.500%, due 04/01/14 | 43,691 | 0.0 | |||
50,343 | 5.500%, due 12/01/14 | 54,116 | 0.0 | |||
128,221 | 5.500%, due 04/01/15 | 137,844 | 0.0 | |||
67,621 | 5.500%, due 06/01/15 | 72,696 | 0.0 | |||
110,330 | 5.500%, due 04/01/16 | 118,435 | 0.0 | |||
222,773 | 5.500%, due 11/01/16 | 239,493 | 0.0 | |||
32,298 | 5.500%, due 01/01/17 | 34,693 | 0.0 | |||
80,239 | 5.500%, due 01/01/17 | 86,189 | 0.0 | |||
125,999 | 5.500%, due 02/01/17 | 135,455 | 0.0 | |||
1,953 | 5.500%, due 05/01/17 | 2,100 | 0.0 | |||
97,921 | 5.500%, due 10/01/17 | 105,489 | 0.0 | |||
283,076 | 5.500%, due 11/01/17 | 305,739 | 0.0 | |||
60,436 | 5.500%, due 11/01/17 | 65,079 | 0.0 | |||
19,092 | 5.500%, due 02/01/18 | 20,494 | 0.0 | |||
50,301 | 5.500%, due 09/01/18 | 54,503 | 0.0 | |||
191,497 | 5.500%, due 07/01/20 | 205,699 | 0.0 | |||
5,306 | 5.500%, due 04/01/21 | 5,749 | 0.0 | |||
16,869 | 5.500%, due 10/01/21 | 18,278 | 0.0 | |||
308,915 | 5.500%, due 11/01/21 | 334,721 | 0.0 | |||
30,837 | 5.500%, due 11/01/21 | 33,413 | 0.0 | |||
1,364,614 | 5.500%, due 11/01/21 | 1,478,609 | 0.0 | |||
502,191 | 5.500%, due 12/01/21 | 544,142 | 0.0 | |||
677,672 | 5.500%, due 12/01/21 | 734,282 | 0.0 | |||
608,609 | 5.500%, due 12/01/21 | 659,450 | 0.0 | |||
26,106 | 5.500%, due 01/01/22 | 28,287 | 0.0 | |||
21,608 | 5.500%, due 01/01/22 | 23,632 | 0.0 | |||
138,354 | 5.500%, due 01/01/22 | 149,912 | 0.0 | |||
182,993 | 5.500%, due 02/01/22 | 197,936 | 0.0 | |||
9,279 | 5.500%, due 04/01/22 | 10,037 | 0.0 | |||
118,425 | 5.500%, due 06/01/22 | 128,318 | 0.0 | |||
103,043 | 5.500%, due 06/01/22 | 111,651 | 0.0 | |||
3,308 | 5.500%, due 07/01/22 | 3,545 | 0.0 | |||
179,366 | 5.500%, due 07/01/22 | 194,013 | 0.0 | |||
15,337 | 5.500%, due 07/01/22 | 16,590 | 0.0 | |||
17,386 | 5.500%, due 08/01/22 | 18,839 | 0.0 | |||
70,618 | 5.500%, due 09/01/22 | 76,384 | 0.0 | |||
208,071 | 5.500%, due 09/01/22 | 225,063 | 0.0 | |||
394,824 | 5.500%, due 11/01/22 | 427,066 | 0.0 | |||
54,821 | 5.500%, due 01/01/23 | 59,297 | 0.0 | |||
50,841 | 5.500%, due 01/01/23 | 54,993 | 0.0 | |||
44,420 | 5.500%, due 02/01/23 | 48,130 | 0.0 | |||
31,480 | 5.500%, due 03/01/23 | 34,050 | 0.0 | |||
23,125 | 5.500%, due 04/01/23 | 25,013 | 0.0 | |||
42,647 | 5.500%, due 06/01/23 | 46,130 | 0.0 | |||
17,591 | 5.500%, due 08/01/23 | 19,028 | 0.0 | |||
109,361 | 5.500%, due 08/01/23 | 118,291 | 0.0 | |||
35,093 | 5.500%, due 08/01/23 | 37,959 | 0.0 | |||
239,918 | 5.500%, due 08/01/23 | 259,510 | 0.0 | |||
225,710 | 5.500%, due 09/01/23 | 244,142 | 0.0 | |||
184,173 | 5.500%, due 10/01/23 | 199,213 | 0.0 | |||
21,141 | 5.500%, due 11/01/23 | 22,851 | 0.0 | |||
376,224 | 5.500%, due 11/01/23 | 406,947 | 0.0 | |||
19,959 | 5.500%, due 11/01/23 | 21,589 | 0.0 | |||
338,441 | 5.500%, due 02/01/24 | 366,079 | 0.0 | |||
15,243 | 5.500%, due 03/01/24 | 16,487 | 0.0 | |||
343,843 | 5.500%, due 07/01/24 | 372,567 | 0.0 | |||
19,859 | 5.500%, due 07/01/24 | 21,319 | 0.0 | |||
733,203 | 5.500%, due 05/01/25 | 789,869 | 0.0 | |||
220,311 | 5.500%, due 08/01/25 | 236,512 | 0.0 | |||
19,447 | 5.500%, due 07/01/27 | 21,173 | 0.0 | |||
4,328 | 5.500%, due 08/01/27 | 4,712 | 0.0 | |||
567,641 | 5.500%, due 03/01/34 | 621,105 | 0.0 | |||
614,793 | 5.500%, due 04/01/34 | 672,698 | 0.0 | |||
266,790 | 5.500%, due 11/01/34 | 291,918 | 0.0 | |||
242,693 | 5.500%, due 12/01/34 | 266,765 | 0.0 | |||
3,418,246 | 5.500%, due 02/01/35 | 3,740,195 | 0.1 | |||
363,265 | 5.500%, due 05/01/35 | 397,025 | 0.0 | |||
603,271 | 5.500%, due 09/01/35 | 659,336 | 0.0 | |||
2,385,125 | 5.500%, due 09/01/35 | 2,606,788 | 0.1 | |||
961,250 | 5.500%, due 04/01/36 | 1,045,778 | 0.0 | |||
780,619 | 5.500%, due 04/01/36 | 853,166 | 0.0 | |||
174,611 | 5.500%, due 05/01/36 | 189,965 | 0.0 | |||
753,712 | 5.500%, due 06/01/36 | 819,990 | 0.0 | |||
1,606,059 | 5.500%, due 07/01/36 | 1,757,326 | 0.1 | |||
1,187,432 | 5.500%, due 11/01/36 | 1,291,849 | 0.0 | |||
4,435,316 | 5.500%, due 12/01/36 | 4,825,338 | 0.1 | |||
289,101 | 5.500%, due 12/01/36 | 315,969 | 0.0 | |||
1,818,712 | 5.500%, due 12/01/36 | 1,987,735 | 0.1 | |||
518,998 | 5.500%, due 01/01/37 | 567,231 | 0.0 | |||
2,902,587 | 5.500%, due 03/01/37 | 3,157,827 | 0.1 | |||
5,195,344 | 5.500%, due 03/01/37 | 5,646,517 | 0.2 | |||
522,530 | 5.500%, due 03/01/37 | 568,479 | 0.0 | |||
2,147,898 | 5.500%, due 08/01/37 | 2,347,514 | 0.1 | |||
33,784 | 5.500%, due 01/01/38 | 36,718 | 0.0 | |||
13,092 | 5.500%, due 01/01/38 | 14,229 | 0.0 | |||
9,552 | 5.500%, due 01/01/38 | 10,381 | 0.0 | |||
151,057 | 5.500%, due 03/01/38 | 164,151 | 0.0 | |||
278,681 | 5.500%, due 05/01/38 | 302,839 | 0.0 | |||
401,422 | 5.500%, due 06/01/38 | 436,282 | 0.0 | |||
1,949,542 | 5.500%, due 06/01/38 | 2,120,976 | 0.1 | |||
6,649,641 | 5.500%, due 09/01/38 | 7,227,108 | 0.2 | |||
2,076,387 | 5.500%, due 12/01/38 | 2,256,380 | 0.1 | |||
627,926 | 5.500%, due 06/01/39 | 682,456 | 0.0 | |||
86,640 | 5.500%, due 04/01/40 | 96,046 | 0.0 | |||
426,312 | 5.500%, due 05/01/40 | 463,267 | 0.0 | |||
1,176,565 | 5.500%, due 06/01/40 | 1,278,557 | 0.0 | |||
561,808 | 5.500%, due 06/01/40 | 616,127 | 0.0 | |||
44,580 | 5.500%, due 07/01/40 | 48,445 | 0.0 | |||
24,190 | 5.700%, due 07/01/36 | 26,442 | 0.0 | |||
186,415 | 5.700%, due 07/01/36 | 203,763 | 0.0 | |||
222,371 | 5.700%, due 08/01/36 | 243,065 | 0.0 | |||
111,781 | 5.700%, due 08/01/36 | 122,184 | 0.0 | |||
211,936 | 6.000%, due 10/01/18 | 226,818 | 0.0 | |||
41,920 | 6.000%, due 01/01/34 | 46,831 | 0.0 | |||
16,341 | 6.000%, due 07/01/34 | 18,173 | 0.0 | |||
315,750 | 6.000%, due 12/01/34 | 352,742 | 0.0 | |||
273,672 | 6.000%, due 05/01/35 | 301,586 | 0.0 | |||
255,993 | 6.000%, due 01/01/36 | 285,904 | 0.0 | |||
566,941 | 6.000%, due 01/01/36 | 636,018 | 0.0 | |||
161,022 | 6.000%, due 02/01/36 | 176,314 | 0.0 | |||
242,643 | 6.000%, due 03/01/36 | 265,686 | 0.0 | |||
104,283 | 6.000%, due 03/01/36 | 114,186 | 0.0 | |||
105,739 | 6.000%, due 04/01/36 | 115,780 | 0.0 | |||
222,170 | 6.000%, due 04/01/36 | 243,269 | 0.0 | |||
915,000 | 6.000%, due 04/18/36 | 1,070,060 | 0.0 | |||
616,133 | 6.000%, due 05/01/36 | 674,646 | 0.0 | |||
3,070 | 6.000%, due 06/01/36 | 3,361 | 0.0 | |||
19,452 | 6.000%, due 08/01/36 | 21,300 | 0.0 | |||
74,167 | 6.000%, due 08/01/36 | 81,210 | 0.0 | |||
416,454 | 6.000%, due 09/01/36 | 456,003 | 0.0 | |||
586,430 | 6.000%, due 09/01/36 | 642,121 | 0.0 | |||
532,645 | 6.000%, due 09/01/36 | 583,229 | 0.0 | |||
234,946 | 6.000%, due 09/01/36 | 257,258 | 0.0 | |||
146,977 | 6.000%, due 10/01/36 | 160,935 | 0.0 | |||
50,172 | 6.000%, due 10/01/36 | 54,968 | 0.0 | |||
2,365,123 | 6.000%, due 12/01/36 | 2,590,060 | 0.1 | |||
434,200 | 6.000%, due 12/01/36 | 478,488 | 0.0 | |||
125,544 | 6.000%, due 01/01/37 | 137,467 | 0.0 | |||
44,573 | 6.000%, due 02/01/37 | 48,834 | 0.0 | |||
48,990 | 6.000%, due 04/01/37 | 53,700 | 0.0 | |||
770,693 | 6.000%, due 07/01/37 | 843,883 | 0.0 | |||
197,007 | 6.000%, due 08/01/37 | 215,717 | 0.0 | |||
37,873 | 6.000%, due 08/01/37 | 41,469 | 0.0 | |||
45,015 | 6.000%, due 08/01/37 | 49,289 | 0.0 | |||
108,229 | 6.000%, due 09/01/37 | 118,508 | 0.0 | |||
42,911 | 6.000%, due 09/01/37 | 46,987 | 0.0 | |||
126,954 | 6.000%, due 09/01/37 | 139,011 | 0.0 | |||
215,130 | 6.000%, due 09/01/37 | 235,560 | 0.0 | |||
8,383 | 6.000%, due 09/01/37 | 9,179 | 0.0 | |||
480,876 | 6.000%, due 09/01/37 | 526,543 | 0.0 | |||
12,967 | 6.000%, due 09/01/37 | 14,199 | 0.0 | |||
36,522 | 6.000%, due 10/01/37 | 40,247 | 0.0 | |||
14,458 | 6.000%, due 10/01/37 | 15,831 | 0.0 | |||
4,592 | 6.000%, due 10/01/37 | 5,028 | 0.0 | |||
14,980 | 6.000%, due 10/01/37 | 16,403 | 0.0 | |||
477,281 | 6.000%, due 11/01/37 | 522,606 | 0.0 | |||
170,431 | 6.000%, due 11/01/37 | 186,617 | 0.0 | |||
36,681 | 6.000%, due 11/01/37 | 40,165 | 0.0 | |||
286,703 | 6.000%, due 11/01/37 | 313,931 | 0.0 | |||
154,357 | 6.000%, due 11/01/37 | 169,016 | 0.0 | |||
223,929 | 6.000%, due 11/01/37 | 245,195 | 0.0 | |||
37,862 | 6.000%, due 11/01/37 | 41,458 | 0.0 | |||
859,169 | 6.000%, due 12/01/37 | 940,762 | 0.0 | |||
81,695 | 6.000%, due 12/01/37 | 89,454 | 0.0 | |||
66,536 | 6.000%, due 12/01/37 | 72,855 | 0.0 | |||
262,366 | 6.000%, due 12/01/37 | 287,282 | 0.0 | |||
124,733 | 6.000%, due 01/01/38 | 136,657 | 0.0 | |||
14,904 | 6.000%, due 01/01/38 | 16,306 | 0.0 | |||
334,878 | 6.000%, due 01/01/38 | 366,680 | 0.0 | |||
303,002 | 6.000%, due 02/01/38 | 331,777 | 0.0 | |||
31,853 | 6.000%, due 02/01/38 | 34,808 | 0.0 | |||
327,623 | 6.000%, due 03/01/38 | 358,020 | 0.0 | |||
62,424 | 6.000%, due 03/01/38 | 68,215 | 0.0 | |||
202,965 | 6.000%, due 04/01/38 | 221,796 | 0.0 | |||
2,607,648 | 6.000%, due 04/01/38 | 2,855,289 | 0.1 | |||
185,559 | 6.000%, due 05/01/38 | 202,775 | 0.0 | |||
319,685 | 6.000%, due 05/01/38 | 349,346 | 0.0 | |||
27,638 | 6.000%, due 06/01/38 | 30,202 | 0.0 | |||
461,478 | 6.000%, due 07/01/38 | 504,294 | 0.0 | |||
150,711 | 6.000%, due 07/01/38 | 164,694 | 0.0 | |||
4,202 | 6.000%, due 08/01/38 | 4,592 | 0.0 | |||
25,639 | 6.000%, due 08/01/38 | 28,291 | 0.0 | |||
274,207 | 6.000%, due 09/01/38 | 299,648 | 0.0 | |||
75,999 | 6.000%, due 09/01/38 | 85,639 | 0.0 | |||
728,261 | 6.000%, due 09/01/38 | 796,045 | 0.0 | |||
529,526 | 6.000%, due 10/01/38 | 578,504 | 0.0 | |||
819,032 | 6.000%, due 10/01/38 | 895,021 | 0.0 | |||
507,692 | 6.000%, due 10/01/38 | 554,796 | 0.0 | |||
48,814 | 6.000%, due 10/01/38 | 53,342 | 0.0 | |||
48,500 | 6.000%, due 10/01/38 | 53,000 | 0.0 | |||
74,923 | 6.000%, due 05/01/39 | 81,875 | 0.0 | |||
5,778,659 | 6.000%, due 10/01/39 | 6,327,440 | 0.2 | |||
218,472 | 6.000%, due 11/01/39 | 238,742 | 0.0 | |||
124 | 6.500%, due 02/01/18 | 139 | 0.0 | |||
38,454 | 6.500%, due 04/01/28 | 44,411 | 0.0 | |||
2,007 | 6.500%, due 04/01/30 | 2,282 | 0.0 | |||
7,537 | 6.500%, due 02/01/32 | 8,919 | 0.0 | |||
89,341 | 6.500%, due 08/01/32 | 105,724 | 0.0 | |||
127,976 | 6.500%, due 02/01/34 | 144,942 | 0.0 | |||
36,820 | 6.500%, due 11/01/34 | 43,655 | 0.0 | |||
100,999 | 6.500%, due 01/01/36 | 114,267 | 0.0 | |||
195,848 | 6.500%, due 03/01/36 | 219,707 | 0.0 | |||
579,829 | 6.500%, due 04/01/36 | 650,477 | 0.0 | |||
14,461 | 6.500%, due 05/01/36 | 16,334 | 0.0 | |||
38,504 | 6.500%, due 06/01/36 | 45,727 | 0.0 | |||
178,101 | 6.500%, due 07/01/36 | 199,803 | 0.0 | |||
873,603 | 6.500%, due 07/01/36 | 1,037,475 | 0.0 | |||
17,958 | 6.500%, due 07/01/36 | 20,113 | 0.0 | |||
122,556 | 6.500%, due 07/01/36 | 145,545 | 0.0 | |||
10,763 | 6.500%, due 07/01/36 | 12,074 | 0.0 | |||
609,246 | 6.500%, due 07/01/36 | 723,529 | 0.0 | |||
12,681 | 6.500%, due 08/01/36 | 14,252 | 0.0 | |||
10,031 | 6.500%, due 08/01/36 | 11,913 | 0.0 | |||
101,045 | 6.500%, due 09/01/36 | 120,000 | 0.0 | |||
950,714 | 6.500%, due 09/01/36 | 1,066,601 | 0.0 | |||
24,449 | 6.500%, due 09/01/36 | 27,665 | 0.0 | |||
8,774 | 6.500%, due 09/01/36 | 9,847 | 0.0 | |||
5,965 | 6.500%, due 11/01/36 | 7,084 | 0.0 | |||
31,707 | 6.500%, due 11/01/36 | 35,573 | 0.0 | |||
10,599 | 6.500%, due 11/01/36 | 12,587 | 0.0 | |||
19,083 | 6.500%, due 12/01/36 | 21,419 | 0.0 | |||
12,191 | 6.500%, due 12/01/36 | 14,477 | 0.0 | |||
15,619 | 6.500%, due 12/01/36 | 17,568 | 0.0 | |||
237,998 | 6.500%, due 01/01/37 | 267,048 | 0.0 | |||
217,399 | 6.500%, due 01/01/37 | 243,958 | 0.0 | |||
5,515 | 6.500%, due 01/01/37 | 6,138 | 0.0 | |||
168,694 | 6.500%, due 01/01/37 | 200,338 | 0.0 | |||
191,775 | 6.500%, due 02/01/37 | 227,942 | 0.0 | |||
420,184 | 6.500%, due 03/01/37 | 471,938 | 0.0 | |||
507,204 | 6.500%, due 03/01/37 | 569,507 | 0.0 | |||
69,835 | 6.500%, due 03/01/37 | 78,363 | 0.0 | |||
110,592 | 6.500%, due 03/01/37 | 124,185 | 0.0 | |||
2,518 | 6.500%, due 03/01/37 | 2,992 | 0.0 | |||
28,784 | 6.500%, due 04/01/37 | 32,328 | 0.0 | |||
8,071 | 6.500%, due 04/01/37 | 9,593 | 0.0 | |||
169,492 | 6.500%, due 04/01/37 | 190,495 | 0.0 | |||
7,924 | 6.500%, due 07/01/37 | 9,419 | 0.0 | |||
3,442 | 6.500%, due 08/01/37 | 3,865 | 0.0 | |||
35,767 | 6.500%, due 08/01/37 | 40,163 | 0.0 | |||
25,076 | 6.500%, due 08/01/37 | 29,806 | 0.0 | |||
38,805 | 6.500%, due 08/01/37 | 46,124 | 0.0 | |||
14,639 | 6.500%, due 09/01/37 | 17,400 | 0.0 | |||
2,388 | 6.500%, due 09/01/37 | 2,838 | 0.0 | |||
12,923 | 6.500%, due 09/01/37 | 14,511 | 0.0 | |||
149,820 | 6.500%, due 09/01/37 | 168,195 | 0.0 | |||
18,568 | 6.500%, due 09/01/37 | 20,851 | 0.0 | |||
78,047 | 6.500%, due 09/01/37 | 87,641 | 0.0 | |||
2,663 | 6.500%, due 09/01/37 | 2,989 | 0.0 | |||
264,320 | 6.500%, due 09/01/37 | 296,567 | 0.0 | |||
1,531,992 | 6.500%, due 09/01/37 | 1,720,654 | 0.1 | |||
21,805 | 6.500%, due 10/01/37 | 24,466 | 0.0 | |||
35,566 | 6.500%, due 10/01/37 | 42,273 | 0.0 | |||
127,104 | 6.500%, due 10/01/37 | 142,726 | 0.0 | |||
11,822 | 6.500%, due 10/01/37 | 13,279 | 0.0 | |||
367,712 | 6.500%, due 10/01/37 | 412,899 | 0.0 | |||
541,067 | 6.500%, due 11/01/37 | 643,108 | 0.0 | |||
116,139 | 6.500%, due 12/01/37 | 128,195 | 0.0 | |||
3,813 | 6.500%, due 12/01/37 | 4,532 | 0.0 | |||
946,789 | 6.500%, due 12/01/37 | 1,125,346 | 0.0 | |||
14,098 | 6.500%, due 12/01/37 | 16,757 | 0.0 | |||
4,038 | 6.500%, due 12/01/37 | 4,800 | 0.0 | |||
6,197 | 6.500%, due 12/01/37 | 6,922 | 0.0 | |||
197,063 | 6.500%, due 12/01/37 | 221,265 | 0.0 | |||
24,030 | 6.500%, due 12/01/37 | 28,562 | 0.0 | |||
3,157 | 6.500%, due 01/01/38 | 3,755 | 0.0 | |||
139,004 | 6.500%, due 01/01/38 | 156,069 | 0.0 | |||
9,253 | 6.500%, due 01/01/38 | 10,392 | 0.0 | |||
122,133 | 6.500%, due 01/01/38 | 137,027 | 0.0 | |||
1,019,215 | 6.500%, due 02/01/38 | 1,212,307 | 0.0 | |||
455,959 | 6.500%, due 03/01/38 | 512,240 | 0.0 | |||
453,558 | 6.500%, due 04/01/38 | 509,275 | 0.0 | |||
24,714 | 6.500%, due 05/01/38 | 27,590 | 0.0 | |||
1,769 | 6.500%, due 06/01/38 | 1,980 | 0.0 | |||
792,134 | 6.500%, due 08/01/38 | 889,912 | 0.0 | |||
1,081,714 | 6.500%, due 08/01/38 | 1,215,487 | 0.0 | |||
425,901 | 6.500%, due 08/01/38 | 506,589 | 0.0 | |||
277,108 | 6.500%, due 09/01/38 | 311,315 | 0.0 | |||
96,443 | 6.500%, due 09/01/38 | 107,727 | 0.0 | |||
65,365 | 6.500%, due 09/01/38 | 73,125 | 0.0 | |||
194,946 | 6.500%, due 10/01/38 | 218,946 | 0.0 | |||
37,260 | 6.500%, due 10/01/38 | 41,722 | 0.0 | |||
393,279 | 6.500%, due 10/01/38 | 441,601 | 0.0 | |||
394,663 | 6.500%, due 10/01/38 | 469,432 | 0.0 | |||
380,987 | 6.500%, due 11/01/38 | 427,999 | 0.0 | |||
11,500 | 6.500%, due 01/01/39 | 12,902 | 0.0 | |||
228,287 | 6.500%, due 01/01/39 | 255,781 | 0.0 | |||
176,684 | 6.500%, due 03/01/39 | 210,157 | 0.0 | |||
30,148 | 6.500%, due 08/01/39 | 34,333 | 0.0 | |||
14,314 | 6.500%, due 09/01/39 | 16,301 | 0.0 | |||
805,000 | 6.625%, due 11/15/30 | 1,227,342 | 0.0 | |||
3,430,000 | 7.125%, due 01/15/30 | 5,394,529 | 0.1 | |||
1,560,000 | 7.250%, due 05/15/30 | 2,487,776 | 0.1 | |||
681,547,431 | 16.9 | |||||
Government National Mortgage Association: 7.1% | ||||||
17,000,000 | W | 3.000%, due 08/15/42 | 18,075,782 | 0.5 | ||
53,000,000 | W | 3.500%, due 05/15/41 | 57,591,952 | 1.4 | ||
4,506,701 | 3.500%, due 10/20/41 | 4,904,142 | 0.1 | |||
2,847,353 | 3.500%, due 01/20/42 | 3,098,459 | 0.1 | |||
11,000,000 | W | 4.000%, due 01/15/40 | 12,067,344 | 0.3 | ||
2,881,311 | 4.000%, due 12/20/40 | 3,162,484 | 0.1 | |||
14,983,920 | 4.000%, due 12/20/41 | 16,329,707 | 0.4 | |||
10,694,633 | 4.000%, due 01/20/42 | 11,655,176 | 0.3 | |||
9,930,983 | 4.000%, due 10/20/42 | 10,822,938 | 0.3 | |||
5,339,482 | 4.500%, due 07/20/40 | 5,905,709 | 0.1 | |||
5,411,661 | 4.500%, due 02/20/41 | 5,971,661 | 0.2 | |||
6,536,732 | 4.500%, due 05/20/41 | 7,213,154 | 0.2 | |||
7,277,688 | 4.500%, due 06/20/41 | 8,007,496 | 0.2 | |||
13,143,672 | 4.500%, due 07/20/41 | 14,461,722 | 0.4 | |||
7,491,951 | 4.500%, due 09/20/41 | 8,267,220 | 0.2 | |||
12,888,746 | 4.500%, due 10/20/41 | 14,222,475 | 0.4 | |||
12,304,161 | 4.500%, due 12/20/41 | 13,577,398 | 0.3 | |||
73,546 | 5.000%, due 10/15/37 | 80,539 | 0.0 | |||
7,345 | 5.000%, due 04/15/38 | 8,014 | 0.0 | |||
499,070 | 5.000%, due 03/15/39 | 546,425 | 0.0 | |||
453,710 | 5.000%, due 08/15/39 | 496,761 | 0.0 | |||
5,937,377 | 5.000%, due 09/15/39 | 6,500,753 | 0.2 | |||
4,721,318 | 5.000%, due 09/15/39 | 5,169,306 | 0.1 | |||
4,378,840 | 5.000%, due 02/15/40 | 4,817,595 | 0.1 | |||
3,964,864 | 5.000%, due 04/15/40 | 4,348,510 | 0.1 | |||
6,436,147 | 5.000%, due 06/15/40 | 7,081,042 | 0.2 | |||
474,237 | 5.000%, due 07/15/40 | 521,756 | 0.0 | |||
5,200,147 | 5.000%, due 04/15/42 | 5,685,445 | 0.1 | |||
5,261,667 | 5.000%, due 04/20/42 | 5,812,722 | 0.1 | |||
249,733 | 5.500%, due 07/20/38 | 274,171 | 0.0 | |||
2,727,680 | 5.500%, due 09/20/39 | 2,982,051 | 0.1 | |||
156,403 | 5.500%, due 10/20/39 | 171,707 | 0.0 | |||
4,587,615 | 5.500%, due 11/20/39 | 5,015,434 | 0.1 | |||
85,003 | 5.500%, due 11/20/39 | 93,321 | 0.0 | |||
58,055 | 5.500%, due 12/20/40 | 63,736 | 0.0 | |||
164,890 | 5.500%, due 01/20/41 | 181,438 | 0.0 | |||
588,096 | 5.500%, due 03/20/41 | 645,645 | 0.0 | |||
1,821,323 | 5.500%, due 04/20/41 | 1,999,548 | 0.1 | |||
3,231,381 | 5.500%, due 05/20/41 | 3,547,588 | 0.1 | |||
2,991,318 | 5.500%, due 06/20/41 | 3,284,034 | 0.1 | |||
114,178 | 6.000%, due 10/15/36 | 127,480 | 0.0 | |||
306,785 | 6.000%, due 08/15/37 | 342,525 | 0.0 | |||
372,958 | 6.000%, due 11/15/37 | 416,408 | 0.0 | |||
56,578 | 6.000%, due 12/15/37 | 63,169 | 0.0 | |||
264,068 | 6.000%, due 01/15/38 | 294,831 | 0.0 | |||
290,524 | 6.000%, due 01/15/38 | 324,369 | 0.0 | |||
160,937 | 6.000%, due 02/15/38 | 180,072 | 0.0 | |||
6,525 | 6.000%, due 02/15/38 | 7,285 | 0.0 | |||
832,674 | 6.000%, due 02/15/38 | 929,680 | 0.0 | |||
10,539 | 6.000%, due 04/15/38 | 11,767 | 0.0 | |||
994,480 | 6.000%, due 05/15/38 | 1,110,335 | 0.0 | |||
1,819,279 | 6.000%, due 05/15/38 | 2,031,223 | 0.1 | |||
268,542 | 6.000%, due 07/15/38 | 299,826 | 0.0 | |||
354,874 | 6.000%, due 09/15/38 | 396,216 | 0.0 | |||
445,054 | 6.000%, due 11/15/38 | 496,902 | 0.0 | |||
4,463,986 | 6.000%, due 08/20/40 | 4,994,496 | 0.1 | |||
38,666 | 7.000%, due 12/15/37 | 44,620 | 0.0 | |||
286,733,564 | 7.1 | |||||
Other U.S. Agency Obligations: 0.2% | ||||||
1,500,000 | 1.875%, due 08/15/22 | 1,489,513 | 0.0 | |||
75,000 | 5.125%, due 08/25/16 | 87,497 | 0.0 | |||
10,000 | 6.150%, due 01/15/38 | 14,615 | 0.0 | |||
5,000,000 | 7.125%, due 05/01/30 | 7,677,635 | 0.2 | |||
9,269,260 | 0.2 | |||||
Total U.S. Government Agency Obligations | ||||||
(Cost $1,304,256,606) | 1,334,363,537 | 33.1 | ||||
FOREIGN GOVERNMENT BONDS: 2.0% | ||||||
1,950,000 | Colombia Government International Bond, 7.375%, 09/18/37 | 3,042,975 | 0.1 | |||
10,010,000 | Brazil Government International Bond, 6.000%, 01/17/17 | 11,836,825 | 0.3 | |||
3,700,000 | Japan Finance Corp., 2.500%, 05/18/16 | 3,922,152 | 0.1 | |||
12,080,000 | Mexico Government International Bond, 4.750%, 03/08/44 | 13,680,600 | 0.3 | |||
1,460,000 | Panama Government International Bond, 8.875%, 09/30/27 | 2,383,450 | 0.1 | |||
4,000,000 | Peru Government International Bond, 6.550%, 03/14/37 | 5,800,000 | 0.1 | |||
155,000 | Peruvian Government International Bond, 7.125%, 03/30/19 | 203,670 | 0.0 | |||
1,405,000 | Poland Government International Bond, 5.125%, 04/21/21 | 1,669,842 | 0.0 | |||
7,395,000 | Province of British Columbia Canada, 2.100%, 05/18/16 | 7,774,985 | 0.2 | |||
13,308,000 | Province of Ontario Canada, 4.400%, 04/14/20 | 15,683,092 | 0.4 | |||
7,395,000 | Republic of Italy, 4.500%, 01/21/15 | 7,733,114 | 0.2 | |||
3,140,000 | South Africa Government Bond, 5.500%, 03/09/20 | 3,736,600 | 0.1 | |||
2,000,000 | Telefonica Emisiones SAU, 5.462%, 02/16/21 | 2,137,500 | 0.1 | |||
Total Foreign Government Bonds | ||||||
(Cost $74,573,415) | 79,604,805 | 2.0 | ||||
Total Long-Term Investments | ||||||
(Cost $3,822,377,211) | 3,984,613,119 | 98.9 | ||||
SHORT-TERM INVESTMENTS: 6.3% | ||||||
Commercial Paper: 5.7% | ||||||
17,000,000 | Crown Point Capital LLC, 0.220%, 02/05/13 | 16,996,288 | 0.4 | |||
23,000,000 | Crown Point Capital LLC, 0.250%, 04/08/13 | 22,984,473 | 0.6 | |||
17,150,000 | # | Devon Energy Corp, 0.380%, 02/12/13 | 17,142,262 | 0.4 | ||
5,000,000 | Devon Energy Corp, 0.380%, 03/18/13 | 4,995,900 | 0.1 | |||
2,850,000 | # | Devon Energy Corp, 0.390%, 02/06/13 | 2,848,859 | 0.1 | ||
18,800,000 | Dominion Resources, Inc., 0.390%, 02/11/13 | 18,791,383 | 0.5 | |||
4,100,000 | Dominion Resources, Inc., 0.400%, 01/15/13 | 4,099,317 | 0.1 | |||
7,572,000 | General Mills, Inc., 0.270%, 01/16/13 | 7,571,091 | 0.2 | |||
13,500,000 | General Mills, Inc., 0.310%, 01/04/13 | 13,499,535 | 0.3 | |||
3,928,000 | General Mills, Inc., 0.390%, 01/14/13 | 3,927,405 | 0.1 | |||
3,000,000 | HSBC USA Inc., 0.220%, 02/01/13 | 2,999,413 | 0.1 | |||
10,000,000 | HSBC USA Inc., 0.220%, 02/19/13 | 9,996,968 | 0.2 | |||
5,750,000 | Kinder Morgan Energy Partners LP, 0.400%, 01/03/13 | 5,749,808 | 0.1 | |||
19,250,000 | Kinder Morgan Energy Partners LP, 0.430%, 01/10/13 | 19,247,701 | 0.5 | |||
20,000,000 | Pacific Gas & Electric Co., 0.150%, 01/04/13 | 19,999,656 | 0.5 | |||
5,000,000 | Pacific Gas & Electric Co., 0.320%, 01/11/13 | 4,999,511 | 0.1 | |||
2,750,000 | Potash Corp, 0.300%, 01/14/13 | 2,749,679 | 0.1 | |||
2,100,000 | Virginia Electric and Power Co., 0.420%, 01/23/13 | 2,099,436 | 0.1 | |||
10,000,000 | Vodafone Group PLC, 0.360%, 02/28/13 | 9,994,100 | 0.2 | |||
500,000 | # | Vodafone Group PLC, 0.460%, 05/02/13 | 499,229 | 0.0 | ||
2,000,000 | # | Vodafone Group PLC, 0.660%, 07/24/13 | 1,992,460 | 0.1 | ||
20,000,000 | Weatherford International Ltd., 0.630%, 01/14/13 | 19,995,100 | 0.5 | |||
5,000,000 | Weatherford International Ltd., 0.680%, 01/15/13 | 4,998,577 | 0.1 | |||
10,250,000 | Westpac Securities NZ Ltd., 0.130%, 03/08/13 | 10,247,437 | 0.3 | |||
228,425,588 | 5.7 | |||||
U.S. Treasury Bills: 0.0% | ||||||
1,351,000 | United States Treasury Bill, 0.140%, 12/12/13 | |||||
(Cost $1,349,123) | 1,349,195 | 0.0 | ||||
Certificates of Deposit: 0.4% | ||||||
17,000,000 | JPMorgan Chase & Co., 0.358%, 10/04/12 | |||||
(Cost $17,000,000) | 17,001,657 | 0.4 | ||||
Shares | Value | Percentage of Net Assets | ||||
Mutual Funds: 0.2% | ||||||
6,199,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $6,199,000) | 6,199,000 | 0.2 | ||||
Total Short-Term Investments | ||||||||||
(Cost $252,959,464) | 252,975,440 | 6.3 | ||||||||
Total Investments in Securities (Cost $4,075,336,675) | $ | 4,237,588,559 | 105.2 | |||||||
Liabilities in Excess of Other Assets | (209,099,540 | ) | (5.2 | ) | ||||||
Net Assets | $ | 4,028,489,019 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. |
+ | Step-up basis bonds. Interest rates shown reflect current and next coupon rates. |
W | Settlement is on a when-issued or delayed-delivery basis. |
Cost for federal income tax purposes is $4,076,540,688. | ||||
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 164,831,362 | ||
Gross Unrealized Depreciation | (3,783,491 | ) | ||
Net Unrealized Appreciation | $ | 161,047,871 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Corporate Bonds/Notes | $ | – | $ | 1,007,627,819 | $ | – | $ | 1,007,627,819 | ||||||||
Collateralized Mortgage Obligations | – | 75,545,280 | – | 75,545,280 | ||||||||||||
Municipal Bonds | – | 36,989,826 | – | 36,989,826 | ||||||||||||
Short-Term Investments | 6,199,000 | 246,776,440 | – | 252,975,440 | ||||||||||||
U.S. Treasury Obligations | – | 1,441,604,128 | – | 1,441,604,128 | ||||||||||||
Foreign Government Bonds | – | 79,604,805 | – | 79,604,805 | ||||||||||||
U.S. Government Agency Obligations | – | 1,334,363,537 | – | 1,334,363,537 | ||||||||||||
Asset-Backed Securities | – | 8,877,724 | – | 8,877,724 | ||||||||||||
Total Investments, at fair value | $ | 6,199,000 | $ | 4,231,389,559 | $ | – | $ | 4,237,588,559 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Swaps | – | 11,092 | – | 11,092 | ||||||||||||
Total Assets | $ | 6,199,000 | $ | 4,231,400,651 | $ | – | $ | 4,237,599,651 |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
ING U.S. Bond Index Portfolio Over-the-Counter Credit Default Swap Agreements Outstanding on December 31, 2012:
Credit Default Swaps on Credit Indices - Sell Protection(1)
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Fixed Rate (%) | Termination Date | Notional Amount(2) | Fair Value(3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
JPMorgan Chase & Co. | CDX.NA.IG.19 Index | Sell | 1.000 | 12/20/17 | USD 5,000,000 | $ | 11,092 | $ | 13,689 | $ | (2,597 | ) | ||||||||||||||||||
$ | 11,092 | $ | 13,689 | $ | (2,597 | ) |
(1) | If the Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will generally either i) Pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or ii) Pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. |
(2) | The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement. |
(3) | The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring. |
See Accompanying Notes to Financial Statements |
ING WisdomTreeSM Global High-Yielding Equity Index Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 98.4% | ||||||
Consumer Discretionary: 3.5% | ||||||
22,580 | Arcelik A/S | 148,090 | 0.1 | |||
1,793 | Axel Springer AG | 76,759 | 0.0 | |||
7,316 | Bayerische Motoren Werke AG | 711,931 | 0.4 | |||
16,296 | British Sky Broadcasting PLC | 205,533 | 0.1 | |||
4,000 | Cablevision Systems Corp. | 59,760 | 0.0 | |||
2,593 | Cie Generale des Etablissements Michelin | 248,460 | 0.1 | |||
15,218 | Crown Ltd. | 170,077 | 0.1 | |||
20,155 | DaimlerChrysler AG | 1,109,651 | 0.6 | |||
5,190 | Electrolux AB | 137,091 | 0.1 | |||
1,253 | Eutelsat Communications | 41,675 | 0.0 | |||
16,205 | Ford Otomotiv Sanayi A/S | 194,953 | 0.1 | |||
4,600 | H&R Block, Inc. | 85,422 | 0.0 | |||
23,096 | Harvey Norman Holdings Ltd. | 45,977 | 0.0 | |||
21,859 | Hennes & Mauritz AB | 757,568 | 0.4 | |||
3,000 | Jardine Cycle & Carriage Ltd. | 119,489 | 0.1 | |||
3,827 | Lagardere SCA | 128,725 | 0.1 | |||
4,300 | Leggett & Platt, Inc. | 117,046 | 0.1 | |||
25,746 | Marks & Spencer Group PLC | 161,728 | 0.1 | |||
2,528 | Nokian Renkaat OYJ | 101,265 | 0.1 | |||
12,570 | Pearson PLC | 245,010 | 0.1 | |||
12,842 | Reed Elsevier NV | 190,418 | 0.1 | |||
19,645 | Reed Elsevier PLC | 207,406 | 0.1 | |||
1,700 | Sankyo Co., Ltd. | 67,456 | 0.0 | |||
3,800 | Shaw Communications, Inc. - Class B | 87,254 | 0.1 | |||
45,000 | Singapore Press Holdings Ltd. | 149,017 | 0.1 | |||
52,392 | Tattersall's Ltd. | 165,023 | 0.1 | |||
10,267 | Thomson Reuters Corp. | 297,059 | 0.2 | |||
21,384 | TUI Travel PLC | 99,228 | 0.1 | |||
6,382 | Wolters Kluwer NV | 131,098 | 0.1 | |||
6,260,169 | 3.5 | |||||
Consumer Staples: 5.7% | ||||||
30,911 | Altria Group, Inc. | 971,224 | 0.5 | |||
24,500 | Astra Agro Lestari Tbk PT | 50,305 | 0.0 | |||
7,400 | Avon Products, Inc. | 106,264 | 0.1 | |||
7,300 | British American Tobacco Malaysia Bhd | 148,558 | 0.1 | |||
26,302 | British American Tobacco PLC | 1,337,068 | 0.7 | |||
15,175 | Carrefour S.A. | 390,718 | 0.2 | |||
2,165 | Casino Guichard Perrachon S.A. | 207,370 | 0.1 | |||
13,409 | Coca-Cola Amatil Ltd. | 188,442 | 0.1 | |||
3,800 | ConAgra Foods, Inc. | 112,100 | 0.1 | |||
1,516 | Delhaize Group | 61,063 | 0.0 | |||
37,800 | Grupo Modelo S.A. | 339,069 | 0.2 | |||
14,176 | Imperial Tobacco Group PLC | 549,628 | 0.3 | |||
29,956 | J Sainsbury PLC | 169,481 | 0.1 | |||
11,362 | Koninklijke Ahold NV | 152,354 | 0.1 | |||
2,436 | @ | KT&G Corp. | 183,853 | 0.1 | ||
10,100 | Kuala Lumpur Kepong BHD | 79,586 | 0.1 | |||
2,370 | Lorillard, Inc. | 276,508 | 0.1 | |||
19,643 | Metcash Ltd. | 68,097 | 0.0 | |||
5,459 | Metro AG | 151,659 | 0.1 | |||
7,400 | Natura Cosmeticos S.A. | 211,935 | 0.1 | |||
20,825 | Parmalat S.p.A. | 48,454 | 0.0 | |||
8,884 | Reckitt Benckiser PLC | 563,955 | 0.3 | |||
10,366 | Reynolds American, Inc. | 429,463 | 0.2 | |||
900 | Safeway, Inc. | 16,281 | 0.0 | |||
2,400 | Shiseido Co., Ltd. | 33,877 | 0.0 | |||
7,061 | Svenska Cellulosa AB - B Shares | 153,525 | 0.1 | |||
4,838 | Sysco Corp. | 153,171 | 0.1 | |||
10,896 | Tate & Lyle PLC | 134,808 | 0.1 | |||
117,254 | Tesco PLC | 645,906 | 0.4 | |||
17,076 | Unilever PLC | 663,763 | 0.4 | |||
23,678 | Wesfarmers Ltd. | 913,528 | 0.5 | |||
34,935 | WM Morrison Supermarkets PLC | 150,000 | 0.1 | |||
25,041 | Woolworths Ltd. | 768,220 | 0.4 | |||
10,430,233 | 5.7 | |||||
Energy: 12.7% | ||||||
6,034 | Aker Solutions ASA | 124,956 | 0.1 | |||
6,713 | ARC Resources Ltd. | 164,940 | 0.1 | |||
2,200 | Baytex Energy Corp. | 94,817 | 0.1 | |||
6,247 | Bonavista Energy Corp. | 93,074 | 0.0 | |||
281,381 | BP PLC | 1,956,427 | 1.1 | |||
6,904 | Caltex Australia Ltd. | 139,252 | 0.1 | |||
11,155 | Canadian Oil Sands Ltd. | 226,195 | 0.1 | |||
248,000 | China Petroleum & Chemical Corp. | 285,516 | 0.2 | |||
49,500 | China Shenhua Energy Co., Ltd. | 221,726 | 0.1 | |||
484,000 | CNOOC Ltd. | 1,066,258 | 0.6 | |||
18,576 | ConocoPhillips | 1,077,222 | 0.6 | |||
5,627 | Cresent Point Energy Corp. | 212,816 | 0.1 | |||
2,468 | Diamond Offshore Drilling | 167,725 | 0.1 | |||
8,885 | EnCana Corp. | 175,610 | 0.1 | |||
9,500 | Enerplus Corp. | 123,203 | 0.1 | |||
77,953 | ENI S.p.A. | 1,909,665 | 1.1 | |||
3,755 | Exxaro Resources Ltd. | 75,657 | 0.0 | |||
137,000 | Formosa Petrochemical Corp. | 407,875 | 0.2 | |||
201,683 | Gazprom OAO ADR | 1,907,921 | 1.0 | |||
14,512 | Husky Energy, Inc. | 428,926 | 0.2 | |||
40,000 | Indo Tambangraya Megah PT | 173,163 | 0.1 | |||
33,400 | JX Holdings, Inc. | 188,569 | 0.1 | |||
10,695 | Lukoil OAO ADR | 707,474 | 0.4 | |||
16,782 | Gazprom Neft JSC ADR | 389,007 | 0.2 | |||
5,560 | OMV AG | 201,473 | 0.1 | |||
14,643 | Origin Energy Ltd. | 180,003 | 0.1 | |||
3,370 | Pembina Pipeline Corp. | 96,421 | 0.1 | |||
15,501 | Pengrowth Energy Corp. | 77,139 | 0.0 | |||
12,649 | Penn West Petroleum Ltd. | 137,337 | 0.1 | |||
5,000 | PetroBakken Energy Ltd. | 51,523 | 0.0 | |||
248,000 | PetroChina Co., Ltd. | 357,781 | 0.2 | |||
90,000 | Petroleo Brasileiro SA | 859,341 | 0.5 | |||
6,200 | Petronas Dagangan BHD | 47,646 | 0.0 | |||
34,700 | PTT PCL | 379,352 | 0.2 | |||
31,672 | Repsol YPF S.A. | 646,516 | 0.4 | |||
45,133 | Royal Dutch Shell PLC - Class B | 1,610,188 | 0.9 | |||
7,945 | Sasol Ltd. | 342,614 | 0.2 | |||
1,881 | S-Oil Corp. | 185,790 | 0.1 | |||
8,589 | Spectra Energy Corp. | 235,167 | 0.1 | |||
45,939 | Statoil ASA | 1,157,875 | 0.6 | |||
4,379 | Tatneft ADR | 194,967 | 0.1 | |||
34,400 | Thai Oil PCL | 76,779 | 0.0 | |||
10,000 | TonenGeneral Sekiyu KK | 86,477 | 0.0 | |||
45,546 | Total S.A. | 2,369,904 | 1.3 | |||
9,896 | TransCanada Corp. | 467,789 | 0.3 | |||
8,659 | Tupras Turkiye Petrol Rafinerileri AS | 251,418 | 0.1 | |||
2,800 | Veresen, Inc. | 33,300 | 0.0 | |||
2,100 | Vermilion Energy, Inc. | 109,718 | 0.1 | |||
10,235 | Woodside Petroleum Ltd. | 364,726 | 0.2 | |||
4,849 | WorleyParsons Ltd. | 119,446 | 0.1 | |||
52,000 | Yanzhou Coal Mining Co., Ltd. | 88,643 | 0.1 | |||
23,047,327 | 12.7 | |||||
Financials: 27.1% | ||||||
27,242 | Aberdeen Asset Management PLC | 163,927 | 0.1 | |||
11,189 | ABSA Group Ltd. | 217,831 | 0.1 | |||
6,278 | Admiral Group PLC | 119,587 | 0.1 | |||
24,028 | African Bank Investments Ltd. | 91,693 | 0.0 | |||
5,689 | Ageas | 168,095 | 0.1 | |||
7,852 | Allianz AG | 1,094,551 | 0.6 | |||
18,964 | Amlin PLC | 117,894 | 0.1 | |||
68,298 | AMP Ltd. | 346,434 | 0.2 | |||
20,000 | Aozora Bank Ltd. | 61,494 | 0.0 | |||
3,300 | Ares Capital Corp. | 57,750 | 0.0 | |||
16,987 | Ashmore Group PLC | 100,307 | 0.1 | |||
5,655 | ASX Ltd. | 184,547 | 0.1 | |||
73,273 | Australia & New Zealand Banking Group Ltd. | 1,929,762 | 1.1 | |||
90,738 | Aviva PLC | 561,485 | 0.3 | |||
48,420 | AXA S.A. | 869,424 | 0.5 | |||
1,076 | Baloise Holding AG | 92,937 | 0.0 | |||
1,491,425 | Banco de Chile | 241,089 | 0.1 | |||
69,100 | Banco do Brasil S.A. | 863,961 | 0.5 | |||
59,200 | Banco Santander Brasil S.A. | 432,832 | 0.2 | |||
1,655 | Bank Handlowy w Warszawie | 52,560 | 0.0 | |||
1,347 | @ | Bank of Austria - Escrow | – | – | ||
1,524,800 | Bank of China Ltd. | 690,556 | 0.4 | |||
8,769 | Bank of Montreal | 536,525 | 0.3 | |||
12,853 | Bank of Nova Scotia | 742,469 | 0.4 | |||
3,658 | Bank Pekao S.A. | 198,498 | 0.1 | |||
129,223 | Barclays PLC | 561,345 | 0.3 | |||
62,589 | Banco Bilbao Vizcaya Argentaria S.A. | 581,507 | 0.3 | |||
7,375 | Bendigo Bank Ltd. | 65,698 | 0.0 | |||
35,900 | BM&F Bovespa S.A. | 245,470 | 0.1 | |||
15,387 | BNP Paribas | 875,987 | 0.5 | |||
169,000 | BOC Hong Kong Holdings Ltd. | 531,637 | 0.3 | |||
15,048 | British Land Co. PLC | 139,024 | 0.1 | |||
6,596 | Canadian Imperial Bank of Commerce | 530,293 | 0.3 | |||
283,000 | China Citic Bank | 171,504 | 0.1 | |||
3,353,000 | China Construction Bank | 2,740,112 | 1.5 | |||
82,688 | Chinatrust Financial Holding Co., Ltd. | 49,165 | 0.0 | |||
149,000 | Chongqing Rural Commercial Bank | 83,175 | 0.0 | |||
35,000 | Sumitomo Mitsui Trust Holdings, Inc. | 123,316 | 0.1 | |||
6,121 | CI Financial Corp. | 153,410 | 0.1 | |||
3,554 | Cincinnati Financial Corp. | 139,175 | 0.1 | |||
14,899 | CNP Assurances | 229,337 | 0.1 | |||
41,913 | Commonwealth Bank of Australia | 2,729,654 | 1.5 | |||
7,907,406 | Corpbanca | 106,170 | 0.1 | |||
1,727 | @ | CaixaBank | 6,011 | 0.0 | ||
76,751 | CaixaBank | 268,865 | 0.1 | |||
1,600 | Daito Trust Construction Co., Ltd. | 151,216 | 0.1 | |||
26,000 | DBS Group Holdings Ltd. | 319,190 | 0.2 | |||
3,286 | Delta Lloyd NV | 54,133 | 0.0 | |||
4,126 | Deutsche Boerse AG | 253,016 | 0.1 | |||
7,500 | Duke Realty Corp. | 104,025 | 0.1 | |||
977 | Euler Hermes SA | 84,607 | 0.0 | |||
14,627 | Gjensidige Forsikring ASA | 210,198 | 0.1 | |||
18,213 | Great-West Lifeco, Inc. | 445,850 | 0.2 | |||
84,800 | Guangzhou R&F Properties Co., Ltd. | 143,720 | 0.1 | |||
8,853 | Hammerson PLC | 70,990 | 0.0 | |||
30,800 | Hang Seng Bank Ltd. | 475,458 | 0.3 | |||
2,680 | Hannover Rueckversicheru - Reg | 209,909 | 0.1 | |||
3,511 | Hargreaves Lansdown PLC | 39,269 | 0.0 | |||
7,207 | HCP, Inc. | 325,612 | 0.2 | |||
3,061 | Health Care Real Estate Investment Trust, Inc. | 187,609 | 0.1 | |||
11,500 | Hong Kong Exchanges and Clearing Ltd. | 199,021 | 0.1 | |||
3,800 | Hospitality Properties Trust | 88,996 | 0.0 | |||
276,216 | HSBC Holdings PLC | 2,927,012 | 1.6 | |||
13,300 | Hudson City Bancorp., Inc. | 108,129 | 0.1 | |||
14,717 | ICAP PLC | 74,419 | 0.0 | |||
4,887 | IGM Financial, Inc. | 204,382 | 0.1 | |||
1,323,000 | Industrial and Commercial Bank of China Ltd. | 954,911 | 0.5 | |||
6,930 | @ | Industrial Bank Of Korea | 77,476 | 0.0 | ||
47,110 | Insurance Australia Group | 232,034 | 0.1 | |||
231,489 | Intesa Sanpaolo S.p.A. | 400,319 | 0.2 | |||
1,362 | Investor AB | 34,894 | 0.0 | |||
35,000 | Keppel Land Ltd. | 117,224 | 0.1 | |||
4,900 | Kimco Realty Corp. | 94,668 | 0.0 | |||
901 | Kinnevik Investment AB | 18,847 | 0.0 | |||
4,439 | Klepierre | 177,425 | 0.1 | |||
832 | Komercni Banka AS | 175,882 | 0.1 | |||
150,500 | Krung Thai Bank PCL | 97,183 | 0.1 | |||
124,754 | Legal & General Group PLC | 299,145 | 0.2 | |||
14,537 | Lend Lease Corp., Ltd. | 141,966 | 0.1 | |||
3,500 | Liberty Property Trust | 125,195 | 0.1 | |||
2,200 | Macerich Co. | 128,260 | 0.1 | |||
7,543 | Macquarie Group Ltd. | 282,570 | 0.2 | |||
190,400 | Malayan Banking BHD | 574,252 | 0.3 | |||
83,486 | Man Group PLC | 114,501 | 0.1 | |||
24,975 | Manulife Financial Corp. | 339,210 | 0.2 | |||
73,503 | Corp. Mapfre S.A. | 226,474 | 0.1 | |||
9,335 | Mediobanca S.p.A. | 57,663 | 0.0 | |||
212,849 | Mega Financial Holdings Co., Ltd. | 166,718 | 0.1 | |||
6,500 | Mitsui Sumitomo Insurance Group Holdings, Inc. | 129,720 | 0.1 | |||
368,000 | Mizuho Financial Group, Inc. | 674,723 | 0.4 | |||
47,333 | MMI Holdings Ltd. | 124,465 | 0.1 | |||
3,557 | Muenchener Rueckversicherungs AG | 642,141 | 0.4 | |||
70,650 | National Australia Bank Ltd. | 1,858,321 | 1.0 | |||
1,400 | National Bank Of Canada | 108,712 | 0.1 | |||
54,408 | Natixis | 185,973 | 0.1 | |||
78,785 | New World Development Ltd. | 124,731 | 0.1 | |||
12,784 | New York Community Bancorp., Inc. | 167,470 | 0.1 | |||
7,950 | NKSJ Holdings, Inc. | 170,520 | 0.1 | |||
51,154 | Nordea Bank AB | 492,047 | 0.3 | |||
3,100 | NYSE Euronext | 97,774 | 0.1 | |||
45,585 | Old Mutual PLC | 133,885 | 0.1 | |||
9,800 | Old Republic International Corp. | 104,370 | 0.1 | |||
3,100 | Omega Healthcare Investors, Inc. | 73,935 | 0.0 | |||
7,500 | People's United Financial, Inc. | 90,675 | 0.0 | |||
2,600 | Piedmont Office Realty Trust, Inc. | 46,930 | 0.0 | |||
26,883 | Platinum Asset Management Ltd. | 112,053 | 0.1 | |||
3,554 | Plum Creek Timber Co., Inc. | 157,691 | 0.1 | |||
3,125 | Pohjola Bank PLC | 46,793 | 0.0 | |||
8,589 | Power Corp. of Canada | 219,150 | 0.1 | |||
13,426 | Power Financial Corp. | 367,673 | 0.2 | |||
21,247 | Powszechna Kasa Oszczednosci Bank Polski S.A. | 254,452 | 0.1 | |||
3,400 | Principal Financial Group, Inc. | 96,968 | 0.0 | |||
34,796 | Prudential PLC | 496,449 | 0.3 | |||
1,580 | Powszechny Zaklad Ubezpieczen SA | 223,683 | 0.1 | |||
28,512 | QBE Insurance Group Ltd. | 326,689 | 0.2 | |||
2,471 | Raiffeisen International Bank Holding AG | 102,792 | 0.1 | |||
7,995 | Ratos AB | 76,998 | 0.0 | |||
2,900 | Realty Income Corp. | 116,609 | 0.1 | |||
2,200 | Regency Centers Corp. | 103,664 | 0.1 | |||
37,200 | Resona Holdings, Inc. | 170,092 | 0.1 | |||
6,267 | RioCan Real Estate Investment Trust | 173,639 | 0.1 | |||
17,972 | Royal Bank of Canada | 1,081,897 | 0.6 | |||
103,794 | Royal & Sun Alliance Insurance Group | 214,353 | 0.1 | |||
11,728 | Sampo OYJ | 379,821 | 0.2 | |||
35,740 | Sanlam Ltd. | 190,312 | 0.1 | |||
5,985 | Scor S.A. | 161,767 | 0.1 | |||
23,291 | Segro PLC | 94,540 | 0.1 | |||
4,000 | Senior Housing Properties Trust | 94,560 | 0.0 | |||
5,073 | @ | Shopping Centres Australasia Property Group | 7,902 | 0.0 | ||
23,000 | Singapore Exchange Ltd. | 133,655 | 0.1 | |||
64,000 | Sino Land Co. | 117,193 | 0.1 | |||
28,258 | Skandinaviska Enskilda Banken AB | 241,766 | 0.1 | |||
21,121 | Standard Bank Group Ltd. | 297,911 | 0.2 | |||
26,936 | Standard Chartered PLC | 697,100 | 0.4 | |||
54,807 | Standard Life PLC | 299,601 | 0.2 | |||
19,300 | Sumitomo Mitsui Financial Group, Inc. | 701,397 | 0.4 | |||
28,000 | Sun Hung Kai Properties Ltd. | 424,627 | 0.2 | |||
10,760 | Sun Life Financial, Inc. | 285,253 | 0.2 | |||
32,949 | Suncorp-Metway Ltd. | 351,858 | 0.2 | |||
10,120 | Svenska Handelsbanken AB | 363,833 | 0.2 | |||
15,300 | Swedbank AB | 300,574 | 0.2 | |||
813 | Vienna Insurance Group | 43,393 | 0.0 | |||
95,608 | Westpac Banking Corp. | 2,619,650 | 1.4 | |||
49,155,391 | 27.1 | |||||
Health Care: 8.6% | ||||||
6,000 | Astellas Pharma, Inc. | 269,770 | 0.2 | |||
27,102 | AstraZeneca PLC | 1,284,363 | 0.7 | |||
20,075 | Bristol-Myers Squibb Co. | 654,244 | 0.3 | |||
703 | Cochlear Ltd. | 58,279 | 0.0 | |||
12,200 | Daiichi Sankyo Co., Ltd. | 187,297 | 0.1 | |||
4,400 | Eisai Co., Ltd. | 183,668 | 0.1 | |||
17,214 | Eli Lilly & Co. | 848,995 | 0.5 | |||
82,069 | GlaxoSmithKline PLC | 1,786,840 | 1.0 | |||
38,931 | Merck & Co., Inc. | 1,593,835 | 0.9 | |||
35,643 | Novartis AG | 2,251,685 | 1.2 | |||
88,085 | Pfizer, Inc. | 2,209,172 | 1.2 | |||
8,893 | Roche Holding AG - Genusschein | 1,797,997 | 1.0 | |||
19,240 | Sanofi-Aventis SA | 1,824,537 | 1.0 | |||
1,300 | Shionogi & Co., Ltd. | 21,663 | 0.0 | |||
5,727 | Sonic Healthcare Ltd. | 79,941 | 0.1 | |||
12,700 | Takeda Pharmaceutical Co., Ltd. | 567,627 | 0.3 | |||
15,619,913 | 8.6 | |||||
Industrials: 6.8% | ||||||
12,305 | Abertis Infraestructuras S.A. | 203,235 | 0.1 | |||
15,090 | ACS Actividades de Construccion y Servicios S.A. | 382,437 | 0.2 | |||
21,000 | Asahi Glass Co., Ltd. | 153,333 | 0.1 | |||
16,217 | Altantia S.p.A. | 294,479 | 0.2 | |||
78,637 | BAE Systems PLC | 437,081 | 0.2 | |||
8,490 | Balfour Beatty PLC | 38,213 | 0.0 | |||
8,139 | Bouygues S.A. | 242,195 | 0.1 | |||
27,808 | Brambles Ltd. | 220,498 | 0.1 | |||
46,000 | China Merchants Holdings International Co., Ltd. | 150,224 | 0.1 | |||
8,120 | Cie de Saint-Gobain | 348,706 | 0.2 | |||
67,000 | Citic Pacific Ltd. | 101,368 | 0.1 | |||
12,000 | Dai Nippon Printing Co., Ltd. | 94,097 | 0.1 | |||
22,522 | Deutsche Post AG | 496,061 | 0.3 | |||
89,610 | Far Eastern New Century Corp. | 102,891 | 0.1 | |||
13,001 | Ferrovial SA | 193,538 | 0.1 | |||
25,500 | Hopewell Holdings | 110,564 | 0.1 | |||
166,000 | Hutchison Port Holdings Trust | 131,140 | 0.1 | |||
3,280 | IMI PLC | 59,366 | 0.0 | |||
1,197 | Iron Mountain, Inc. | 37,167 | 0.0 | |||
25,400 | Itochu Corp. | 268,455 | 0.1 | |||
27,900 | Keppel Corp., Ltd. | 254,771 | 0.1 | |||
2,588 | Koninklijke Boskalis Westminster NV | 117,152 | 0.1 | |||
15,815 | Koninklijke Philips Electronics NV | 418,787 | 0.2 | |||
1,054 | Kuehne & Nagel International AG | 127,069 | 0.1 | |||
2,818 | Legrand S.A. | 119,585 | 0.1 | |||
4,344 | Lockheed Martin Corp. | 400,908 | 0.2 | |||
3,590 | Metso OYJ | 153,264 | 0.1 | |||
23,700 | Mitsubishi Corp. | 456,295 | 0.3 | |||
28,900 | Mitsui & Co., Ltd. | 433,178 | 0.2 | |||
23,862 | Orkla ASA | 209,115 | 0.1 | |||
5,200 | Pitney Bowes, Inc. | 55,328 | 0.0 | |||
3,507 | Randstad Holdings NV | 130,170 | 0.1 | |||
4,831 | Rexel SA | 98,808 | 0.1 | |||
6,098 | Scania AB - B Shares | 126,786 | 0.1 | |||
6,854 | Schneider Electric S.A. | 501,995 | 0.3 | |||
49,000 | SembCorp Marine Ltd. | 187,190 | 0.1 | |||
97 | SGS S.A. | 215,443 | 0.1 | |||
21,000 | SIA Engineering Co., Ltd. | 75,723 | 0.0 | |||
12,190 | Siemens AG | 1,332,991 | 0.7 | |||
41,000 | Singapore Airlines Ltd. | 363,652 | 0.2 | |||
10,752 | Skanska AB | 176,450 | 0.1 | |||
5,936 | SKF AB - B Shares | 150,345 | 0.1 | |||
4,787 | Smiths Group PLC | 93,766 | 0.1 | |||
80,225 | Snam Rete Gas S.p.A. | 374,457 | 0.2 | |||
72,000 | Singapore Technologies Engineering Ltd. | 227,247 | 0.1 | |||
17,500 | Sumitomo Corp. | 224,522 | 0.1 | |||
23,800 | Sydney Airport | 83,837 | 0.0 | |||
17,228 | Toll Holdings Ltd. | 82,573 | 0.0 | |||
5,000 | Toppan Printing Co., Ltd. | 30,996 | 0.0 | |||
2,290 | Vallourec | 120,208 | 0.1 | |||
9,841 | Vinci S.A. | 473,818 | 0.3 | |||
6,417 | Waste Management, Inc. | 216,509 | 0.1 | |||
82,000 | Yangzijiang Shipbuilding Holdings Ltd. | 65,697 | 0.0 | |||
6,633 | Zardoya Otis SA | 94,557 | 0.1 | |||
110,000 | Zhejiang Expressway Co., Ltd. | 87,012 | 0.0 | |||
12,345,252 | 6.8 | |||||
Information Technology: 1.9% | ||||||
14,398 | Asustek Computer, Inc. | 163,048 | 0.1 | |||
14,900 | Canon, Inc. | 577,520 | 0.3 | |||
117,720 | Compal Electronics, Inc. | 79,737 | 0.0 | |||
2,411 | Computershare Ltd. | 22,745 | 0.0 | |||
36,000 | Delta Electronics, Inc. | 132,676 | 0.1 | |||
34,681 | Telefonaktiebolaget LM Ericsson | 350,321 | 0.2 | |||
26,000 | HTC Corp. | 271,580 | 0.1 | |||
33,390 | Lite-On Technology Corp. | 44,564 | 0.0 | |||
28,000 | MediaTek, Inc. | 313,238 | 0.2 | |||
4,100 | Microchip Technology, Inc. | 133,619 | 0.1 | |||
113,709 | Nokia OYJ | 449,347 | 0.2 | |||
4,689 | Paychex, Inc. | 146,016 | 0.1 | |||
72,220 | Quanta Computer, Inc. | 170,929 | 0.1 | |||
11,000 | Ricoh Co., Ltd. | 116,759 | 0.1 | |||
6,314 | Sage Group PLC | 30,361 | 0.0 | |||
102,560 | Siliconware Precision Industries Co. | 110,482 | 0.1 | |||
22,236 | @ | STMicroelectronics NV | 161,424 | 0.1 | ||
312,000 | United Microelectronics Corp. | 126,104 | 0.1 | |||
60,267 | Wistron Corp. | 63,093 | 0.0 | |||
3,463,563 | 1.9 | |||||
Materials: 7.8% | ||||||
2,587 | Akzo Nobel NV | 171,252 | 0.1 | |||
23,934 | Amcor Ltd. | 202,285 | 0.1 | |||
93,387 | Asia Cement Corp. | 120,560 | 0.1 | |||
12,024 | BASF AG | 1,136,995 | 0.6 | |||
43,651 | BHP Billiton Ltd. | 1,704,161 | 0.9 | |||
27,909 | BHP Billiton PLC | 984,453 | 0.5 | |||
254,810 | China Steel Corp. | 240,619 | 0.1 | |||
34,600 | Cia Siderurgica Nacional S.A. | 200,418 | 0.1 | |||
9,576 | @ | CRH PLC | 194,740 | 0.1 | ||
81,714 | Eregli Demir ve Celik Fabrikalari TAS | 112,953 | 0.1 | |||
26,407 | Eurasian Natural Resources Corp. | 124,892 | 0.1 | |||
21,326 | Evraz PLC | 91,526 | 0.1 | |||
16,731 | Fletcher Building Ltd. | 117,440 | 0.1 | |||
172,000 | Formosa Chemicals & Fibre Co. | 446,661 | 0.2 | |||
166,000 | Formosa Plastics Corp. | 451,378 | 0.3 | |||
12,138 | Fresnillo PLC | 372,293 | 0.2 | |||
120,600 | Grupo Mexico SA de CV Series B | 435,049 | 0.2 | |||
9,078 | Iluka Resources Ltd. | 87,730 | 0.0 | |||
6,908 | Impala Platinum Holdings Ltd. | 138,154 | 0.1 | |||
33,489 | Incitec Pivot Ltd. | 114,177 | 0.1 | |||
336,500 | Vale Indonesia Tbk PT | 82,595 | 0.0 | |||
30,601 | Israel Chemicals Ltd. | 368,532 | 0.2 | |||
3,183 | K+S AG | 147,831 | 0.1 | |||
9,878 | Kazakhmys PLC | 127,670 | 0.1 | |||
6,907 | KGHM Polska Miedz SA | 426,695 | 0.2 | |||
1,987 | Koninklijke DSM NV | 121,100 | 0.1 | |||
8,172 | Kumba Iron Ore Ltd. | 552,943 | 0.3 | |||
23,791 | MMC Norilsk Nickel ADR | 445,398 | 0.2 | |||
203,000 | Nan Ya Plastics Corp. | 393,864 | 0.2 | |||
8,490 | Novolipetsk Steel GDR | 175,966 | 0.1 | |||
3,258 | Nucor Corp. | 140,680 | 0.1 | |||
5,991 | Orica Ltd. | 157,601 | 0.1 | |||
12,214 | OZ Minerals Ltd. | 86,739 | 0.0 | |||
100,100 | Petronas Chemicals Group Bhd | 210,053 | 0.1 | |||
6,800 | Phosagro OAO GDR | 92,480 | 0.0 | |||
58,300 | PTT Global Chemical PCL | 134,881 | 0.1 | |||
11,749 | Rexam PLC | 84,067 | 0.0 | |||
15,397 | Rio Tinto PLC | 898,044 | 0.5 | |||
17,052 | Southern Copper Corp. | 645,589 | 0.4 | |||
16,813 | Stora Enso OYJ (Euro Denominated Security) | 117,682 | 0.1 | |||
84,000 | Taiwan Cement Corp. | 113,187 | 0.1 | |||
13,968 | UPM-Kymmene OYJ | 164,331 | 0.1 | |||
45,700 | Vale SA | 943,686 | 0.5 | |||
3,460 | Voestalpine AG | 127,132 | 0.1 | |||
14,206,482 | 7.8 | |||||
Telecommunication Services: 15.5% | ||||||
52,500 | Advanced Info Service PCL | 361,085 | 0.2 | |||
88,037 | AT&T, Inc. | 2,967,727 | 1.6 | |||
12,384 | BCE, Inc. | 530,743 | 0.3 | |||
12,324 | Belgacom S.A. | 362,470 | 0.2 | |||
5,000 | Bell Aliant, Inc. | 132,301 | 0.1 | |||
120,304 | Bezeq Israeli Telecommunication Corp., Ltd. | 139,349 | 0.1 | |||
88,053 | BT Group PLC | 335,942 | 0.2 | |||
12,724 | CenturyTel, Inc. | 497,763 | 0.3 | |||
250,500 | China Mobile Ltd. | 2,947,809 | 1.6 | |||
150,673 | Chunghwa Telecom Co., Ltd. | 490,831 | 0.3 | |||
104,039 | Deutsche Telekom AG | 1,184,273 | 0.7 | |||
150,000 | Digi.Com BHD | 260,700 | 0.1 | |||
2,520 | Elisa OYJ | 55,868 | 0.0 | |||
5,224 | Empresa Nacional de Telecom | 108,019 | 0.1 | |||
60,159 | Far EasTone Telecommunications Co., Ltd. | 153,609 | 0.1 | |||
108,158 | France Telecom S.A. | 1,199,891 | 0.7 | |||
46,175 | Frontier Communications Corp. | 197,629 | 0.1 | |||
3,770 | Globe Telecom, Inc. | 100,592 | 0.1 | |||
6,913 | Inmarsat PLC | 66,635 | 0.0 | |||
4,543 | @ | KT Corp. | 151,078 | 0.1 | ||
132,500 | Maxis Bhd | 288,138 | 0.2 | |||
19,250 | Mobile Telesystems OJSC ADR | 359,012 | 0.2 | |||
26,999 | MTN Group Ltd. | 568,294 | 0.3 | |||
16,200 | Nippon Telegraph & Telephone Corp. | 682,068 | 0.4 | |||
557 | NTT DoCoMo, Inc. | 802,927 | 0.4 | |||
23,300 | Oi SA | 104,238 | 0.0 | |||
4,345 | Philippine Long Distance Telephone Co. | 268,526 | 0.2 | |||
50,473 | Portugal Telecom SGPS S.A. | 251,347 | 0.1 | |||
5,923 | Rogers Communications, Inc. - Class B (Canadian Denominated Security) | 268,908 | 0.1 | |||
81,833 | Shin Corp. PCL | 185,415 | 0.1 | |||
361,000 | Singapore Telecommunications Ltd. | 982,292 | 0.5 | |||
1,610 | SK Telecom Co., Ltd. | 229,557 | 0.1 | |||
51,000 | StarHub Ltd. | 159,742 | 0.1 | |||
1,082 | Swisscom AG | 468,845 | 0.3 | |||
67,000 | Taiwan Mobile Co., Ltd. | 247,602 | 0.1 | |||
21,185 | TDC A/S | 150,098 | 0.1 | |||
14,596 | Tele2 AB - B Shares | 263,821 | 0.1 | |||
84,532 | Telecom Corp. of New Zealand Ltd. | 160,003 | 0.1 | |||
288,751 | Telecom Italia S.p.A. | 261,918 | 0.1 | |||
10,464 | Telefonica O2 Czech Republic A/S | 178,141 | 0.1 | |||
11,695 | Telekom Austria AG | 88,803 | 0.1 | |||
44,500 | Telekomunikacja Polska S.A. | 175,547 | 0.1 | |||
270,000 | Telekomunikasi Indonesia Tbk PT | 254,482 | 0.1 | |||
23,579 | Telenor ASA | 480,112 | 0.3 | |||
79,316 | TeliaSonera AB | 538,476 | 0.3 | |||
406,433 | Telstra Corp., Ltd. | 1,852,012 | 1.0 | |||
2,419 | TELUS Corp. | 158,316 | 0.1 | |||
101,071 | Turk Telekomunikasyon AS | 392,960 | 0.2 | |||
39,588 | Verizon Communications, Inc. | 1,712,973 | 0.9 | |||
29,158 | Vivendi | 659,439 | 0.4 | |||
20,789 | Vodacom Group Pty Ltd. | 305,943 | 0.2 | |||
878,305 | Vodafone Group PLC | 2,210,938 | 1.2 | |||
17,522 | Windstream Corp. | 145,082 | 0.1 | |||
28,100,289 | 15.5 | |||||
Utilities: 8.8% | ||||||
155,400 | Aboitiz Power Corp. | 139,943 | 0.1 | |||
1,607 | Acciona SA | 120,009 | 0.1 | |||
98,614 | AES Gener SA | 63,329 | 0.0 | |||
2,400 | AES Tiete SA | 24,592 | 0.0 | |||
10,711 | AGL Energy Ltd. | 172,192 | 0.1 | |||
400 | AGL Resources, Inc. | 15,988 | 0.0 | |||
36,976 | Aguas Andinas SA | 26,239 | 0.0 | |||
2,500 | Alliant Energy Corp. | 109,775 | 0.1 | |||
4,591 | Ameren Corp. | 141,036 | 0.1 | |||
8,293 | American Electric Power Co., Inc. | 353,945 | 0.2 | |||
7,602 | CenterPoint Energy, Inc. | 146,339 | 0.1 | |||
22,400 | Centrais Eletricas Brasileiras SA | 69,251 | 0.0 | |||
94,175 | Centrica PLC | 513,981 | 0.3 | |||
12,071 | CEZ A/S | 431,826 | 0.2 | |||
11,600 | Chubu Electric Power Co., Inc. | 154,799 | 0.1 | |||
4,700 | Chugoku Electric Power Co., Inc. | 73,960 | 0.0 | |||
11,755 | Cia Energetica de Minas Gerais | 125,731 | 0.1 | |||
31,000 | CLP Holdings Ltd. | 260,457 | 0.1 | |||
900 | CMS Energy Corp. | 21,942 | 0.0 | |||
4,295 | Consolidated Edison, Inc. | 238,544 | 0.1 | |||
22,300 | CPFL Energia S.A. | 233,074 | 0.1 | |||
7,700 | Dominion Resources, Inc. | 398,860 | 0.2 | |||
3,655 | Drax Group PLC | 32,722 | 0.0 | |||
2,567 | DTE Energy Co. | 154,148 | 0.1 | |||
9,207 | Duke Energy Corp. | 587,407 | 0.3 | |||
41,348 | E.ON AG | 775,528 | 0.4 | |||
9,300 | EDP - Energias do Brasil S.A. | 56,731 | 0.0 | |||
38,959 | Electricite de France SA | 721,934 | 0.4 | |||
4,297 | Enagas | 92,060 | 0.0 | |||
14,847 | Endesa S.A. | 330,608 | 0.2 | |||
290,637 | Enel S.p.A. | 1,208,906 | 0.7 | |||
99,049 | Energias de Portugal S.A. | 301,287 | 0.2 | |||
2,271 | Entergy Corp. | 144,776 | 0.1 | |||
11,057 | Exelon Corp. | 328,835 | 0.2 | |||
5,923 | FirstEnergy Corp. | 247,345 | 0.1 | |||
16,991 | Fortum OYJ | 318,089 | 0.2 | |||
16,292 | Gas Natural SDG S.A. | 293,703 | 0.2 | |||
56,531 | Gaz de France | 1,164,323 | 0.6 | |||
35,000 | Power Assets Holdings Ltd. | 300,285 | 0.2 | |||
1,550 | Integrys Energy Group, Inc. | 80,941 | 0.0 | |||
14,300 | Kansai Electric Power Co., Inc. | 150,181 | 0.1 | |||
10,100 | Kyushu Electric Power Co., Inc. | 115,152 | 0.1 | |||
9,000 | Light S.A. | 98,110 | 0.1 | |||
15,200 | Manila Electric Co. | 96,829 | 0.0 | |||
69,207 | National Grid PLC | 793,768 | 0.4 | |||
5,775 | Pacific Gas & Electric Co. | 232,040 | 0.1 | |||
6,600 | Pepco Holdings, Inc. | 129,426 | 0.1 | |||
325,500 | Perusahaan Gas Negara PT | 155,863 | 0.1 | |||
2,300 | Pinnacle West Capital Corp. | 117,254 | 0.1 | |||
7,305 | PPL Corp. | 209,142 | 0.1 | |||
6,121 | Public Service Enterprise Group, Inc. | 187,303 | 0.1 | |||
1,774 | Red Electrica de Espana | 87,629 | 0.0 | |||
12,754 | RWE AG | 529,006 | 0.3 | |||
2,700 | SCANA Corp. | 123,228 | 0.1 | |||
19,830 | Scottish & Southern Energy PLC | 461,330 | 0.2 | |||
4,819 | Severn Trent PLC | 124,002 | 0.1 | |||
11,117 | Southern Co. | 475,919 | 0.3 | |||
10,891 | Suez Environnement S.A. | 131,377 | 0.1 | |||
15,700 | Tauron Polska Energia SA | 24,116 | 0.0 | |||
5,300 | TECO Energy, Inc. | 88,828 | 0.1 | |||
49,357 | Terna S.p.A | 197,515 | 0.1 | |||
7,400 | Tractebel Energia S.A. | 120,532 | 0.1 | |||
4,700 | Transalta Corp. | 71,443 | 0.0 | |||
15,081 | United Utilities Group PLC | 166,023 | 0.1 | |||
8,032 | Vector Ltd. | 18,157 | 0.0 | |||
12,655 | Veolia Environnement | 153,418 | 0.1 | |||
16,033,031 | 8.8 | |||||
Total Common Stock | ||||||
(Cost $157,796,109) | 178,661,650 | 98.4 | ||||
RIGHTS: 0.0% | ||||||
Energy: 0.0% | ||||||
31,672 | @ | Repsol SA | 19,314 | 0.0 | ||
Financials: 0.0% | ||||||
67,607 | @ | Banco de Chile | 855 | 0.0 | ||
Total Rights | ||||||
(Cost $–) | 20,169 | 0.0 | ||||
Total Long-Term Investments | ||||||
(Cost $157,796,109) | 178,681,819 | 98.4 | ||||
SHORT-TERM INVESTMENTS: 1.6% | ||||||
Mutual Funds: 1.6% | ||||||
2,988,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $2,988,000) | 2,988,000 | 1.6 | ||||
Total Short-Term Investments | ||||||||||
(Cost $2,988,000) | 2,988,000 | 1.6 | ||||||||
Total Investments in Securities (Cost $160,784,109) | $ | 181,669,819 | 100.0 | |||||||
Assets in Excess of Other Liabilities | 23,874 | – | ||||||||
Net Assets | $ | 181,693,693 | 100.0 | |||||||
@ | Non-income producing security |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
Cost for federal income tax purposes is $163,139,703. | ||||
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 31,403,583 | ||
Gross Unrealized Depreciation | (12,873,467 | ) | ||
Net Unrealized Appreciation | $ | 18,530,116 | ||
Fair Value Measurements^
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs # (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 794,631 | $ | 5,465,538 | $ | – | $ | 6,260,169 | ||||||||
Consumer Staples | 2,799,868 | 7,630,365 | – | 10,430,233 | ||||||||||||
Energy | 7,884,311 | 15,163,016 | – | 23,047,327 | ||||||||||||
Financials | 9,595,952 | 39,559,439 | – | 49,155,391 | ||||||||||||
Health Care | 5,306,246 | 10,313,667 | – | 15,619,913 | ||||||||||||
Industrials | 935,609 | 11,409,643 | – | 12,345,252 | ||||||||||||
Information Technology | 279,635 | 3,183,928 | – | 3,463,563 | ||||||||||||
Materials | 2,457,902 | 11,748,580 | – | 14,206,482 | ||||||||||||
Telecommunication Services | 7,648,990 | 20,451,299 | – | 28,100,289 | ||||||||||||
Utilities | 6,184,487 | 9,848,544 | – | 16,033,031 | ||||||||||||
Total Common Stock | 43,887,631 | 134,774,019 | – | 178,661,650 | ||||||||||||
Rights | 20,169 | – | – | 20,169 | ||||||||||||
Short-Term Investments | 2,988,000 | – | – | 2,988,000 | ||||||||||||
Total Investments, at fair value | $ | 46,895,800 | $ | 134,774,019 | $ | – | $ | 181,669,819 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 33,685 | – | – | 33,685 | ||||||||||||
Total Assets | $ | 46,929,485 | $ | 134,774,019 | $ | – | $ | 181,703,504 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | $ | (4,087 | ) | $ | – | $ | – | $ | (4,087 | ) | ||||||
Total Liabilities | $ | (4,087 | ) | $ | – | $ | – | $ | (4,087 | ) |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
# | The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Portfolio may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a portion of the Portfolio's investments are categorized as Level 2 investments. |
ING WisdomTree(SM) Global High-Yielding Equity Index Portfolio Open Futures Contracts on December 31, 2012: | ||||||||||||||
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Contracts | ||||||||||||||
Mini MSCI EAFE Index | 30 | 03/15/13 | $ | 2,430,450 | $ | 18,674 | ||||||||
Mini MSCI Emerging Markets Index | 16 | 03/15/13 | 858,800 | 15,011 | ||||||||||
S&P 500 E-Mini | 11 | 03/15/13 | 781,055 | (4,087 | ) | |||||||||
$ | 4,070,305 | $ | 29,598 | |||||||||||
ING Index Plus LargeCap Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 99.4% | ||||||
Consumer Discretionary: 12.8% | ||||||
78,523 | ADT Corp. | 3,650,534 | 0.6 | |||
7,057 | @ | Amazon.com, Inc. | 1,772,295 | 0.3 | ||
166,911 | CBS Corp. - Class B | 6,350,964 | 1.0 | |||
262,503 | Comcast Corp. – Class A | 9,812,362 | 1.5 | |||
79,854 | @ | Delphi Automotive PLC | 3,054,416 | 0.5 | ||
29,582 | @ | Discovery Communications, Inc. - Class A | 1,877,865 | 0.3 | ||
71,541 | Foot Locker, Inc. | 2,297,897 | 0.3 | |||
158,578 | Gap, Inc. | 4,922,261 | 0.8 | |||
49,497 | Harley-Davidson, Inc. | 2,417,433 | 0.4 | |||
100,416 | Home Depot, Inc. | 6,210,730 | 1.0 | |||
122,564 | Lowe's Cos., Inc. | 4,353,473 | 0.7 | |||
141,673 | Macy's, Inc. | 5,528,080 | 0.8 | |||
21,385 | McDonald's Corp. | 1,886,371 | 0.3 | |||
60,000 | @ | Michael Kors Holdings Ltd. | 3,061,800 | 0.5 | ||
163,117 | Newell Rubbermaid, Inc. | 3,632,616 | 0.6 | |||
24,653 | Petsmart, Inc. | 1,684,786 | 0.2 | |||
4,895 | @ | Priceline.com, Inc. | 3,040,774 | 0.5 | ||
34,915 | Ross Stores, Inc. | 1,890,647 | 0.3 | |||
32,699 | Scripps Networks Interactive - Class A | 1,893,926 | 0.3 | |||
29,049 | Six Flags Entertainment Corp. | 1,777,799 | 0.3 | |||
95,497 | Starbucks Corp. | 5,120,549 | 0.8 | |||
53,799 | TJX Cos., Inc. | 2,283,768 | 0.3 | |||
33,684 | Walt Disney Co. | 1,677,126 | 0.2 | |||
37,165 | Wyndham Worldwide Corp. | 1,977,550 | 0.3 | |||
82,176,022 | 12.8 | |||||
Consumer Staples: 9.8% | ||||||
121,779 | Altria Group, Inc. | 3,826,296 | 0.6 | |||
113,068 | Coca-Cola Co. | 4,098,715 | 0.6 | |||
161,029 | Coca-Cola Enterprises, Inc. | 5,109,450 | 0.8 | |||
57,625 | Costco Wholesale Corp. | 5,691,621 | 0.9 | |||
29,248 | Estee Lauder Cos, Inc. | 1,750,785 | 0.3 | |||
57,915 | JM Smucker Co. | 4,994,590 | 0.8 | |||
72,214 | Kroger Co. | 1,879,008 | 0.3 | |||
39,203 | Molson Coors Brewing Co. | 1,677,496 | 0.2 | |||
34,025 | PepsiCo, Inc. | 2,328,331 | 0.4 | |||
108,537 | Philip Morris International, Inc. | 9,078,035 | 1.4 | |||
95,019 | Procter & Gamble Co. | 6,450,840 | 1.0 | |||
66,850 | Walgreen Co. | 2,474,119 | 0.4 | |||
152,925 | Wal-Mart Stores, Inc. | 10,434,073 | 1.6 | |||
36,059 | Whole Foods Market, Inc. | 3,293,268 | 0.5 | |||
63,086,627 | 9.8 | |||||
Energy: 11.9% | ||||||
44,568 | @ | Cameron International Corp. | 2,516,309 | 0.4 | ||
71,463 | Chevron Corp. | 7,728,009 | 1.2 | |||
28,726 | ConocoPhillips | 1,665,821 | 0.3 | |||
108,433 | @ | Denbury Resources, Inc. | 1,756,615 | 0.3 | ||
24,305 | L | Diamond Offshore Drilling | 1,651,768 | 0.3 | ||
41,185 | @ | Ensco PLC | 2,441,447 | 0.4 | ||
44,423 | EOG Resources, Inc. | 5,365,854 | 0.8 | |||
286,667 | ExxonMobil Corp. | 24,811,029 | 3.9 | |||
192,734 | Halliburton Co. | 6,685,942 | 1.0 | |||
76,942 | Marathon Oil Corp. | 2,359,042 | 0.4 | |||
41,720 | Marathon Petroleum Corp. | 2,628,360 | 0.4 | |||
25,139 | Occidental Petroleum Corp. | 1,925,899 | 0.3 | |||
40,058 | Phillips 66 | 2,127,080 | 0.3 | |||
35,398 | Range Resources Corp. | 2,224,056 | 0.3 | |||
46,671 | Royal Dutch Shell PLC - Class A ADR | 3,217,965 | 0.5 | |||
27,669 | Schlumberger Ltd. | 1,917,185 | 0.3 | |||
131,836 | Statoil ASA ADR | 3,301,173 | 0.5 | |||
56,071 | Valero Energy Corp. | 1,913,143 | 0.3 | |||
76,236,697 | 11.9 | |||||
Financials: 14.6% | ||||||
50,367 | @ | American International Group, Inc. | 1,777,955 | 0.3 | ||
63,697 | Ameriprise Financial, Inc. | 3,989,343 | 0.6 | |||
251,749 | Bank of America Corp. | 2,920,288 | 0.4 | |||
119,233 | BB&T Corp. | 3,470,873 | 0.5 | |||
57,505 | @ | Berkshire Hathaway, Inc. | 5,158,199 | 0.8 | ||
18,689 | Blackrock, Inc. | 3,863,203 | 0.6 | |||
23,200 | Capital One Financial Corp. | 1,343,976 | 0.2 | |||
204,503 | Citigroup, Inc. | 8,090,139 | 1.3 | |||
103,506 | Discover Financial Services | 3,990,156 | 0.6 | |||
208,617 | Fifth Third Bancorp. | 3,168,892 | 0.5 | |||
13,699 | Franklin Resources, Inc. | 1,721,964 | 0.3 | |||
138,878 | Host Hotels & Resorts, Inc. | 2,176,218 | 0.3 | |||
66,402 | @ | Invesco Ltd. | 1,732,428 | 0.3 | ||
260,808 | JPMorgan Chase & Co. | 11,467,728 | 1.8 | |||
323,202 | Keycorp | 2,721,361 | 0.4 | |||
76,663 | Lincoln National Corp. | 1,985,572 | 0.3 | |||
68,071 | Nasdaq Stock Market, Inc. | 1,702,456 | 0.3 | |||
37,675 | PNC Financial Services Group, Inc. | 2,196,829 | 0.3 | |||
49,365 | ProLogis, Inc. | 1,801,329 | 0.3 | |||
83,491 | SunTrust Bank | 2,366,970 | 0.4 | |||
56,742 | Travelers Cos., Inc. | 4,075,210 | 0.6 | |||
166,743 | US Bancorp. | 5,325,771 | 0.8 | |||
27,547 | Ventas, Inc. | 1,782,842 | 0.3 | |||
125,119 | Weingarten Realty Investors | 3,349,436 | 0.5 | |||
274,854 | Wells Fargo & Co. | 9,394,510 | 1.5 | |||
93,002 | @ | XL Group PLC | 2,330,630 | 0.4 | ||
93,904,278 | 14.6 | |||||
Health Care: 11.1% | ||||||
142,158 | Abbott Laboratories | 9,311,349 | 1.5 | |||
45,145 | Aetna, Inc. | 2,090,214 | 0.3 | |||
20,105 | Amgen, Inc. | 1,735,464 | 0.3 | |||
71,420 | Cigna Corp. | 3,818,113 | 0.6 | |||
20,204 | Cooper Cos., Inc. | 1,868,466 | 0.3 | |||
64,192 | @ | Express Scripts Holding Co. | 3,466,368 | 0.5 | ||
81,361 | @ | Gilead Sciences, Inc. | 5,975,965 | 0.9 | ||
96,941 | Johnson & Johnson | 6,795,564 | 1.1 | |||
114,369 | Medtronic, Inc. | 4,691,416 | 0.7 | |||
249,770 | Merck & Co., Inc. | 10,225,584 | 1.6 | |||
572,181 | Pfizer, Inc. | 14,350,299 | 2.2 | |||
58,904 | @ | Watson Pharmaceuticals, Inc. | 5,065,744 | 0.8 | ||
35,440 | WellPoint, Inc. | 2,159,005 | 0.3 | |||
71,553,551 | 11.1 | |||||
Industrials: 9.4% | ||||||
76,248 | Ametek, Inc. | 2,864,637 | 0.4 | |||
103,454 | Danaher Corp. | 5,783,079 | 0.9 | |||
53,104 | Dover Corp. | 3,489,464 | 0.5 | |||
95,034 | Equifax, Inc. | 5,143,240 | 0.8 | |||
74,689 | Fluor Corp. | 4,387,232 | 0.7 | |||
88,660 | General Dynamics Corp. | 6,141,478 | 0.9 | |||
402,803 | General Electric Co. | 8,454,835 | 1.3 | |||
47,998 | Northrop Grumman Corp. | 3,243,705 | 0.5 | |||
35,610 | Raytheon Co. | 2,049,712 | 0.3 | |||
39,428 | Roper Industries, Inc. | 4,395,433 | 0.7 | |||
351,895 | Southwest Airlines Co. | 3,603,405 | 0.6 | |||
61,589 | Union Pacific Corp. | 7,742,969 | 1.2 | |||
20,771 | United Technologies Corp. | 1,703,430 | 0.3 | |||
49,974 | Waste Connections, Inc. | 1,688,621 | 0.3 | |||
60,691,240 | 9.4 | |||||
Information Technology: 19.1% | ||||||
51,417 | Apple, Inc. | 27,406,804 | 4.3 | |||
40,863 | Automatic Data Processing, Inc. | 2,329,600 | 0.4 | |||
511,651 | Cisco Systems, Inc. | 10,053,942 | 1.6 | |||
171,034 | Dell, Inc. | 1,732,574 | 0.3 | |||
180,595 | @ | EMC Corp. | 4,569,054 | 0.7 | ||
103,035 | Fidelity National Information Services, Inc. | 3,586,648 | 0.5 | |||
19,047 | @ | Google, Inc. - Class A | 13,511,370 | 2.1 | ||
37,779 | International Business Machines Corp. | 7,236,567 | 1.1 | |||
96,222 | Intel Corp. | 1,985,060 | 0.3 | |||
33,297 | Intuit, Inc. | 1,981,172 | 0.3 | |||
102,056 | @ | Juniper Networks, Inc. | 2,007,442 | 0.3 | ||
36,290 | KLA-Tencor Corp. | 1,733,210 | 0.3 | |||
523,948 | Microsoft Corp. | 14,005,130 | 2.2 | |||
164,537 | @ | NetApp, Inc. | 5,520,216 | 0.9 | ||
335,221 | Oracle Corp. | 11,169,564 | 1.7 | |||
35,966 | Qualcomm, Inc. | 2,230,611 | 0.3 | |||
128,431 | @ | Seagate Technology | 3,914,577 | 0.6 | ||
39,152 | Visa, Inc. | 5,934,660 | 0.9 | |||
46,014 | Western Digital Corp. | 1,955,135 | 0.3 | |||
122,863,336 | 19.1 | |||||
Materials: 3.2% | ||||||
18,835 | CF Industries Holdings, Inc. | 3,826,519 | 0.6 | |||
82,026 | Eastman Chemical Co. | 5,581,869 | 0.9 | |||
55,783 | EI Du Pont de Nemours & Co. | 2,508,561 | 0.4 | |||
88,620 | Freeport-McMoRan Copper & Gold, Inc. | 3,030,804 | 0.5 | |||
73,038 | International Paper Co. | 2,909,834 | 0.4 | |||
60,616 | Nucor Corp. | 2,617,399 | 0.4 | |||
20,474,986 | 3.2 | |||||
Telecommunication Services: 3.2% | ||||||
198,080 | AT&T, Inc. | 6,677,277 | 1.1 | |||
86,936 | CenturyTel, Inc. | 3,400,936 | 0.5 | |||
241,742 | Verizon Communications, Inc. | 10,460,177 | 1.6 | |||
20,538,390 | 3.2 | |||||
Utilities: 4.3% | ||||||
64,536 | Ameren Corp. | 1,982,546 | 0.3 | |||
267,835 | CenterPoint Energy, Inc. | 5,155,824 | 0.8 | |||
85,460 | DTE Energy Co. | 5,131,873 | 0.8 | |||
77,237 | Entergy Corp. | 4,923,859 | 0.8 | |||
120,636 | Great Plains Energy, Inc. | 2,450,117 | 0.4 | |||
264,514 | NV Energy, Inc. | 4,798,284 | 0.7 | |||
99,591 | Public Service Enterprise Group, Inc. | 3,047,484 | 0.5 | |||
27,489,987 | 4.3 | |||||
Total Common Stock | ||||||
(Cost $598,166,378) | 639,015,114 | 99.4 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 0.9% | ||||||
Securities Lending Collateralcc(1): 0.2% | ||||||
1,000,000 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,000,011, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,020,000, due 10/01/16-12/20/42) | 1,000,000 | 0.1 | |||
17,746 | Merrill Lynch & Co., Inc., Repurchase Agreement dated 12/31/12, 0.14%, due 01/02/13 (Repurchase Amount $17,746, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $18,101, due 08/09/13-04/18/36) | 17,746 | 0.0 | |||
636,881 | Royal Bank of Canada, Repurchase Agreement dated 12/31/12, 0.15%, due 01/02/13 (Repurchase Amount $636,886, collateralized by various U.S. Government Securities, 0.125%-2.000%, Market Value plus accrued interest $649,619, due 07/15/14-08/15/22) | 636,881 | 0.1 | |||
1,654,627 | 0.2 | |||||
Shares | Value | Percentage of Net Assets | ||||
Mutual Funds: 0.7% | ||||||
4,420,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $4,420,000) | 4,420,000 | 0.7 | ||||
Total Short-Term Investments | ||||||||||
(Cost $6,074,627) | 6,074,627 | 0.9 | ||||||||
Total Investments in Securities (Cost $604,241,005) | $ | 645,089,741 | 100.3 | |||||||
Liabilities in Excess of Other Assets | (1,706,795 | ) | (0.3 | ) | ||||||
Net Assets | $ | 643,382,946 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
ADR | American Depositary Receipt |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $607,885,574. | |||||
Net unrealized appreciation consists of: | |||||
Gross Unrealized Appreciation | $ | 48,901,171 | |||
Gross Unrealized Depreciation | (11,697,004 | ) | |||
Net Unrealized Appreciation | $ | 37,204,167 | |||
Fair Value Measurements^ | |||||||||||
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities: | |||||||||||
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | ||||||||
Asset Table | |||||||||||
Investments, at fair value | |||||||||||
Common Stock* | $ | 639,015,114 | $ | – | $ | – | $ | 639,015,114 | |||
Short-Term Investments | 4,420,000 | 1,654,627 | – | 6,074,627 | |||||||
Total Investments, at fair value | $ | 643,435,114 | $ | 1,654,627 | $ | – | $ | 645,089,741 | |||
Liabilities Table | |||||||||||
Other Financial Instruments+ | |||||||||||
Futures | $ | (37,376) | $ | – | $ | – | $ | (37,376) | |||
Total Liabilities | $ | (37,376) | $ | – | $ | – | $ | (37,376) | |||
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
ING Index Plus LargeCap Portfolio Open Futures Contracts on December 31, 2012: | |||||||
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | |||
Long Contracts | |||||||
S&P 500 E-Mini | 40 | 03/15/13 | $ 2,840,200 | $ (37,376) | |||
$ 2,840,200 | $ (37,376) | ||||||
See Accompanying Notes to Financial Statements |
ING Index Plus MidCap Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 99.8% | ||||||
Consumer Discretionary: 12.9% | ||||||
57,226 | Advance Auto Parts, Inc. | 4,140,301 | 0.7 | |||
137,686 | @ | Aeropostale, Inc. | 1,791,295 | 0.3 | ||
84,100 | American Eagle Outfitters | 1,724,891 | 0.3 | |||
80,530 | @ | Ascena Retail Group, Inc. | 1,489,000 | 0.2 | ||
107,489 | @ | Bally Technologies, Inc. | 4,805,833 | 0.8 | ||
135,723 | Brinker International, Inc. | 4,206,056 | 0.7 | |||
129,514 | Chico's FAS, Inc. | 2,390,828 | 0.4 | |||
108,296 | Cinemark Holdings, Inc. | 2,813,530 | 0.5 | |||
81,315 | @ | Delphi Automotive PLC | 3,110,299 | 0.5 | ||
40,232 | Dick's Sporting Goods, Inc. | 1,830,154 | 0.3 | |||
39,712 | @ | DineEquity, Inc. | 2,660,704 | 0.4 | ||
187,217 | Foot Locker, Inc. | 6,013,410 | 1.0 | |||
85,696 | Guess ?, Inc. | 2,102,980 | 0.3 | |||
34,321 | @ | Hanesbrands, Inc. | 1,229,378 | 0.2 | ||
55,984 | Harley-Davidson, Inc. | 2,734,258 | 0.4 | |||
23,937 | @ | Jarden Corp. | 1,237,543 | 0.2 | ||
85,277 | @ | Life Time Fitness, Inc. | 4,196,481 | 0.7 | ||
187,378 | @ | LKQ Corp. | 3,953,676 | 0.7 | ||
73,761 | @ | Michael Kors Holdings Ltd. | 3,764,024 | 0.6 | ||
168,600 | Newell Rubbermaid, Inc. | 3,754,722 | 0.6 | |||
13,171 | @ | Panera Bread Co. | 2,091,950 | 0.3 | ||
22,376 | Petsmart, Inc. | 1,529,176 | 0.3 | |||
23,377 | PVH Corp. | 2,595,081 | 0.4 | |||
66,074 | Regis Corp. | 1,117,972 | 0.2 | |||
214,427 | @,L | Saks, Inc. | 2,253,628 | 0.4 | ||
35,450 | Scripps Networks Interactive - Class A | 2,053,264 | 0.3 | |||
45,230 | Thor Industries, Inc. | 1,692,959 | 0.3 | |||
35,029 | @ | Toll Brothers, Inc. | 1,132,487 | 0.2 | ||
13,339 | Tractor Supply Co. | 1,178,634 | 0.2 | |||
76,384 | @ | WMS Industries, Inc. | 1,336,720 | 0.2 | ||
30,340 | Wyndham Worldwide Corp. | 1,614,391 | 0.3 | |||
78,545,625 | 12.9 | |||||
Consumer Staples: 3.3% | ||||||
26 | Beam, Inc. | 1,588 | 0.0 | |||
29,400 | Church & Dwight Co., Inc. | 1,574,958 | 0.2 | |||
38,795 | Coca-Cola Enterprises, Inc. | 1,230,965 | 0.2 | |||
14,817 | Energizer Holdings, Inc. | 1,185,064 | 0.2 | |||
124,193 | Flowers Foods, Inc. | 2,889,971 | 0.5 | |||
41,417 | Harris Teeter Supermarkets, Inc. | 1,597,040 | 0.3 | |||
50,986 | Ingredion, Inc. | 3,285,028 | 0.5 | |||
18,900 | JM Smucker Co. | 1,629,936 | 0.3 | |||
24,454 | Sanderson Farms, Inc. | 1,162,788 | 0.2 | |||
167,795 | @ | Smithfield Foods, Inc. | 3,619,338 | 0.6 | ||
39,021 | Universal Corp. | 1,947,538 | 0.3 | |||
20,124,214 | 3.3 | |||||
Energy: 6.5% | ||||||
232,976 | @ | Bill Barrett Corp. | 4,144,643 | 0.7 | ||
95,100 | @ | Denbury Resources, Inc. | 1,540,620 | 0.3 | ||
30,060 | @ | Dril-Quip, Inc. | 2,195,883 | 0.4 | ||
20,919 | @ | Ensco PLC | 1,240,078 | 0.2 | ||
20,811 | EQT Corp. | 1,227,433 | 0.2 | |||
39,624 | @ | Helix Energy Solutions Group, Inc. | 817,839 | 0.1 | ||
177,043 | HollyFrontier Corp. | 8,241,352 | 1.4 | |||
22,400 | Oceaneering International, Inc. | 1,204,896 | 0.2 | |||
25,833 | @ | Oil States International, Inc. | 1,848,093 | 0.3 | ||
122,119 | Patterson-UTI Energy, Inc. | 2,275,077 | 0.4 | |||
11,790 | Range Resources Corp. | 740,766 | 0.1 | |||
54,151 | @ | Rosetta Resources, Inc. | 2,456,289 | 0.4 | ||
21,995 | @ | Rowan Companies PLC | 687,784 | 0.1 | ||
268,873 | @ | Superior Energy Services | 5,571,048 | 0.9 | ||
74,243 | @ | Unit Corp. | 3,344,647 | 0.5 | ||
44,111 | World Fuel Services Corp. | 1,816,050 | 0.3 | |||
39,352,498 | 6.5 | |||||
Financials: 22.3% | ||||||
56,962 | @ | Affiliated Managers Group, Inc. | 7,413,604 | 1.2 | ||
31,335 | @ | Alexander & Baldwin, Inc. | 920,309 | 0.2 | ||
5,359 | @ | Alleghany Corp. | 1,797,516 | 0.3 | ||
125,368 | American Campus Communities, Inc. | 5,783,226 | 0.9 | |||
86,985 | American Financial Group, Inc. | 3,437,647 | 0.6 | |||
146,636 | Apollo Investment Corp. | 1,225,877 | 0.2 | |||
113,070 | Arthur J. Gallagher & Co. | 3,917,876 | 0.6 | |||
61,089 | @ | Aspen Insurance Holdings Ltd. | 1,959,735 | 0.3 | ||
154,762 | Associated Banc-Corp. | 2,030,478 | 0.3 | |||
131,106 | Capitol Federal Financial, Inc. | 1,532,629 | 0.3 | |||
35,701 | Commerce Bancshares, Inc. | 1,251,677 | 0.2 | |||
488,164 | DCT Industrial Trust, Inc. | 3,168,184 | 0.5 | |||
245,621 | DDR Corp. | 3,846,425 | 0.6 | |||
107,291 | East-West Bancorp., Inc. | 2,305,684 | 0.4 | |||
44,473 | EPR Properties | 2,050,650 | 0.3 | |||
35,263 | @ | Everest Re Group Ltd. | 3,877,167 | 0.6 | ||
11,522 | Federal Realty Investment Trust | 1,198,518 | 0.2 | |||
285,800 | Fidelity National Financial, Inc. | 6,730,590 | 1.1 | |||
193,724 | First American Financial Corp. | 4,666,811 | 0.8 | |||
181,621 | FirstMerit Corp. | 2,577,202 | 0.4 | |||
176,512 | Fulton Financial Corp. | 1,696,280 | 0.3 | |||
54,600 | HCC Insurance Holdings, Inc. | 2,031,666 | 0.3 | |||
60,026 | Home Properties, Inc. | 3,680,194 | 0.6 | |||
56,447 | Hospitality Properties Trust | 1,321,989 | 0.2 | |||
54,305 | Jones Lang LaSalle, Inc. | 4,558,362 | 0.7 | |||
21,243 | Macerich Co. | 1,238,467 | 0.2 | |||
49,334 | @ | MSCI, Inc. - Class A | 1,528,861 | 0.3 | ||
33,020 | Nasdaq Stock Market, Inc. | 825,830 | 0.1 | |||
167,531 | National Retail Properties, Inc. | 5,226,967 | 0.9 | |||
234,839 | L | New York Community Bancorp., Inc. | 3,076,391 | 0.5 | ||
20,619 | @ | PartnerRe Ltd. | 1,659,623 | 0.3 | ||
34,964 | ProAssurance Corp. | 1,475,131 | 0.2 | |||
91,894 | Prosperity Bancshares, Inc. | 3,859,548 | 0.6 | |||
58,961 | Protective Life Corp. | 1,685,105 | 0.3 | |||
107,333 | Raymond James Financial, Inc. | 4,135,541 | 0.7 | |||
24,538 | Rayonier, Inc. | 1,271,805 | 0.2 | |||
88,460 | Reinsurance Group of America, Inc. | 4,734,379 | 0.8 | |||
93,423 | Senior Housing Properties Trust | 2,208,520 | 0.4 | |||
66,532 | @ | Signature Bank | 4,746,393 | 0.8 | ||
23,043 | SL Green Realty Corp. | 1,766,246 | 0.3 | |||
30,275 | Stancorp Financial Group, Inc. | 1,110,184 | 0.2 | |||
58,166 | @ | SVB Financial Group | 3,255,551 | 0.5 | ||
67,506 | Tanger Factory Outlet Centers, Inc. | 2,308,705 | 0.4 | |||
249,400 | UDR, Inc. | 5,930,732 | 1.0 | |||
69,091 | Webster Financial Corp. | 1,419,820 | 0.2 | |||
194,836 | Weingarten Realty Investors | 5,215,760 | 0.9 | |||
88,324 | @ | XL Group PLC | 2,213,399 | 0.4 | ||
135,873,254 | 22.3 | |||||
Health Care: 10.2% | ||||||
141 | @ | Bio-Rad Laboratories, Inc. | 14,812 | 0.0 | ||
26,044 | @ | Charles River Laboratories International, Inc. | 975,869 | 0.2 | ||
314 | Chemed Corp. | 21,537 | 0.0 | |||
67,176 | Cooper Cos., Inc. | 6,212,436 | 1.0 | |||
10,531 | @ | Health Net, Inc. | 255,903 | 0.0 | ||
32,159 | @ | Henry Schein, Inc. | 2,587,513 | 0.4 | ||
27,494 | Hill-Rom Holdings, Inc. | 783,579 | 0.1 | |||
18,637 | @ | Idexx Laboratories, Inc. | 1,729,514 | 0.3 | ||
77,057 | @ | Masimo Corp. | 1,618,968 | 0.3 | ||
58,235 | @ | Mednax, Inc. | 4,630,847 | 0.8 | ||
109,999 | Owens & Minor, Inc. | 3,136,072 | 0.5 | |||
21,178 | Perrigo Co. | 2,203,147 | 0.4 | |||
26,756 | @ | Regeneron Pharmaceuticals, Inc. | 4,577,149 | 0.7 | ||
161,130 | L | Resmed, Inc. | 6,698,174 | 1.1 | ||
72,833 | Steris Corp. | 2,529,490 | 0.4 | |||
110,491 | @ | Thoratec Corp. | 4,145,622 | 0.7 | ||
73,782 | @ | United Therapeutics Corp. | 3,941,434 | 0.6 | ||
105,252 | Universal Health Services, Inc. | 5,088,934 | 0.8 | |||
167,557 | @ | Vertex Pharmaceuticals, Inc. | 7,027,341 | 1.2 | ||
26,200 | @ | Watson Pharmaceuticals, Inc. | 2,253,200 | 0.4 | ||
35,498 | @ | WellCare Health Plans, Inc. | 1,728,398 | 0.3 | ||
62,159,939 | 10.2 | |||||
Industrials: 17.5% | ||||||
78,560 | Acuity Brands, Inc. | 5,320,869 | 0.9 | |||
112,302 | @ | Alaska Air Group, Inc. | 4,839,093 | 0.8 | ||
236,722 | Ametek, Inc. | 8,893,646 | 1.5 | |||
134,062 | @ | BE Aerospace, Inc. | 6,622,663 | 1.1 | ||
57,079 | Brady Corp. | 1,906,439 | 0.3 | |||
77,204 | @ | Clean Harbors, Inc. | 4,246,992 | 0.7 | ||
116,819 | @ | Copart, Inc. | 3,446,161 | 0.6 | ||
133,138 | Corrections Corp. of America | 4,722,405 | 0.8 | |||
41,587 | Deluxe Corp. | 1,340,765 | 0.2 | |||
32,200 | Equifax, Inc. | 1,742,664 | 0.3 | |||
30,400 | Fluor Corp. | 1,785,696 | 0.3 | |||
56,359 | @ | FTI Consulting, Inc. | 1,859,847 | 0.3 | ||
39,417 | GATX Corp. | 1,706,756 | 0.3 | |||
91,150 | @ | General Cable Corp. | 2,771,872 | 0.4 | ||
36,541 | @ | Genesee & Wyoming, Inc. | 2,780,039 | 0.4 | ||
32,983 | Granite Construction, Inc. | 1,108,888 | 0.2 | |||
27,423 | Hubbell, Inc. | 2,320,808 | 0.4 | |||
421,318 | @ | JetBlue Airways Corp. | 2,405,726 | 0.4 | ||
27,321 | Kansas City Southern | 2,280,757 | 0.4 | |||
92,459 | KBR, Inc. | 2,766,373 | 0.4 | |||
37,548 | Kennametal, Inc. | 1,501,920 | 0.2 | |||
36,456 | Lincoln Electric Holdings, Inc. | 1,774,678 | 0.3 | |||
56,468 | Nordson Corp. | 3,564,260 | 0.6 | |||
19,479 | Pall Corp. | 1,173,805 | 0.2 | |||
72,264 | Regal-Beloit Corp. | 5,092,444 | 0.8 | |||
30,534 | Roper Industries, Inc. | 3,403,930 | 0.6 | |||
90,521 | Trinity Industries, Inc. | 3,242,462 | 0.5 | |||
46,682 | URS Corp. | 1,832,735 | 0.3 | |||
16,365 | Valmont Industries, Inc. | 2,234,641 | 0.4 | |||
24,331 | @ | Verisk Analytics, Inc. | 1,240,881 | 0.2 | ||
25,500 | Wabtec Corp. | 2,232,270 | 0.4 | |||
162,453 | Waste Connections, Inc. | 5,489,287 | 0.9 | |||
45,054 | Watsco, Inc. | 3,374,545 | 0.5 | |||
44,464 | Watts Water Technologies, Inc. | 1,911,507 | 0.3 | |||
81,167 | Werner Enterprises, Inc. | 1,758,889 | 0.3 | |||
51,879 | Woodward Governor Co. | 1,978,146 | 0.3 | |||
106,674,859 | 17.5 | |||||
Information Technology: 15.1% | ||||||
47,683 | @ | ACI Worldwide, Inc. | 2,083,270 | 0.3 | ||
42,197 | @,L | Alliance Data Systems Corp. | 6,108,438 | 1.0 | ||
94,205 | @ | Ansys, Inc. | 6,343,765 | 1.0 | ||
128,211 | @ | AOL, Inc. | 3,796,328 | 0.6 | ||
64,083 | @ | Avnet, Inc. | 1,961,581 | 0.3 | ||
61,955 | @ | Cadence Design Systems, Inc. | 837,012 | 0.1 | ||
12,900 | @ | Equinix, Inc. | 2,659,980 | 0.4 | ||
12,400 | @ | F5 Networks, Inc. | 1,204,660 | 0.2 | ||
64,794 | @ | Fairchild Semiconductor International, Inc. | 933,033 | 0.2 | ||
87,815 | Fidelity National Information Services, Inc. | 3,056,840 | 0.5 | |||
60,982 | Flir Systems, Inc. | 1,360,508 | 0.2 | |||
104,416 | @ | Gartner, Inc. | 4,805,224 | 0.8 | ||
265,300 | @ | Ingram Micro, Inc. | 4,488,876 | 0.7 | ||
259,755 | @ | Integrated Device Technology, Inc. | 1,896,211 | 0.3 | ||
83,788 | @ | International Rectifier Corp. | 1,485,561 | 0.3 | ||
200,834 | Jabil Circuit, Inc. | 3,874,088 | 0.6 | |||
37,834 | KLA-Tencor Corp. | 1,806,952 | 0.3 | |||
36,832 | Lender Processing Services, Inc. | 906,804 | 0.2 | |||
91,956 | @ | Mentor Graphics Corp. | 1,565,091 | 0.3 | ||
124,622 | @ | Micros Systems, Inc. | 5,288,958 | 0.9 | ||
23,311 | National Instruments Corp. | 601,657 | 0.1 | |||
49,715 | @ | NeuStar, Inc. | 2,084,550 | 0.3 | ||
2,224 | Nvidia Corp. | 27,333 | 0.0 | |||
137,361 | @ | Parametric Technology Corp. | 3,091,996 | 0.5 | ||
22,045 | Plantronics, Inc. | 812,799 | 0.1 | |||
200,160 | @ | Polycom, Inc. | 2,093,673 | 0.3 | ||
314,359 | @ | QLogic Corp. | 3,058,713 | 0.5 | ||
23,000 | @ | Rackspace Hosting, Inc. | 1,708,210 | 0.3 | ||
295,812 | @ | Riverbed Technolgoy, Inc. | 5,833,413 | 1.0 | ||
61,802 | @ | Semtech Corp. | 1,789,168 | 0.3 | ||
17,852 | @ | Silicon Laboratories, Inc. | 746,392 | 0.1 | ||
115,496 | @ | Skyworks Solutions, Inc. | 2,344,569 | 0.4 | ||
48,013 | @ | Synopsys, Inc. | 1,528,734 | 0.3 | ||
55,339 | @ | Tech Data Corp. | 2,519,585 | 0.4 | ||
47,600 | @ | TIBCO Software, Inc. | 1,047,676 | 0.2 | ||
22,060 | @ | Trimble Navigation Ltd. | 1,318,747 | 0.2 | ||
178,208 | @ | Vishay Intertechnology, Inc. | 1,894,351 | 0.3 | ||
93,600 | Xilinx, Inc. | 3,360,240 | 0.6 | |||
92,324,986 | 15.1 | |||||
Materials: 7.5% | ||||||
37,169 | Allegheny Technologies, Inc. | 1,128,451 | 0.2 | |||
73,461 | Cabot Corp. | 2,923,013 | 0.5 | |||
24,636 | Carpenter Technology Corp. | 1,271,957 | 0.2 | |||
31,001 | L | Cliffs Natural Resources, Inc. | 1,195,399 | 0.2 | ||
291,932 | Commercial Metals Co. | 4,338,110 | 0.7 | |||
50,635 | Domtar Corp. | 4,229,035 | 0.7 | |||
54,356 | Eastman Chemical Co. | 3,698,926 | 0.6 | |||
1,608 | @ | Intrepid Potash, Inc. | 34,234 | 0.0 | ||
46,587 | @ | Louisiana-Pacific Corp. | 900,061 | 0.2 | ||
92,999 | Minerals Technologies, Inc. | 3,712,520 | 0.6 | |||
5,696 | NewMarket Corp. | 1,493,491 | 0.2 | |||
162,190 | Packaging Corp. of America | 6,239,449 | 1.0 | |||
62,699 | Rock-Tenn Co. | 4,383,287 | 0.7 | |||
45,040 | RPM International, Inc. | 1,322,374 | 0.2 | |||
335,114 | Steel Dynamics, Inc. | 4,601,115 | 0.8 | |||
165,105 | Worthington Industries | 4,291,079 | 0.7 | |||
45,762,501 | 7.5 | |||||
Telecommunication Services: 0.4% | ||||||
21,304 | @ | SBA Communications Corp. | 1,513,010 | 0.2 | ||
47,610 | Telephone & Data Systems, Inc. | 1,054,086 | 0.2 | |||
2,567,096 | 0.4 | |||||
Utilities: 4.1% | ||||||
40,700 | Alliant Energy Corp. | 1,787,137 | 0.3 | |||
68,952 | Cleco Corp. | 2,758,769 | 0.5 | |||
39,309 | DTE Energy Co. | 2,360,505 | 0.4 | |||
46,295 | Energen Corp. | 2,087,442 | 0.3 | |||
209,230 | Great Plains Energy, Inc. | 4,249,461 | 0.7 | |||
46,623 | Idacorp, Inc. | 2,021,107 | 0.3 | |||
338,976 | NV Energy, Inc. | 6,149,025 | 1.0 | |||
22,400 | OGE Energy Corp. | 1,261,344 | 0.2 | |||
105,864 | PNM Resources, Inc. | 2,171,271 | 0.4 | |||
24,846,061 | 4.1 | |||||
Total Common Stock | ||||||
(Cost $578,636,413) | 608,231,033 | 99.8 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 2.1% | ||||||
Securities Lending Collateralcc(1): 1.7% | ||||||
2,467,157 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $2,467,198, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $2,516,500, due 08/01/27-01/01/43) | 2,467,157 | 0.4 | |||
2,467,157 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $2,467,184, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $2,516,500, due 10/01/16-12/20/42) | 2,467,157 | 0.4 | |||
519,250 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $519,255, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $529,636, due 10/31/17-08/15/22) | 519,250 | 0.1 | |||
2,467,157 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $2,467,182, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $2,516,501, due 08/09/13-06/20/42) | 2,467,157 | 0.4 | |||
2,467,157 | Nomura Securities, Repurchase Agreement dated 12/31/12, 0.35%, due 01/02/13 (Repurchase Amount $2,467,204, collateralized by various U.S. Government Agency Obligations, 0.000%-6.101%, Market Value plus accrued interest $2,516,500, due 03/10/14-12/20/42) | 2,467,157 | 0.4 | |||
10,387,878 | 1.7 | |||||
Shares | Value | Percentage of Net Assets | ||||
Mutual Funds: 0.4% | ||||||
2,534,681 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $2,534,681) | 2,534,681 | 0.4 | ||||
Total Short-Term Investments | ||||||||||
(Cost $12,922,559) | 12,922,559 | 2.1 | ||||||||
Total Investments in Securities (Cost $591,558,972) | $ | 621,153,592 | 101.9 | |||||||
Liabilities in Excess of Other Assets | (11,863,541 | ) | (1.9 | ) | ||||||
Net Assets | $ | 609,290,051 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $597,746,914. | |||||
Net unrealized appreciation consists of: | |||||
Gross Unrealized Appreciation | $ | 46,685,640 | |||
Gross Unrealized Depreciation | (23,278,962 | ) | |||
Net Unrealized Appreciation | $ | 23,406,678 | |||
Fair Value Measurements^ |
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities: |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock* | $ | 608,231,033 | $– | $– | $ | 608,231,033 | ||||||||||
Short-Term Investments | 2,534,681 | 10,387,878 | — | 12,922,559 | ||||||||||||
Total Investments, at fair value | $ | 610,765,714 | $ | 10,387,878 | $– | $ | 621,153,592 | |||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 25,690 | — | — | 25,690 | ||||||||||||
Total Assets | $ | 610,791,404 | $ | 10,387,878 | $– | $ | 621,179,282 |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
ING Index Plus MidCap Portfolio Open Futures Contracts on December 31, 2012: | |||||||
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | |||
Long Contracts | |||||||
S&P Mid 400 E-Mini | 15 | 03/15/13 | $ 1,527,150 | $ 25,690 | |||
$ 1,527,150 | $ 25,690 | ||||||
See Accompanying Notes to Financial Statements |
ING Index Plus SmallCap Portfolio | SUMMARY PORTFOLIO OF INVESTMENTS |
as of December 31, 2012December 31, 2012 |
Shares | Value | Percentage of Net Assets | ||||
COMMON STOCK: 99.8% | ||||||
Consumer Discretionary: 15.9% | ||||||
27,792 | Arbitron, Inc. | 1,297,331 | 0.5 | |||
44,243 | @ | Arctic Cat, Inc. | 1,477,274 | 0.6 | ||
988 | @ | Biglari Holdings, Inc. | 385,340 | 0.2 | ||
12,375 | Brunswick Corp. | 359,989 | 0.1 | |||
18,355 | Buckle, Inc. | 819,367 | 0.3 | |||
25,207 | @ | Capella Education Co. | 711,594 | 0.3 | ||
32,759 | Cato Corp. | 898,579 | 0.3 | |||
37,281 | @ | Childrens Place Retail Stores, Inc. | 1,651,175 | 0.6 | ||
39,574 | Cinemark Holdings, Inc. | 1,028,132 | 0.4 | |||
32,570 | @,L | Coinstar, Inc. | 1,693,966 | 0.6 | ||
46,213 | Cooper Tire & Rubber Co. | 1,171,962 | 0.5 | |||
131,242 | @ | Corinthian Colleges, Inc. | 320,230 | 0.1 | ||
2,585 | Cracker Barrel Old Country Store | 166,112 | 0.1 | |||
29,303 | @ | CROCS, Inc. | 421,670 | 0.2 | ||
40,971 | Dana Holding Corp. | 639,557 | 0.2 | |||
28,372 | @ | DineEquity, Inc. | 1,900,924 | 0.7 | ||
28,538 | @ | EW Scripps Co. | 308,496 | 0.1 | ||
34,888 | @ | Express, Inc. | 526,460 | 0.2 | ||
90,281 | Finish Line | 1,709,019 | 0.7 | |||
55,574 | Fred's, Inc. | 739,690 | 0.3 | |||
24,237 | @ | Helen of Troy Ltd. | 809,273 | 0.3 | ||
36,050 | @ | Hibbett Sporting Goods, Inc. | 1,899,835 | 0.7 | ||
27,781 | Hillenbrand, Inc. | 628,128 | 0.2 | |||
46,162 | @ | Jack in the Box, Inc. | 1,320,233 | 0.5 | ||
112,664 | La-Z-Boy, Inc. | 1,594,196 | 0.6 | |||
5,925 | @ | Life Time Fitness, Inc. | 291,569 | 0.1 | ||
16,011 | @ | Marriott Vacations Worldwide Corp. | 667,178 | 0.3 | ||
26,162 | L | Monro Muffler, Inc. | 914,885 | 0.4 | ||
18,848 | Movado Group, Inc. | 578,257 | 0.2 | |||
41,037 | @ | Multimedia Games, Inc. | 603,654 | 0.2 | ||
89,414 | OfficeMax, Inc. | 872,681 | 0.3 | |||
29,289 | @ | Papa John's International, Inc. | 1,609,138 | 0.6 | ||
16,500 | PetMed Express, Inc. | 183,150 | 0.1 | |||
58,278 | Pool Corp. | 2,466,325 | 0.9 | |||
30,900 | @ | Red Robin Gourmet Burgers, Inc. | 1,090,461 | 0.4 | ||
109,459 | @ | Ruby Tuesday, Inc. | 860,348 | 0.3 | ||
21,792 | @ | Sally Beauty Holdings, Inc. | 513,637 | 0.2 | ||
124,428 | @,L | Smith & Wesson Holding Corp. | 1,050,172 | 0.4 | ||
31,094 | @ | Sonic Corp. | 323,689 | 0.1 | ||
25,810 | Stage Stores, Inc. | 639,572 | 0.2 | |||
37,296 | Standard Motor Products, Inc. | 828,717 | 0.3 | |||
25,774 | L | Sturm Ruger & Co., Inc. | 1,170,140 | 0.5 | ||
25,234 | Superior Industries International | 514,774 | 0.2 | |||
9,500 | @ | Vitamin Shoppe, Inc. | 544,920 | 0.2 | ||
43,643 | Wolverine World Wide, Inc. | 1,788,490 | 0.7 | |||
41,990,289 | 15.9 | |||||
Consumer Staples: 3.7% | ||||||
23,617 | Andersons, Inc. | 1,013,169 | 0.4 | |||
5,923 | Calavo Growers, Inc. | 149,319 | 0.1 | |||
40,893 | Casey's General Stores, Inc. | 2,171,418 | 0.8 | |||
33,574 | @ | Central Garden & Pet Co. | 350,848 | 0.1 | ||
20,290 | @ | Elizabeth Arden, Inc. | 913,253 | 0.4 | ||
18,958 | Flowers Foods, Inc. | 441,153 | 0.2 | |||
6,803 | @ | Hain Celestial Group, Inc. | 368,859 | 0.1 | ||
9,691 | J&J Snack Foods Corp. | 619,642 | 0.2 | |||
34,733 | @ | Medifast, Inc. | 916,604 | 0.4 | ||
38,692 | Sanderson Farms, Inc. | 1,839,804 | 0.7 | |||
5,971 | @ | United Natural Foods, Inc. | 319,986 | 0.1 | ||
12,697 | WD-40 Co. | 598,156 | 0.2 | |||
9,702,211 | 3.7 | |||||
Energy: 3.6% | ||||||
70,100 | @,L | Basic Energy Services, Inc. | 799,841 | 0.3 | ||
5,369 | Bristow Group, Inc. | 288,101 | 0.1 | |||
50,550 | @ | C&J Energy Services, Inc. | 1,083,792 | 0.4 | ||
8,740 | @ | Contango Oil & Gas Co. | 370,226 | 0.1 | ||
16,860 | @ | Dril-Quip, Inc. | 1,231,623 | 0.5 | ||
6,500 | @ | Geospace Technologies Corp. | 577,655 | 0.2 | ||
88,719 | @ | Key Energy Services, Inc. | 616,597 | 0.2 | ||
21,298 | Penn Virginia Corp. | 93,924 | 0.0 | |||
103,942 | @ | Petroquest Energy, Inc. | 514,513 | 0.2 | ||
5,744 | @ | Rosetta Resources, Inc. | 260,548 | 0.1 | ||
83,319 | @ | Swift Energy Co. | 1,282,279 | 0.5 | ||
20,229 | @ | Unit Corp. | 911,317 | 0.4 | ||
35,919 | World Fuel Services Corp. | 1,478,785 | 0.6 | |||
9,509,201 | 3.6 | |||||
Financials: 21.4% | ||||||
12,759 | American Campus Communities, Inc. | 588,573 | 0.2 | |||
48,873 | Cash America International, Inc. | 1,938,792 | 0.7 | |||
21,690 | Columbia Banking System, Inc. | 389,119 | 0.1 | |||
54,022 | CubeSmart | 787,100 | 0.3 | |||
211,140 | DCT Industrial Trust, Inc. | 1,370,299 | 0.5 | |||
15,579 | @ | eHealth, Inc. | 428,111 | 0.2 | ||
23,837 | @ | Encore Capital Group, Inc. | 729,889 | 0.3 | ||
56,226 | EPR Properties | 2,592,581 | 1.0 | |||
27,499 | Extra Space Storage, Inc. | 1,000,689 | 0.4 | |||
20,744 | @ | Ezcorp, Inc. | 411,976 | 0.1 | ||
52,479 | @ | Financial Engines, Inc. | 1,456,292 | 0.5 | ||
53,183 | First American Financial Corp. | 1,281,178 | 0.5 | |||
10,968 | Healthcare Realty Trust, Inc. | 263,342 | 0.1 | |||
21,464 | IBERIABANK Corp. | 1,054,312 | 0.4 | |||
15,810 | Jones Lang LaSalle, Inc. | 1,327,091 | 0.5 | |||
15,617 | Kilroy Realty Corp. | 739,777 | 0.3 | |||
101,364 | LaSalle Hotel Properties | 2,573,632 | 1.0 | |||
29,525 | LTC Properties, Inc. | 1,038,985 | 0.4 | |||
19,438 | MarketAxess Holdings, Inc. | 686,161 | 0.3 | |||
9,241 | Mid-America Apartment Communities, Inc. | 598,355 | 0.2 | |||
45,788 | @ | National Financial Partners Corp. | 784,806 | 0.3 | ||
16,806 | National Retail Properties, Inc. | 524,347 | 0.2 | |||
39,983 | PacWest Bancorp | 990,779 | 0.4 | |||
23,884 | @ | Pinnacle Financial Partners, Inc. | 449,975 | 0.2 | ||
26,497 | @ | Piper Jaffray Cos. | 851,349 | 0.3 | ||
21,149 | @ | Portfolio Recovery Associates, Inc. | 2,259,982 | 0.9 | ||
28,100 | Post Properties, Inc. | 1,403,595 | 0.5 | |||
9,376 | Primerica, Inc. | 281,374 | 0.1 | |||
82,644 | PrivateBancorp, Inc. | 1,266,106 | 0.5 | |||
62,190 | ProAssurance Corp. | 2,623,796 | 1.0 | |||
28,690 | Prosperity Bancshares, Inc. | 1,204,980 | 0.4 | |||
65,609 | Provident Financial Services, Inc. | 978,886 | 0.4 | |||
10,741 | PS Business Parks, Inc. | 697,950 | 0.3 | |||
31,078 | Sabra Healthcare REIT, Inc. | 675,014 | 0.2 | |||
24,404 | Selective Insurance Group | 470,265 | 0.2 | |||
20,220 | @ | Signature Bank | 1,442,495 | 0.5 | ||
58,669 | Starwood Property Trust, Inc. | 1,347,040 | 0.5 | |||
47,617 | Stewart Information Services Corp. | 1,238,042 | 0.5 | |||
62,941 | @ | Stifel Financial Corp. | 2,012,224 | 0.8 | ||
229,836 | Susquehanna Bancshares, Inc. | 2,408,681 | 0.9 | |||
23,394 | @ | SVB Financial Group | 1,309,362 | 0.5 | ||
87,249 | Tanger Factory Outlet Centers, Inc. | 2,983,916 | 1.1 | |||
22,553 | @ | Texas Capital Bancshares, Inc. | 1,010,825 | 0.4 | ||
8,882 | UMB Financial Corp. | 389,387 | 0.1 | |||
81,915 | Umpqua Holdings Corp. | 965,778 | 0.4 | |||
9,890 | Universal Health Realty Income Trust | 500,533 | 0.2 | |||
83,021 | @ | Wilshire Bancorp., Inc. | 487,333 | 0.2 | ||
55,727 | Wintrust Financial Corp. | 2,045,181 | 0.8 | |||
22,150 | @,L | World Acceptance, Corp. | 1,651,504 | 0.6 | ||
56,511,759 | 21.4 | |||||
Health Care: 11.3% | ||||||
50,195 | @ | Acorda Therapeutics, Inc. | 1,247,848 | 0.5 | ||
238,947 | @ | Affymetrix, Inc. | 757,462 | 0.3 | ||
14,907 | @ | Air Methods Corp. | 549,919 | 0.2 | ||
24,873 | @ | Align Technology, Inc. | 690,226 | 0.3 | ||
42,968 | @ | Amsurg Corp. | 1,289,470 | 0.5 | ||
11,510 | Analogic Corp. | 855,193 | 0.3 | |||
121,866 | @ | Arqule, Inc. | 340,006 | 0.1 | ||
32,220 | @,L | Bio-Reference Labs, Inc. | 924,392 | 0.4 | ||
33,239 | @ | Centene Corp. | 1,362,799 | 0.5 | ||
31,508 | Chemed Corp. | 2,161,134 | 0.8 | |||
14,227 | Conmed Corp. | 397,645 | 0.2 | |||
21,334 | @ | Cubist Pharmaceuticals, Inc. | 897,308 | 0.3 | ||
15,417 | Ensign Group, Inc. | 419,188 | 0.2 | |||
22,580 | @ | Greatbatch, Inc. | 524,759 | 0.2 | ||
50,582 | @ | Haemonetics Corp. | 2,065,769 | 0.8 | ||
49,349 | @ | Healthsouth Corp. | 1,041,757 | 0.4 | ||
5,941 | @ | ICU Medical, Inc. | 361,985 | 0.1 | ||
14,710 | @ | Impax Laboratories, Inc. | 301,408 | 0.1 | ||
6,865 | @ | IPC The Hospitalist Co., Inc. | 272,609 | 0.1 | ||
4,539 | Landauer, Inc. | 277,832 | 0.1 | |||
28,653 | @ | Luminex Corp. | 480,224 | 0.2 | ||
14,711 | @ | Magellan Health Services, Inc. | 720,839 | 0.3 | ||
86,080 | @ | Medicines Co. | 2,063,338 | 0.8 | ||
3,271 | @ | Mednax, Inc. | 260,110 | 0.1 | ||
41,868 | @ | Merit Medical Systems, Inc. | 581,965 | 0.2 | ||
93,170 | @ | Momenta Pharmaceuticals, Inc. | 1,097,543 | 0.4 | ||
15,944 | @ | MWI Veterinary Supply, Inc. | 1,753,840 | 0.7 | ||
22,110 | @ | Neogen Corp. | 1,002,025 | 0.4 | ||
61,047 | @ | Omnicell, Inc. | 907,769 | 0.3 | ||
9,199 | Owens & Minor, Inc. | 262,264 | 0.1 | |||
40,506 | @ | Salix Pharmaceuticals Ltd. | 1,639,683 | 0.6 | ||
18,622 | @,L | Spectrum Pharmaceuticals, Inc. | 208,380 | 0.1 | ||
7,680 | Steris Corp. | 266,726 | 0.1 | |||
10,270 | @ | Thoratec Corp. | 385,330 | 0.1 | ||
27,494 | Universal Health Services, Inc. | 1,329,335 | 0.5 | |||
29,698,080 | 11.3 | |||||
Industrials: 16.1% | ||||||
89,225 | Actuant Corp. | 2,490,270 | 0.9 | |||
27,088 | @ | Allegiant Travel Co. | 1,988,530 | 0.8 | ||
4,290 | AO Smith Corp. | 270,570 | 0.1 | |||
18,200 | Applied Industrial Technologies, Inc. | 764,582 | 0.3 | |||
11,019 | AZZ, Inc. | 423,460 | 0.2 | |||
68,703 | Barnes Group, Inc. | 1,543,069 | 0.6 | |||
9,668 | Belden CDT, Inc. | 434,963 | 0.2 | |||
58,648 | Brady Corp. | 1,958,843 | 0.7 | |||
15,866 | @ | Clean Harbors, Inc. | 872,789 | 0.3 | ||
15,968 | @ | Consolidated Graphics, Inc. | 557,603 | 0.2 | ||
19,465 | Cubic Corp. | 933,736 | 0.4 | |||
9,785 | Curtiss-Wright Corp. | 321,242 | 0.1 | |||
3,159 | EMCOR Group, Inc. | 109,333 | 0.0 | |||
43,541 | @ | EnerSys | 1,638,448 | 0.6 | ||
39,689 | @ | EnPro Industries, Inc. | 1,623,280 | 0.6 | ||
9,616 | @ | Exponent, Inc. | 536,861 | 0.2 | ||
45,879 | Forward Air Corp. | 1,606,224 | 0.6 | |||
17,486 | Franklin Electric Co., Inc. | 1,087,105 | 0.4 | |||
41,549 | Healthcare Services Group | 965,183 | 0.4 | |||
66,709 | Heartland Express, Inc. | 871,887 | 0.3 | |||
48,237 | @ | HUB Group, Inc. | 1,620,763 | 0.6 | ||
27,545 | Kelly Services, Inc. | 433,558 | 0.2 | |||
37,961 | Knight Transportation, Inc. | 555,370 | 0.2 | |||
24,801 | @ | Moog, Inc. | 1,017,585 | 0.4 | ||
7,457 | @ | Old Dominion Freight Line | 255,626 | 0.1 | ||
70,255 | @ | Orbital Sciences Corp. | 967,411 | 0.4 | ||
20,838 | Regal-Beloit Corp. | 1,468,454 | 0.6 | |||
5,203 | Robbins & Myers, Inc. | 309,318 | 0.1 | |||
9,412 | Simpson Manufacturing Co., Inc. | 308,620 | 0.1 | |||
11,556 | Standex International Corp. | 592,707 | 0.2 | |||
32,522 | @ | SYKES Enterprises, Inc. | 494,985 | 0.2 | ||
35,820 | @ | Teledyne Technologies, Inc. | 2,330,807 | 0.9 | ||
66,655 | @ | Tetra Tech, Inc. | 1,763,025 | 0.7 | ||
63,497 | Toro Co. | 2,729,101 | 1.0 | |||
49,327 | @ | TrueBlue, Inc. | 776,900 | 0.3 | ||
13,769 | Unifirst Corp. | 1,009,543 | 0.4 | |||
31,678 | United Stationers, Inc. | 981,701 | 0.4 | |||
23,086 | Universal Forest Products, Inc. | 878,192 | 0.3 | |||
26,028 | Waste Connections, Inc. | 879,486 | 0.3 | |||
49,873 | Watts Water Technologies, Inc. | 2,144,040 | 0.8 | |||
42,515,170 | 16.1 | |||||
Information Technology: 18.7% | ||||||
85,362 | @ | Advanced Energy Industries, Inc. | 1,178,849 | 0.4 | ||
99,861 | @ | Arris Group, Inc. | 1,491,923 | 0.6 | ||
24,362 | @ | Avid Technology, Inc. | 184,664 | 0.1 | ||
57,597 | @ | Benchmark Electronics, Inc. | 957,262 | 0.4 | ||
40,338 | Blackbaud, Inc. | 920,917 | 0.4 | |||
103,191 | Brooks Automation, Inc. | 830,688 | 0.3 | |||
26,590 | @ | Cabot Microelectronics Corp. | 944,211 | 0.4 | ||
39,178 | @ | CACI International, Inc. | 2,155,965 | 0.8 | ||
55,982 | @ | Cardtronics, Inc. | 1,329,013 | 0.5 | ||
32,729 | @ | Coherent, Inc. | 1,656,742 | 0.6 | ||
31,214 | @ | Commvault Systems, Inc. | 2,175,928 | 0.8 | ||
21,825 | Comtech Telecommunications | 553,918 | 0.2 | |||
36,621 | @ | CSG Systems International | 665,770 | 0.3 | ||
3,571 | @ | Cymer, Inc. | 322,926 | 0.1 | ||
18,920 | @ | DealerTrack Holdings, Inc. | 543,382 | 0.2 | ||
53,375 | @ | Digital River, Inc. | 768,066 | 0.3 | ||
13,588 | FEI Co. | 753,590 | 0.3 | |||
15,078 | Forrester Research, Inc. | 404,090 | 0.2 | |||
111,744 | @ | Harmonic, Inc. | 566,542 | 0.2 | ||
41,682 | Heartland Payment Systems, Inc. | 1,229,619 | 0.5 | |||
25,517 | @ | iGate Corp. | 402,403 | 0.2 | ||
48,337 | @ | Insight Enterprises, Inc. | 839,614 | 0.3 | ||
98,251 | @ | Integrated Device Technology, Inc. | 717,232 | 0.3 | ||
30,669 | j2 Global, Inc. | 937,858 | 0.4 | |||
85,375 | @ | Kulicke & Soffa Industries, Inc. | 1,023,646 | 0.4 | ||
21,742 | @ | Liquidity Services, Inc. | 888,378 | 0.3 | ||
23,448 | Littelfuse, Inc. | 1,446,976 | 0.5 | |||
75,510 | @ | LogMeIn, Inc. | 1,692,179 | 0.6 | ||
23,595 | @ | Manhattan Associates, Inc. | 1,423,722 | 0.5 | ||
26,884 | MAXIMUS, Inc. | 1,699,606 | 0.6 | |||
66,264 | @ | Microsemi Corp. | 1,394,195 | 0.5 | ||
81,514 | MKS Instruments, Inc. | 2,101,431 | 0.8 | |||
59,052 | @ | Monolithic Power Systems, Inc. | 1,315,679 | 0.5 | ||
29,995 | Monotype Imaging Holdings, Inc. | 479,320 | 0.2 | |||
41,221 | @ | Nanometrics, Inc. | 594,407 | 0.2 | ||
50,768 | National Instruments Corp. | 1,310,322 | 0.5 | |||
17,941 | @ | Netscout Systems, Inc. | 466,287 | 0.2 | ||
14,598 | @ | Oplink Communications, Inc. | 227,437 | 0.1 | ||
15,847 | @ | Perficient, Inc. | 186,678 | 0.1 | ||
65,397 | @ | Plexus Corp. | 1,687,243 | 0.6 | ||
87,042 | @ | Polycom, Inc. | 910,459 | 0.3 | ||
39,265 | Power Integrations, Inc. | 1,319,697 | 0.5 | |||
67,877 | @ | Progress Software Corp. | 1,424,738 | 0.5 | ||
32,800 | @ | Synaptics, Inc. | 983,016 | 0.4 | ||
58,288 | @ | Synchronoss Technologies, Inc. | 1,229,294 | 0.5 | ||
44,763 | @ | SYNNEX Corp. | 1,538,952 | 0.6 | ||
16,182 | @ | Ultratech, Inc. | 603,589 | 0.2 | ||
60,553 | @ | Websense, Inc. | 910,717 | 0.3 | ||
49,389,140 | 18.7 | |||||
Materials: 6.1% | ||||||
24,386 | A Schulman, Inc. | 705,487 | 0.3 | |||
66,243 | Buckeye Technologies, Inc. | 1,901,837 | 0.7 | |||
88,373 | Commercial Metals Co. | 1,313,223 | 0.5 | |||
4,917 | Eagle Materials, Inc. | 287,644 | 0.1 | |||
18,000 | Haynes International, Inc. | 933,660 | 0.4 | |||
71,384 | HB Fuller Co. | 2,485,591 | 0.9 | |||
34,842 | @ | Headwaters, Inc. | 298,248 | 0.1 | ||
6,087 | Kaiser Aluminum Corp. | 375,507 | 0.1 | |||
52,737 | @ | KapStone Paper and Packaging Corp. | 1,170,234 | 0.5 | ||
35,638 | @ | Kraton Performance Polymers, Inc. | 856,381 | 0.3 | ||
22,653 | Materion Corp. | 583,994 | 0.2 | |||
31,023 | Myers Industries, Inc. | 469,998 | 0.2 | |||
18,240 | Neenah Paper, Inc. | 519,293 | 0.2 | |||
14,129 | Quaker Chemical Corp. | 760,988 | 0.3 | |||
28,460 | Schweitzer-Mauduit International, Inc. | 1,110,794 | 0.4 | |||
13,180 | Stepan Co. | 732,017 | 0.3 | |||
59,606 | Worthington Industries | 1,549,160 | 0.6 | |||
16,054,056 | 6.1 | |||||
Telecommunication Services: 0.0% | ||||||
28,695 | @ | Neutral Tandem, Inc. | 73,746 | 0.0 | ||
Utilities: 3.0% | ||||||
27,103 | American States Water Co. | 1,300,402 | 0.5 | |||
14,920 | CH Energy Group, Inc. | 973,082 | 0.4 | |||
29,042 | Cleco Corp. | 1,161,971 | 0.5 | |||
60,878 | El Paso Electric Co. | 1,942,617 | 0.7 | |||
6,282 | Idacorp, Inc. | 272,325 | 0.1 | |||
26,153 | Laclede Group, Inc. | 1,009,767 | 0.4 | |||
11,671 | Northwest Natural Gas Co. | 515,858 | 0.2 | |||
12,436 | Portland General Electric Co. | 340,249 | 0.1 | |||
6,422 | Southwest Gas Corp. | 272,357 | 0.1 | |||
7,788,628 | 3.0 | |||||
Total Common Stock | ||||||
(Cost $253,415,553) | 263,232,280 | 99.8 | ||||
RIGHTS: –% | ||||||
Materials: –% | ||||||
15,300 | @,X | Gerber Scientific | – | – | ||
Total Rights | ||||||
(Cost $–) | – | – | ||||
Total Long-Term Investments | ||||||
(Cost $253,415,553) | 263,232,280 | 99.8 | ||||
Principal Amount† | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 2.8% | ||||||
Securities Lending Collateralcc(1): 2.6% | ||||||
1,614,360 | Barclays Bank PLC, Repurchase Agreement dated 12/31/12, 0.30%, due 01/02/13 (Repurchase Amount $1,614,387, collateralized by various U.S. Government Agency Obligations, 3.500%-5.500%, Market Value plus accrued interest $1,646,647, due 08/01/27-01/01/43) | 1,614,360 | 0.6 | |||
1,614,360 | Citigroup, Inc., Repurchase Agreement dated 12/31/12, 0.20%, due 01/02/13 (Repurchase Amount $1,614,378, collateralized by various U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,646,647, due 10/01/16-12/20/42) | 1,614,360 | 0.6 | |||
339,762 | JPMorgan Chase & Co., Repurchase Agreement dated 12/31/12, 0.18%, due 01/02/13 (Repurchase Amount $339,765, collateralized by various U.S. Government Securities, 0.750%-1.625%, Market Value plus accrued interest $346,558, due 10/31/17-08/15/22) | 339,762 | 0.2 | |||
1,614,360 | Merrill Lynch & Co., Inc., Repurchase Agreements dated 12/31/12, 0.15%-0.19%, due 01/02/13 (Repurchase Amount $1,614,377, collateralized by various U.S. Government Agency Obligations, 0.500%-6.000%, Market Value plus accrued interest $1,646,647, due 08/09/13-06/20/42) | 1,614,360 | 0.6 | |||
1,614,360 | Nomura Securities, Repurchase Agreement dated 12/31/12, 0.35%, due 01/02/13 (Repurchase Amount $1,614,391, collateralized by various U.S. Government Agency Obligations, 0.000%-6.101%, Market Value plus accrued interest $1,646,647, due 03/10/14-12/20/42) | 1,614,360 | 0.6 | |||
6,797,202 | 2.6 | |||||
Shares | Value | Percentage of Net Assets | ||||
Mutual Funds: 0.2% | ||||||
627,000 | BlackRock Liquidity Funds, TempFund, Institutional Class | |||||
(Cost $627,000) | 627,000 | 0.2 | ||||
Total Investments in Securities (Cost $260,839,755) | $ | 270,656,482 | 102.6 | |||||||
Liabilities in Excess of Other Assets | (6,910,742 | ) | (2.6 | ) | ||||||
Net Assets | $ | 263,745,740 | 100.0 | |||||||
† | Unless otherwise indicated, principal amount is shown in USD. |
@ | Non-income producing security |
cc | Securities purchased with cash collateral for securities loaned. |
L | Loaned security, a portion or all of the security is on loan at December 31, 2012. |
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds' Board of Directors/Trustees. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
Cost for federal income tax purposes is $262,870,118. | |||||
Net unrealized appreciation consists of: | |||||
Gross Unrealized Appreciation | $ | 20,947,617 | |||
Gross Unrealized Depreciation | (13,161,253 | ) | |||
Net Unrealized Appreciation | $ | 7,786,364 | |||
Fair Value Measurements^ |
The following is a summary of the fair valuations according to the inputs used as of December 31, 2012 in valuing the assets and liabilities: |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at December 31, 2012 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Common Stock* | $ | 263,232,280 | $– | $– | $ | 263,232,280 | ||||||||||
Rights | — | — | — | — | ||||||||||||
Short-Term Investments | 627,000 | 6,797,202 | — | 7,424,202 | ||||||||||||
Total Investments, at fair value | $ | 263,859,280 | $ | 6,797,202 | $– | $ | 270,656,482 | |||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 236 | — | — | 236 | ||||||||||||
Total Assets | $ | 263,859,516 | $ | 6,797,202 | $– | $ | 270,656,718 |
^ | See Note 2, "Significant Accounting Policies" in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, equity forwards, futures, swaps, and written options. Forward foreign currency contracts, equity forwards and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
* | For further breakdown of Common Stock by Industry type, please refer to the Portfolio of Investments. |
ING Index Plus SmallCap Portfolio Open Futures Contracts on December 31, 2012: | |||||||
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | |||
Long Contracts | |||||||
Russell 2000® Mini Index | 2 | 03/15/13 | $ 169,320 | $ 236 | |||
$ 169,320 | $ 236 | ||||||
See Accompanying Notes to Financial Statements |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Nominating Committee operates pursuant to a Charter approved by the Board. The primary purpose of the Nominating Committee is to consider, evaluate and make recommendations to the Board with respect to the nomination and selection of Independent Trustees. In evaluating candidates, the Nominating Committee may consider a variety of factors, but specific qualifications of candidates for Board membership will be based on the needs of the Board at the time of nomination.
The Nominating Committee is willing to consider nominations received from shareholders and shall assess shareholder nominees in the same manner as it reviews nominees it identifies. A shareholder nominee for director should be submitted in writing to the Fund’s Secretary. Any such shareholder nomination should include sufficient background information concerning the candidate and should be received in a timely manner. At a minimum, the following information as to each individual proposed for nomination as director should be included: the individual’s written consent to be named in the proxy statement as a nominee (if nominated) and to serve as a director (if elected), and all information relating to such individual that is required to be disclosed in a solicitation of proxies for election of directors, or is otherwise required, in each case under applicable federal securities laws, rules and regulations.
The Secretary shall submit all nominations received in a timely manner to the Nominating Committee. To be timely, any such submission must be delivered to the Fund’s Secretary not earlier than the 90 th day prior to such meeting and not later than the close of business on the later of the 60 th day prior to such meeting or the 10th day following the day on which public announcement of the date of the meeting is first made, by either disclosure in a press release or in a document publicly filed by the Fund with the SEC.
In evaluating a candidate for the position of Independent Trustee, including any candidate recommended by shareholders of the Fund, the Nominating Committee shall consider the following: (i) the candidate’s knowledge in matters relating to the mutual fund industry; (ii) any experience possessed by the candidate as a director or senior officer of other public companies; (iii) the candidate’s educational background, reputation for high ethical standards and professional integrity; (iv) any specific financial, technical or other expertise possessed by the candidate, and the extent to which such expertise would complement the Board’s existing mix of skills, core competencies and qualifications; (v) the candidate’s perceived ability to contribute to the ongoing functions of the Board, including the candidate’s ability and commitment to attend meetings regularly and work collaboratively with other members of the Board; (vi) the candidate’s ability to qualify as an Independent Trustee for purposes of the 1940 Act; and (vii) such other factors as the Committee determines to be relevant in light of the existing composition of the Board and any anticipated vacancies. Prior to making a final recommendation to the Board, the Committee shall conduct personal interviews with those candidates it concludes are the most qualified candidates.
Item 11. Controls and Procedures.
(a) | Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR. |
(b) | There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) |
| Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
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(a)(2) |
| A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2) is attached hereto as EX-99.CERT. |
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(b) |
| The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT |
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(3) |
| Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): ING Variable Portfolios, Inc.
By | /s/ Shaun P. Mathews |
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| Shaun P. Mathews |
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| President and Chief Executive Officer |
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Date: | March 6, 2013 |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Shaun P. Mathews |
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| Shaun P. Mathews |
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| President and Chief Executive Officer |
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Date: | March 6, 2013 |
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By | /s/ Todd Modic |
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| Todd Modic |
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| Senior Vice President and Chief Financial Officer |
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Date: | March 6, 2013 |
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